Surrogate time series

Before we apply nonlinear techniques, for example those inspired by chaos theory, to dynamical phenomena occurring in nature, it is necessary to first ask if the use of such advanced techniques is justified "by the data". While many processes in nature seem very unlikely a priori to be linear, the possible nonlinear nature might not be evident in specific aspects of their dynamics. The method of surrogate data has become a very popular tool to address such a question. However, while it was meant to provide a statistically rigorous, foolproof framework, some limitations and caveats have shown up in its practical use. In this paper, recent efforts to understand the caveats, avoid the pitfalls, and to overcome some of the limitations, are reviewed and augmented by new material. In particular, we will discuss specific as well as more general approaches to constrained randomisation, providing a full range of examples. New algorithms will be introduced for unevenly sampled and multivariate data and for surrogate spike trains. The main limitation, which lies in the interpretability of the test results, will be illustrated through instructive case studies. We will also discuss some implementational aspects of the realisation of these methods in the TISEAN (http://www.mpipks-dresden.mpg.de/~tisean) software package.Comment: 28 pages, 23 figures, software at http://www.mpipks-dresden.mpg.de/~tisea

Optimal Energy Estimation in Path-Integral Monte Carlo Simulations

We investigate the properties of two standard energy estimators used in path-integral Monte Carlo simulations. By disentangling the variance of the estimators and their autocorrelation times we analyse the dependence of the performance on the update algorithm and present a detailed comparison of refined update schemes such as multigrid and staging techniques. We show that a proper combination of the two estimators leads to a further reduction of the statistical error of the estimated energy with respect to the better of the two without extra cost.Comment: 45 pp. LaTeX, 22 Postscript Figure

Reliability-based design optimization using kriging surrogates and subset simulation

The aim of the present paper is to develop a strategy for solving reliability-based design optimization (RBDO) problems that remains applicable when the performance models are expensive to evaluate. Starting with the premise that simulation-based approaches are not affordable for such problems, and that the most-probable-failure-point-based approaches do not permit to quantify the error on the estimation of the failure probability, an approach based on both metamodels and advanced simulation techniques is explored. The kriging metamodeling technique is chosen in order to surrogate the performance functions because it allows one to genuinely quantify the surrogate error. The surrogate error onto the limit-state surfaces is propagated to the failure probabilities estimates in order to provide an empirical error measure. This error is then sequentially reduced by means of a population-based adaptive refinement technique until the kriging surrogates are accurate enough for reliability analysis. This original refinement strategy makes it possible to add several observations in the design of experiments at the same time. Reliability and reliability sensitivity analyses are performed by means of the subset simulation technique for the sake of numerical efficiency. The adaptive surrogate-based strategy for reliability estimation is finally involved into a classical gradient-based optimization algorithm in order to solve the RBDO problem. The kriging surrogates are built in a so-called augmented reliability space thus making them reusable from one nested RBDO iteration to the other. The strategy is compared to other approaches available in the literature on three academic examples in the field of structural mechanics.Comment: 20 pages, 6 figures, 5 tables. Preprint submitted to Springer-Verla

Velocity gradients statistics along particle trajectories in turbulent flows: the refined similarity hypothesis in the Lagrangian frame

We present an investigation of the statistics of velocity gradient related quantities, in particluar energy dissipation rate and enstrophy, along the trajectories of fluid tracers and of heavy/light particles advected by a homogeneous and isotropic turbulent flow. The Refined Similarity Hypothesis (RSH) proposed by Kolmogorov and Oboukhov in 1962 is rephrased in the Lagrangian context and then tested along the particle trajectories. The study is performed on state-of-the-art numerical data resulting from numerical simulations up to Re~400 with 2048^3 collocation points. When particles have small inertia, we show that the Lagrangian formulation of the RSH is well verified for time lags larger than the typical response time of the particle. In contrast, in the large inertia limit when the particle response time approaches the integral-time-scale of the flow, particles behave nearly ballistic, and the Eulerian formulation of RSH holds in the inertial-range.Comment: 7 pages, 7 figures; Physical Review E (accepted Dec 7, 2009

Spectral Simplicity of Apparent Complexity, Part I: The Nondiagonalizable Metadynamics of Prediction

Virtually all questions that one can ask about the behavioral and structural complexity of a stochastic process reduce to a linear algebraic framing of a time evolution governed by an appropriate hidden-Markov process generator. Each type of question---correlation, predictability, predictive cost, observer synchronization, and the like---induces a distinct generator class. Answers are then functions of the class-appropriate transition dynamic. Unfortunately, these dynamics are generically nonnormal, nondiagonalizable, singular, and so on. Tractably analyzing these dynamics relies on adapting the recently introduced meromorphic functional calculus, which specifies the spectral decomposition of functions of nondiagonalizable linear operators, even when the function poles and zeros coincide with the operator's spectrum. Along the way, we establish special properties of the projection operators that demonstrate how they capture the organization of subprocesses within a complex system. Circumventing the spurious infinities of alternative calculi, this leads in the sequel, Part II, to the first closed-form expressions for complexity measures, couched either in terms of the Drazin inverse (negative-one power of a singular operator) or the eigenvalues and projection operators of the appropriate transition dynamic.Comment: 24 pages, 3 figures, 4 tables; current version always at http://csc.ucdavis.edu/~cmg/compmech/pubs/sdscpt1.ht

Intermolecular correlations are necessary to explain diffuse scattering from protein crystals

Conformational changes drive protein function, including catalysis, allostery, and signaling. X-ray diffuse scattering from protein crystals has frequently been cited as a probe of these correlated motions, with significant potential to advance our understanding of biological dynamics. However, recent work challenged this prevailing view, suggesting instead that diffuse scattering primarily originates from rigid body motions and could therefore be applied to improve structure determination. To investigate the nature of the disorder giving rise to diffuse scattering, and thus the potential applications of this signal, a diverse repertoire of disorder models was assessed for its ability to reproduce the diffuse signal reconstructed from three protein crystals. This comparison revealed that multiple models of intramolecular conformational dynamics, including ensemble models inferred from the Bragg data, could not explain the signal. Models of rigid body or short-range liquid-like motions, in which dynamics are confined to the biological unit, showed modest agreement with the diffuse maps, but were unable to reproduce experimental features indicative of long-range correlations. Extending a model of liquid-like motions to include disorder across neighboring proteins in the crystal significantly improved agreement with all three systems and highlighted the contribution of intermolecular correlations to the observed signal. These findings anticipate a need to account for intermolecular disorder in order to advance the interpretation of diffuse scattering to either extract biological motions or aid structural inference.Comment: 12 pages, 5 figures (not including Supplementary Information