Robust algorithms for solving stochastic partial differential equations

A robust semi-implicit central partial difference algorithm for the numerical solution of coupled stochastic parabolic partial differential equations (PDEs) is described. This can be used for calculating correlation functions of systems of interacting stochastic fields. Such field equations can arise in the description of Hamiltonian and open systems in the physics of nonlinear processes, and may include multiplicative noise sources. The algorithm can be used for studying the properties of nonlinear quantum or classical field theories. The general approach is outlined and applied to a specific example, namely the quantum statistical fluctuations of ultra-short optical pulses in chi((2)) parametric waveguides. This example uses a non-diagonal coherent state representation, and correctly predicts the sub-shot noise level spectral fluctuations observed in homodyne detection measurements. It is expected that the methods used wilt be applicable for higher-order correlation functions and other physical problems as well. A stochastic differencing technique for reducing sampling errors is also introduced. This involves solving nonlinear stochastic parabolic PDEs in combination with a reference process, which uses the Wigner representation in the example presented here. A computer implementation on MIMD parallel architectures is discussed. (C) 1997 Academic Press.

A stochastic frontier production function with flexible risk properties

This paper considers a stochastic frontier production function which has additive, heteroscedastic error structure. The model allows for negative or positive marginal production risks of inputs, as originally proposed by Just and Pope (1978). The technical efficiencies of individual firms in the sample are a function of the levels of the input variables in the stochastic frontier, in addition to the technical inefficiency effects. These are two features of the model which are not exhibited by the commonly used stochastic frontiers with multiplicative error structures, An empirical application is presented using cross-sectional data on Ethiopian peasant farmers. The null hypothesis of no technical inefficiencies of production among these farmers is accepted. Further, the flexible risk models do not fit the data on peasant farmers as well as the traditional stochastic frontier model with multiplicative error structure.

The composite Euler method for stiff stochastic differential equations

In this paper we present the composite Euler method for the strong solution of stochastic differential equations driven by d-dimensional Wiener processes. This method is a combination of the semi-implicit Euler method and the implicit Euler method. At each step either the semi-implicit Euler method or the implicit Euler method is used in order to obtain better stability properties. We give criteria for selecting the semi-implicit Euler method or the implicit Euler method. For the linear test equation, the convergence properties of the composite Euler method depend on the criteria for selecting the methods. Numerical results suggest that the convergence properties of the composite Euler method applied to nonlinear SDEs is the same as those applied to linear equations. The stability properties of the composite Euler method are shown to be far superior to those of the Euler methods, and numerical results show that the composite Euler method is a very promising method. (C) 2001 Elsevier Science B.V. All rights reserved.

Implicit Taylor methods for stiff stochastic differential equations

In this paper we discuss implicit Taylor methods for stiff Ito stochastic differential equations. Based on the relationship between Ito stochastic integrals and backward stochastic integrals, we introduce three implicit Taylor methods: the implicit Euler-Taylor method with strong order 0.5, the implicit Milstein-Taylor method with strong order 1.0 and the implicit Taylor method with strong order 1.5. The mean-square stability properties of the implicit Euler-Taylor and Milstein-Taylor methods are much better than those of the corresponding semi-implicit Euler and Milstein methods and these two implicit methods can be used to solve stochastic differential equations which are stiff in both the deterministic and the stochastic components. Numerical results are reported to show the convergence properties and the stability properties of these three implicit Taylor methods. The stability analysis and numerical results show that the implicit Euler-Taylor and Milstein-Taylor methods are very promising methods for stiff stochastic differential equations.

Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

In this paper we discuss implicit methods based on stiffly accurate Runge-Kutta methods and splitting techniques for solving Stratonovich stochastic differential equations (SDEs). Two splitting techniques: the balanced splitting technique and the deterministic splitting technique, are used in this paper. We construct a two-stage implicit Runge-Kutta method with strong order 1.0 which is corrected twice and no update is needed. The stability properties and numerical results show that this approach is suitable for solving stiff SDEs. (C) 2001 Elsevier Science B.V. All rights reserved.

