Transition Probability Density Function Research Articles

An extrapolation approach within the Wiener path integral technique for efficient stochastic response determination of nonlinear systems

An extrapolation approach within the Wiener path integral (WPI) technique is developed for determining the stochastic response of diverse nonlinear dynamical systems. Specifically, the WPI technique treats the system response joint transition probability density function (PDF) as a functional integral over the space of all possible paths connecting the initial and the final states of the response vector. Further, the functional integral is evaluated, ordinarily, by considering the contribution only of the most probable path. This corresponds to an extremum of the functional integrand, and is determined by solving a functional minimization problem that takes the form of a deterministic boundary value problem (BVP). This BVP corresponds to a specific grid point of the response PDF domain. Remarkably, the BVPs corresponding to two neighboring grid points not only share the same equations, but also the boundary conditions differ only slightly. This unique aspect of the technique is exploited herein. Specifically, it is shown that solution of a BVP and determination of the response PDF value at a specific grid point can be used for extrapolating and estimating efficiently the PDF values at neighboring points without the need for considering additional BVPs. Notably, the herein developed approach enhances significantly the computational efficiency of the WPI technique without, practically, affecting the associated degree of accuracy. Two numerical examples relating to a Duffing nonlinear oscillator subjected to combined stochastic and deterministic periodic loading, and to an oscillator with asymmetric nonlinearities and fractional derivative elements are considered to demonstrate the reliability of the extrapolation approach. Juxtapositions with pertinent Monte Carlo simulation data are included as well.

A neural-driven stochastic degradation model for state-of-health estimation of lithium-ion battery

Due to usage for a long time, lithium-ion battery degradation issues may endanger security operations for service equipment. As batteries usually operate under uncertain usage profiles and experience random aging processes, accurately estimating the battery state of health (SOH) can be challenging. Most existing SOH estimation methods are either empirical knowledge-based with complicated parameters or serve as a black box neural network-based without stochastic nature. To address this limitation, a neural-driven stochastic degradation model for battery health estimation is proposed to ensure the security and reliability of the operation. Firstly, the parameters of a stochastic process are estimated by martingale methodology to describe battery degradation characteristics. Then the optimized sequence-to-sequence (Seq2Seq) neural network is utilized to develop a mapping model in order to update drift coefficient online. Concurrently, the martingale estimating function is used to obtain the diffusion coefficient function. Finally, the transition probability density function of SOH estimation is derived. Comparative experiments are carried out on different battery datasets to show the effectiveness of the proposed model against traditional Wiener process-based models and existing methods in SOH estimation. The model proposed provides an effective solution for battery SOH estimation of energy storage equipment.

Formula omitted] control of singularly perturbed systems using deficient hidden semi-Markov model

This paper deals with the H∞ control of a class of stochastic multi-timescale systems, called Markov jump singularly perturbed systems. The hidden semi-Markov model is introduced to handle the situation when system modes are unavailable in semi-Markov systems. Such a model is assumed deficient, that is, it lacks knowledge about the emission probability, transition probability, and probability density function of the sojourn time. It is a more general case compared with works conducted with perfect transition information. Depending on whether a fast or slow sampling rate is used, the resulting discrete-time singularly perturbed system is modeled differently, for both of which the controller design is conducted. Furthermore, criteria expressed in terms of linear matrix inequalities (LMIs) are developed that guarantee the δ-error mean-square stability. An approach to estimate the upper bound on δ-error with incomplete information is provided, meanwhile, the relationship between system performance and the upper of singular perturbation parameter is also presented. Finally, two simulation examples using real-world systems are provided to corroborate the validity as well as the practical merits of the results.

