随机游走概率密度函数的一种推导方法

随机游走模型是一类经典的物理模型,能应用在诸多物理场景之中,甚至在很多其他领域也能找到它的身影.但一般教材中对这个问题的计算较为复杂,或使用到过于高深的数学工具,或使用了没有必要引入的近似.本文在多步数的近似之下,应用中心极限定理,推导出随机游走问题在某一方向分量的概率密度函数.接着利用随机游走问题的球对称性和上一步中得到的结果,推导出径向的概率密度分布函数.     

随机共振研究进展

全面介绍了随机共振的概念、机理、理论和实验研究的主要进展及研究现状，对随机共振研究的可能应用也做了富有建设意义的展望性介绍。     

两相湍流统一色噪声法概率密度函数模型

统一色噪声近似方法对简单一维色噪声问题研究较为充分, 本文将统一色噪声法应用到高度复杂的多维气固两相湍流系统之中.首先从颗粒运动Langevin方程出发, 利用统一色噪声法获得两相湍流Fokker-Planck方程, 然后以此为基础建立颗粒轨道两阶矩模型.文中建立的新模型成功应用于后台阶两相湍流流场的数值模拟, 预报合理正确.研究表明, 对于多维两相湍流系统, 统一色噪声法仍然行之有效.     

含记忆阻尼函数的周期势系统随机共振

研究了外部周期信号和内部噪声共同激励下,含记忆阻尼函数的周期势系统的随机共振.针对具有多稳态特征的周期势系统,推导出适用于一般多稳态模型的系统响应振幅和功率谱放大因子.研究结果表明,功率谱放大因子随温度的变化曲线出现单峰,说明含记忆阻尼函数的周期势系统存在随机共振现象,并且系统的记忆特性和稳态点数量对共振行为有着显著影响.此外,利用随机能量法进一步分析了系统的随机共振现象,发现共振效应随着记忆时间的增加先减弱再增强.在适当的温度条件下,存在最优记忆时间可以最大化外部周期力对系统所做的功.     

基于Laguerre多项式逼近法的随机双势阱Duffing系统的分岔和混沌研究

应用Laguerre正交多项式逼近法研究了含有随机参数的双势阱Duffing系统的分岔和混沌行为.系统参数为指数分布随机变量的非线性动力系统首先被转化为等价的确定性扩阶系统，然后通过数值方法求得其响应.数值模拟结果的比较表明，含有随机参数的双势阱Duffing系统保持着与确定性系统相类似的倍周期分岔和混沌行为，但是由于随机因素的影响，在局部小区域内随机参数系统的动力学行为会发生突变. 关键词： 双势阱Duffing系统 指数分布概率密度函数 Laguerre多项式逼近 随机分岔     

过阻尼搓板势系统的随机共振

研究在周期信号和高斯白噪声共同作用下过阻尼搓板势系统的随机共振.由于用直接模拟法研究随机系统所用时间较多,考虑用半解析的方法对系统的随机共振现象进行研究.在弱周期信号极限下,结合线性响应理论和扰动展开法提出一种计算系统线性响应的矩方法.在此基础上,利用Floquet理论和非扰动展开法将矩方法扩展到系统非线性响应的计算.通过直接数值模拟结果和矩方法所得结果的比较展示了矩方法的有效性并采用均方差作为量化指标给出其适用的参数范围.研究结果表明,以系统的功率谱放大因子作为量化指标,发现在适当的参数条件下,系统的共振曲线有一个单峰出现,说明过阻尼搓板势系统存在随机共振现象.而且在一定范围内调节偏置参数时,共振曲线的峰值随偏置参数的增大而增大;在调节驱动幅值时,随机共振效应随驱动幅值的增大而增强.     

