Search results for: stochastic systems

Authors: Biao Qin, Jin Huang, Jiaojiao Ren, Wei Kang

Abstract:

This paper deals with the problem of passivity analysis for stochastic neural networks with leakage, discrete and distributed delays. By using delay partitioning technique, free weighting matrix method and stochastic analysis technique, several sufficient conditions for the passivity of the addressed neural networks are established in terms of linear matrix inequalities (LMIs), in which both the time-delay and its time derivative can be fully considered. A numerical example is given to show the usefulness and effectiveness of the obtained results.

Keywords: Passivity, Stochastic neural networks, Multiple time delays, Linear matrix inequalities (LMIs).

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Authors: T. Kerdchuen

Abstract:

This paper proposes the stochastic tabu search (STS) for improving the measurement scheme for power system state estimation. If the original measured scheme is not observable, the additional measurements with minimum number of measurements are added into the system by STS so that there is no critical measurement pair. The random bit flipping and bit exchanging perturbations are used for generating the neighborhood solutions in STS. The Pδ observable concept is used to determine the network observability. Test results of 10 bus, IEEE 14 and 30 bus systems are shown that STS can improve the original measured scheme to be observable without critical measurement pair. Moreover, the results of STS are superior to deterministic tabu search (DTS) in terms of the best solution hit.

Keywords: Measurement Scheme, Power System StateEstimation, Network Observability, Stochastic Tabu Search (STS).

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Authors: Yong Li

Abstract:

The paper is concerned with the existence of solution of nonlinear second order neutral stochastic differential inclusions with infinite delay in a Hilbert Space. Sufficient conditions for the existence are obtained by using a fixed point theorem for condensing maps.

Keywords: Mild solution, Convex multivalued map, Neutral stochastic differential inclusions.

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Authors: Mojtaba Aghamiri Esfahani, Mohammad Karkon, Seyed Majid Hosseini Nezhad, Reza Hosseini-Ara

Abstract:

In this study, the effect of uncertainty in elastic modulus of a plate on free vibration response is investigated. For this purpose, the elastic modulus of the plate is modeled as stochastic variable with normal distribution. Moreover, the distance autocorrelation function is used for stochastic field. Then, by applying the finite element method and Monte Carlo simulation, stochastic finite element relations are extracted. Finally, with a numerical test, the effect of uncertainty in the elastic modulus on free vibration response of a plate is studied. The results show that the effect of uncertainty in elastic modulus of the plate cannot play an important role on the free vibration response.

Keywords: Stochastic finite elements, plate bending, free vibration, Monte Carlo, Neumann expansion method.

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Authors: Nitin Gupta, Rakesh Kumar Bajaj

Abstract:

In the present communication, stochastic comparison of a series (parallel) system having heterogeneous components with random lifetimes and series (parallel) system having homogeneous exponential components with random lifetimes has been studied. Further, conditions under which such a comparison is possible has been established.

Keywords: Exponential distribution, Order statistics, Star ordering, Stochastic ordering.

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Authors: Fl. Loury, P. Sablonière

Abstract:

In this paper a stochastic scenario-based model predictive control applied to molten salt storage systems in concentrated solar tower power plant is presented. The main goal of this study is to build up a tool to analyze current and expected future resources for evaluating the weekly power to be advertised on electricity secondary market. This tool will allow plant operator to maximize profits while hedging the impact on the system of stochastic variables such as resources or sunlight shortage.

Solving the problem first requires a mixed logic dynamic modeling of the plant. The two stochastic variables, respectively the sunlight incoming energy and electricity demands from secondary market, are modeled by least square regression. Robustness is achieved by drawing a certain number of random variables realizations and applying the most restrictive one to the system. This scenario approach control technique provides the plant operator a confidence interval containing a given percentage of possible stochastic variable realizations in such a way that robust control is always achieved within its bounds. The results obtained from many trajectory simulations show the existence of a ‘’reliable’’ interval, which experimentally confirms the algorithm robustness.

