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Sequential decision analysis for nonstationary stochastic processes
A formulation of the problem of making decisions concerning the state of nonstationary stochastic processes is given. An optimal decision rule, for the case in which the stochastic process is independent of the decisions made, is derived. It is shown that this rule is a generalization of the Bayesian likelihood ratio test; and an analog to Wald's sequential likelihood ratio test is given, in which the optimal thresholds may vary with time.
Stochastic and fractal analysis of fracture trajectories
Analyses of fracture trajectories are used to investigate structures that fall between 'micro' and 'macro' scales. It was shown that fracture trajectories belong to the class of nonstationary processes. It was also found that correlation distance, which may be related to a characteristic size of a fracture process, increases with crack length. An assemblage of crack trajectory processes may be considered as a diffusive process. Chudnovsky (1981-1985) introduced a 'crack diffusion coefficient' d which reflects the ability of the material to deviate the crack trajectory from the most energetically efficient path and thus links the material toughness to its structure. For the set of fracture trajectories in AISI 304 steel, d was found to be equal to 1.04 microns. The fractal dimension D for the same set of trajectories was found to be 1.133.
Stochastic Verification by Analysis for Autonomous Systems Management Architecture (ASMA)
The Gateway Vehicle Systems Manager (VSM) is the top-level of a distributed, hierarchical software control system. VSM is data-driven and will make decisions related to mission, fault, resource management and vehicle control. These attributes combined with a high degree of autonomy make it susceptible to emergent behavior. In order to achieve the high level of confidence needed in this critical system, the VSM team has developed a multifaceted verification strategy employing traditional verification techniques, simulation, model checking, and runtime verification. Individual algorithms are verified using conventional testing and model checking using assume-guarantee contracts. A discrete event-based simulation approach is being developed to verify timelines. This presentation describes an enhancement to the verification approach using analysis to enhance system robustness by detecting and resolving the potential for emergent behavior. The verification by analysis employs a Software in the Loop (SITL) environment with real flight software executing on emulated processors, simulations of vehicle subsystems, flight dynamics, and human inputs. Since the possible input space and configuration data set are too large for exhaustive testing, a Monte Carlo approach is used to cover feasible scenarios, augmented with corner cases and known higher-risk scenarios. A key problem in using Monte Carlo-based system verification is evaluating test results to ensure that system behavior is correct. The presentation describes the approach the VSM team uses to monitor behavior for compliance with predetermined boundaries and to identify anomalous behavior for further analysis. This presentation describes the multi-level systems approach to verification, and the simulation-based layer that covers the feasible state space: 1. Overview of the Gateway VSM 2. Special challenges due to heterogeneous, hierarchical architecture 3. Modeling and simulation environment using flight software and system simulations 4. Developing input sets to ensure state-space coverage 5. Developing model and data configuration sets to ensure model coverage 6. Interpreting results without predetermined outcomes 7. Lessons learned and future work
A structural-stochastic model for the analysis and synthesis of cloud images
A structural-stochastic image model is developed for the analysis and synthesis of cloud images. The ability of the model to characterize the visual appearance of cloud fields observed by satellite with a limited number of parameters is demonstrated. The model merges structural and stochastic information, the stochastic model acting as a local statistical operator applied to the output of the structural model. The structural or large-scale organization of the scene is retrieved from the two-dimensional Fourier representation of the digital image. The pattern generated by the major Fourier components provides a first guess of the scene. The stochastic aspect is described by a Markov model of texture that assumes a binomial probability distribution for the local grey-level variability. This Markov model provides four parameters that represent the clustering strength in the horizontal, vertical and diagonal directions. These parameters are estimated by a standard maximum-likelihood technique. The image can be reproduced with a fair degree of verisimilitude from these parameters. The data compression factor is of the order of one hundred to several hundreds.
Analysis and Mitigation of Cascading Failures Using a Stochastic Interaction Graph with Eigen-analysis
In studies on complex network systems using graph theory, eigen-analysis is typically performed on an undirected graph model of the network. However, when analyzing cascading failures in a power system, the interactions among failures suggest the need for a directed graph beyond the topology of the power system to model directions of failure propagation. To accurately quantify failure interactions for effective mitigation strategies, this paper proposes a stochastic interaction graph model and associated eigen-analysis. Different types of modes on failure propagations are defined and characterized by the eigenvalues of a stochastic interaction matrix, whose absolute values are unity, zero, or in between. Finding and interpreting these modes helps identify the probable patterns of failure propagation, either local or widespread, and the participating components based on eigenvectors. Then, by lowering the failure probabilities of critical components highly participating in a mode of widespread failures, cascading can be mitigated. Here, the validity of the proposed stochastic interaction graph model, eigen-analysis and the resulting mitigation strategies is demonstrated using simulated cascading failure data on an NPCC 140-bus system.