On the existence, uniqueness and calculation of Wiener path integral most probable paths for determining the stochastic response of nonlinear dynamical systems

Various techniques are developed for addressing the existence, uniqueness and numerical calculation of Wiener path integral (WPI) most probable path solutions. Specifically, the WPI technique for determining the stochastic response of diverse nonlinear dynamical systems treats the system response joint transition probability density function as a functional integral over the space of all possible paths connecting the initial and the final states of the response vector. This functional integral is evaluated, ordinarily, by resorting to an approximate approach that considers the contribution only of the most probable path. The most probable path corresponds to an extremum of the functional integrand and is determined by solving a functional minimization problem that takes the form of a deterministic boundary value problem (BVP).In this paper, first, it is shown that for the commonly considered case of the system nonlinearity being of polynomial form, there exist globally optimal solutions corresponding to the most probable path BVP. Further, relying on algebraic geometry concepts and tools, a condition is derived for determining if the BVP for the most probable path exhibits a unique solution over a specific region. Furthermore, a novel solution approach is developed for the BVP by relying on Sylvester’s dialytic method of elimination. Notably, the method reduces the complexity of the BVP system of coupled multivariate polynomial equations by eliminating one or more variables. Various numerical examples pertaining to diverse nonlinear oscillators are included for demonstrating the capabilities of the developed techniques.

A new path integration method for the stochastic system under Poisson white noise excitation based on a probability mapping

In this paper, a new path integration method is proposed for stochastic dynamical systems excited by Poisson white noise. An efficient one-step transition probability density function (TPDF) matrix is constructed based on a decoupling probability mapping. The new method can handle the case of multiple impulses occurring in a one-step transition time interval and considers the randomness of the impulse instant, which compensates for a drawback of previous path integration methods. The probability mapping realizes the decoupling of randomness and the one-step TPDF matrix, which can be extended to general stochastic systems satisfying the Markov property. The stochastic responses of two dynamical systems excited by Poisson white noises for different mean arrival rates are obtained by using the new path integration method, and MC simulations prove that the new method is very effective, and it maintains good accuracy even for large mean arrival rates.

A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data

This article introduces a new stochastic diffusion process based on the theory of diffusion processes whose mean function is proportional to the log-logistic growth curve. The main characteristics of the process are analyzed, including the transition probability density function, the mean functions and in particular, the auto-correlation function between two times of the process. The parameters of the process are estimated by maximum likelihood method using discrete sampling. The simulated annealing algorithm is applied after bounding the parametric space by a strategy procedure to solve the likelihood equations. The behavior of the diffusion process here derived is finally applied to study an example for the growth data of a microorganism culture.

Path integration method based on a decoupling probability mapping for fast solving the stochastic response of dynamical systems

An efficient path integration method is proposed for obtaining the stochastic response of dynamical systems. This method benefits from a new short-time transition probability density function (TPDF) matrix. First, a decoupling probability mapping is revealed, which achieves the decoupling of the short-time TPDF from stochastic processes that the system suffers. Then, the short-time transition paths carrying known probabilities can be determined by solving the probability mapping. Thus, the new TPDF matrix can be obtained simply and efficiently. The transient and steady responses of two 4-dimensional systems for different noise parameters and system parameters are explored by using the efficient path integration method. The results confirm that our method requires a cheap time cost to achieve good results that fit well with the Monte Carlo simulations.

Modeling orientation perception adaptation to altered gravity environments with memory of past sensorimotor states.

Transitioning between gravitational environments results in a central reinterpretation of sensory information, producing an adapted sensorimotor state suitable for motor actions and perceptions in the new environment. Critically, this central adaptation is not instantaneous, and complete adaptation may require weeks of prolonged exposure to novel environments. To mitigate risks associated with the lagging time course of adaptation (e.g., spatial orientation misperceptions, alterations in locomotor and postural control, and motion sickness), it is critical that we better understand sensorimotor states during adaptation. Recently, efforts have emerged to model human perception of orientation and self-motion during sensorimotor adaptation to new gravity stimuli. While these nascent computational frameworks are well suited for modeling exposure to novel gravitational stimuli, they have yet to distinguish how the central nervous system (CNS) reinterprets sensory information from familiar environmental stimuli (i.e., readaptation). Here, we present a theoretical framework and resulting computational model of vestibular adaptation to gravity transitions which captures the role of implicit memory. This advancement enables faster readaptation to familiar gravitational stimuli, which has been observed in repeat flyers, by considering vestibular signals dependent on the new gravity environment, through Bayesian inference. The evolution and weighting of hypotheses considered by the CNS is modeled via a Rao-Blackwellized particle filter algorithm. Sensorimotor adaptation learning is facilitated by retaining a memory of past harmonious states, represented by a conditional state transition probability density function, which allows the model to consider previously experienced gravity levels (while also dynamically learning new states) when formulating new alternative hypotheses of gravity. In order to demonstrate our theoretical framework and motivate future experiments, we perform a variety of simulations. These simulations demonstrate the effectiveness of this model and its potential to advance our understanding of transitory states during which central reinterpretation occurs, ultimately mitigating the risks associated with the lagging time course of adaptation to gravitational environments.

