Stochastic Systems Research Articles

Optimization based data enrichment using stochastic dynamical system models

We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of variations to derive optimality conditions for continuous time functions. We make no prior assumptions on the form of the mapping from measurements to state-estimate or on the distributions of the noise terms, making the framework more general than Kalman filtering/smoothing where this mapping is assumed to be linear and the noises Gaussian. The optimal solution that arises is interpreted as a continuous time spline, the structure and temporal dependency of which is determined by the system dynamics and the distributions of the process and measurement noise. Similar to Kalman smoothing, the optimal spline yields increased data accuracy at instants when measurements are taken, in addition to providing continuous time estimates outside the measurement instances. We demonstrate the utility and generality of our approach via illustrative examples that render both linear and nonlinear data filters depending on the particular system. Application of the proposed approach to a Monte Carlo simulation exhibits significant performance improvement in comparison to a common existing method.

Application of Markov chains to forecasting tasks in sociocenose

Professional development is an important process that affects people's way of life. Supporting students at the moment of choosing a university, during the learning process, can help them make important career decisions and increase their employability. The paper proposes an approach to modeling the behavior of an applicant using Markov chains, and provides some interpretations. The Markov chain is widely used for modeling and analyzing stochastic systems in various fields of science and technology. The results of the study can be useful for the university administration, career consultants when planning career guidance activities.

How do people predict a random walk? Lessons for models of human cognition.

Repeated forecasts of changing values are common in many everyday tasks, from predicting the weather to financial markets. A particularly simple and informative instance of such fluctuating values are random walks: Sequences in which each point is a random movement from only its preceding value, unaffected by any previous points. Moreover, random walks often yield basic rational forecasting solutions in which predictions of new values should repeat the most recent value, and hence replicate the properties of the original series. In previous experiments, however, we have found that human forecasters do not adhere to this standard, showing systematic deviations from the properties of a random walk such as excessive volatility and extreme movements between subsequent predictions. We suggest that such deviations reflect general statistical signatures of cognition displayed across multiple tasks, offering a window into underlying mechanisms. Using these deviations as new criteria, we here explore several cognitive models of forecasting drawn from various approaches developed in the existing literature, including Bayesian, error-based learning, autoregressive, and sampling mechanisms. These models are contrasted with human data from two experiments to determine which best accounts for the particular statistical features displayed by participants. We find support for sampling models in both aggregate and individual fits, suggesting that these variations are attributable to the use of inherently stochastic prediction systems. We thus argue that variability in predictions is strongly influenced by computational noise within the decision making process, with less influence from "late" noise at the output stage. (PsycInfo Database Record (c) 2024 APA, all rights reserved).

Robust static output feedback stabilization of stochastic discrete-time systems using stochastic geometric dissipativity

This paper delves into the realm of geometrically mean square stable in probability (GMSSiP) for stochastic discrete-time systems (SDTS). To achieve this, we construct a stochastic geometric QSR-dissipativity (SG-QSR-D) inequalities and devise a linear static output feedback (SOF) controller. This framework is instrumental in establishing GMSSiP and asymptotical stability in probability. Additionally, we establish sufficient and necessity conditions for GMSSiP of the SDTS by using SG-QSR-D. Expanding on this foundation, a linear SOF controller is developed by establishing connections between GMSSiP and SG-QSR-D. Specifically, we demonstrate that the asymptotical stability in probability of the closed-loop linear time-invariant (LTI) SDTS is ensured through a linear matrix inequality (LMI) condition and a linear SOF controller. Two illustrative examples are given to show the effectiveness of the obtained results.

Deep neural networks-prescribed performance optimal control for stochastic nonlinear strict-feedback systems

This article explores the application of deep neural networks (DNNs) for optimized backstepping control design in a category of stochastic nonlinear strict-feedback systems with unknown dynamics, focusing on prescribed performance. DNNs, distinguished by their ability to handle high-complexity functions and enhance function approximation, are employed to estimate unknown nonlinear functions. The weight updating strategy for each layer of DNNs is determined through a Lyapunov function analysis. Tomitigate potential issues such as the tracking error exploding at uncertain moments, prescribed performance control (PPC) is introduced to constrain the tracking error within a predetermined range. Subsequently, a novel optimal tracking control scheme, integrating the backstepping method and Hamilton–Jacobi–Bellman (HJB) equation, is presented. The results indicate that all signals in the closed-loop system are bounded in probability, and the tracking error is maintained within a set of predefined arbitrarily small residuals. Simulation outcomes affirm the efficacy of the proposed control scheme.

