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On conditional cuts for Stochastic Dual Dynamic Programming [article]

Wim Van-Ackooij, Xavier Warin
2019 arXiv   pre-print
A popular method is Stochastic Dual Dynamic Programming (SDDP), especially when the dimensionality of the problem is large and Dynamic programming no longer an option.  ...  In this paper we present an alternative based on keeping a functional dependency in the SDDP - cuts related to the conditional expectations in the dynamic programming equations.  ...  The SDDP algorithm with conditional cuts and local base functions In this section we provide the description of our variant of the SDDP algorithm relying on conditional cuts and using local base functions  ... 
arXiv:1704.06205v2 fatcat:frc2dcbkrjek7c4czye7twh7xa

On conditional McKean Lagrangian stochastic models

Mireille Bossy, Jean-François Jabir, Denis Talay
2010 Probability theory and related fields  
As the dynamics of the velocity depends on the conditional expectation with respect to its position, the interaction kernel is singular.  ...  We prove existence and uniqueness of the solution to the system by solving a nonlinear martingale problem and showing that the corresponding interacting particle system propagates chaos.  ...  A brief description of Lagrangian stochastic models for turbulent flows We start this section with a short reminder on the notion of statistical solutions to the Navier-Stokes equations for turbulent flows  ... 
doi:10.1007/s00440-010-0301-z fatcat:nxbjc3ymg5fvvorriiju5yekuu

Conditional Variational AutoEncoder based on Stochastic Attack [article]

Gabriel Zaid, Lilian Bossuet, Mathieu Carbone, Amaury Habrard, Alexandre Venelli
2022 IACR Cryptology ePrint Archive  
theoretical results make the construction of appropriate models a notoriously hard problem.  ...  Based on theoretical results, we develop the first generative model, called Conditionnal Variational AutoEncoder based on Stochastic Attacks (cVAE-SA), designed from the well-known Stochastic Attacks,  ...  Overview of this work A short description of stochastic attacks [18] .  ... 
dblp:journals/iacr/ZaidBCHV22 fatcat:b3bnkddhzza57aubo4phjmqqcm

Stochastic population forecasts based on conditional expert opinions

F. C. Billari, R. Graziani, E. Melilli
2011 Journal of the Royal Statistical Society: Series A (Statistics in Society)  
Expert opinions are elicited as conditional on the realization of scenarios, in a two-step (or multiple-step) fashion.  ...  The paper develops and applies an expert-based stochastic population forecasting method, which can also be used to obtain a probabilistic version of scenario-based official forecasts.  ...  Acknowledgements We are grateful to Marco Marsili of ISTAT, for providing us with information on ISTAT projections and comments.  ... 
doi:10.1111/j.1467-985x.2011.01015.x pmid:22879704 pmcid:PMC3412228 fatcat:ermeffeljvcbbluvmpb7s63ku4

Super-Brownian motion conditioned on the total mass

Laurent Serlet
2005 Stochastic Processes and their Applications  
tree conditioned on the number of its vertices.  ...  We study the super-Brownian motion ðX t Þ conditioned on the total mass Z ¼ R þ1 0 X t ð1Þ dt as the continuous limit of a system of branching trajectories which genealogical structure is a Galton-Watson  ...  Note that the description of the law of the jumps over ½0; m of a ð 1 2 Þ-stable subordinator t conditioned on t m ¼ Z can be found in the literature.  ... 
doi:10.1016/ fatcat:jz3phbcxr5c25if6hc43ofzc44

An impact of stochastic dynamic boundary conditions on the evolution of the Cahn-Hilliard system [article]

Desheng Yang, Jinqiao Duan
2006 arXiv   pre-print
The purpose of this paper is to study possible impacts of stochastic dynamic boundary conditions on the long term dynamics of the Cahn-Hilliard equation arising in the materials science.  ...  Sometimes the noise enters the system through physical boundaries and this leads to stochastic dynamic boundary conditions.  ...  aim of this paper is study the possible impact of the stochastic dynamic boundary condition on the overall evolution of the stochastic Cahn-Hilliard equation (1.5) .  ... 
arXiv:math/0608133v1 fatcat:mb3ffnjsrvc7ph3gbcyri2cfge

Prescribing transient and asymptotic behaviour of non-linear systems with stochastic initial conditions

M. Dresscher, B. Jayawardhana
2017 2017 IEEE 56th Annual Conference on Decision and Control (CDC)  
The efficacy of the proposed controller design is shown on the control of robotic manipulator.  ...  In this control problem, the control objectives are two-folds: (i). the closed-loop system attains a minimum cumulative distribution over a prescribed containment set at the end of transient time; and  ...  ACKNOWLEDGEMENT The authors would like to thank R. Reyes-Báez from the Johann Bernoulli Institute for Mathematics and Computer Science, for his insights on the controller application.  ... 
doi:10.1109/cdc.2017.8263935 dblp:conf/cdc/DresscherJ17 fatcat:agvsoshygzfdnk7hvpetvyupnu

Competitive or weak cooperative stochastic Lotka–Volterra systems conditioned on non-extinction

