Calibration of Distributionally Robust Empirical Optimization Models

We study the out-of-sample properties of robust empirical optimization problems with smooth $\phi$-divergence penalties and smooth concave objective functions, and develop a theory for data-driven calibration of the non-negative "robustness parameter" $\delta$ that controls the size of the deviations from the nominal model. Building on the intuition that robust optimization reduces the sensitivity of the expected reward to errors in the model by controlling the spread of the reward distribution, we show that the first-order benefit of ``little bit of robustness" (i.e., $\delta$ small, positive) is a significant reduction in the variance of the out-of-sample reward while the corresponding impact on the mean is almost an order of magnitude smaller. One implication is that substantial variance (sensitivity) reduction is possible at little cost if the robustness parameter is properly calibrated. To this end, we introduce the notion of a robust mean-variance frontier to select the robustness parameter and show that it can be approximated using resampling methods like the bootstrap. Our examples show that robust solutions resulting from "open loop" calibration methods (e.g., selecting a $90\%$ confidence level regardless of the data and objective function) can be very conservative out-of-sample, while those corresponding to the robustness parameter that optimizes an estimate of the out-of-sample expected reward (e.g., via the bootstrap) with no regard for the variance are often insufficiently robust.Comment: 51 page

Singularities and the distribution of density in the Burgers/adhesion model

We are interested in the tail behavior of the pdf of mass density within the one and $d$-dimensional Burgers/adhesion model used, e.g., to model the formation of large-scale structures in the Universe after baryon-photon decoupling. We show that large densities are localized near ``kurtoparabolic'' singularities residing on space-time manifolds of codimension two ($d \le 2$) or higher ($d \ge 3$). For smooth initial conditions, such singularities are obtained from the convex hull of the Lagrangian potential (the initial velocity potential minus a parabolic term). The singularities contribute {\em \hbox{universal} power-law tails} to the density pdf when the initial conditions are random. In one dimension the singularities are preshocks (nascent shocks), whereas in two and three dimensions they persist in time and correspond to boundaries of shocks; in all cases the corresponding density pdf has the exponent -7/2, originally proposed by E, Khanin, Mazel and Sinai (1997 Phys. Rev. Lett. 78, 1904) for the pdf of velocity gradients in one-dimensional forced Burgers turbulence. We also briefly consider models permitting particle crossings and thus multi-stream solutions, such as the Zel'dovich approximation and the (Jeans)--Vlasov--Poisson equation with single-stream initial data: they have singularities of codimension one, yielding power-law tails with exponent -3.Comment: LATEX 11 pages, 6 figures, revised; Physica D, in pres

Turbulence without pressure in d dimensions

The randomly driven Navier-Stokes equation without pressure in d-dimensional space is considered as a model of strong turbulence in a compressible fluid. We derive a closed equation for the velocity-gradient probability density function. We find the asymptotics of this function for the case of the gradient velocity field (Burgers turbulence), and provide a numerical solution for the two-dimensional case. Application of these results to the velocity-difference probability density function is discussed.Comment: latex, 5 pages, revised and enlarge

Cytogenetic biodosimetry for accidental emergency irradiation exposure preparedness, in particular merit of the use of drug-induced premature chromosome condensation (PCC) with calyculin A

Deep insight on Cytogenetic biodosimetry for accidental emergency irradiation exposure preparedness, in particular merit of the use of drug-induced premature chromosome condensation (PCC) with calyculin A

Experimental Lagrangian Acceleration Probability Density Function Measurement

We report experimental results on the acceleration component probability distribution function at $R_\lambda = 690$ to probabilities of less than $10^{-7}$. This is an improvement of more than an order of magnitude over past measurements and allows us to conclude that the fourth moment converges and the flatness is approximately 55. We compare our probability distribution to those predicted by several models inspired by non-extensive statistical mechanics. We also look at acceleration component probability distributions conditioned on a velocity component for conditioning velocities as high as 3 times the standard deviation and find them to be highly non-Gaussian.Comment: submitted for the special issue of Physica D: "Anomalous Distributions" 11 pages, 6 figures revised version: light modifications of the figures and the tex

SPH based numerical treatment of the interfacial interaction of flow with porous media

