Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

In many modeling situations in which parameter values can only be estimated or are subject to noise, the appropriate mathematical representation is a stochastic ordinary differential equation (SODE). However, unlike the deterministic case in which there are suites of sophisticated numerical methods, numerical methods for SODEs are much less sophisticated. Until a recent paper by K. Burrage and P.M. Burrage (1996), the highest strong order of a stochastic Runge-Kutta method was one. But K. Burrage and P.M. Burrage (1996) showed that by including additional random variable terms representing approximations to the higher order Stratonovich (or Ito) integrals, higher order methods could be constructed. However, this analysis applied only to the one Wiener process case. In this paper, it will be shown that in the multiple Wiener process case all known stochastic Runge-Kutta methods can suffer a severe order reduction if there is non-commutativity between the functions associated with the Wiener processes. Importantly, however, it is also suggested how this order can be repaired if certain commutator operators are included in the Runge-Kutta formulation. (C) 1998 Elsevier Science B.V. and IMACS. All rights reserved.

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochastic Runge-Kutta methods, the previous strong order barrier of order one could be broken without having to use higher derivative terms. In particular, methods of strong order 1.5 were developed in which a Stratonovich integral of order one and one of order two were present in the formulation. In this present paper, general order results are proven about the maximum attainable strong order of these stochastic Runge-Kutta methods (SRKs) in terms of the order of the Stratonovich integrals appearing in the Runge-Kutta formulation. In particular, it will be shown that if an s-stage SRK contains Stratonovich integrals up to order p then the strong order of the SRK cannot exceed min{(p + 1)/2, (s - 1)/2), p greater than or equal to 2, s greater than or equal to 3 or 1 if p = 1.

Transmission system expansion planning considering combined operation of wind farms and energy storage systems

An energy storage system (ESS) can provide ancillary services such as frequency regulation and reserves, as well as smooth the fluctuations of wind power outputs, and hence improve the security and economics of the power system concerned. The combined operation of a wind farm and an ESS has become a widely accepted operating mode. Hence, it appears necessary to consider this operating mode in transmission system expansion planning, and this is an issue to be systematically addressed in this work. Firstly, the relationship between the cost of the NaS based ESS and its discharging cycle life is analyzed. A strategy for the combined operation of a wind farm and an ESS is next presented, so as to have a good compromise between the operating cost of the ESS and the smoothing effect of the fluctuation of wind power outputs. Then, a transmission system expansion planning model is developed with the sum of the transmission investment costs, the investment and operating costs of ESSs and the punishment cost of lost wind energy as the objective function to be minimized. An improved particle swarm optimization algorithm is employed to solve the developed planning model. Finally, the essential features of the developed model and adopted algorithm are demonstrated by 18-bus and 46-bus test systems.

Multi-scale numerical simulations of thermal expansion properties of CNT-reinforced nanocomposites

In this work, the thermal expansion properties of carbon nanotube (CNT)-reinforced nanocomposites with CNT content ranging from 1 to 15 wt% were evaluated using a multi-scale numerical approach, in which the effects of two parameters, i.e., temperature and CNT content, were investigated extensively. For all CNT contents, the obtained results clearly revealed that within a wide low-temperature range (30°C ~ 62°C), thermal contraction is observed, while thermal expansion occurs in a high-temperature range (62°C ~ 120°C). It was found that at any specified CNT content, the thermal expansion properties vary with temperature - as temperature increases, the thermal expansion rate increases linearly. However, at a specified temperature, the absolute value of the thermal expansion rate decreases nonlinearly as the CNT content increases. Moreover, the results provided by the present multi-scale numerical model were in good agreement with those obtained from the corresponding theoretical analyses and experimental measurements in this work, which indicates that this multi-scale numerical approach provides a powerful tool to evaluate the thermal expansion properties of any type of CNT/polymer nanocomposites and therefore promotes the understanding on the thermal behaviors of CNT/polymer nanocomposites for their applications in temperature sensors, nanoelectronics devices, etc.

An entry mode decision-making model for the international expansion of construction enterprises

Purpose – The purpose of this paper is to provide a new type of entry mode decision-making model for construction enterprises involved in international business. Design/methodology/approach – A hybrid method combining analytic hierarchy process (AHP) with preference ranking organization method for enrichment evaluations (PROMETHEE) is used to aid entry mode decisions. The AHP is used to decompose the entry mode problem into several dimensions and determine the weight of each criterion. In addition, PROMETHEE method is used to rank candidate entry modes and carry out sensitivity analyses. Findings – The proposed decision-making method is demonstrated to be a suitable approach to resolve the entry mode selection decision problem. Practical implications – The research provides practitioners with a more systematic decision framework and a more precise decision method. Originality/value – The paper sheds light on the further development of entry strategies for international construction markets. It not only introduces a new decision-making model for entry mode decision making, but also provides a conceptual framework with five determinants for a construction company entry mode selection based on the unique properties of the construction industry.