Variational adaptive Kalman filter for unknown measurement loss and inaccurate noise statistics

Considering a common situation that the measurements are obtained from independent sensors and the accurate noise statistics are not available, we propose a novel variational adaptive Kalman filter (KF), which can selectively treat measurement loss and adaptively estimate inaccurate state and measurement noise covariance matrices. Firstly, a multiple inverse-Wishart mixture (MIWM) distribution is utilized to modeled state transition probability density function (PDF), which reduces the dependence on the pre-selected nominal state noise covariance matrix (SNCM). Then, a modified measurement model is constructed and a new measurement likelihood PDF is provided, where the measurement losses from different sensors are considered independently and the measurement noise covariance matrix (MNCM) is modeled as an inverse Gamma distribution. Finally, based on the modified state transition and measurement likelihood PDFs, a novel variational adaptive KF is derived by variational Bayesian method, and the feasibility and superiority of the filter are demonstrated by the numerical simulation.

Survival probability determination of nonlinear oscillators subject to combined deterministic periodic and non-stationary stochastic loads

This paper presents a technique based on Wiener path integrals (WPI) for computing the survival probability of nonlinear oscillators under combined nonstationary stochastic and periodic excitation. Specifically, the equation of motion is equivalently decomposed into a correlated combination of a nonlinear stochastic differential equation (SDE) and a nonlinear deterministic differential equation. The nonstationary response probability density function (PDF) of the stochastic component is obtained using the Wiener path integral concept in conjunction with stochastic averaging/linearization. The approach involves utilizing stochastic averaging/linearization techniques to transform the nonlinear SDE into a linear one with varying equivalent stiffness and damping. Afterwards, using the WPI method and the concept of the most probable path, a closed-form approximate analytical expression of the joint transition probability density function (PDF) is obtained for small intervals corresponding to the equivalent linear SDE. Additionally, the survival probability of the original nonlinear oscillator subject to combined excitation with fixed barriers can be approximated equivalently by using the survival probability with time-varying barriers of the equivalent linear system with time-varying stiffness and damping subject only to the nonstationary stochastic excitation. Finally, by using the analytical expression of the transition PDF of the equivalent linear system and a discrete version of the Chapman–Kolmogorov (C–K) equation, it is possible to determine the response and survival probability of the original oscillator under combined excitation step by step. Examples involving a Duffing oscillator and a vibro-impact oscillator are analyzed to showcase the precision and efficacy of the suggested technique in contrast to relevant Monte Carlo simulations.

Inferring Ocean Transport Statistics With Probabilistic Neural Networks

AbstractUsing a probabilistic neural network and Lagrangian observations from the Global Drifter Program, we model the single particle transition probability density function (pdf) of ocean surface drifters. The transition pdf is represented by a Gaussian mixture whose parameters (weights, means, and covariances) are continuous functions of latitude and longitude determined to maximize the likelihood of observed drifter trajectories. This provides a comprehensive description of drifter dynamics allowing for the simulation of drifter trajectories and the estimation of a wealth of dynamical statistics without the need to revisit the raw data. As examples, we compute global estimates of mean displacements over 4 days and lateral diffusivity. We use a probabilistic scoring rule to compare our model to commonly used transition matrix models. Our model outperforms others globally and in three specific regions. A drifter release experiment simulated using our model shows the emergence of concentrated clusters in the subtropical gyres, in agreement with previous studies on the formation of garbage patches. An advantage of the neural network model is that it provides a continuous‐in‐space representation and avoids the need to discretize space, overcoming the challenges of dealing with nonuniform data. Our approach, which embraces data‐driven probabilistic modeling, is applicable to many other problems in fluid dynamics and oceanography.