非线性系统随机过程对初始条件的敏感性

将作者所提出的基于混沌展开的动态自适应小波随机数值模拟方法进一步发展应用于对非线性随机对流-扩散Burgers方程的数值分析。不仅进一步显示了其各求解分量拥有独立的自适应小波网格特点,同时也为随机系统对干扰的敏感性分析:敏感区及其随时间的演变,提供了一个直接可应用的有效方法。数值实验的结果进一步验证了非线性系统对初始条件的敏感性,并初步揭示了输入扰动向高梯度区演变的规律。     

随机Bonhoeffer-Van der Pol系统的随机混沌控制

讨论了具有有界随机参数的随机Bonhoeffer-Van der Pol系统的随机混沌现象，并利用噪声对其进行控制.首先运用Chebyshev多项式逼近的方法，将随机Bonhoeffer-Van der Pol系统转化为等价的确定性系统，使原系统的随机混沌控制问题转换为等价的确定性系统的确定性混沌控制问题，继而可用Lyapunov指数指标来研究等价确定性系统的确定性混沌现象和控制问题.数值结果表明，随机Bonhoeffer-Van der Pol系统的随机混沌现象与相应的确定性Bonhoeffer-Van der Pol系统极为相似.利用噪声控制法可将混沌控制到周期轨道，但是在随机参数及其强度的影响下也呈现出一些特点.     

随机参数Duffing系统中的随机混沌及其延迟反馈控制

研究了谐和激励下含有界随机参数Duffing系统(简称随机Duffing系统)中的随机混沌及其延迟反馈控制问题.借助Gegenbauer多项式逼近理论，将随机Duffing系统转化为与其等效的确定性非线性系统.这样，随机Duffing系统在谐和激励下的混沌响应及其控制问题就可借等效的确定性非线性系统来研究.分析阐明了随机混沌的主要特点，并采用Wolf算法计算等效确定性非线性系统的最大Lyapunov指数，以判别随机Duffing系统的动力学行为.数值计算表明，恰当选取不同的反馈强度和延迟时间，可分别达到抑制或诱发系统混沌的目的，说明延迟反馈技术对随机混沌控制也是十分有效的. 关键词： 随机Duffing系统 延迟反馈控制 随机混沌 Gegenbauer多项式     

双稳系统随机共振的能量输入机理

从布朗粒子运动所遵循的Langevin方程出发，分析了周期性外力提供给布朗粒子的瞬时功率和平均功率．揭示了双稳系统随机共振的能量输入机理．理论分析与数值仿真结果表明，布朗粒子吸收的瞬时功率随时间作周期性变化，其变化的频率是周期性外力的2倍，而其幅值和均值的大小都受控于噪声强度．改变布朗粒子所处热环境的参数，能有效地控制周期性外力的能量输入形式．     

Analysis of some large-scale nonlinear stochastic dynamic systems with subspace-EPC method

The probabilistic solutions to some nonlinear stochastic dynamic (NSD) systems with various polynomial types of nonlinearities in displacements are analyzed with the subspace-exponential polynomial closure (subspace-EPC) method. The space of the state variables of the large-scale nonlinear stochastic dynamic system excited by Gaussian white noises is separated into two subspaces. Both sides of the Fokker-Planck-Kolmogorov (FPK) equation corresponding to the NSD system are then integrated over one of the sub...     

Steady-state probability density function in wave turbulence under large volume limit

We investigate the possibility for two-mode probability density function(PDF) to have a non-zero flux steady state solution.We take the large volume limit so that the space of modes becomes continuous.It is shown that in this limit all the steady-state two-or higher-mode PDFs are the product of one-mode PDFs.The flux of this steady-state solution turns out to be zero for any finite mode PDF.     

基于参数展开的同伦分析法在强非线性随机动力系统中的应用

将基于参数展开的同伦分析法(PE-HAM)进行了推广，使之适用于谐和激励与随机噪声联合作用下的强非线性随机动力系统. 通过构造合适的同伦映射，将对强非线性随机动力系统响应的求解转化为对一组线性随机微分方程的求解. 进一步研究了受到谐和与Gauss白噪声激励的强非线性Duffing振子，由PE-HAM得到了该系统的解过程和稳态概率密度的解析表达式. 数值模拟的结果说明了PE-HAM方法的精确性. 关键词： PE-HAM方法 强非线性随机动力系统 稳态概率密度 解过程 随机激励     