Optimal quantized feedback control for linear quandratic Gaussian systems with input delay

AbstractThis paper is concerned with the optimal quantized feedback linear quadratic Gaussian (LQG) control problem for a discrete‐time stochastic system with input delay as well as the measurements to be quantized before transmitted to the controller. In this scenario, the system is presented with several choices of quantizers, along with the cost of using each quantizer. The objective is to jointly select the quantizers and synthesize the controller to maintain an optimal balance between control performance and quantization cost. It is shown that this problem can be decoupled into two optimization problems when the innovation signal is quantized instead of state: one for optimal controller synthesis and the other for optimal quantizer selection. More specifically, a necessary and sufficient condition is derived for the optimal control problem based on Pontryagin's maximum principle. On the other hand, the optimal quantizer selection policy is established by dealing with a certain Markov decision process (MDP).

Deterministic analysis of stochastic FHN systems based on Gaussian decoupling

This paper systematically explores the deterministic characteristics of FitzHugh-Nagumo (FHN) systems’ response to synaptic noise in statistical sense. With the help of Gauss decoupling approximation, two substitute systems of FHN systems’ response to synaptic noise are established by ignoring the cumulants higher than the second order, and the feasibilities of using the substitute systems for response analysis are demonstrated through error analysis. Then, the deterministic analyses of FHN systems with synaptic noise are carried out by means of the two substitute systems. Numerical results show that whether it is the neuronal system or the network system, the synaptic noise can effectively regulate its dynamics, and induce the mode transitions of discharge activity. Based on the class II excitability of FHN neurons, the system activity has a nonlinear dependence on the noise parameter and the other variables of interest. Particularly, the synaptic noise not only makes the neuronal system transition from low-level to high-level narrow-amplitude oscillation by competing with the input signal, but also contributes to the response or detection of this system to weak input signals. This study reveals the deterministic characteristics of FHN systems with synaptic noise, which can provide a reference for the large-scale analysis.

Polynomial chaos expansions on principal geodesic Grassmannian submanifolds for surrogate modeling and uncertainty quantification

In this work we introduce a manifold learning-based surrogate modeling framework for uncertainty quantification in high-dimensional stochastic systems. Our first goal is to perform data mining on the available simulation data to identify a set of low-dimensional (latent) descriptors that efficiently parameterize the response of the high-dimensional computational model. To this end, we employ Principal Geodesic Analysis on the Grassmann manifold of the response to identify a set of disjoint principal geodesic submanifolds, of possibly different dimension, that captures the variation in the data. Since operations on the Grassmann require the data to be concentrated, we propose an adaptive algorithm based on Riemannian K-means and the minimization of the sample Fréchet variance on the Grassmann manifold to identify “local” principal geodesic submanifolds that represent different system behavior across the parameter space. Polynomial chaos expansion is then used to construct a mapping between the random input parameters and the projection of the response on these local principal geodesic submanifolds. The method is demonstrated on four test cases, a toy-example that involves points on a hypersphere, a Lotka-Volterra dynamical system, a continuous-flow stirred-tank chemical reactor system, and a two-dimensional Rayleigh-Bénard convection problem.

Optimal Control of Underdamped Systems: An Analytic Approach

Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an open and challenging research frontier, with a spectrum of applications ranging from stochastic thermodynamics to biophysics and data science. Among these, the design of nanoscale electronic components motivates the study of underdamped dynamics, leading to practical and conceptual difficulties. In this work, we develop analytic techniques to determine protocols steering finite time transitions at a minimum thermodynamic cost for stochastic underdamped dynamics. As cost functions, we consider two paradigmatic thermodynamic indicators. The first is the Kullback–Leibler divergence between the probability measure of the controlled process and that of a reference process. The corresponding optimization problem is the underdamped version of the Schrödinger diffusion problem that has been widely studied in the overdamped regime. The second is the mean entropy production during the transition, corresponding to the second law of modern stochastic thermodynamics. For transitions between Gaussian states, we show that optimal protocols satisfy a Lyapunov equation, a central tool in stability analysis of dynamical systems. For transitions between states described by general Maxwell-Boltzmann distributions, we introduce an infinite-dimensional version of the Poincaré-Lindstedt multiscale perturbation theory around the overdamped limit. This technique fundamentally improves the standard multiscale expansion. Indeed, it enables the explicit computation of momentum cumulants, whose variation in time is a distinctive trait of underdamped dynamics and is directly accessible to experimental observation. Our results allow us to numerically study cost asymmetries in expansion and compression processes and make predictions for inertial corrections to optimal protocols in the Landauer erasure problem at the nanoscale.