Probability bounds for reflecting diffusion processes

A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities for a class of reflecting diffusion processes is obtained in this paper. The approach is based on a representation for the transition probability density functions. The optimal transition probabilities under the constraint that the drift vector field is bounded are studied in terms of the HJB equation. We demonstrate by simulations that, even in one dimension, by considering the nodal set of the solutions to the HJB equation, the optimal diffusion processes exhibit an interesting feature of phase transitions.

Survival strategies of artificial active agents

Artificial cells can be engineered to display dynamics sharing remarkable features in common with the survival behavior of living organisms. In particular, such active systems can respond to stimuli provided by the environment and undertake specific displacements to remain out of equilibrium, e.g. by moving towards regions with higher fuel concentration. In spite of the intense experimental activity aiming at investigating this fascinating behavior, a rigorous definition and characterization of such “survival strategies” from a statistical physics perspective is still missing. In this work, we take a first step in this direction by adapting and applying to active systems the theoretical framework of Transition Path Theory, which was originally introduced to investigate rare thermally activated transitions in passive systems. We perform experiments on camphor disks navigating Petri dishes and perform simulations in the paradigmatic active Brownian particle model to show how the notions of transition probability density and committor function provide the pivotal concepts to identify survival strategies, improve modeling, and obtain and validate experimentally testable predictions. The definition of survival in these artificial systems paves the way to move beyond simple observation and to formally characterize, design and predict complex life-like behaviors.

Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension

This paper focuses mainly on the problem of computing the γth, γ>0, moment of a random variable Yn:=∑i=1nαiXi in which the αi’s are positive real numbers and the Xi’s are independent and distributed according to noncentral chi-square distributions. Finding an analytical approach for solving such a problem has remained a challenge due to the lack of understanding of the probability distribution of Yn, especially when not all αi’s are equal. We analytically solve this problem by showing that the γth moment of Yn can be expressed in terms of generalized hypergeometric functions. Additionally, we extend our result to computing the γth moment of Yn when Xi is a combination of statistically independent Zi2 and Gi in which the Zi’s are distributed according to normal or Maxwell–Boltzmann distributions and the Gi’s are distributed according to gamma, Erlang, or exponential distributions. Our paper has an immediate application in interest rate modeling, where we can explicitly provide the exact transition probability density function of the extended Cox–Ingersoll–Ross (ECIR) process with time-varying dimension as well as the corresponding γth conditional moment. Finally, we conduct Monte Carlo simulations to demonstrate the accuracy and efficiency of our explicit formulas through several numerical tests.

Exact solutions and asymptotic behaviors for the reflected Wiener, Ornstein-Uhlenbeck and Feller diffusion processes.

We analyze the transition probability density functions in the presence of a zero-flux condition in the zero-state and their asymptotic behaviors for the Wiener, Ornstein Uhlenbeck and Feller diffusion processes. Particular attention is paid to the time-inhomogeneous proportional cases and to the time-homogeneous cases. A detailed study of the moments of first-passage time and of their asymptotic behaviors is carried out for the time-homogeneous cases. Some relationships between the transition probability density functions for the restricted Wiener, Ornstein-Uhlenbeck and Feller processes are proved. Specific applications of the results to queueing systems are provided.