Keywords: Molten Salt Storage System, Concentrated Solar Tower Power Plant, Robust Stochastic Model Predictive Control.

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Authors: Xinhua Zhang, Kelin Li

Abstract:

In this paper, the problem of stability analysis for a class of impulsive stochastic fuzzy neural networks with timevarying delays and reaction-diffusion is considered. By utilizing suitable Lyapunov-Krasovskii funcational, the inequality technique and stochastic analysis technique, some sufficient conditions ensuring global exponential stability of equilibrium point for impulsive stochastic fuzzy cellular neural networks with time-varying delays and diffusion are obtained. In particular, the estimate of the exponential convergence rate is also provided, which depends on system parameters, diffusion effect and impulsive disturbed intention. It is believed that these results are significant and useful for the design and applications of fuzzy neural networks. An example is given to show the effectiveness of the obtained results.

Keywords: Exponential stability, stochastic fuzzy cellular neural networks, time-varying delays, impulses, reaction-diffusion terms.

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Authors: Zixin Liu, Huawei Yang, Fangwei Chen

Abstract:

This paper studies the mean square exponential synchronization problem of a class of stochastic neutral type chaotic neural networks with mixed delay. On the Basis of Lyapunov stability theory, some sufficient conditions ensuring the mean square exponential synchronization of two identical chaotic neural networks are obtained by using stochastic analysis and inequality technique. These conditions are expressed in the form of linear matrix inequalities (LMIs), whose feasibility can be easily checked by using Matlab LMI Toolbox. The feedback controller used in this paper is more general than those used in previous literatures. One simulation example is presented to demonstrate the effectiveness of the derived results.

Keywords: Exponential synchronization, stochastic analysis, chaotic neural networks, neutral type system.

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Authors: Y. Wu

Abstract:

Today-s business has inevitably been set in the global supply chain management environment. International transportation has never played such an important role in the global supply chain network, because movement of shipments from one country to another tends to be more frequent than ever before. This paper studies international transportation problems experienced by an international transportation company. Because of the limited fleet capacity, the transportation company has to hire additional trucks from two countries in advance. However, customer-s shipment information is uncertain, and decisions have to be made before accurate information can be obtained. This paper proposes a stochastic mixed 0-1 programming model to solve the international transportation problems under uncertain demand. A series of experiments demonstrate the effectiveness of the proposed stochastic model.

Keywords: Global supply chain management, international transportation, stochastic programming.

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Authors: Nilar Win Kyaw

Abstract:

In cryptography, confusion and diffusion are very important to get confidentiality and privacy of message in block ciphers and stream ciphers. There are two types of network to provide confusion and diffusion properties of message in block ciphers. They are Substitution- Permutation network (S-P network), and Feistel network. NLFS (Non-Linear feedback stream cipher) is a fast and secure stream cipher for software application. NLFS have two modes basic mode that is synchronous mode and self synchronous mode. Real random numbers are non-deterministic. R-box (random box) based on the dynamic properties and it performs the stochastic transformation of data that can be used effectively meet the challenges of information is protected from international destructive impacts. In this paper, a new implementation of stochastic transformation will be proposed.

Keywords: S-P network, Feistel network, R-block, stochastic transformation

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Authors: Leila Jafari, Viliam Makis

Abstract:

In this paper, the joint optimization of the economic manufacturing quantity (EMQ), safety stock level, and condition-based maintenance (CBM) is presented for a partially observable, deteriorating system subject to random failure. The demand is stochastic and it is described by a Poisson process. The stochastic model is developed and the optimization problem is formulated in the semi-Markov decision process framework. A modification of the policy iteration algorithm is developed to find the optimal policy. A numerical example is presented to compare the optimal policy with the policy considering zero safety stock.

Keywords: Condition-based maintenance, economic manufacturing quantity, safety stock, stochastic demand.

