Efficient simulation of general stochastic hybrid systems

General Stochastic Hybrid System (SHS) are characterised by Stochastic Differential Equations (SDEs) with discontinuities and Poisson jump processes. SHS are useful in model based design of Cyber-Physical System (CPS) controllers under uncertainty. Industry standard model based design tools such as Simulink/Stateflow® are inefficient when simulating, testing, and validating SHS, because of dependence on fixed-step Euler–Maruyama (EM) integration and discontinuity detection. We present a novel efficient adaptive step-size simulation/integration technique for general SHSs modelled as a network of Stochastic Hybrid Automatons (SHAs). We propose a simulation algorithm where each SHA in the network executes synchronously with the other, at an integration step-size computed using adaptive step-size integration. Ito’ multi-dimensional lemma and the inverse sampling theorem are leveraged to compute the integration step-size by making the SDEs and Poisson jump rate integration dependent upon discontinuities. Existence and convergence analysis along with experimental results show that the proposed technique is substantially faster than Simulink/Stateflow®when simulating general SHSs.     

Asymptotic behavior of basic contact process with rapid stirring

In this paper we consider the basic contact process with infection rate λ and stirring rateD. We study the asymptotic behavior of the critical value and survival probability asD→∞.     

Covering with blocks in the non-symmetric case

Considering an infinite string of i.i.d. random letters drawn from a finite alphabet we define the cover timeW _n as the number of random letters needed until each pattern of lenghtn appears at least once as a substring. Sharp weak and a.s. limit results onW _n are known in the symmetric case, i.e., when the random letters are uniformly distributed over the alphabet. In this paper we determine the limit distribution ofW _n in the nonsymmetric case asn. Generalizations in terms of point processes are also proved.Dedicated to Endre Csáki on his 60th birthday.     

Stochastic phase lockings in a relaxation oscillator forced by a periodic input with additive noise: A first-passage-time approach

Noise effects on phase lockings in a system consisting of a piecewise-linear van der Pol relaxation oscillator driven by a periodic input are studied. The problem of finding the period of the oscillator is reduced to the first-passage-time problem of the Ornstein-Uhlenbeck process with time-varying boundary. The probability density functions of the first-passage time are used to define the operator which governs a transition of an input phase density after one cycle of the oscillator. Phase lockings in a stochastic sense are investigated on the basis of the density evolution by the operator.     

A law of the iterated logarithm for processes with independent increments

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Rate conservation laws: A survey

We survey the rate conservation law, RCL for short, arising in queues and related stochastic models. RCL was recognized as one of the fundamental principles to get relationships between time and embedded averages such as the extended Little's formulaH=G, but we show that it has other applications. For example, RCL is one of the important techniques for deriving equilibrium equations for stochastic processes. It is shown that the various techniques, including Mecke's formula for a stationary random measure, can be formulated as RCL. For this purpose, we start with a new definition of the rate with respect to a random measure, and generalize RCL by using it. We further introduce the notion of quasi-expectation, which is a certain extension of the ordinary expectation, and derive RCL applicable to the sample average results. It means that the sample average formulas such asH=G can be obtained as the stationary RCL in the quasi-expectation framework. We also survey several extensions of RCL and discuss examples. Throughout the paper, we would like to emphasize how results can be easily obtained by using a simple principle, RCL.     

Exact results for the asymmetric simple exclusion process with a blockage

We present new results for the current as a function of transmission rate in the one-dimensional totally asymmetric simple exclusion process (TASEP) with a blockage that lowers the jump rate at one site from one tor<1. Exact finitevolume results serve to bound the allowed values for the current in the infinite system. This proves the existence of a nonequilibrium phase transition, corresponding to an immiscibility gap in the allowed values of the asymptotic densities which the infinite system can have in a stationary state. A series expansion inr, derived from the finite systems, is proven to be asymptotic for all sufficiently large systems. Padé approximants based on this series, which make specific assumptions about the nature of the singularity atr=1, match numerical data for the infinite system to 1 part in 10⁴.     

Diffusion on the torus for Hamiltonian maps

For a mapping of the torusT ² we propose a definition of the diffusion coefficientD suggested by the solution of the diffusion equation ofT ². The definition ofD, based on the limit of moments of the invariant measure, depends on the set where an initial uniform distribution is assigned. For the algebraic automorphism of the torus the limit is proved to exist and to have the same value for almost all initial sets in the subfamily of parallelograms. Numerical results show that it has the same value for arbitrary polygons and for arbitrary moments.     

The studies of the effect of photostimulated changes in thin carbon films

Photostimulated changes in thin carbon films deposited onto fused silica substrates by reactive magnetron sputtering and irradiated by the light of the first (1060nm) and the second (530nm) harmonics of a QW-switched Nd³⁺ AVG laser were investigated. The changes are supposed to be connected with the reordering of chemical bounds.     

Novel bulk modulus model to estimate stiffness in fluid power systems

A precise evaluation of the bulk modulus is essential for the efficient simulation and accurate design of hydraulic circuits. The compression and dissolution of air bubbles in hydraulic oil can affect the density as well as the effective bulk modulus during corresponding operation. To address this phenomenon, this study presents a novel model for the bulk modulus. The representation does not rely on the tangent or the secant definition of the bulk modulus, but on the assumption of compression as a polytropic process. The results are compared to various experimental studies, showing that the new model can properly reproduce the experimental data. In addition, a model based on new bulk modulus and a model based on a commercial software are used for the simulation of four-chamber cylinder in digital fluid power circuits. These simulations verify that the LMS model can be reliable though a discrepancy exists in reproducing the position of piston, which will be increased by time.