Krylov subspace methods for approximating functions of symmetric positive definite matrices with applications to applied statistics and anomalous diffusion

Matrix function approximation is a current focus of worldwide interest and finds application in a variety of areas of applied mathematics and statistics. In this thesis we focus on the approximation of A^(-α/2)b, where A ∈ ℝ^(n×n) is a large, sparse symmetric positive definite matrix and b ∈ ℝ^n is a vector. In particular, we will focus on matrix function techniques for sampling from Gaussian Markov random fields in applied statistics and the solution of fractional-in-space partial differential equations. Gaussian Markov random fields (GMRFs) are multivariate normal random variables characterised by a sparse precision (inverse covariance) matrix. GMRFs are popular models in computational spatial statistics as the sparse structure can be exploited, typically through the use of the sparse Cholesky decomposition, to construct fast sampling methods. It is well known, however, that for sufficiently large problems, iterative methods for solving linear systems outperform direct methods. Fractional-in-space partial differential equations arise in models of processes undergoing anomalous diffusion. Unfortunately, as the fractional Laplacian is a non-local operator, numerical methods based on the direct discretisation of these equations typically requires the solution of dense linear systems, which is impractical for fine discretisations. In this thesis, novel applications of Krylov subspace approximations to matrix functions for both of these problems are investigated. Matrix functions arise when sampling from a GMRF by noting that the Cholesky decomposition A = LL^T is, essentially, a `square root' of the precision matrix A. Therefore, we can replace the usual sampling method, which forms x = L^(-T)z, with x = A^(-1/2)z, where z is a vector of independent and identically distributed standard normal random variables. Similarly, the matrix transfer technique can be used to build solutions to the fractional Poisson equation of the form ϕn = A^(-α/2)b, where A is the finite difference approximation to the Laplacian. Hence both applications require the approximation of f(A)b, where f(t) = t^(-α/2) and A is sparse. In this thesis we will compare the Lanczos approximation, the shift-and-invert Lanczos approximation, the extended Krylov subspace method, rational approximations and the restarted Lanczos approximation for approximating matrix functions of this form. A number of new and novel results are presented in this thesis. Firstly, we prove the convergence of the matrix transfer technique for the solution of the fractional Poisson equation and we give conditions by which the finite difference discretisation can be replaced by other methods for discretising the Laplacian. We then investigate a number of methods for approximating matrix functions of the form A^(-α/2)b and investigate stopping criteria for these methods. In particular, we derive a new method for restarting the Lanczos approximation to f(A)b. We then apply these techniques to the problem of sampling from a GMRF and construct a full suite of methods for sampling conditioned on linear constraints and approximating the likelihood. Finally, we consider the problem of sampling from a generalised Matern random field, which combines our techniques for solving fractional-in-space partial differential equations with our method for sampling from GMRFs.

Numerical simulation of anomalous diffusion with application to medical imaging

The first objective of this project is to develop new efficient numerical methods and supporting error and convergence analysis for solving fractional partial differential equations to study anomalous diffusion in biological tissue such as the human brain. The second objective is to develop a new efficient fractional differential-based approach for texture enhancement in image processing. The results of the thesis highlight that the fractional order analysis captured important features of nuclear magnetic resonance (NMR) relaxation and can be used to improve the quality of medical imaging.

On anomalous diffusion and the fractional generalized Langevin equation for a harmonic oscillator

The fractional generalized Langevin equation (FGLE) is proposed to discuss the anomalous diffusive behavior of a harmonic oscillator driven by a two-parameter Mittag-Leffler noise. The solution of this FGLE is discussed by means of the Laplace transform methodology and the kernels are presented in terms of the three-parameter Mittag-Leffler functions. Recent results associated with a generalized Langevin equation are recovered.

Particular solution for anomalous diffusion equation with source term

In literature the phenomenon of diffusion has been widely studied, however for nonextensive systems which are governed by a nonlinear stochastic dynamic, there are a few soluble models. The purpose of this study is to present the solution of the nonlinear Fokker-Planck equation for a model of potential with barrier considering a term of absorption. Systems of this nature can be observed in various chemical or biological processes and their solution enriches the studies of existing nonextensive systems.