In this paper, the macroscopic equations of mass and momentum are developed and discretised based on the Smoothed Particle Hydrodynamics (SPH) formulation for the interaction at an interface of flow with porous media. The theoretical background of flow through porous media is investigated in order to highlight the key constraints which should be satisfied, particularly at the interface between the porous media flow and the overlying free flow. The study aims to investigate the derivation of the porous flow equations, computation of the porosity, and treatment of the interfacial boundary layer. It addresses weak assumptions that are commonly adopted for interfacial flow simulation in particle‐based methods. As support to the theoretical analysis, a 2D weakly compressible SPH (WCSPH) model is developed based on the proposed interfacial treatment. The equations in this model are written in terms of the intrinsic averages and in the Lagrangian form. The effect of particle volume change due to the spatial change of porosity is taken into account and the extra stress terms in the momentum equation are approximated by using Ergun's equation and the Sub‐Particle Scale (SPS) model to represent the drag and turbulence effects, respectively. Four benchmark test cases covering a range of flow scenarios are simulated to examine the influence of the porous boundary on the internal, interface and external flow. The capacity of the modified SPH model to predict velocity distributions and water surface behaviour is fully examined with a focus on the flow conditions at the interfacial boundary between the overlying free flow and the underlying porous media

Pdf's of Derivatives and Increments for Decaying Burgers Turbulence

A Lagrangian method is used to show that the power-law with a -7/2 exponent in the negative tail of the pdf of the velocity gradient and of velocity increments, predicted by E, Khanin, Mazel and Sinai (1997 Phys. Rev. Lett. 78, 1904) for forced Burgers turbulence, is also present in the unforced case. The theory is extended to the second-order space derivative whose pdf has power-law tails with exponent -2 at both large positive and negative values and to the time derivatives. Pdf's of space and time derivatives have the same (asymptotic) functional forms. This is interpreted in terms of a "random Taylor hypothesis".Comment: LATEX 8 pages, 3 figures, to appear in Phys. Rev.

Viscous Instanton for Burgers' Turbulence

We consider the tails of probability density functions (PDF) for different characteristics of velocity that satisfies Burgers equation driven by a large-scale force. The saddle-point approximation is employed in the path integral so that the calculation of the PDF tails boils down to finding the special field-force configuration (instanton) that realizes the extremum of probability. We calculate high moments of the velocity gradient $\partial_xu$ and find out that they correspond to the PDF with $\ln[{\cal P}(\partial_xu)]\propto-(-\partial_xu/{\rm Re})^{3/2}$ where ${\rm Re}$ is the Reynolds number. That stretched exponential form is valid for negative $\partial_xu$ with the modulus much larger than its root-mean-square (rms) value. The respective tail of PDF for negative velocity differences $w$ is steeper than Gaussian, $\ln{\cal P}(w)\sim-(w/u_{\rm rms})^3$, as well as single-point velocity PDF $\ln{\cal P}(u)\sim-(|u|/u_{\rm rms})^3$. For high velocity derivatives $u^{(k)}=\partial_x^ku$, the general formula is found: $\ln{\cal P}(|u^{(k)}|)\propto -(|u^{(k)}|/{\rm Re}^k)^{3/(k+1)}$.Comment: 15 pages, RevTeX 3.

Phase Space Reduction and the Instanton Crossover in (1+1)-Dimensional Turbulence

We study (1+1)-dimensional turbulence in the framework of the Martin-Siggia-Rose field theory formalism. The analysis is focused on the asymptotic behaviour at the right tail of the probability distribution function (pdf) of velocity differences, where shock waves do not contribute. A BRS-preserving scheme of phase space reduction, based on the smoothness of the relevant velocity fields, leads to an effective theory for a few degrees of freedom. The sum over fluctuations around the instanton solution is written as the expectation value of a functional of the time-dependent physical fields, which evolve according to a set of Langevin equations. A natural regularization of the fluctuation determinant is provided from the fact that the instanton dominates the action for a finite time interval. The transition from the turbulent to the instanton dominated regime is related to logarithmic corrections to the saddle-point action, manifested on their turn as multiplicative power law corrections to the velocity differences pdf.Comment: The revised version contains more detailed discussions on some technical point

Universality of Velocity Gradients in Forced Burgers Turbulence

It is demonstrated that Burgers turbulence subject to large-scale white-noise-in-time random forcing has a universal power-law tail with exponent -7/2 in the probability density function of negative velocity gradients, as predicted by E, Khanin, Mazel and Sinai (1997, Phys. Rev. Lett. 78, 1904). A particle and shock tracking numerical method gives about five decades of scaling. Using a Lagrangian approach, the -7/2 law is related to the shape of the unstable manifold associated to the global minimizer.Comment: 4 pages, 2 figures, RevTex4, published versio