A Stochastic Collocation Algorithm for Uncertainty Analysis
This report describes a stochastic collocation method to adequately handle a physically intrinsic uncertainty in the variables of a numerical simulation. For instance, while the standard Galerkin approach to Polynomial Chaos requires multi-dimensional summations over the stochastic basis functions, the stochastic collocation method enables to collapse those summations to a one-dimensional summation only. This report furnishes the essential algorithmic details of the new stochastic collocation method and provides as a numerical example the solution of the Riemann problem with the stochastic collocation method used for the discretization of the stochastic parameters.
Computer-aided-analysis of linear control system robustness
Stochastic robustness is a simple technique used to estimate the stability and performance robustness of linear, time-invariant systems. The use of high-speed graphics workstations and control system design software in stochastic robustness analysis is discussed and demonstrated. It is shown that stochastic robustness makes good use of modern computational and graphic tools, and it is easily implemented using commercial control system design and analysis software.
Near-Optimal Performance of Stochastic Model Predictive Control
Here, this article presents a regret analysis for stochastic model predictive control (SMPC) in linear systems with quadratic performance index and additive and multiplicative uncertainties. Under a finite support assumption, the problem can be cast as a finite-dimensional quadratic program, but the problem becomes quickly intractable as the problem size grows exponentially in the horizon length. SMPC aims to compute approximate solutions by solving a sequence of problems with truncated prediction horizons and committing the solution in a receding-horizon fashion. Although this approach is widely used in practice, its performance relative to the optimal solution is not well understood. This article reports for the first time a rigorous near-optimal performance guarantee of SMPC: under stabilizability and detectability conditions, the regret of SMPC is exponentially small in the prediction horizon length, allowing SMPC to achieve near-optimal performance at a substantially reduced computational expense.
A backward SDE method for uncertainty quantification in deep learning
Here, we develop a backward stochastic differential equation based probabilistic machine learning method, which formulates a class of stochastic neural networks as a stochastic optimal control problem. An efficient stochastic gradient descent algorithm is introduced with the gradient computed through a backward stochastic differential equation. Convergence analysis for stochastic gradient descent optimization and numerical experiments for applications of stochastic neural networks are carried out to validate our methodology in both theory and performance.
Sequential ranking procedures
Sequential ranking procedures, stochastic processes, and statistical analysis
The relationship of sensor parameters to applications data analysis
A stochastic model for the data acquisition system in a multispectral scanner system, like the one utilized by the LANDSAT satellites, is presented. A list of noise sources which are known or presumed to have a significant effect in the information extraction process was constructed. Since the shot noise introduced by the photodetectors in the sensor system is signal level dependent, an atmospheric model was adopted which could adequately describe the amount of radiation that gets into the sensors based on the atmospheric transmittance. An analysis was carried out to find the output spectral statistics in terms of the input signal statistics and the system parameters. This was integrated into a set of FORTRAN programs that when supplied with, the class statistics, the noise levels introduced by the sensor system, the atmospheric transmittance, and the atmospheric path radiance, can be used to estimate the classification performance. In order to show the beneficts of this model a series of runs were performed in which the Thematic Mapper multispectral scanner was the system under consideration.
An empirical analysis of the distribution of the duration of overshoots in a stationary gaussian stochastic process
This analysis utilizes computer simulation and statistical estimation. Realizations of stationary gaussian stochastic processes with selected autocorrelation functions are computer simulated. Analysis of the simulated data revealed that the mean and the variance of a process were functionally dependent upon the autocorrelation parameter and crossing level. Using predicted values for the mean and standard deviation, by the method of moments, the distribution parameters was estimated. Thus, given the autocorrelation parameter, crossing level, mean, and standard deviation of a process, the probability of exceeding the crossing level for a particular length of time was calculated.
Analysis of decoders for convolutional codes by stochastic sequential machine methods
Decoder analysis for convolutional codes by stochastic sequential machine model
Release a public version of HERON (HERON 2.0) with improved algorithms for the treatment of energy storage
Integrated energy systems (IESs) are essential for decarbonizing electricity and industrial sectors and fully exploiting these systems requires sophisticated planning, scheduling, and dispatching tools to maximize their socio-economic benefits. The Holistic Energy Resource Optimization Network (HERON) is a generic software plugin for the Risk Analysis Virtual Environment (RAVEN) to perform stochastic technoeconomic analysis of IES with economic drivers. This report summarizes the updates made to HERON 2.0. Particularly, we demonstrate one of the added features, Function-based Control Mechanics, by comparing a price-based dispatch strategy with the original perfect foresight baselines. Our case studies successfully demonstrate that the model is capable to incorporate artificial control algorithm into the dispatch of IES components. In addition, our results from the price-based strategy indicate that the control strategies of IES components are key to the economic and temporal performance of our model; therefore, more sophisticated dispatch strategies are required to improve the model performance.