Survival probability determination of nonlinear oscillators with fractional derivative elements under evolutionary stochastic excitation

An approximate analytical technique based on a combination of statistical linearization and stochastic averaging is developed for determining the survival probability of stochastically excited nonlinear/hysteretic oscillators with fractional derivative elements. Specifically, approximate closed form expressions are derived for the oscillator non-stationary marginal, transition, and joint response amplitude probability density functions (PDF) and, ultimately, for the time-dependent oscillator survival probability. Notably, the technique can treat a wide range of nonlinear/hysteretic response behaviors and can account even for evolutionary excitation power spectra with time-dependent frequency content. Further, the corresponding computational cost is kept at a minimum level since it relates, in essence, only to the numerical integration of a deterministic nonlinear differential equation governing approximately the evolution in time of the oscillator response variance. Overall, the developed technique can be construed as an extension of earlier efforts in the literature to account for fractional derivative terms in the equation of motion. The numerical examples include a hardening Duffing and a bilinear hysteretic nonlinear oscillators with fractional derivative terms. The accuracy degree of the technique is assessed by comparisons with pertinent Monte Carlo simulation data.

Convergence of Policy Gradient Methods for Nash Equilibria in General-sum Stochastic Games

We study Nash equilibria learning of a general-sum stochastic game with an unknown transition probability density function. Agents take actions at the current environment state and their joint action influences the transition of the environment state and their immediate rewards. Each agent only observes the environment state and its own immediate reward and is unknown about the actions or immediate rewards of others. We introduce the concept of weighted asymptotic Nash equilibrium with probability 1 and design a two-loop algorithm by the equivalence of Nash equilibrium and variational inequality problems. In the outer loop, we sequentially update a constructed strongly monotone variational inequality by updating a proximal parameter while employing a single-call extra-gradient algorithm in the inner loop for solving the constructed variational inequality. We show that if the associated Minty variational inequality has a solution, then the designed algorithm converges to the k1/2 -weighted asymptotic Nash equilibrium.

On the Absorbing Problems for Wiener, Ornstein–Uhlenbeck, and Feller Diffusion Processes: Similarities and Differences

For the Wiener, Ornstein–Uhlenbeck, and Feller processes, we study the transition probability density functions with an absorbing boundary in the zero state. Particular attention is paid to the proportional cases and to the time-homogeneous cases, by obtaining the first-passage time densities through the zero state. A detailed study of the asymptotic average of local time in the presence of an absorbing boundary is carried out for the time-homogeneous cases. Some relationships between the transition probability density functions in the presence of an absorbing boundary in the zero state and between the first-passage time densities through zero for Wiener, Ornstein–Uhlenbeck, and Feller processes are proven. Moreover, some asymptotic results between the first-passage time densities through zero state are derived. Various numerical computations are performed to illustrate the role played by parameters.

Systematic matrix formulation for efficient computational path integration

In this work we introduce a novel methodological treatment of the numerical path integration method, used for computing the response probability density function of stochastic dynamical systems. The method is greatly accelerated by transforming the corresponding Chapman-Kolmogorov equation to a matrix multiplication. With a systematic formulation we split the numerical solution of the Chapman-Kolmogorov equation into three separate parts: we interpolate the probability density function, we approximate the transitional probability density function of the process and evaluate the integral in the Chapman-Kolmogorov equation. We provide a thorough error and efficiency analysis through numerical experiments on a one, two, three and four dimensional problem. By comparing the results obtained through the Path Integration method with analytical solutions and with previous formulations of the path integration method, we demonstrate the superior ability of this formulation to provide accurate results. Potential bottlenecks are identified and a discussion is provided on how to address them.

A γ-power stochastic Lundqvist-Korf diffusion process: Computational aspects and simulation

Abstract In this paper, we introduce a new family of stochastic Lundqvist-Korf diffusion process, defined from a g-power of the Lundqvist-Korf diffusion process. First, we determine the probabilistic characteristics of the process, such as its analytic expression, the transition probability density function from the corresponding It ˆo stochastic differential equation and obtain the conditional and non-conditional mean functions. We then study the statistical inference in this process. The parameters of this process are estimated by using the maximum likelihood estimation method with discrete sampling, thus we obtain a nonlinear equation, which is achieved via the simulated annealing algorithm. Finally, the results of the paper are applied to simulated data.