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Predictor-corrector methods for a linear stochastic oscillator with additive noise
predictor-corrector method linear stochastic oscillator symplecticity stochastic Hamil-tonian system second moment mean-square convergence
2012/8/7
The predictor-corrector methods P(EC)k with equidistant discretization are applied to the nu-
merical integration of a linear stochastic oscillator. Their ability in preserving the symplecticity, the...
First Order Convergence Analysis for Sparse Grid Method in Stochastic Two-Stage Linear Optimization Problem
Convergence Analysis Stochastic Optimization Scenario Generation Convex Analysis Measure Theory
2013/1/30
Stochastic two-stage linear optimization is an important and widely used optimization model. Efficiency of numerical integration of the second stage value function is critical. However, the second sta...
On the computational complexity of stochastic controller optimization in POMDPs
Partially observable Markov decision process stochastic controller bilinear program computational complexity Motzkin-Straus theorem
2011/10/8
Abstract: We show that the problem of finding an optimal stochastic 'blind' controller in a Markov decision process is an NP-hard problem. The corresponding decision problem is NP-hard, in PSPACE, and...
The improved split-step backward Euler method for stochastic differential delay equations
split-step backward Euler method strong convergence one-sided Lipschitz condition exponential mean-square stability
2011/8/24
Abstract: A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be ...
Self-Consistent Stochastic Model Errors in Data Assimilation
37-XX 37-XX 37-XX 86-XX 86-08 46N55
2010/12/28
In using data assimilation to import information from observations to estimate parameters
and state variables of a model, one must assume a distribution for the noise in the measure-
ments and in th...
Stochastic Nonlinear Dynamics of Interpersonal and Romantic Relationships
dyadic relational stochastic resonance sustained oscillation mathematical sociology social psychology
2010/4/8
Current theories from biosocial (e.g.: the role of neurotransmitters in behavioral features), ecological (e.g.: cultural, political, and institutional conditions), and interpersonal (e.g.: attachment)...
Perturbation theory for a stochastic process with Ornstein-Uhlenbeck noise
Noise diffusion annihilation/creationo perators
2010/4/8
The Ornstein-Uhlenbeck process may be used to generate a noise signal with a finite correlation time. If a one-dimensional stochastic process is driven by such a noise source, it may be analysed by so...
Feedback-dependent control of stochastic synchronization in coupled neural systems
Synchronization noise coupling time-delayedfeed-back
2010/4/7
We investigate the synchronization dynamics of two coupled noise-driven FitzHugh-Nagumo systems, representing two neural populations. For certain choices of the noise intensities and coupling strength...
Dispersion and collapse in stochastic velocity fields on a cylinder
Turbulence Lagrangian trajectories Kraichnan ensemble Cylindrical manifolds
2010/4/7
The dynamics of fluid particles on cylindrical manifolds is investigated. The velocity field is obtained by generalizing the isotropic Kraichnan ensemble, and is therefore Gaussian and decorrelated in...
DISCRETIZATION OF JUMP STOCHASTIC DIFFERENTIAL EQUATIONS IN TERMS OFMULTIPLE STOCHASTIC INTEGRALS
2007/12/12
In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization
schemes for stochastic differential equations (SDEs), there appear two
types of multiple stochastic integrals respectively. The...