3,291 research outputs found
Bounds for deterministic and stochastic dynamical systems using sum-of-squares optimization
We describe methods for proving upper and lower bounds on infinite-time
averages in deterministic dynamical systems and on stationary expectations in
stochastic systems. The dynamics and the quantities to be bounded are assumed
to be polynomial functions of the state variables. The methods are
computer-assisted, using sum-of-squares polynomials to formulate sufficient
conditions that can be checked by semidefinite programming. In the
deterministic case, we seek tight bounds that apply to particular local
attractors. An obstacle to proving such bounds is that they do not hold
globally; they are generally violated by trajectories starting outside the
local basin of attraction. We describe two closely related ways past this
obstacle: one that requires knowing a subset of the basin of attraction, and
another that considers the zero-noise limit of the corresponding stochastic
system. The bounding methods are illustrated using the van der Pol oscillator.
We bound deterministic averages on the attracting limit cycle above and below
to within 1%, which requires a lower bound that does not hold for the unstable
fixed point at the origin. We obtain similarly tight upper and lower bounds on
stochastic expectations for a range of noise amplitudes. Limitations of our
methods for certain types of deterministic systems are discussed, along with
prospects for improvement.Comment: 25 pages; Added new Section 7.2; Added references; Corrected typos;
Submitted to SIAD
A finite state projection algorithm for the stationary solution of the chemical master equation
The chemical master equation (CME) is frequently used in systems biology to
quantify the effects of stochastic fluctuations that arise due to biomolecular
species with low copy numbers. The CME is a system of ordinary differential
equations that describes the evolution of probability density for each
population vector in the state-space of the stochastic reaction dynamics. For
many examples of interest, this state-space is infinite, making it difficult to
obtain exact solutions of the CME. To deal with this problem, the Finite State
Projection (FSP) algorithm was developed by Munsky and Khammash (Jour. Chem.
Phys. 2006), to provide approximate solutions to the CME by truncating the
state-space. The FSP works well for finite time-periods but it cannot be used
for estimating the stationary solutions of CMEs, which are often of interest in
systems biology. The aim of this paper is to develop a version of FSP which we
refer to as the stationary FSP (sFSP) that allows one to obtain accurate
approximations of the stationary solutions of a CME by solving a finite
linear-algebraic system that yields the stationary distribution of a
continuous-time Markov chain over the truncated state-space. We derive bounds
for the approximation error incurred by sFSP and we establish that under
certain stability conditions, these errors can be made arbitrarily small by
appropriately expanding the truncated state-space. We provide several examples
to illustrate our sFSP method and demonstrate its efficiency in estimating the
stationary distributions. In particular, we show that using a quantised tensor
train (QTT) implementation of our sFSP method, problems admitting more than 100
million states can be efficiently solved.Comment: 8 figure
A finite state projection algorithm for the stationary solution of the chemical master equation
The chemical master equation (CME) is frequently used in systems biology to
quantify the effects of stochastic fluctuations that arise due to biomolecular
species with low copy numbers. The CME is a system of ordinary differential
equations that describes the evolution of probability density for each
population vector in the state-space of the stochastic reaction dynamics. For
many examples of interest, this state-space is infinite, making it difficult to
obtain exact solutions of the CME. To deal with this problem, the Finite State
Projection (FSP) algorithm was developed by Munsky and Khammash (Jour. Chem.
Phys. 2006), to provide approximate solutions to the CME by truncating the
state-space. The FSP works well for finite time-periods but it cannot be used
for estimating the stationary solutions of CMEs, which are often of interest in
systems biology. The aim of this paper is to develop a version of FSP which we
refer to as the stationary FSP (sFSP) that allows one to obtain accurate
approximations of the stationary solutions of a CME by solving a finite
linear-algebraic system that yields the stationary distribution of a
continuous-time Markov chain over the truncated state-space. We derive bounds
for the approximation error incurred by sFSP and we establish that under
certain stability conditions, these errors can be made arbitrarily small by
appropriately expanding the truncated state-space. We provide several examples
to illustrate our sFSP method and demonstrate its efficiency in estimating the
stationary distributions. In particular, we show that using a quantised tensor
train (QTT) implementation of our sFSP method, problems admitting more than 100
million states can be efficiently solved.Comment: 8 figure
Large-deviation principles for connectable receivers in wireless networks
We study large-deviation principles for a model of wireless networks
consisting of Poisson point processes of transmitters and receivers,
respectively. To each transmitter we associate a family of connectable
receivers whose signal-to-interference-and-noise ratio is larger than a certain
connectivity threshold. First, we show a large-deviation principle for the
empirical measure of connectable receivers associated with transmitters in
large boxes. Second, making use of the observation that the receivers
connectable to the origin form a Cox point process, we derive a large-deviation
principle for the rescaled process of these receivers as the connection
threshold tends to zero. Finally, we show how these results can be used to
develop importance-sampling algorithms that substantially reduce the variance
for the estimation of probabilities of certain rare events such as users being
unable to connectComment: 29 pages, 2 figure
Some non monotone schemes for Hamilton-Jacobi-Bellman equations
We extend the theory of Barles Jakobsen to develop numerical schemes for
Hamilton Jacobi Bellman equations. We show that the monotonicity of the schemes
can be relaxed still leading to the convergence to the viscosity solution of
the equation. We give some examples of such numerical schemes and show that the
bounds obtained by the framework developed are not tight. At last we test some
numerical schemes.Comment: 24 page
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