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Authors: Zixin Liu, Huawei Yang, Fangwei Chen

Abstract:

In this paper, the issue of pth moment stability of a class of stochastic neural networks with mixed delays is investigated. By establishing two integro-differential inequalities, some new sufficient conditions ensuring pth moment exponential stability are obtained. Compared with some previous publications, our results generalize some earlier works reported in the literature, and remove some strict constraints of time delays and kernel functions. Two numerical examples are presented to illustrate the validity of the main results.

Keywords: Neural networks, stochastic, PTH moment stable, time varying delays, distributed delays.

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Authors: Mao Wei

Abstract:

The main aim of this paper is to investigate the exponential stability of the Euler method for a stochastic age-dependent population equations with Poisson random measures. It is proved that the Euler scheme is exponentially stable in mean square sense. An example is given for illustration.

Keywords: Stochastic age-dependent population equations, poisson random measures, numerical solutions, exponential stability.

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Authors: M. Reni Sagayaraj, S. Anand Gnana Selvam, R. Reynald Susainathan

Abstract:

We analyze stochastic integrals associated with a mutation process. To be specific, we describe the cell population process and derive the differential equations for the joint generating functions for the number of mutants and their integrals in generating functions and their applications. We obtain first-order moments of the processes of the two-way mutation process in first-order moment structure of X (t) and Y (t) and the second-order moments of a one-way mutation process. In this paper, we obtain the limiting behaviour of the integrals in limiting distributions of X (t) and Y (t).

Keywords: Stochastic integrals, single–server queue model, catastrophes, busy period.

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Authors: K. Sudprasert, M. Precharattana, N. Nuttavut, D. Triampo, B. Pattanasiri, Y. Lenbury, W. Triampo

Abstract:

The study of non-equilibrium systems has attracted increasing interest in recent years, mainly due to the lack of theoretical frameworks, unlike their equilibrium counterparts. Studying the steady state and/or simple systems is thus one of the main interests. Hence in this work we have focused our attention on the driven lattice gas model (DLG model) consisting of interacting particles subject to an external field E. The dynamics of the system are given by hopping of particles to nearby empty sites with rates biased for jumps in the direction of E. Having used small two dimensional systems of DLG model, the stochastic properties at nonequilibrium steady state were analytically studied. To understand the non-equilibrium phenomena, we have applied the analytic approach via master equation to calculate probability function and analyze violation of detailed balance in term of the fluctuation-dissipation theorem. Monte Carlo simulations have been performed to validate the analytic results.

Keywords: Non-equilibrium, lattice gas, stochastic process

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Authors: Edikan E. Akpanibah, Okwigbedi Oghen’Oro

Abstract:

In this paper, we studied the optimal portfolio selection in a defined contribution (DC) pension scheme with multiple contributors under constant elasticity of variance (CEV) model and the impact of stochastic additional voluntary contribution on the investment strategies. We assume that the voluntary contributions are stochastic and also consider investments in a risk free asset and a risky asset to increase the expected returns of the contributing members. We derived a stochastic differential equation which consists of the members’ monthly contributions and the invested fund and obtained an optimized problem with the help of Hamilton Jacobi Bellman equation. Furthermore, we find an explicit solution for the optimal investment strategy with stochastic voluntary contribution using power transformation and change of variables method and the corresponding optimal fund size was obtained. We discussed the impact of the voluntary contribution on the optimal investment strategy with numerical simulations and observed that the voluntary contribution reduces the optimal investment strategy of the risky asset.

Keywords: DC pension fund, Hamilton-Jacobi-Bellman, optimal investment strategies, power transformation method, stochastic, voluntary contribution.

