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This paper is devoted to the numerical simulation of stochastic system for inventory management products using controlled semi-Markov process. The results of a special software for the system’s research and finding the optimal control are presented.
Markov processes are shown to be consistent with metastable states seen in pulsar phenomena, including intensity nulling, pulse-shape mode changes, subpulse drift rates, spin-down rates, and X-ray emission, based on the typically broad and monotonic distributions of state lifetimes. Markovianity implies a nonlinear magnetospheric system in which state changes occur stochastically, corresponding to transitions between local minima in an effective potential. State durations (though not transition times) are thus largely decoupled from the characteristic timescales of various magnetospheric processes. Dyadic states are common but some objects show at least four states with some transitions forbidden. Another case is the long-term intermittent pulsar B1931+24 that has binary radio-emission and torque states with wide, but non-monotonic duration distributions. It also shows a quasi-period of 38 ± 5 days in a 13 yr time sequence, suggesting stochastic resonance in a Markov system with a forcing function that could be strictly periodic or quasi-periodic. Nonlinear phenomena are associated with time-dependent activity in the acceleration region near each magnetic polar cap. The polar-cap diode is altered by feedback from the outer magnetosphere and by return currents from the equatorial region outside the light cylinder that may also cause the neutron star to episodically charge and discharge. Orbital perturbations of a disk or current sheet provide a natural periodicity for the forcing function in the stochastic-resonance interpretation of B1931+24. Disk dynamics may introduce additional timescales in observed phenomena. Future work can test the Markov interpretation, identify which pulsar types have a propensity for state changes, and clarify the role of selection effects.
We introduce and test an algorithm that adaptively estimates large deviation functions characterizing the fluctuations of additive functionals of Markov processes in the long-time limit. These functions play an important role for predicting the probability and pathways of rare events in stochastic processes, as well as for understanding the physics of nonequilibrium systems driven in steady states by external forces and reservoirs. The algorithm uses methods from risk-sensitive and feedback control to estimate from a single trajectory a new process, called the driven process, known to be efficient for importance sampling. Its advantages compared to other simulation techniques, such as splitting or cloning, are discussed and illustrated with simple equilibrium and nonequilibrium diffusion models.
The time evolution of the trace distance between quantum states of a qubit which is placed under the influence of stochastic dephasing is investigated within the framework of the stochastic Liouville equation. When stochastic dephasing is subject to the homogeneous Gauss-Markov process, the trace distance is exactly calculated in the presence of the initial correlation between the qubit and the stochastic process, where the stochastic process is inevitably a nonstationary process. It is found that even the initial correlation with the classical environment can make the trace distance greater than the initial value if stochastic dephasing causes the slow modulation of the qubit.
Highlights: {yields} We propose a simple stochastic model to construct primitive DNA sequences. {yields} The model provide an explanation for Chargaff's second parity rule in primitive DNA sequences. {yields} The model is also used to predict a novel type of strand symmetry in primitive DNA sequences. {yields} We extend the results for bacterial DNA sequences and compare distributional properties intrinsic to the model to statistical estimates from 1049 bacterial genomes. {yields} We find out statistical evidences that the novel type of strand symmetry holds for bacterial DNA sequences. -- Abstract: Chargaff's second parity rule for short oligonucleotides states that the frequency of any short nucleotide sequence on a strand is approximately equal to the frequency of its reverse complement on the same strand. Recent studies have shown that, with the exception of organellar DNA, this parity rule generally holds for double-stranded DNA genomes and fails to hold for single-stranded genomes. While Chargaff's first parity rule is fully explained by the Watson-Crick pairing in the DNA double helix, a definitive explanation for the second parity rule has not yet been determined. In this work, we propose a model based on a hidden Markov process for approximating the distributional structure of primitive DNA sequences. Then, we use the model to provide another possible theoretical explanation for Chargaff's second parity rule, and to predict novel distributional aspects of bacterial DNA sequences.
A set of functional inequalities—called Nash inequalities—are introduced and analyzed in the context of quantum Markov process mixing. The basic theory of Nash inequalities is extended to the setting of non-commutative L{sub p} spaces, where their relationship to Poincaré and log-Sobolev inequalities is fleshed out. We prove Nash inequalities for a number of unital reversible semigroups.
Many biochemical systems appearing in applications have a multiscale structure so that they converge to piecewise deterministic Markov processes in a thermodynamic limit. The statistics of the piecewise deterministic process can be obtained much more efficiently than those of the exact process. We explore the possibility of coupling sample paths of the exact model to the piecewise deterministic process in order to reduce the variance of their difference. We then apply this coupling to reduce the computational complexity of a Monte Carlo estimator. Motivated by the rigorous results in , we show how this method can be applied to realistic biological models with nontrivial scalings.
