The SDPE method for stochastic dynamic parameter estimation and its application to epidemic modeling

ABSTRACTIn this paper, we consider a two-player stochastic differential game problem over an infinite time horizon where the players invoke controller and stopper strategies on a nonlinear stochastic differential game problem driven by Brownian motion. The optimal strategies for the two players are given explicitly by exploiting connections between stochastic Lyapunov stability theory and stochastic Hamilton–Jacobi–Isaacs theory. In particular, we show that asymptotic stability in probability of the differential game problem is guaranteed by means of a Lyapunov function which can clearly be seen to be the solution to the steady-state form of the stochastic Hamilton–Jacobi–Isaacs equation, and hence, guaranteeing both stochastic stability and optimality of the closed-loop control and stopper policies. In addition, we develop optimal feedback controller and stopper policies for affine nonlinear systems using an inverse optimality framework tailored to the stochastic differential game problem. These results are then used to provide extensions of the linear feedback controller and stopper policies obtained in the literature to nonlinear feedback controllers and stoppers that minimise and maximise general polynomial and multilinear performance criteria.

Contributors

This paper considers the principle-agent conflict problem in a continuous-time delegated asset management model when the investor and the fund manager are all risk-averse with risk sensitivity coefficients γ f and γ m , respectively. Suppose that the investor entrusts his money to the fund manager. The return of the investment is determined by the manager’s effort level and incentive strategy, but the benefit belongs to the investor. In order to encourage the manager to work hard, the investor will determine the manager’s salary according to the terminal income. This is a stochastic differential game problem, and the distribution of income between the manager and the investor is a key point to be solved in the custody model. The uncertain form of the incentive strategy implies that the problem is different from the classical stochastic optimal control problem. In this paper, we first express the investor’s incentive strategy in term of two auxiliary processes and turn this problem into a classical one. Then, we employ the dynamic programming principle to solve the problem.

An inverse analysis of a transient 2-D conduction–radiation problem using the lattice Boltzmann method and the finite volume method coupled with the genetic algorithm

The study is devoted to the problem of increasing the efficiency of water mains in the present circumstances of transition to the three-band electricity tariffs. We have devised a new class of optimal stochastic discrete-time control over complex dynamic objects that is distinguished by additional extreme and probabilistic constraints on the phase variables. The suggested mathematical formulation of the optimal stochastic control over the modes of the water main has probabilistic constraints on the phase variables. We have also proposed a new strategy for the optimal stochastic control over the modes of the water main. The strategy takes into account the specific features of the water main as an object of stochastic control that operates in a stochastic environment, which allowed devising an effective method to solve the problem. It is shown that transition from the classic deterministic tasks of control over the modes of water mains to stochastic problems ensures a much lower (up to 9 %) electricity cost.

The main purpose of this paper is to present some of our recent results about the second-order necessary conditions for stochastic optimal controls with the control variable entering into both the drift and the diffusion terms. In particular, when the control region is convex, a pointwise second-order necessary condition for stochastic singular optimal controls in the classical sense is established, whereas when the control region is allowed to be nonconvex, we obtain a pointwise second-order necessary condition for stochastic singular optimal controls in the sense of the Pontryagin-type maximum principle. Unlike deterministic optimal control problems or stochastic optimal control problems with control-independent diffusions, there exist some essential difficulties in deriving the pointwise second-order necessary optimality conditions from the integral conditions when the controls act in the diffusion terms of the stochastic control systems. Some techniques from Malliavin calculus are employed to overcome these difficulties. Moreover, it is found that, in contrast to the first-order necessary conditions, the correction part of the solution to the second-order adjoint equation appears in the pointwise second-order necessary conditions whenever the diffusion term depends on the control variable, even if the control region is convex.

Numerical Methods for Parameter Estimation in Dynamical Systems with Noise with Applications in Systems Biology

This paper discusses the Muskingum model as a novel parameter estimation method. Sixty representative floods over the past four decades serve as research objects; a linear Muskingum model and Pigeon-inspired optimization (PIO) algorithm are used to obtain the parameters of each flood. The proposed “in-process type” dynamic parameter estimation (IP-DPE) method is used to establish the characteristic attributes set of 50 floods. The characteristic attributes set refers to a set of parameters that could describe the shape, magnitude, and duration of the flood before flood peak; they are the input, whereas parameters K and x of each flood are the output to establish a Neural Network model. Then we input flood characteristic attributes to obtain flood parameters when estimating flood parameters practically. Ten floods were used to test the parameter estimation and flood routing efficacy. The results show that the IP-DPE method can quickly identify parameters and facilitate accurate river flood forecasting.