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Authors: Igor Astrov, Andrus Pedai

Abstract:

This paper focuses on a critical component of the situational awareness (SA), the neural control of depth flight of an autonomous underwater vehicle (AUV). Constant depth flight is a challenging but important task for AUVs to achieve high level of autonomy under adverse conditions. With the SA strategy, we proposed a multirate neural control of an AUV trajectory for a nontrivial mid-small size AUV “r2D4" stochastic model. This control system has been demonstrated and evaluated by simulation of diving maneuvers using software package Simulink. From the simulation results it can be seen that the chosen AUV model is stable in the presence of noises, and also can be concluded that the proposed research technique will be useful for fast SA of similar AUV systems in real-time search-and-rescue operations.

Keywords: Autonomous underwater vehicles, multirate systems, neurocontrollers, situational awareness.

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Authors: Paola Lecca, Lorenzo Dematte

Abstract:

Reactiondiffusion systems are mathematical models that describe how the concentration of one or more substances distributed in space changes under the influence of local chemical reactions in which the substances are converted into each other, and diffusion which causes the substances to spread out in space. The classical representation of a reaction-diffusion system is given by semi-linear parabolic partial differential equations, whose general form is ÔêétX(x, t) = DΔX(x, t), where X(x, t) is the state vector, D is the matrix of the diffusion coefficients and Δ is the Laplace operator. If the solute move in an homogeneous system in thermal equilibrium, the diffusion coefficients are constants that do not depend on the local concentration of solvent and of solutes and on local temperature of the medium. In this paper a new stochastic reaction-diffusion model in which the diffusion coefficients are function of the local concentration, viscosity and frictional forces of solvent and solute is presented. Such a model provides a more realistic description of the molecular kinetics in non-homogenoeus and highly structured media as the intra- and inter-cellular spaces. The movement of a molecule A from a region i to a region j of the space is described as a first order reaction Ai k- → Aj , where the rate constant k depends on the diffusion coefficient. Representing the diffusional motion as a chemical reaction allows to assimilate a reaction-diffusion system to a pure reaction system and to simulate it with Gillespie-inspired stochastic simulation algorithms. The stochastic time evolution of the system is given by the occurrence of diffusion events and chemical reaction events. At each time step an event (reaction or diffusion) is selected from a probability distribution of waiting times determined by the specific speed of reaction and diffusion events. Redi is the software tool, developed to implement the model of reaction-diffusion kinetics and dynamics. It is a free software, that can be downloaded from http://www.cosbi.eu. To demonstrate the validity of the new reaction-diffusion model, the simulation results of the chaperone-assisted protein folding in cytoplasm obtained with Redi are reported. This case study is redrawing the attention of the scientific community due to current interests on protein aggregation as a potential cause for neurodegenerative diseases.

Keywords: Reaction-diffusion systems, Fick's law, stochastic simulation algorithm.

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Authors: Fang Shu, Li Lihua, Zhang Ping

Abstract:

A general stochastic spatial MIMO channel model is proposed for evaluating various MIMO techniques in this paper. It can generate MIMO channels complying with various MIMO configurations such as smart antenna, spatial diversity and spatial multiplexing. The modeling method produces the stochastic fading involving delay spread, Doppler spread, DOA (direction of arrival), AS (angle spread), PAS (power azimuth Spectrum) of the scatterers, antenna spacing and the wavelength. It can be applied in various MIMO technique researches flexibly with low computing complexity.

Keywords: MIMO channel, Spatial Correlation, DOA, AS, PAS.

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

Abstract:

A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic.

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Authors: Yen-Po Wang, Ming-Chih Huang, Ming-Lian Chang

Abstract:

A scheme integrated with deterministic–stochastic subspace system identification and the method of damage localization vector is proposed in this study for damage detection of structures based on seismic response data. A series of shaking table tests using a five-storey steel frame has been conducted in National Center for Research on Earthquake Engineering (NCREE), Taiwan. Damage condition is simulated by reducing the cross-sectional area of some of the columns at the bottom. Both single and combinations of multiple damage conditions at various locations have been considered. In the system identification analysis, either full or partial observation conditions have been taken into account. It has been shown that the damaged stories can be identified from global responses of the structure to earthquakes if sufficiently observed. In addition to detecting damage(s) with respect to the intact structure, identification of new or extended damages of the as-damaged (ill-conditioned) counterpart has also been studied. The proposed scheme proves to be effective.

