121,306 research outputs found
Nonparametric identification of positive eigenfunctions
Important features of certain economic models may be revealed by studying
positive eigenfunctions of appropriately chosen linear operators. Examples
include long-run risk-return relationships in dynamic asset pricing models and
components of marginal utility in external habit formation models. This paper
provides identification conditions for positive eigenfunctions in nonparametric
models. Identification is achieved if the operator satisfies two mild
positivity conditions and a power compactness condition. Both existence and
identification are achieved under a further non-degeneracy condition. The
general results are applied to obtain new identification conditions for
external habit formation models and for positive eigenfunctions of pricing
operators in dynamic asset pricing models
Learning and Designing Stochastic Processes from Logical Constraints
Stochastic processes offer a flexible mathematical formalism to model and
reason about systems. Most analysis tools, however, start from the premises
that models are fully specified, so that any parameters controlling the
system's dynamics must be known exactly. As this is seldom the case, many
methods have been devised over the last decade to infer (learn) such parameters
from observations of the state of the system. In this paper, we depart from
this approach by assuming that our observations are {\it qualitative}
properties encoded as satisfaction of linear temporal logic formulae, as
opposed to quantitative observations of the state of the system. An important
feature of this approach is that it unifies naturally the system identification
and the system design problems, where the properties, instead of observations,
represent requirements to be satisfied. We develop a principled statistical
estimation procedure based on maximising the likelihood of the system's
parameters, using recent ideas from statistical machine learning. We
demonstrate the efficacy and broad applicability of our method on a range of
simple but non-trivial examples, including rumour spreading in social networks
and hybrid models of gene regulation
Global parameter identification of stochastic reaction networks from single trajectories
We consider the problem of inferring the unknown parameters of a stochastic
biochemical network model from a single measured time-course of the
concentration of some of the involved species. Such measurements are available,
e.g., from live-cell fluorescence microscopy in image-based systems biology. In
addition, fluctuation time-courses from, e.g., fluorescence correlation
spectroscopy provide additional information about the system dynamics that can
be used to more robustly infer parameters than when considering only mean
concentrations. Estimating model parameters from a single experimental
trajectory enables single-cell measurements and quantification of cell--cell
variability. We propose a novel combination of an adaptive Monte Carlo sampler,
called Gaussian Adaptation, and efficient exact stochastic simulation
algorithms that allows parameter identification from single stochastic
trajectories. We benchmark the proposed method on a linear and a non-linear
reaction network at steady state and during transient phases. In addition, we
demonstrate that the present method also provides an ellipsoidal volume
estimate of the viable part of parameter space and is able to estimate the
physical volume of the compartment in which the observed reactions take place.Comment: Article in print as a book chapter in Springer's "Advances in Systems
Biology
Mathematical control of complex systems
Copyright © 2013 ZidongWang et al.This is an open access article distributed under the Creative Commons Attribution License,
which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited
Stochastic equation of fragmentation and branching processes related to avalanches
We give a stochastic model for the fragmentation phase of a snow avalanche.
We construct a fragmentation-branching process related to the avalanches, on
the set of all fragmentation sizes introduced by J. Bertoin. A fractal property
of this process is emphasized. We also establish a specific stochastic equation
of fragmentation. It turns out that specific branching Markov processes on
finite configurations of particles with sizes bigger than a strictly positive
threshold are convenient for describing the continuous time evolution of the
number of the resulting fragments. The results are obtained by combining
analytic and probabilistic potential theoretical tools.Comment: 17 page
A New Distribution-Free Concept for Representing, Comparing, and Propagating Uncertainty in Dynamical Systems with Kernel Probabilistic Programming
This work presents the concept of kernel mean embedding and kernel
probabilistic programming in the context of stochastic systems. We propose
formulations to represent, compare, and propagate uncertainties for fairly
general stochastic dynamics in a distribution-free manner. The new tools enjoy
sound theory rooted in functional analysis and wide applicability as
demonstrated in distinct numerical examples. The implication of this new
concept is a new mode of thinking about the statistical nature of uncertainty
in dynamical systems
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