Anomalous diffusion of pions at RHIC

After pointing out the difference between normal and anomalous diffusion, we consider a hadron resonance cascade (HRC) model simulation for particle emission at RHIC and point out that rescattering in an expanding hadron resonance gas leads to a heavy tail in the source distribution. The results are compared to recent PHENIX measurements of the tail of the particle emitting source in Au+Au collisions at RHIC. In this context, we show how can one distinguish experimentally the anomalous diffusion of hadrons from a second order QCD phase transition.

Weakly anomalous diffusion with non-Gaussian propagators

A poorly understood phenomenon seen in complex systems is diffusion characterized by Hurst exponent H approximate to 1/2 but with non-Gaussian statistics. Motivated by such empirical findings, we report an exact analytical solution for a non-Markovian random walk model that gives rise to weakly anomalous diffusion with H = 1/2 but with a non-Gaussian propagator.

Anomalous diffusion evidenced by particle tracking at high frame rates.

Diffusion is a common phenomenon in nature and generally is associated with a system trying to reach a local or a global equilibrium state, as a result of highly irregular individual particle motion. Therefore it is of fundamental importance in physics, chemistry and biology. Particle tracking in complex fluids can reveal important characteristics of its properties. In living cells, we coat the microbead with a peptide (RGD) that binds to integrin receptors at the plasma membrane, which connects to the CSK. This procedure is based on the hypothesis that the microsphere can move only if the structure where it is attached move as well. Then, the observed trajectory of microbeads is a probe of the cytoskeleton (CSK), which is governed by several factors, including thermal diffusion, pressure gradients, and molecular motors. The possibility of separating the trajectories into passive and active diffusion may give information about the viscoelasticity of the cell structure and molecular motors activity. And also we could analyze the motion via generalized Stokes-Einstein relation, avoiding the use of any active techniques. Usually a 12 to 16 Frames Per Second (FPS) system is used to track the microbeads in cell for about 5 minutes. Several factors make this FPS limitation: camera computer communication, light, computer speed for online analysis among others. Here we used a high quality camera and our own software, developed in C++ and Linux, to reach high FPS. Measurements were conducted with samples for 10£ and 20£ objectives. We performed sequentially images with different intervals, all with 2 ¹s exposure. The sequences of intervals are in milliseconds: 4 5 ms (maximum speed) 14, 25, 50 and 100 FPS. Our preliminary results highlight the difference between passive and active diffusion, since the passive diffusion is represented by a Gaussian in the distribution of displacements of the center of mass of individual beads between consecutive frames. However, the active process, or anomalous diffusion, shows as long tails in the distribution of displacements.

Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis

This work provides a forward step in the study and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental notions of probability and stochastic processes, stochastic integration and stochastic differential equations as well. In particular, within the study of H-sssi processes, we focused on fractional Brownian motion (fBm) and its discrete-time increment process, the fractional Gaussian noise (fGn), which provide examples of non-Markovian Gaussian processes. The fGn, together with stationary FARIMA processes, is widely used in the modeling and estimation of long-memory, or long-range dependence (LRD). Time series manifesting long-range dependence, are often observed in nature especially in physics, meteorology, climatology, but also in hydrology, geophysics, economy and many others. We deepely studied LRD, giving many real data examples, providing statistical analysis and introducing parametric methods of estimation. Then, we introduced the theory of fractional integrals and derivatives, which indeed turns out to be very appropriate for studying and modeling systems with long-memory properties. After having introduced the basics concepts, we provided many examples and applications. For instance, we investigated the relaxation equation with distributed order time-fractional derivatives, which describes models characterized by a strong memory component and can be used to model relaxation in complex systems, which deviates from the classical exponential Debye pattern. Then, we focused in the study of generalizations of the standard diffusion equation, by passing through the preliminary study of the fractional forward drift equation. Such generalizations have been obtained by using fractional integrals and derivatives of distributed orders. In order to find a connection between the anomalous diffusion described by these equations and the long-range dependence, we introduced and studied the generalized grey Brownian motion (ggBm), which is actually a parametric class of H-sssi processes, which have indeed marginal probability density function evolving in time according to a partial integro-differential equation of fractional type. The ggBm is of course Non-Markovian. All around the work, we have remarked many times that, starting from a master equation of a probability density function f(x,t), it is always possible to define an equivalence class of stochastic processes with the same marginal density function f(x,t). All these processes provide suitable stochastic models for the starting equation. Studying the ggBm, we just focused on a subclass made up of processes with stationary increments. The ggBm has been defined canonically in the so called grey noise space. However, we have been able to provide a characterization notwithstanding the underline probability space. We also pointed out that that the generalized grey Brownian motion is a direct generalization of a Gaussian process and in particular it generalizes Brownain motion and fractional Brownain motion as well. Finally, we introduced and analyzed a more general class of diffusion type equations related to certain non-Markovian stochastic processes. We started from the forward drift equation, which have been made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation has been interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time-evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the same memory kernel K(t). We developed several applications and derived the exact solutions. Moreover, we considered different stochastic models for the given equations, providing path simulations.