Keywords: Damage locating vectors, deterministic-stochastic subspace system, shaking table tests, system identification.

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Authors: Zundong Zhang, Limin Jia, Xiaoliang Sun

Abstract:

The Beijing road traffic system, as a typical huge urban traffic system, provides a platform for analyzing the complex characteristics and the evolving mechanisms of urban traffic systems. Based on dynamic network theory, we construct the dynamic model of the Beijing road traffic system in which the dynamical properties are described completely. Furthermore, we come into the conclusion that urban traffic systems can be viewed as static networks, stochastic networks and complex networks at different system phases by analyzing the structural randomness. As well as, we demonstrate the evolving process of the Beijing road traffic network based on real traffic data, validate the stochastic characteristics and the scale-free property of the network at different phases

Keywords: Dynamic Network Models, Structural Randomness, Scale-free Property, Multi-mode character

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Authors: Alexander Y. Vaninsky

Abstract:

Environmental performance of the U.S. States is investigated for the period of 1990 – 2007 using Stochastic Frontier Analysis (SFA). The SFA accounts for both efficiency measure and stochastic noise affecting a frontier. The frontier is formed using indicators of GDP, energy consumption, population, and CO2 emissions. For comparability, all indicators are expressed as ratios to total. Statistical information of the Energy Information Agency of the United States is used. Obtained results reveal the bell - shaped dynamics of environmental efficiency scores. The average efficiency scores rise from 97.6% in 1990 to 99.6% in 1999, and then fall to 98.4% in 2007. The main factor is insufficient decrease in the rate of growth of CO2 emissions with regards to the growth of GDP, population and energy consumption. Data for 2008 following the research period allow for an assumption that the environmental performance of the U.S. States has improved in the last years.

Keywords: Stochastic frontier analysis, environmental performance, interstate comparisons.

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Authors: Jihad S. Daba, J. P. Dubois

Abstract:

Fading noise degrades the performance of cellular communication, most notably in femto- and pico-cells in 3G and 4G systems. When the wireless channel consists of a small number of scattering paths, the statistics of fading noise is not analytically tractable and poses a serious challenge to developing closed canonical forms that can be analysed and used in the design of efficient and optimal receivers. In this context, noise is multiplicative and is referred to as stochastically local fading. In many analytical investigation of multiplicative noise, the exponential or Gamma statistics are invoked. More recent advances by the author of this paper utilized a Poisson modulated-weighted generalized Laguerre polynomials with controlling parameters and uncorrelated noise assumptions. In this paper, we investigate the statistics of multidiversity stochastically local area fading channel when the channel consists of randomly distributed Rayleigh and Rician scattering centers with a coherent Nakagami-distributed line of sight component and an underlying doubly stochastic Poisson process driven by a lognormal intensity. These combined statistics form a unifying triply stochastic filtered marked Poisson point process model.

Keywords: Cellular communication, femto- and pico-cells, stochastically local area fading channel, triply stochastic filtered marked Poisson point process.

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Authors: Xianqing Liu, Shouming Zhong, Fuli Zhong, Zijian Liu

Abstract:

In this paper, a stochastic predator-prey system with Holling II functional response is studied. First, we show that there is a unique positive solution to the system for any given positive initial value. Then, stochastically bounded of the positive solution to the stochastic system is derived. Moreover, sufficient conditions for global asymptotic stability are also established. In the end, some simulation figures are carried out to support the analytical findings.

Keywords: stochastically bounded, global stability, Holling II functional response, white noise, Markovian switching.