Improved estimates of percolation and anisotropic permeability from 3-D X-ray microtomography using stochastic analyses and visualization

X-ray microtomography (micro-CT) with micron resolution enables new ways of characterizing microstructures and opens pathways for forward calculations of multiscale rock properties. A quantitative characterization of the microstructure is the first step in this challenge. We developed a new approach to extract scale-dependent characteristics of porosity, percolation, and anisotropic permeability from 3-D microstructural models of rocks. The Hoshen-Kopelman algorithm of percolation theory is employed for a standard percolation analysis. The anisotropy of permeability is calculated by means of the star volume distribution approach. The local porosity distribution and local percolation probability are obtained by using the local porosity theory. Additionally, the local anisotropy distribution is defined and analyzed through two empirical probability density functions, the isotropy index and the elongation index. For such a high-resolution data set, the typical data sizes of the CT images are on the order of gigabytes to tens of gigabytes; thus an extremely large number of calculations are required. To resolve this large memory problem parallelization in OpenMP was used to optimally harness the shared memory infrastructure on cache coherent Non-Uniform Memory Access architecture machines such as the iVEC SGI Altix 3700Bx2 Supercomputer. We see adequate visualization of the results as an important element in this first pioneering study.

Automatic query expansion : a structural linguistic perspective

A user’s query is considered to be an imprecise description of their information need. Automatic query expansion is the process of reformulating the original query with the goal of improving retrieval effectiveness. Many successful query expansion techniques ignore information about the dependencies that exist between words in natural language. However, more recent approaches have demonstrated that by explicitly modeling associations between terms significant improvements in retrieval effectiveness can be achieved over those that ignore these dependencies. State-of-the-art dependency-based approaches have been shown to primarily model syntagmatic associations. Syntagmatic associations infer a likelihood that two terms co-occur more often than by chance. However, structural linguistics relies on both syntagmatic and paradigmatic associations to deduce the meaning of a word. Given the success of dependency-based approaches and the reliance on word meanings in the query formulation process, we argue that modeling both syntagmatic and paradigmatic information in the query expansion process will improve retrieval effectiveness. This article develops and evaluates a new query expansion technique that is based on a formal, corpus-based model of word meaning that models syntagmatic and paradigmatic associations. We demonstrate that when sufficient statistical information exists, as in the case of longer queries, including paradigmatic information alone provides significant improvements in retrieval effectiveness across a wide variety of data sets. More generally, when our new query expansion approach is applied to large-scale web retrieval it demonstrates significant improvements in retrieval effectiveness over a strong baseline system, based on a commercial search engine.

Term associations in query expansion : a structural linguistic perspective

Many successful query expansion techniques ignore information about the term dependencies that exist within natural language. However, researchers have recently demonstrated that consistent and significant improvements in retrieval effectiveness can be achieved by explicitly modelling term dependencies within the query expansion process. This has created an increased interest in dependency-based models. State-of-the-art dependency-based approaches primarily model term associations known within structural linguistics as syntagmatic associations, which are formed when terms co-occur together more often than by chance. However, structural linguistics proposes that the meaning of a word is also dependent on its paradigmatic associations, which are formed between words that can substitute for each other without effecting the acceptability of a sentence. Given the reliance on word meanings when a user formulates their query, our approach takes the novel step of modelling both syntagmatic and paradigmatic associations within the query expansion process based on the (pseudo) relevant documents returned in web search. The results demonstrate that this approach can provide significant improvements in web re- trieval effectiveness when compared to a strong benchmark retrieval system.

Distinguishing between mean-field, moment dynamics and stochastic descriptions of birth-death-movement processes

Mathematical descriptions of birth–death–movement processes are often calibrated to measurements from cell biology experiments to quantify tissue growth rates. Here we describe and analyze a discrete model of a birth–death-movement process applied to a typical two–dimensional cell biology experiment. We present three different descriptions of the system: (i) a standard mean–field description which neglects correlation effects and clustering; (ii) a moment dynamics description which approximately incorporates correlation and clustering effects, and; (iii) averaged data from repeated discrete simulations which directly incorporates correlation and clustering effects. Comparing these three descriptions indicates that the mean–field and moment dynamics approaches are valid only for certain parameter regimes, and that both these descriptions fail to make accurate predictions of the system for sufficiently fast birth and death rates where the effects of spatial correlations and clustering are sufficiently strong. Without any method to distinguish between the parameter regimes where these three descriptions are valid, it is possible that either the mean–field or moment dynamics model could be calibrated to experimental data under inappropriate conditions, leading to errors in parameter estimation. In this work we demonstrate that a simple measurement of agent clustering and correlation, based on coordination number data, provides an indirect measure of agent correlation and clustering effects, and can therefore be used to make a distinction between the validity of the different descriptions of the birth–death–movement process.