Vibration suppression in SDOF systems coupled to a nonlinear energy sink under colored noise

This study analyzes the stochastic vibration suppression and optimization of the single-degree-of-freedom (SDOF) system equipped with the cubic stiffness nonlinear energy sink (NES) under colored noise excitation. Two theoretical methods are proposed: an integrated method (denoted as EL-ELM) that combines evolutionary Lyapunov theory with the equivalent linearization method, and the other is an empirical formula. Using EL-ELM, the coupled nonlinear system is simplified to an equivalent linear stochastic system, allowing for a theoretical analysis of the impact of NES structural parameters on suppression performance and the precise determination of optimal parameter configurations for the best suppression effects. Subsequently, based on the results from the EL-ELM and the response data, an empirical formula has been developed that clearly describes the comprehensive laws governing the optimal NES parameters as they vary with vibration system parameters and stochastic excitation. Through error analysis and comparison of the two methods, it is found that the empirical formula significantly outperforms EL-ELM in terms of accuracy and computational cost, but it is contingent on solid prior knowledge. This study explores the influence of NES structural parameters on the system’s dynamic response and energy, further validating the effectiveness of the proposed methods in identifying optimal structural parameters. The phenomenon of targeted energy transfer (TET) under different NES structural parameters is also explained. The methodologies introduced in this study have strengthened the theory of vibration suppression. Specifically, the empirical formula excels in accuracy and computational efficiency by effectively using prior knowledge. The EL-ELM method, owing to its theoretical insights, is vital for analyzing complex stochastic nonlinear models. Combining these approaches offers guidance for advancing vibration control in theoretical and practical domains.

Existence of solutions and approximate controllability of second-order stochastic differential systems with Poisson jumps and finite delay

Existence of solutions and approximate controllability of second-order stochastic differential systems with Poisson jumps and finite delay

Equivalent conditions of null controllability for controlled stochastic relaxed system

ABSTRACT This paper focuses on the investigation of null controllability in the context of stochastic controlled relaxed systems with one control, aiming to establish several equivalent conditions for this property. More precisely, by the classical duality analysis, we present the equivalence between an observability inequality for the backward stochastic system associated with the relaxed system and null controllability. Furthermore, we characterize the null controllability through a minimal norm control problem, employing a constructed quadratic functional and leveraging a variational characterization of its minimizer. Finally, we provide an application of our findings and extend the analysis to relaxed systems with two controls.

The impacts of stockout cost on a stochastic production-inventory system in minimizing total cost conditional value-at-risk

The impacts of stockout cost on a stochastic production-inventory system in minimizing total cost conditional value-at-risk

Stochastic properties of varentropy based on residual lifetime

The objective in the study of reliability and survival theory is to have precision in the extracted information. The measure of dispersion in the information content has been newly introduced in the information theory, known as varentropy. Studying the variability in the uncertainty measure is found productive for stochastic systems conditional on survival. In this paper, we provide a novel stochastic order based on the notion of residual varentropy and study its properties. Further on the basis of the residual varentropy, novel classes of life distributions are identified and investigated in detail. Moreover, some applications of the proposed order are produced at the end.

