Algebraic structure of stochastic expansions and efficient simulation

We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators. These are approximations that generate strong numerical integration schemes that are more accurate than the corresponding stochastic Taylor approximation, independent of the governing vector fields and to all orders. The sinhlog integrator introduced by Malham & Wiese (2009) is one example. Herein we: show that the natural context to study stochastic integrators and their properties is the convolution shuffle algebra of endomorphisms; establish a new whole class of efficient integrators; and then prove that, within this class, the sinhlog integrator generates the optimal efficient stochastic integrator at all orders.Comment: 19 page

An integral method for solving nonlinear eigenvalue problems

We propose a numerical method for computing all eigenvalues (and the corresponding eigenvectors) of a nonlinear holomorphic eigenvalue problem that lie within a given contour in the complex plane. The method uses complex integrals of the resolvent operator, applied to at least $k$ column vectors, where $k$ is the number of eigenvalues inside the contour. The theorem of Keldysh is employed to show that the original nonlinear eigenvalue problem reduces to a linear eigenvalue problem of dimension $k$. No initial approximations of eigenvalues and eigenvectors are needed. The method is particularly suitable for moderately large eigenvalue problems where $k$ is much smaller than the matrix dimension. We also give an extension of the method to the case where $k$ is larger than the matrix dimension. The quadrature errors caused by the trapezoid sum are discussed for the case of analytic closed contours. Using well known techniques it is shown that the error decays exponentially with an exponent given by the product of the number of quadrature points and the minimal distance of the eigenvalues to the contour

Approximate probabilistic verification of hybrid systems

Hybrid systems whose mode dynamics are governed by non-linear ordinary differential equations (ODEs) are often a natural model for biological processes. However such models are difficult to analyze. To address this, we develop a probabilistic analysis method by approximating the mode transitions as stochastic events. We assume that the probability of making a mode transition is proportional to the measure of the set of pairs of time points and value states at which the mode transition is enabled. To ensure a sound mathematical basis, we impose a natural continuity property on the non-linear ODEs. We also assume that the states of the system are observed at discrete time points but that the mode transitions may take place at any time between two successive discrete time points. This leads to a discrete time Markov chain as a probabilistic approximation of the hybrid system. We then show that for BLTL (bounded linear time temporal logic) specifications the hybrid system meets a specification iff its Markov chain approximation meets the same specification with probability $1$. Based on this, we formulate a sequential hypothesis testing procedure for verifying -approximately- that the Markov chain meets a BLTL specification with high probability. Our case studies on cardiac cell dynamics and the circadian rhythm indicate that our scheme can be applied in a number of realistic settings

Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations

In this paper, the Euler–Maruyama (EM) method with random variable stepsize is studied to reproduce the almost sure stability of the true solutions of stochastic differential equations. Since the choice of the time step is based on the current state of the solution, the time variable is proved to be a stopping time. Then the semimartingale convergence theory is employed to obtain the almost sure stability of the random variable stepsize EM solution. To our best knowledge, this is the first paper to apply the random variable stepsize (with clear proof of the stopping time) to the analysis of the almost sure stability of the EM method

Rapid covariance-based sampling of linear SPDE approximations in the multilevel Monte Carlo method

The efficient simulation of the mean value of a non-linear functional of the solution to a linear stochastic partial differential equation (SPDE) with additive Gaussian noise is considered. A Galerkin finite element method is employed along with an implicit Euler scheme to arrive at a fully discrete approximation of the mild solution to the equation. A scheme is presented to compute the covariance of this approximation, which allows for rapid sampling in a Monte Carlo method. This is then extended to a multilevel Monte Carlo method, for which a scheme to compute the cross-covariance between the approximations at different levels is presented. In contrast to traditional path-based methods it is not assumed that the Galerkin subspaces at these levels are nested. The computational complexities of the presented schemes are compared to traditional methods and simulations confirm that, under suitable assumptions, the costs of the new schemes are significantly lower.Comment: 18 pages, 5 figures; numerical simulations revised, implementation section added; To appear in Monte Carlo and Quasi-Monte Carlo Methods - MCQMC, Rennes, France, July 201

Deep learning-assisted radiomics facilitates multimodal prognostication for personalized treatment strategies in low-grade glioma

Determining the optimal course of treatment for low grade glioma (LGG) patients is challenging and frequently reliant on subjective judgment and limited scientific evidence. Our objective was to develop a comprehensive deep learning assisted radiomics model for assessing not only overall survival in LGG, but also the likelihood of future malignancy and glioma growth velocity. Thus, we retrospectively included 349 LGG patients to develop a prediction model using clinical, anatomical, and preoperative MRI data. Before performing radiomics analysis, a U2-model for glioma segmentation was utilized to prevent bias, yielding a mean whole tumor Dice score of 0.837. Overall survival and time to malignancy were estimated using Cox proportional hazard models. In a postoperative model, we derived a C-index of 0.82 (CI 0.79-0.86) for the training cohort over 10 years and 0.74 (Cl 0.64-0.84) for the test cohort. Preoperative models showed a C-index of 0.77 (Cl 0.73-0.82) for training and 0.67 (Cl 0.57-0.80) test sets. Our findings suggest that we can reliably predict the survival of a heterogeneous population of glioma patients in both preoperative and postoperative scenarios. Further, we demonstrate the utility of radiomics in predicting biological tumor activity, such as the time to malignancy and the LGG growth rate

Explicit methods for stiff stochastic differential equations

Multiscale differential equations arise in the modeling of many important problems in the science and engineering. Numerical solvers for such problems have been extensively studied in the deterministic case. Here, we discuss numerical methods for (mean-square stable) stiff stochastic differential equations. Standard explicit methods, as for example the Euler-Maruyama method, face severe stepsize restriction when applied to stiff problems. Fully implicit methods are usually not appropriate for stochastic problems and semi-implicit methods (implicit in the deterministic part) involve the solution of possibly large linear systems at each time-step. In this paper, we present a recent generalization of explicit stabilized methods, known as Chebyshev methods, to stochastic problems. These methods have much better (mean-square) stability properties than standard explicit methods. We discuss the construction of this new class of methods and illustrate their performance on various problems involving stochastic ordinary and partial differential equations