Heat-producing crust regulation of subsurface temperatures : a stochastic model re-evaluation of the geothermal potential in western Queensland, Australia

A large subsurface, elevated temperature anomaly is well documented in Central Australia. High Heat Producing Granites (HHPGs) intersected by drilling at Innamincka are often assumed to be the dominant cause of the elevated subsurface temperatures, although their presence in other parts of the temperature anomaly has not been confirmed. Geological controls on the temperature anomaly remain poorly understood. Additionally, methods previously used to predict temperature at 5 km depth in this area are simplistic and possibly do not give an accurate representation of the true distribution and magnitude of the temperature anomaly. Here we re-evaluate the geological controls on geothermal potential in the Queensland part of the temperature anomaly using a stochastic thermal model. The results illustrate that the temperature distribution is most sensitive to the thermal conductivity structure of the top 5 km. Furthermore, the results indicate the presence of silicic crust enriched in heat producing elements between and 40 km.

Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

There has been considerable recent work on the development of energy conserving one-step methods that are not symplectic. Here we extend these ideas to stochastic Hamiltonian problems with additive noise and show that there are classes of Runge-Kutta methods that are very effective in preserving the expectation of the Hamiltonian, but care has to be taken in how the Wiener increments are sampled at each timestep. Some numerical simulations illustrate the performance of these methods.

Multiple types of data are required to identify the mechanisms influencing the spatial expansion of melanoma cell colonies

Background The expansion of cell colonies is driven by a delicate balance of several mechanisms including cell motility, cell-to-cell adhesion and cell proliferation. New approaches that can be used to independently identify and quantify the role of each mechanism will help us understand how each mechanism contributes to the expansion process. Standard mathematical modelling approaches to describe such cell colony expansion typically neglect cell-to-cell adhesion, despite the fact that cell-to-cell adhesion is thought to play an important role. Results We use a combined experimental and mathematical modelling approach to determine the cell diffusivity, D, cell-to-cell adhesion strength, q, and cell proliferation rate, ?, in an expanding colony of MM127 melanoma cells. Using a circular barrier assay, we extract several types of experimental data and use a mathematical model to independently estimate D, q and ?. In our first set of experiments, we suppress cell proliferation and analyse three different types of data to estimate D and q. We find that standard types of data, such as the area enclosed by the leading edge of the expanding colony and more detailed cell density profiles throughout the expanding colony, does not provide sufficient information to uniquely identify D and q. We find that additional data relating to the degree of cell-to-cell clustering is required to provide independent estimates of q, and in turn D. In our second set of experiments, where proliferation is not suppressed, we use data describing temporal changes in cell density to determine the cell proliferation rate. In summary, we find that our experiments are best described using the range D = 161 - 243 ?m2 hour-1, q = 0.3 - 0.5 (low to moderate strength) and ? = 0.0305 - 0.0398 hour-1, and with these parameters we can accurately predict the temporal variations in the spatial extent and cell density profile throughout the expanding melanoma cell colony. Conclusions Our systematic approach to identify the cell diffusivity, cell-to-cell adhesion strength and cell proliferation rate highlights the importance of integrating multiple types of data to accurately quantify the factors influencing the spatial expansion of melanoma cell colonies.

A stochastic thermostat algorithm for coarse-grained thermomechanical modeling of large-scale soft matters : theory and application to microfilaments

As all-atom molecular dynamics method is limited by its enormous computational cost, various coarse-grained strategies have been developed to extend the length scale of soft matters in the modeling of mechanical behaviors. However, the classical thermostat algorithm in highly coarse-grained molecular dynamics method would underestimate the thermodynamic behaviors of soft matters (e.g. microfilaments in cells), which can weaken the ability of materials to overcome local energy traps in granular modeling. Based on all-atom molecular dynamics modeling of microfilament fragments (G-actin clusters), a new stochastic thermostat algorithm is developed to retain the representation of thermodynamic properties of microfilaments at extra coarse-grained level. The accuracy of this stochastic thermostat algorithm is validated by all-atom MD simulation. This new stochastic thermostat algorithm provides an efficient way to investigate the thermomechanical properties of large-scale soft matters.