Patrick Cattiaux, Sylvie Méléard
2009 Journal of Mathematical Biology  
This population is described by a stochastic Lotka-Volterra system, obtained as limit of renormalized interacting birth and death processes.  ...  We study the existence and uniqueness of a quasi-stationary distribution, that is convergence to equilibrium conditioned to non extinction.  ...  Condition (2.8) reads 0 < c < 1. In this situation λ 12 = λ 11 = λ and both λ and λ 1 depend continuously on c. When c → 0 (near the independent case) we know that ν concentrates on both axes.  ... 
doi:10.1007/s00285-009-0285-4 pmid:19649634 fatcat:u2ms7ice3zflfawujmljxtwcwm

Stochastic optimal power flow based on conditional value at risk and distributional robustness

Tyler Summers, Joseph Warrington, Manfred Morari, John Lygeros
2015 International Journal of Electrical Power & Energy Systems  
Given a probabilistic forecast describing the spatio-temporal variations and dependencies of forecast errors, we formulate a family of stochastic network and device constraints based on convex approximations  ...  Our formulation indicates two broad approaches, based on conditional value and risk and distributional robustness, that provide alternatives to existing methods based on chance and robust constraints.  ...  Summers is partially supported by the ETH Zurich Postdoctoral Fellowship Program.  ... 
doi:10.1016/j.ijepes.2015.02.024 fatcat:tsqrqsn4fzh3hngkst6fsdwelm

Analysing systemic risk contribution using a closed formula for conditional value at risk through copula

Brice Hakwa, Manfred Jäger-Ambrożewicz, Barbara Rüdiger
2015 Communications on Stochastic Analysis  
One of the main tools that has been proposed for this purpose is the risk measure ∆CoV aR of Adrian and Brunnermeier in [2] .  ...  The main challenge by the analysis and the regulation of systemic risk is the measurement of the adverse financial effect that the bankruptcy of one single financial institution can cause to the financial  ...  The last are slights of a talk in the web page of the conference "Stochastic Analysis and Applications from June 4 -June 8, 2012 in the Bernouille Center of EPFL in Lausanne", accessible only to the participants  ... 
doi:10.31390/cosa.9.1.08 fatcat:h7iy5rbxtza4xivqagpkh4yaiq

A Stochastic Precipitation Generator Conditioned on ENSO Phase: A Case Study in Southeastern South America

Martin O. Grondona, Guillermo P. Podestá, Mario Bidegain, Monica Marino, Hugo Hordij
2000 Journal of Climate  
Stochastic precipitation generators conditioned on the ENSO phase were developed to address this problem.  ...  To address this problem, stochastic precipitation generators conditioned on ENSO phase were developed.  ... 
doi:10.1175/1520-0442(2000)013<2973:aspgco>;2 fatcat:u5o2pswehfdftg3qe5g2z5yspu

SSALeaping: efficient leap condition based direct method variant for the stochastic simulation of chemical reacting system

Davide Cangelosi
2010 Proceedings of the 3rd International ICST Conference on Simulation Tools and Techniques  
We compare SSAL with one of the most known and efficient τ -leaping methods, named Modified τ -leaping.  ...  In this paper, we propose a new variant of the stochastic simulation algorithm, that we call SSAL, which lays in the middle between the Gillespie's Direct Method and a τ -leaping.  ...  However, the τ -leaping overcomes the problem ground on a condition of the reactions activity, called Leap Condition.  ... 
doi:10.4108/icst.simutools2010.8665 dblp:conf/simutools/Cangelosi10 fatcat:p53fuey7fzcxpozkoi6atfh3z4

Stochastic independence, algebraic independence and abstract connectedness

František Matúš
1994 Theoretical Computer Science  
., Stochastic independence, algebraic independence and abstract connectedness, Theoretical Computer Science 134 (1994) 455-471.  ...  Mutual stochastic independences among u-algebras and mutual algebraic independences among elements of semimodular lattices are observed to have a very similar behaviour.  ...  Acknowledgement I owe a great debt of gratitude to M. Studeny and R. JirouSek who contributed many suggestions and comments concerning the final form of the paper.  ... 
doi:10.1016/0304-3975(94)90248-8 fatcat:w7nq7mumxjdync63yltml2xpsy

Predictions of the cycle-to-cycle aerodynamic loads on a yawed wind turbine blade under stalled conditions using a 3D empirical stochastic model

2016 Journal of Physics, Conference Series  
This paper investigates a new approach to model the stochastic variations in the aerodynamic loads on yawed wind turbines experienced at high angles of attack.  ...  The model is an important step towards verification of several assumptions characterized as the estimated standard deviation, Gaussian white noise of the data and the estimated drift and diffusion coefficients  ...  technique is mainly based on the use of random numbers to analyze problems of interest.  ... 
doi:10.1088/1742-6596/753/2/022035 fatcat:rwa5q5ofcbfopmmum34czfsuuy

On stochastic stability of regional ocean models to finite-amplitude perturbations of initial conditions

Leonid M. Ivanov, Peter C. Chu
2007 Dynamics of atmospheres and oceans (Print)  
the data needed, and completing and reviewing the collection of information.  ...  Public reporting burden for the collection of information is estimated to average 1 hour per response, including the time for reviewing instructions, searching existing data sources, gathering and maintaining  ...  Acknowledgements The authors are grateful to Prof. Catherine Nicolis at the Royal Meteorological Institute of Belgium for constructive discussion on the stochastic concept of model predictability.  ... 
doi:10.1016/j.dynatmoce.2007.03.001 fatcat:4zu57kpwqjaxlefbebz7wrdvlu
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