The α eigenvalue has implications for time-dependent problems where the system is sub- or supercritical. We present methods and results from calculating the α-eigenvalue spectrum for a continuous-energy infinite medium with a simplified Monte Carlo transport code. We formulate the α-eigenvalue problem, detail the Monte Carlo code physics, and provide verification and results. We have a method for calculating the α-eigenvalue spectrum in a continuous-energy infinite-medium. The continuous-time Markov process described by the transition rate matrix provides a way of obtaining the α-eigenvalue spectrum and kinetic modes. These are useful for the approximation of the time dependence of the system.
In this study, we show that discrete Ito equations with short-tail Gaussian marginal distribution function generate multifractal time series. The multifractality is due to the nonlinear correlations, which are hidden in Markov processes and are generated by the interrelation between the drift and the multiplicative stochastic forces in the Ito equation. A link between the range of the generalized Hurst exponents and the mean of the squares of all averaged net forces is suggested.
The magnetization of ferromagnetic material is considered as periodically inhomogeneous Markov process. The theory assumes both statistically independent and correlated Barkhausen discontinuities. The model, based on the chain evolution-type process theory, assumes that the domain structure of a ferromagnet passes successively the steps of: linear growing, exponential acceleration and domains annihilation to zero density at magnetic saturation. The solution of stochastic differential Kolmogorov equation enables the hysteresis loop calculus.
We recently derived a Markov model for macromolecular ligand binding dynamics from few physical assumptions and showed that its stationary distribution is the grand canonical ensemble [J. W. R. Martini, M. Habeck, and M. Schlather, J. Math. Chem. 52, 665 (2014)]. The transition probabilities of the proposed Markov process define a particular Glauber dynamics and have some similarity to the Metropolis-Hastings algorithm. Here, we illustrate that this model is the stochastic analog of (pseudo) rate equations and the corresponding system of differential equations. Moreover, it can be viewed as a limiting case of general stochastic simulations of chemical kinetics. Thus, the model links stochastic and deterministic approaches as well as kinetics and equilibrium described by the grand canonical ensemble. We demonstrate that the family of transition matrices of our model, parameterized by temperature and ligand activity, generates ligand binding kinetics that respond to changes in these parameters in a qualitatively similar way as experimentally observed kinetics. In contrast, neither the Metropolis-Hastings algorithm nor the Glauber heat bath reflects changes in the external conditions correctly. Both converge rapidly to the stationary distribution, which is advantageous when the major interest is in the equilibrium state, but fail to describe the kinetics of ligand binding realistically. To simulate cellular processes that involve the reversible stochastic binding of multiple factors, our pseudo rate equation model should therefore be preferred to the Metropolis-Hastings algorithm and the Glauber heat bath, if the stationary distribution is not of only interest.
During the early period of a supercritical system, the growth of fission chains shows a significant stochastic feature. In multiplying medium, it is a probability issue of fail-pass type for a single neutron to sponsor a divergent fission chain, and the probability of success is named as single neutron initiation probability. Meanwhile, in the presence of a weak neutron source, the time at which fission burst occurs also exhibits a stochastic nature, which can be observed on experiments of pulsed reactors such as GODIVA I and GODIVA II. The initiation probability and burst waiting time reflect the dynamic feature of a supercritical system, which are very important for nuclear criticality safety concerns. It is desirable that a supercritical system has an initiation probability very close to zero and releases limited energy in case of criticality accidents. The stochastic process of neutron population evolution in early age in a multiplying system is governed by Bell's equation in the form of an adjoint neutron transport equation with a non-linear fission term. In order to solve this stochastic neutron transport equation, the deterministic method discretizing the phase space was proposed long ago and has been implemented in several SN codes such as Partisn, Ardra and PANDA. However, the deterministic method is of limited usage, due to its poor ability to precisely describe real-world 3D complex geometries and continuous energy neutron spectrum. Recently, Monte Carlo methods have gradually gained attention for solving Bell's equation. Greenman from LLNL proposed an analog Monte Carlo forward-transport method for calculating initiation probability in 2007. He implemented this method by introducing the maximum age parameter, the time sub-interval and the neutron progenitor tag into Mercury in time-dependent fixed-source simulation mode. This method is only suitable for initiation probability calculations, however not for analyzing the randomness of burst waiting time. Later, GANG in 2011 developed the GSMP (Generalized Semi-Markov Process method) Monte Carlo method according to Bell's equation. While the GSMP method, which can deal with both initiation probability and burst waiting time, is flexible and powerful for zero-dimensional problems, it is not favorable when extended to 3D and continuous energy problems due to severe lack of computational efficiency. In 2015, a direct Monte Carlo simulation method for stochastic systems problems was implemented in MCATK, yet this method has not been applied specifically to the burst waiting time. In this work, a new and efficient 3D Monte Carlo direct simulation method for calculating both the initiation probability and the burst waiting time is developed. By taking random factors during evolvement of fission chains into account in dynamic Monte Carlo simulation, this new method has the potential of simulating the whole process from source neutron injection to exponential growth of the neutron population, and finally to extinction of the neutron pulse. This capability is useful in criticality accidents evaluation and pulsed reactor experiments explanation. (authors)
The time-dependent behavior of the energy spectrum in neutron transport was investigated with a formulation, based on continuous-time Markov processes, for computing {alpha}-eigenvalues and eigenvectors in an infinite medium. For this, a research Monte Carlo code called TORTE was created and used to estimate elements of a transition rate matrix. TORTE is capable of using both multigroup and continuous-energy nuclear data, and verification was performed. Eigenvalue spectra for infinite homogeneous mixtures were obtained and an eigenfunction expansion was used to investigate transient behavior of the neutron energy spectrum. (authors)
Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel simulations. From the perspective of large deviations it is optimal to let the swap rate tend to infinity and it is possible to construct a corresponding simulation scheme, known as infinite swapping. In this paper we propose a novel use of large deviations for empirical measures for a more detailed analysis of the infinite swapping limit in the setting of continuous time jump Markov processes. Using the large deviations rate function and associated stochastic control problems we consider a diagnostic based on temperature assignments, which can be easily computed during a simulation. Here we show that the convergence of this diagnostic to its a priori known limit is a necessary condition for the convergence of infinite swapping. Finally, the rate function is also used to investigate the impact of asymmetries in the underlying potential landscape, and where in the state space poor sampling is most likely to occur.
