Related papers: A Method to Calculate the Exit Time in Stochastic …
This paper examines Bayesian belief network inference using simulation as a method for computing the posterior probabilities of network variables. Specifically, it examines the use of a method described by Henrion, called logic sampling,…
Rare trajectories of stochastic systems are important to understand -- because of their potential impact. However, their properties are by definition difficult to sample directly. Population dynamics provides a numerical tool allowing their…
We present a numerical method for learning unknown nonautonomous stochastic dynamical system, i.e., stochastic system subject to time dependent excitation or control signals. Our basic assumption is that the governing equations for the…
A method of calculating probability values from a system of marginal constraints is presented. Previous systems for finding the probability of a single attribute have either made an independence assumption concerning the evidence or have…
We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision variable itself. Such problems abound in the machine…
We introduce the exit time finite state projection (ETFSP) scheme, a truncation-based method that yields approximations to the exit distribution and occupation measure associated with the time of exit from a domain (i.e., the time of first…
In an experimental study of single enzyme reactions, it has been proposed that the rate constants of the enzymatic reactions fluctuate randomly, according to a given distribution. To quantify the uncertainty arising from random rate…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
We present a method for incorporating a stochastic point of view into physics exercises of mathematics education. The core of our method is the randomization of some inputs, the system model used does not differ from what we would use in…
We present a numerical method to simulate the time evolution, according to a Hamiltonian made of local interactions, of quantum spin chains and systems alike. The efficiency of the scheme depends on the amount of the entanglement involved…
Stochastic approximation algorithm is a useful technique which has been exploited successfully in probability theory and statistics for a long time. The step sizes used in stochastic approximation are generally taken to be deterministic and…
We present a comprehensive investigation of $\epsilon$-entropy, $h(\epsilon)$, in dynamical systems, stochastic processes and turbulence. Particular emphasis is devoted on a recently proposed approach to the calculation of the…
We address the problem of estimating steady-state quantities associated to systems of stochastic chemical kinetics. In most cases of interest these systems are analytically intractable, and one has to resort to computational methods to…
We analyse the efficiency of several simulation methods which we have recently proposed for calculating rate constants for rare events in stochastic dynamical systems, in or out of equilibrium. We derive analytical expressions for the…
This paper works on one of the most recent pedestrian crowd evacuation models, i.e., "a simulation model for pedestrian crowd evacuation based on various AI techniques", developed in late 2019. This study adds a new feature to the developed…
A numerical model based on the finite-difference time-domain method is developed to simulate fluctuations which accompany the dephasing of atomic polarization and the decay of excited state's population. This model is based on the…
In this paper, we propose a stochastic scheduling strategy for estimating the states of N discrete-time linear time invariant (DTLTI) dynamic systems, where only one system can be observed by the sensor at each time instant due to practical…
We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
Stochastic network calculus is a newly developed theory for stochastic service guarantee analysis of computer networks. In the current stochastic network calculus literature, its fundamental models are based on the cumulative amount of…