Evaluation of Hybrid FPOG Applications in Regulated and Deregulated Markets Using HERON
Recent changes in the U.S. energy market, such as low natural gas prices and increased electricity production for variable renewable energy (VRE) sources, have led to an economic crisis for existing light-water reactor (LWR) nuclear power plants (NPP). Many owners and operators of LWRs have elected to decommission these plants rather than continue using them as consistent sources of clean baseload power. This has led to exploration of various possibilities to increase the economic viability of these units, including market restructuring to monetize benefits LWRs already provide to the grid through ancillary markets, load following and economic dispatch, and possible integration of secondary systems directly to the NPP for production of additional products through technologies such as hydrogen electrolysis or water desalination. Previous studies have considered the technologies associated with these Integrated Energy Systems (IES) activities, and the analysis of markets for these secondary products. To analyze the economic viability of various system configurations including IES, especially given the uncertainty surrounding load demand, electricity prices, and the availability of VRE resources, the stochastic technoeconomic analysis package HERON (Heuristic Energy Resource Optimization Network) was released earlier this year as an extension of the risk analysis framework RAVEN (Risk Analysis Virtual Environment). HERON focuses foremost on making the complex uncertainty quantification analysis tools approachable for energy systems analysts, also providing general dispatch optimization algorithms for those workflows. HERON continues to be improved and tested as a significant part of the IES viability analyses performed in this work. HERON is not a capacity expansion model. To consider market and grid energy system development in a variety of scenarios, HERON is best used in coupling with modelling tools such as US-REGEN, which sacrifice some of the uncertainty analysis and resolution of HERON's modelling for the ability to efficiently predict the change in the grid energy system's profile due to economic drivers over decades. HERON can then use this information to explore the economic viability of introducing changes to the predicted outcomes, such as the introduction of an IES. In this work, experts at EPRI using US-REGEN provide six projection scenarios for use in HERON stochastic technoeconomic analysis (STEA) in considering the options available for increasing LWR economic viability through introduction of a hydrogen-centric IES using a high-temperature steam electrolysis plant (HTSE), hydrogen storage, and a constant-rate contracted hydrogen consumer. The results obtained are differential in nature; they do not report expected profits for any configuration, but rather report on the possible increase in the NPV of a configuration with respect to a baseline no-IES configuration. Due to the uncertainty captured in the variable net load of the systems, there is likewise uncertainty in the mean values reported. We consider this viability both in terms of a regulated market, where the energy producers and IES are owned and operated by single entity, as well as a deregulated market, where the IES chooses its bid for electricity generation and is then dispatched by the grid system operator. Results indicate that for deregulated markets, the inclusion of the IES is often statistically beneficial. This is especially true in policies that are not favorable towards nuclear, as nuclear is less often dispatched and is forced to deal with frequent idle capacity. In the nominal case as well as the case of carbon tax policies, inclusion of the IES clearly benefited the economic performance of the NPP. In the regulated case, however, there was a trend towards minimizing the IES, likely due to the optimal sizing performed by US-REGEN of the NPP within the system as well as the lack of penalty for idle capacity at the NPP in the regulated market analyses.
Data and code for Daily and Multi-Day Extreme Rainfall Analysis Under Future Climates Using Stochastic Storm Transposition and NEX-GDDP-CMIP6 Over CONUS
This data package provides inputs, codes, and outputs for a comprehensive analysis of projected changes in extreme precipitation across 10 regions of the continental United States, using 34 downscaled Earth System Models (ESMs) from the NASA Earth Exchange Global Daily Downscaled Projections, Coupled Model Intercomparison Project Phase 6 (NEX-GDDP-CMIP6) dataset. These models are part of the Coupled Model Intercomparison Project Phase 6 (CMIP6), a coordinated climate modeling framework widely used to assess climate change impacts. The analysis applies a stochastic storm transposition method to quantify changes in extreme rainfall under two Shared Socioeconomic Pathway (SSP) climate scenarios—SSP2-4.5 (moderate emissions) and SSP5-8.5 (high emissions)—compared to historical conditions (1995–2014 vs. 2081–2100). The dataset includes rainfall depth estimates for extreme events with return periods from 2 to 500 years across multiple storm durations (1, 3, and 5 days) for each of the 10 U.S. regions. Weighted ensemble statistics are derived from individual ESM performance against historical precipitation patterns, enabling robust uncertainty quantification through both sign-based and permutation-test-based model agreement assessments. Key analyses address: (1) relative changes in extreme precipitation for each climate scenario, (2) differences between SSP scenarios (SSP5-8.5 vs. SSP2-4.5), (3) contrasts between rare and frequent events, and (4) variations between multi-day and daily storm durations. The workflow produces ensemble statistics—median, 5th, 25th, 75th, and 95th percentiles—along with model agreement metrics that identify regions and event types with robust climate change signals. The dataset includes: processed rainfall depth outputs (netCDF format) from the RainyDay Python package, ESM weights from historical performance evaluation using DayMet observations, ensemble statistics across all storm dimensions, and figures summarizing key findings.
Sobol’ sensitivity analysis of a 1D stochastic elasto-plastic seismic wave propagation
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