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a plain American option in that it does not expire. In this study, we solve the optimal stopping problem of a perpetual American option (both call and put) in discrete time using linear programming duality. Under the assumption that the underlying stock price follows a discrete time and discrete state Markov process, namely a geometric random walk, we formulate the pricing problem as an infinite dimensional linear programming (LP) problem using the excessive-majorant property of the value function. This formulation allows us to solve complementary slackness conditions in closed-form, revealing an optimal stopping strategy which highlights the set of stock-prices where the option should be exercised. The analysis for the call option reveals that such a critical value exists only in some cases, depending on a combination of state-transition probabilities and the economic discount factor (i.e., the prevailing interest rate) whereas it ceases to be an issue for the put.
We study optimal control problems in infinite horizon whxen the dynamics belong to a specific class of piecewise deterministic Markov processes constrained to star-shaped networks (corresponding to a toy traffic model). We adapt the results in Soner (SIAM J Control Optim 24(6):1110–1122, 1986) to prove the regularity of the value function and the dynamic programming principle. Extending the networks and Krylov’s “shaking the coefficients” method, we prove that the value function can be seen as the solution to a linearized optimization problem set on a convenient set of probability measures. The approach relies entirely on viscosity arguments. As a by-product, the dual formulation guarantees that the value function is the pointwise supremum over regular subsolutions of the associated Hamilton–Jacobi integrodifferential system. This ensures that the value function satisfies Perron’s preconization for the (unique) candidate to viscosity solution.
Recently, Keating, Linden, and Wells [Markov Processes Relat. Fields 21(3), 537-555 (2015)] showed that the density of states measure of a nearest-neighbor quantum spin glass model is approximately Gaussian when the number of particles is large. The density of states measure is the ensemble average of the empirical spectral measure of a random matrix; in this paper, we use concentration of measure and entropy techniques together with the result of Keating, Linden, and Wells to show that in fact the empirical spectral measure of such a random matrix is almost surely approximately Gaussian itself with no ensemble averaging. We also extend this result to a spherical quantum spin glass model and to the more general coupling geometries investigated by Erdős and Schröder [Math. Phys., Anal. Geom. 17(3-4), 441–464 (2014)].
Purpose: The tumor control probability in radiation therapy allows comparing different radiation treatments to each other by means of calculating the probability that a prescribed dose of radiation eradicates or controls the tumor. In the conventional approach, all cancer cells can divide unlimited number of times and the tumor control often means eradicating every malignant cell by the radiation. In recent years however, there is a mounting consensus that in a given tumor volume there is a sub-population of cells, known as cancer stem cells (CSCs) that are responsible for tumor initiation and growth. Other or progenitor cancer cells can only divide limited number of times. This entails that only cancer stem cells may nned to be eliminated in order to control the tumor. Thus one may define TCP as the probability of eliminating CSCs for the given dose of radiation. Methods: Using stochastic methods, specifically the birth-and-death Markov processes, an infinite system of equations is set for probabilities of having m cancer stem cells at time t after the start of radiation. The TCP is calculated as the probability of no cancer stem cells surviving the radiation. Two scenarios are studied. In the first situation, the TCP is calculated for a unidirectional case when CSC gives birth to another CSC or a progenitor cell. In the second scenario, a bidirectional model is studied where the progenitor cell gives rise to CSC. Results: The proposed calculations show that the calculated TCP for CSC depends on whether one adopts unidirectional or bidirectional conversion models. The bidirectional model shows significantly lower TCP values for the given dose delivered to the tumor. Conclusion: Incorporating CSC hypothesis into the TCP modeling may notably influence the dose prescription as well as the concept of the expected TCP after the radiation treatments.