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Authors: J. Levendovszky, I. Koncz, P. Boros

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The paper is concerned with developing stochastic delay mechanisms for efficient multicast protocols and for smooth mobile handover processes which are capable of preserving a given Quality of Service (QoS). In both applications the participating entities (receiver nodes or subscribers) sample a stochastic timer and generate load after a random delay. In this way, the load on the networking resources is evenly distributed which helps to maintain QoS communication. The optimal timer distributions have been sought in different p.d.f. families (e.g. exponential, power law and radial basis function) and the optimal parameter have been found in a recursive manner. Detailed simulations have demonstrated the improvement in performance both in the case of multicast and mobile handover applications.

Keywords: Multicast communication, stochactic delay mechanisms.

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Authors: Eugene Grichuk, Margarita Kuzmina, Eduard Manykin

Abstract:

A network of coupled stochastic oscillators is proposed for modeling of a cluster of entangled qubits that is exploited as a computation resource in one-way quantum computation schemes. A qubit model has been designed as a stochastic oscillator formed by a pair of coupled limit cycle oscillators with chaotically modulated limit cycle radii and frequencies. The qubit simulates the behavior of electric field of polarized light beam and adequately imitates the states of two-level quantum system. A cluster of entangled qubits can be associated with a beam of polarized light, light polarization degree being directly related to cluster entanglement degree. Oscillatory network, imitating qubit cluster, is designed, and system of equations for network dynamics has been written. The constructions of one-qubit gates are suggested. Changing of cluster entanglement degree caused by measurements can be exactly calculated.

Keywords: network of stochastic oscillators, one-way quantumcomputations, a beam of polarized light.

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Authors: B. Janani, S. Thiruvenkadam

Abstract:

In this work, the system evaluates the impact of considering a stochastic approach on the day ahead basis Unit Commitment. Comparisons between stochastic and deterministic Unit Commitment solutions are provided. The Unit Commitment model consists in the minimization of the total operation costs considering unit’s technical constraints like ramping rates, minimum up and down time. Load shedding and wind power spilling is acceptable, but at inflated operational costs. The evaluation process consists in the calculation of the optimal unit commitment and in verifying the fulfillment of the considered constraints. For the calculation of the optimal unit commitment, an algorithm based on the Benders Decomposition, namely on the Dual Dynamic Programming, was developed. Two approaches were considered on the construction of stochastic solutions. Data related to wind power outputs from two different operational days are considered on the analysis. Stochastic and deterministic solutions are compared based on the actual measured wind power output at the operational day. Through a technique capability of finding representative wind power scenarios and its probabilities, the system can analyze a more detailed process about the expected final operational cost.

Keywords: Benders’ decomposition, network constrained AC unit commitment, stochastic programming, wind power uncertainty.

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Authors: J. P. Dubois

Abstract:

Stochastic modeling of network traffic is an area of significant research activity for current and future broadband communication networks. Multimedia traffic is statistically characterized by a bursty variable bit rate (VBR) profile. In this paper, we develop an improved model for uniform activity level video sources in ATM using a doubly stochastic autoregressive model driven by an underlying spatial point process. We then examine a number of burstiness metrics such as the peak-to-average ratio (PAR), the temporal autocovariance function (ACF) and the traffic measurements histogram. We found that the former measure is most suitable for capturing the burstiness of single scene video traffic. In the last phase of this work, we analyse statistical multiplexing of several constant scene video sources. This proved, expectedly, to be advantageous with respect to reducing the burstiness of the traffic, as long as the sources are statistically independent. We observed that the burstiness was rapidly diminishing, with the largest gain occuring when only around 5 sources are multiplexed. The novel model used in this paper for characterizing uniform activity video was thus found to be an accurate model.

Keywords: AR, ATM, burstiness, doubly stochastic, statisticalmultiplexing.

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Authors: Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Hector G. Huizar

Abstract:

This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.

Keywords: Augmented Dickey Fuller Test, geophysical time series, maximum likelihood estimation, stochastic volatility model.

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