Anomalous reaction-diffusion as a model of nonexponential DNA escape kinetics

We show that data from recent experiments carried out on the kinetics of DNA escape from alpha-hemolysin nanopores [M. Wiggin, C. Tropini, C. T. Cossa, N. N. Jetha, and A. Marziali, Biophys. J. 95, 5317 (2008)] may be rationalized by a model of chain dynamics based on the anomalous diffusion of a particle moving in a harmonic well in the presence of a delta function sink. The experiments of Wiggin found, among other things, that the occasional occurrence of unusually long escape times in the distribution of chain trapping events led to nonexponential decays in the survival probability, S(t), of the DNA molecules within the nanopore. Wiggin ascribed this nonexponentiality to the existence of a distribution of trapping potentials, which they suggested was theresult of stochastic interactions between the bases of the DNA and the amino acids located on the surface of the nanopore. Based on this idea, they showed that the experimentally determined S(t) could be well fit in both the short and long time regimes by a function of the form (1+t/tau)(-alpha) (the so called Becquerel function). In our model, S(t) is found to be given by a Mittag-Leffler function at short times and by a generalized Mittag-Leffler function at long times. By suitable choice of certain parameter values, these functions are found to fit the experimental S(t) even better than the Becquerel function. Anomalous diffusion of DNA within the trap prior to escape over a barrier of fixed height may therefore provide a second, plausible explanation of the data, and may offer fresh perspectives on similar trapping and escape problems.

Numerical approximation of a fractional-in-space diffusion equation (II) - with nonhomogeneous boundary conditions

In this paper, a space fractional di®usion equation (SFDE) with non- homogeneous boundary conditions on a bounded domain is considered. A new matrix transfer technique (MTT) for solving the SFDE is proposed. The method is based on a matrix representation of the fractional-in-space operator and the novelty of this approach is that a standard discretisation of the operator leads to a system of linear ODEs with the matrix raised to the same fractional power. Analytic solutions of the SFDE are derived. Finally, some numerical results are given to demonstrate that the MTT is a computationally e±cient and accurate method for solving SFDE.

Computationally efficient methods for solving time-variable-order time-space fractional reaction-diffusion equation

Fractional differential equations are becoming more widely accepted as a powerful tool in modelling anomalous diffusion, which is exhibited by various materials and processes. Recently, researchers have suggested that rather than using constant order fractional operators, some processes are more accurately modelled using fractional orders that vary with time and/or space. In this paper we develop computationally efficient techniques for solving time-variable-order time-space fractional reaction-diffusion equations (tsfrde) using the finite difference scheme. We adopt the Coimbra variable order time fractional operator and variable order fractional Laplacian operator in space where both orders are functions of time. Because the fractional operator is nonlocal, it is challenging to efficiently deal with its long range dependence when using classical numerical techniques to solve such equations. The novelty of our method is that the numerical solution of the time-variable-order tsfrde is written in terms of a matrix function vector product at each time step. This product is approximated efficiently by the Lanczos method, which is a powerful iterative technique for approximating the action of a matrix function by projecting onto a Krylov subspace. Furthermore an adaptive preconditioner is constructed that dramatically reduces the size of the required Krylov subspaces and hence the overall computational cost. Numerical examples, including the variable-order fractional Fisher equation, are presented to demonstrate the accuracy and efficiency of the approach.