Discrete Space Markov Chain Research Articles

A stochastic model for intracellular active transport

We develop a stochastic model for an intracellular active transport problem. Our aims are to calculate the probability that a molecular motor reaches a hidden target, to study what influences this probability and to calculate the time required for the molecular motor to hit the target (Mean First Passage Time). We study different biologically relevant scenarios, which include the possibility of multiple hidden targets (which breed competition) and the presence of obstacles. The purpose of including obstacles is to illustrate actual disruptions of the intracellular transport (which can result, for example, in several neurological disorders. From a mathematical point of view, the intracellular active transport is modelled by two independent continuous-time, discrete space Markov chains: one for the dynamics of the molecular motor in the space intervals and one for the domain of target. The process is time homogeneous and independent of the position of the molecular motor.

A stochastic model for active transport

We develop a stochastic model for an intracellular active transport problem. Our aims are to calculate the probability that a molecular motor reaches a hidden target, to study what influences this probability and to calculate the time required for the molecular motor to hit the target (mean first passage time). We study different biologically relevant scenarios, which include the possibility of multiple hidden targets (which breed competition) and the presence of obstacles. The purpose of including obstacles is to illustrate actual disruptions of the intracellular transport (which can result, for example, in several neurological disorders. From a mathematical point of view, the intracellular active transport is modelled by two independent continuous-time, discrete space Markov chains: one for the dynamics of the molecular motor in the space intervals and one for the domain of target. The process is time homogeneous and independent of the position of the molecular motor.

Complexity of Multilevel Monte Carlo Tau-Leaping

Tau-leaping is a popular discretization method for generating approximate paths of continuous time, discrete space Markov chains, notably for biochemical reaction systems. To compute expected values in this context, an appropriate multilevel Monte Carlo form of tau-leaping has been shown to improve efficiency dramatically. In this work we derive new analytic results concerning the computational complexity of multilevel Monte Carlo tau-leaping that are significantly sharper than previous ones. We avoid taking asymptotic limits and focus on a practical setting where the system size is large enough for many events to take place along a path, so that exact simulation of paths is expensive, making tau-leaping an attractive option. We use a general scaling of the system components that allows for the reaction rate constants and the abundances of species to vary over several orders of magnitude, and we exploit the random time change representation developed by Kurtz. The key feature of the analysis that allows for the sharper bounds is that when comparing relevant pairs of processes we analyze the variance of their difference directly rather than bounding via the second moment. Use of the second moment is natural in the setting of a diffusion equation, where multilevel Monte Carlo was first developed and where strong convergence results for numerical methods are readily available, but is not optimal for the Poisson-driven jump systems that we consider here. We also present computational results that illustrate the new analysis.

Modelling of unexpected shift in SPC

Optimal statistical process control (SPC) requires models of both in-control and out-of-control process states. Whereas a normal distribution is the generally accepted model for the in-control state, there is a doubt as to the existence of reliable models for out-of-control cases. Various process models, available in the literature, for discrete manufacturing systems (parts industry) can be treated as bounded discrete-space Markov chains, completely characterized by the original in-control state and a transition matrix for shifts to an out-of-control state. The present work extends these models by using a continuous-state Markov chain, incorporating non-random corrective actions. These actions are to be realized according to the SPC technique and should substantially affect the model. The developed stochastic model yields a Laplace distribution of a process mean. An alternative approach, based on the Information theory, also results in a Laplace distribution. Real-data tests confirm the applicability of a Laplace distribution for the parts industry and show that the distribution parameter is mainly controlled by the SPC sample size.

Adjoint sensitivity analysis procedure of markov chains with application on reliability of IFMIF accelerator-system facilities

The Markov chain technique and its mathematical model have been demonstrated over years to be a powerful tool to analyze the evolution and performance of physical systems. The degree level of abstraction for the physical system, the statistical data used in the mathematical model, the numerical approximations used to solve the equations, are only some sources of uncertainties in reliability results. By applying the sensitivity analysis, the influence of uncertainty data in system components to the overall behavior of the system reliability can be analyzed and the weak points in the model can be identified. Using the sensitivity results the confidence level of reliability results is obtained. Thus, new improvements or redesigning of the physical system can be performed. This work presents the implementation of the Adjoint Sensitivity Analysis Procedure (ASAP) for the Continuous Time, Discrete Space Markov chains (CTMC), as an alternative to the other computational expensive methods. In order to develop this procedure as an end product in reliability studies, the reliability of the physical systems is analyzed using a coupled Fault-Tree - Markov chain technique, i.e. the abstraction of the physical system is performed using as the high level interface the Fault-Tree and afterwards this one is automatically converted into a Markov chain. The resulting differential equations based on the Markov chain model are solved in order to evaluate the system reliability. Further sensitivity analyses using ASAP applied to CTMC equations are performed to study the influence of uncertainties in input data to the reliability measures and to get the confidence in the final reliability results. The methods to generate the Markov chain and the ASAP for the Markov chain equations have been implemented into the new computer code system QUEFT/MARKOMAGS/MCADJSEN for reliability and sensitivity analysis of physical systems. The validation of this code system has been carried out by using simple problems for which analytical solutions can be obtained. Typical sensitivity results show that the numerical solution using ASAP is robust, stable and accurate. The method and the code system developed during this work can be used further as an efficient and flexible tool to evaluate the sensitivities of reliability measures for any physical system analyzed using the Markov chain. Reliability and sensitivity analyses using these methods have been performed during this work for the IFMIF Accelerator System Facilities. The reliability studies using Markov chain have been concentrated around the availability of the main subsystems of this complex physical system for a typical mission time. The sensitivity studies for two typical responses using ASAP have been performed. The results given by ASAP with those obtained using the classical methods have been compared, showing a good agreement but with the advantage of computational time in the case of ASAP.

Continuous Markovian Model for Unexpected Shift in SPC

Various process models for discrete manufacturing systems (parts industry) can be treated as bounded discrete-space Markov chains, completely characterized by the original in-control state and a transition matrix for shifts to an out-of-control state. The present work extends these models by using a continuous-state Markov chain, incorporating non-random corrective actions. These actions are to be realized according to the statistical process control (SPC) technique and should substantially affect the model. The developed stochastic model yields Laplace distribution of a process mean. Real-data tests confirm its applicability for the parts industry and show that the distribution parameter is mainly controlled by the SPC sample size.