随机扩散模型一种新的密度函数统计方法

引入核函数法对随机扩散方程（SDE）样本的密度分布进行统计,希望用核函数来减少统计涨落。由于SDE样本的密度随时间发展,越来越稀疏,所以核函数也应该越来越大,也就是说核函数应该随时间在变化。通过一个瞬时释放的二维扩散问题（具有解析解）,从定性和定量两个角度比较了变带宽核函数法和传统统计方法在密度分布统计中的性能差别,论述了变带宽核函数法的优缺点,变带宽核函数法在牺牲部分峰值的前提下可以很好地解决SDE样本密度分布统计涨落问题,在工程应用中值得推广。     

Mathematical problems of modeling stochastic nonlinear dynamic systems

The purpose of this report is to introduce the engineer to the area of stochastic differential equations, and to point out the mathematical techniques and pitfalls in this area. Topics discussed include continuous-time Markov processes, the Fokker-Planck-Kolmogorov equations, the Ito and Stratonovich stochastic calculi, and the problem of modeling physical systems.     

The generating functional for the probability density functions of Navier-Stokes turbulence

A generating functional for the equal-time spatial probability density functions which represent the ensemble of turbulent incompressible Navier-Stokes fluids is introduced. By formally solving the linear evolution equation satisfied by this functional, the probability densities are represented as functional integrals. It is shown that the generating functional can be regarded as the space characteristic functional of a generalized random field defined on the phase space spanned by the material position and velocity fields of a fluid particle. The interpretation of this random field, which satisfies a dynamical equation similar to Vlasov's, is clarified through the formal analogies between the statistics of molecules and fluid particles at the functional level. A class of statistically realizable and solvable models is also considered within the context of the present formalism.     

谐振子的概率密度、概率流密度与时间的关系

以一维线性谐振子为例,对非定态情况,通过数值计算给出了不同时间的概率密度和概率流密度分布,并且讨论了概率密度和概率流密度随时间的变化的基本特征.     

Multi-environment probability density function method for modelling turbulent combustion using realistic chemical kinetics

A computational fluid dynamics (CFD) tool for performing turbulent combustion simulations that require finite-rate chemistry is developed and tested by modelling a series of bluff-body stabilized flames that exhibit different levels of finite-rate chemistry effects ranging from near equilibrium to near global extinction. The new modelling tool is based on the multi-environment probability density function (MEPDF) methodology and combines the following: the direct quadrature method of moments (DQMOM); the interaction-by-exchange-with-the-mean (IEM) mixing model; and realistic combustion chemistry. Using DQMOM, the MEPDF model can be derived from the transport PDF equation by depicting the joint composition PDF as a weighted summation of a finite number of multi-dimensional Dirac delta functions in the composition space. The MEPDF method with multiple reactive scalars retains the unique property of the joint PDF method of treating chemical reactions exactly. However, unlike the joint PDF methods that typically must resort to particle-based Monte-Carlo solution schemes, the MEPDF equations (i.e. the transport equations of the weighted delta-peaks) can be solved by traditional Eulerian grid-based techniques. In the current study, a pseudo time-splitting scheme is adopted to solve the MEPDF equations; the reaction source terms are computed with a highly efficient and accurate in-situ adaptive tabulation (ISAT) algorithm. A 19-species reduced mechanism based on quasi-steady state assumptions is used in the simulations of the bluff-body flames. The modelling results are compared with the experimental data, including mixing, temperature, major species and important minor species such as CO and NO. Compared with simulations using a Monte-Carlo joint PDF method, the new approach shows comparable accuracy.     

A probability density function of liftoff velocities in mixed-size wind sand flux

With the discrete element method (DEM), employing the diameter distribution of natural sands sampled from the Tengger Desert, a mixed-size sand bed was produced and the particle-bed collision was simulated in the mixed-size wind sand movement. In the simulation, the shear wind velocity, particle diameter, incident velocity and incident angle of the impact sand particle were given the same values as the experimental results. After the particle-bed collision, we collected all the initial velocities of rising sand particles, including the liftoff angular velocities, liftoff linear velocities and their horizontal and vertical components. By the statistical analysis on the velocity sample for each velocity component, its probability density functions were obtained, and they are the functions of the shear wind velocity. The liftoff velocities and their horizontal and vertical components are distributed as an exponential density function, while the angular velocities are distributed as a normal density function. Supported by the Key Project of the National Natural Science Foundation of China (Grant No. 10532040)