In the present work, we study discretisation schemes for continuous-time stochastic optimal control problems with time delay. The dynamics of the control problems to be approximated are described by controlled stochastic delay (or functional) differential equations. The value functions associated with such control problems are defined on an infinite-dimensional function space. The discretisation schemes studied are obtained by replacing the original control problem by a sequence of approximating discrete-time Markovian control problems with finite or finite-dimensional state space. Such a scheme is convergent if the value functions associated with the approximating control problems converge to the value function of the original problem. Following a general method for the discretisation of continuous-time control problems, sufficient conditions for the convergence of discretisation schemes for a class of stochastic optimal control problems with delay are derived. The general method itself is cast in a formal framework. A semi-discretisation scheme for a second class of stochastic optimal control problems with delay is proposed. Under standard assumptions, convergence of the scheme as well as uniform upper bounds on the discretisation error are obtained. The question of how to numerically solve the resulting discrete-time finite-dimensional control problems is also addressed.

This paper concerns a class of stochastic recursive zero-sum differential game problem with recursive utility related to a backward stochastic differential equation (BSDE) with double obstacles. A sufficient condition is provided to obtain the saddle-point strategy under some assumptions. In virtue of the corresponding relationship of doubly reflected BSDE and mixed game problem, a stochastic linear recursive mixed differential game problem is studied to apply our theoretical result, and here the explicit saddle-point strategy as well as the saddle-point stopping time for the mixed game problem are obtained. Besides, a numeral example is also given to demonstrate the result by virtue of partial differential equations (PDEs) computation method.

The ensemble Kalman filter method is applied to correct errors in five fundamental microphysical parameters that are closely involved in the definition of drop/particle size distributions of microphysical species in a commonly used single-moment ice microphysics scheme, for a model-simulated supercell storm, using radar data. The five parameters include the intercept parameters for rain, snow, and hail/graupel and the bulk densities of hail/graupel and snow. The ensemble square root Kalman filter (EnSRF) is employed for simultaneous state and parameter estimation. The five microphysical parameters are estimated individually or in different combinations starting from different initial guesses. A data selection procedure based on correlation information is introduced, which combined with variance inflation, effectively avoids the collapse of the spread of parameter ensemble, hence filter divergence. Parameter estimation results demonstrate, for the first time, that the ensemble-based method can be used to correct model errors in microphysical parameters through simultaneous state and parameter estimation, using radar reflectivity observations. When error exists in only one of the microphysical parameters, the parameter can be successfully estimated without exception. The estimation of multiple parameters is less reliable, mainly because the identifiability of the parameters becomes weaker and the problem might have no unique solution. The parameter estimation results are found to be very sensitive to the realization of the initial parameter ensemble, which is mainly related to the use of relatively small ensemble sizes. Increasing ensemble size generally improves the parameter estimation. The quality of parameter estimation also depends on the quality of observation data. It is also found that the results of state estimation are generally improved when simultaneous parameter estimation is performed, even when the estimated parameter values are not very accurate.

This paper presents an existence and uniqueness result for a kind of forward-backward stochastic differential equations (FBSDEs for short) driven by Brownian motion and Poisson process under some monotonicity conditions. By virtue of the conclusion of FBSDEs, we solve a linear-quadratic stochastic optimal control problem for forward-backward stochastic systems with random jumps. Moreover, we also solve a linear-quadratic nonzero-sum stochastic differential game problem. We obtain explicit forms of the unique optimal control and the unique Nash equilibrium point, respectively.

Stochastic bifurcation characteristics and optimal control of giant magnetostrictive film (GMF)-shape memory alloy (SMA) composite plate subjected to in-plane stochastic excitation were studied in this paper. Nonlinear difference item was introduced to interpret the hysteretic phenomena of both GMF and SMA, and then the nonlinear dynamic model of GMF-SMA composite plate subjected to in-plane stochastic excitation was developed. The stochastic stability of the system was analyzed, and the condition of stochastic Hopf bifurcation was discussed. The reliability function of the system was solved from backward Kolmogorov equation, and then the probability density of the first-passage time was obtained. Finally, the stochastic optimal control strategy was obtained in stochastic dynamic programming method. Numerical simulation shows that the stability of the trivial solution varies with bifurcation parameters, and stochastic Hopf bifurcation appears in the process; the reliability of the system is improved by stochastic optimal control, and the first-passage time is delayed. GMF-SMA composite plate combines the advantages of both GMF and SMA, and can reduce vibration through passive control and active control effectively. The results of this paper are helpful to application of GMF-SMA composite plate in engineering fields.

In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. It deduces the expression of the optimal control for the general delayed doubly stochastic control system which contained time delay both in the state variable and in the control variable at the same time and proves its uniqueness by using the classical parallelogram rule. The paper is concerned with the generalized matrix value Riccati equation for a special delayed doubly stochastic linear quadratic control system and aims to give the expression of optimal control and value function by the solution of the Riccati equation.

A physical approach to structural stochastic optimal controls