Pth moment asymptotic stability for stochastic complex networked control systems with Lévy noise

Pth moment asymptotic stability for stochastic complex networked control systems with Lévy noise

Adaptive Fuzzy Tracking Control and Its Application in Stochastic Biological Systems

Adaptive Fuzzy Tracking Control and Its Application in Stochastic Biological Systems

AEEFCSR: an adaptive ensemble empirical feed-forward cascade stochastic resonance system for weak signal detection

Abstract A novel adaptive ensemble empirical feed-forward cascade stochastic resonance (AEEFCSR) method is proposed in this study for the challenges of detecting target signals from intense background noise. At first, we create an unsaturated piecewise self-adaptive variable-stable potential function to overcome the limitations of traditional potential functions. Subsequently, based on the foundation of a feed-forward cascaded stochastic resonance method, a novel weighted function and system architecture is created, which effectively addresses the issue of low-frequency noise enrichment through ensemble empirical mode decomposition. Lastly, inspired by the spider wasp algorithm and nutcracker optimization algorithm, the spider wasp nutcracker optimization algorithm is proposed to optimize the system parameters and overcome the problem of relying on manual experience. In this paper, to evaluate its performance, the output signal-to-noise ratio (SNR), spectral sub-peak difference, and time-domain recovery capability are used as evaluation metrics. The AEEFCSR method is demonstrated through theoretical analysis. To further illustrate the performance of the AEEFCSR method, Validate the adoption of multiple engineering datasets. The results show that compared with the compared algorithms, the output SNR of the AEEFCSR method is at least 6.2801 dB higher, the spectral subpeak difference is more than 0.25 higher, and the time-domain recovery effect is more excellent. In summary, the AEEFCSR method has great potential for weak signal detection in complex environments.

Workflow Trace Profiling and Execution Time Analysis in Quantitative Verification

Workflows orchestrate a collection of computing tasks to form a complex workflow logic. Different from the traditional monolithic workflow management systems, modern workflow systems often manifest high throughput, concurrency and scalability. As service-based systems, execution time monitoring is an important part of maintaining the performance for those systems. We developed a trace profiling approach that leverages quantitative verification (also known as probabilistic model checking) to analyse complex time metrics for workflow traces. The strength of probabilistic model checking lies in the ability of expressing various temporal properties for a stochastic system model and performing automated quantitative verification. We employ semi-Makrov chains (SMCs) as the formal model and consider the first passage times (FPT) measures in the SMCs. Our approach maintains simple mergeable data summaries of the workflow executions and computes the moment parameters for FPT efficiently. We describe an application of our approach to AWS Step Functions, a notable workflow web service. An empirical evaluation shows that our approach is efficient for computer high-order FPT moments for sizeable workflows in practice. It can compute up to the fourth moment for a large workflow model with 10,000 states within 70 s.

Optimized Backstepping Cooperative Control for Output-Constrained Stochastic Nonlinear Network Systems via a Multibridge-Hole Function.

In this article, a new leader-following tracking control approach is investigated for stochastic multiagent systems with multibridge-hole output constraints. The multibridge-hole output constraints mean that the output of the system is constrained in some intervals and unconstrained in other intervals. The constrained and unconstrained intervals can be set arbitrarily. By designing a new shift function to construct the barrier Lyapunov function, the optimal controller is constructed by combining the backstepping technique with the adaptive dynamic programming technique. The model network is used to estimate the unknown disturbances and uncertainty terms in the system. The critic network and the actor network are constructed such that the designed controller adheres to the Bellman optimality principle and gives the optimal solution of the system. The proposed control method is versatile and compatible with various types of output constrained control problems, such as unconstrained control problems, constrained control problems, and delay constrained problems without changing the structure of the controller. Finally, some simulation results are given to verify the effectiveness of the method.

Preassigned Time Adaptive Neural Tracking Control for Stochastic Nonlinear Multiagent Systems With Deferred Constraints.

This article studies a preassigned time adaptive tracking control problem for stochastic multiagent systems (MASs) with deferred full state constraints and deferred prescribed performance. A modified nonlinear mapping is designed, which incorporates a class of shift functions, to eliminate the constraints on the initial value conditions. By virtue of this nonlinear mapping, the feasibility conditions of the full state constraints for stochastic MASs can also be circumvented. In addition, the Lyapunov function codesigned by the shift function and the fixed-time prescribed performance function is constructed. The unknown nonlinear terms of the converted systems are handled based on the approximation property of the neural networks. Furthermore, a preassigned time adaptive tracking controller is established, which can achieve deferred prescribed performance for stochastic MASs that provide only local information. Finally, a numerical example is given to demonstrate the effectiveness of the proposed scheme.