Stochastic gauges in quantum dynamics for many-body simulations

Quantum dynamics simulations can be improved using novel quasiprobability distributions based on non-orthogonal Hermitian kernel operators. This introduces arbitrary functions (gauges) into the stochastic equations. which can be used to tailor them for improved calculations. A possible application to full quantum dynamic simulations of BEC's is presented. (C) 2001 Elsevier Science B.V. All rights reserved.

Stochastic Schrodinger equation approach to quantum noise in resonant tunneling current

We apply the quantum trajectory method to current noise in resonant tunneling devices. The results from dynamical simulation are compared with those from unconditional master equation approach. We show that the stochastic Schrodinger equation approach is useful in modeling the dynamical processes in mesoscopic electronic systems.

Predictions of quantum mechanics and stochastic electrodynamics in travelling wave second harmonic generation

We show that stochastic electrodynamics and quantum mechanics give quantitatively different predictions for the quantum nondemolition (QND) correlations in travelling wave second harmonic generation. Using phase space methods and stochastic integration, we calculate correlations in both the positive-P and truncated Wigner representations, the latter being equivalent to the semi-classical theory of stochastic electrodynamics. We show that the semiclassical results are different in the regions where the system performs best in relation to the QND criteria, and that they significantly overestimate the performance in these regions. (C) 2001 Published by Elsevier Science B.V.

The stochastic design of force-minimized compact magnets for high-field magnetic resonance imaging applications

New designs for force-minimized compact high-field clinical MRI magnets are described. The design method is a modified simulated annealing (SA) procedure which includes Maxwell forces in the error function to be minimized. This permits an automated force reduction in the magnet designs while controlling the overall dimensions of the system. As SA optimization requires many iterations to achieve a final design, it is important that each iteration in the procedure is rapid. We have therefore developed a rapid force calculation algorithm. Novel designs for short 3- and 4-T clinical MRI systems are presented in which force reduction has been invoked. The final designs provide large homogeneous regions and reduced stray fields in remarkable short magnets. A shielded 4-T design that is approximately 30% shorter than current designs is presented. This novel magnet generates a full 50-cm diameter homogeneous region.

Patchy populations in stochastic environments: Critical number of patches for persistence

We introduce a model for the dynamics of a patchy population in a stochastic environment and derive a criterion for its persistence. This criterion is based on the geometric mean (GM) through time of the spatial-arithmetic mean of growth rates. For the population to persist, the GM has to be greater than or equal to1. The GM increases with the number of patches (because the sampling error is reduced) and decreases with both the variance and the spatial covariance of growth rates. We derive analytical expressions for the minimum number of patches (and the maximum harvesting rate) required for the persistence of the population. As the magnitude of environmental fluctuations increases, the number of patches required for persistence increases, and the fraction of individuals that can be harvested decreases. The novelty of our approach is that we focus on Malthusian local population dynamics with high dispersal and strong environmental variability from year to year. Unlike previous models of patchy populations that assume an infinite number of patches, we focus specifically on the effect that the number of patches has on population persistence. Our work is therefore directly relevant to patchily distributed organisms that are restricted to a small number of habitat patches.

Reliability factors in business software: volatility, requirements and end-users

Many business-oriented software applications are subject to frequent changes in requirements. This paper shows that, ceteris paribus, increases in the volatility of system requirements decrease the reliability of software. Further, systems that exhibit high volatility during the development phase are likely to have lower reliability during their operational phase. In addition to the typically higher volatility of requirements, end-users who specify the requirements of business-oriented systems are usually less technically oriented than people who specify the requirements of compilers, radar tracking systems or medical equipment. Hence, the characteristics of software reliability problems for business-oriented systems are likely to differ significantly from those of more technically oriented systems.