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Results for “Stochastic differential equations”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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At least 73 records · Page 4
All sourcesNASA NTRSDOE OSTI
NASA NTRS1980

Towards sub-optimal stochastic control of partially observable stochastic systems

The paper deals with a class of multidimensional stochastic control problems with noisy data and bounded controls encountered in aerospace design. The emphasis is on suboptimal design, the optimality being taken in quadratic mean sense. To that effect the problem is viewed as a stochastic version of the Lurie problem known from nonlinear control theory. The main result is a separation theorem (involving a nonlinear Kalman-like filter) suitable for Lurie-type approximations. The theorem allows for discontinuous characteristics. As a byproduct the existence of strong solutions to a class of non-Lipschitzian stochastic differential equations in n dimensions is proved.

Ruzicka, G. J.↗
NASA NTRS1987

A statistical rain attenuation prediction model with application to the advanced communication technology satellite project. Part 2: Theoretical development of a dynamic model and application to rain fade durations and tolerable control delays for fade countermeasures

A dynamic rain attenuation prediction model is developed for use in obtaining the temporal characteristics, on time scales of minutes or hours, of satellite communication link availability. Analagous to the associated static rain attenuation model, which yields yearly attenuation predictions, this dynamic model is applicable at any location in the world that is characterized by the static rain attenuation statistics peculiar to the geometry of the satellite link and the rain statistics of the location. Such statistics are calculated by employing the formalism of Part I of this report. In fact, the dynamic model presented here is an extension of the static model and reduces to the static model in the appropriate limit. By assuming that rain attenuation is dynamically described by a first-order stochastic differential equation in time and that this random attenuation process is a Markov process, an expression for the associated transition probability is obtained by solving the related forward Kolmogorov equation. This transition probability is then used to obtain such temporal rain attenuation statistics as attenuation durations and allowable attenuation margins versus control system delay.

Manning, Robert M.↗
NASA NTRS1988

Stochastic time-optimal control problems

Two types of stochastic time-optimal controls in a one-dimensional setting are considered. Multidimensional problems, in the case of complete state information available and the system modeled by stochastic differential equations, are studied under the formulation of minimizing the expected transient-response time. The necessary condition of optimality is the satisfaction for the value function of a parabolic partial differential equation with boundary conditions. The sufficient condition of optimality is also provided, based on Dynkin's formula. Finally, three examples are given.

Zhang, W.↗
NASA NTRS1990

Performance evaluation of a Doppler radar system for wind shear detection

Nonlinear stochastic differential equations are used to model wind shear, and extended Kalman filters are used to generate state estimates from measurements received from a Doppler radar onboard an aircraft. Likelihood-ratio tests are then used to detect the presence of wind shear. The performance of the system is evaluated by deriving theoretical expressions for the false alarm and miss error probabiilties. The approach uses a Fokker-Planck equation. The overall methodology is general and should be of interest in other applications.

Khalaf, Camille S.↗
NASA NTRS1992

Dynamics of growing interfaces

We propose a stochastic differential equation for the growth of interfaces that is invariant under reparametrization and thus incorporates the change in local time scales resulting from nonlinear distortions. In its most general form, the equation accommodates overhanging configurations and in the nearly planar limit it reduces to previously proposed interface evolution models. The new features are relevant and lead to qualitatively new behavior at long times.

Maritan, Amos↗
NASA NTRS2004

Complexity of life via collective mind

e mind is introduced as a set of simple intelligent units (say, neurons, or interacting agents), which can communicate by exchange of information without explicit global control. Incomplete information is compensated by a sequence of random guesses symmetrically distributed around expectations with prescribed variances. Both the expectations and variances are the invariants characterizing the whole class of agents. These invariants are stored as parameters of the collective mind, while they contribute into dynamical formalism of the agents' evolution, and in particular, into the reflective chains of their nested abstract images of the selves and non-selves. The proposed model consists of the system of stochastic differential equations in the Langevin form representing the motor dynamics, and the corresponding Fokker-Planck equation representing the mental dynamics (Motor dynamics describes the motion in physical space, while mental dynamics simulates the evolution of initial errors in terms of the probability density). The main departure of this model from Newtonian and statistical physics is due to a feedback from the mental to the motor dynamics which makes the Fokker-Planck equation nonlinear. Interpretation of this model from mathematical and physical viewpoints, as well as possible interpretation from biological, psychological, and social viewpoints are discussed. The model is illustrated by the dynamics of a dialog.

collective intelligence↗
NASA NTRS2013

A Stochastic Fractional Dynamics Model of Space-time Variability of Rain

Rainfall varies in space and time in a highly irregular manner and is described naturally in terms of a stochastic process. A characteristic feature of rainfall statistics is that they depend strongly on the space-time scales over which rain data are averaged. A spectral model of precipitation has been developed based on a stochastic differential equation of fractional order for the point rain rate, that allows a concise description of the second moment statistics of rain at any prescribed space-time averaging scale. The model is thus capable of providing a unified description of the statistics of both radar and rain gauge data. The underlying dynamical equation can be expressed in terms of space-time derivatives of fractional orders that are adjusted together with other model parameters to fit the data. The form of the resulting spectrum gives the model adequate flexibility to capture the subtle interplay between the spatial and temporal scales of variability of rain but strongly constrains the predicted statistical behavior as a function of the averaging length and times scales. We test the model with radar and gauge data collected contemporaneously at the NASA TRMM ground validation sites located near Melbourne, Florida and in Kwajalein Atoll, Marshall Islands in the tropical Pacific. We estimate the parameters by tuning them to the second moment statistics of radar data. The model predictions are then found to fit the second moment statistics of the gauge data reasonably well without any further adjustment.

TRMM↗
DOE OSTI2025

The Stochastic Gause Predator-Prey model: Noise-induced extinctions and invariance

We consider the Gause predator-prey with general bounded or sub‑linear functional responses, – which includes those of Holling types Ⅰ–Ⅳ. – and multiplicative Gaussian noise. In contrast to previous studies, the prey in our model follows logistic dynamics while the predator's population is solely regulated by consumption of the prey. To ensure well-posedeness, we derive explicit Lyapunov‐type criteria ensuring global positivity and moment boundedness of solutions. We find conditions for noise‑induced extinctions, proving that stochasticity can drive either population to collapse even when the deterministic analogue predicts stable coexistence. In the case when the predator becomes extinct, we establish a limiting distribution for the predator's population. Last, for functional responses of Holling type Ⅰ, we provide sufficient conditions on the intensity of the noise for the existence and uniqueness of a stationary distribution.

Gause model↗
NASA NTRS2019

A Fast Monte Carlo Method for Model-Based Prognostics Based on Stochastic Calculus

This work proposes a fast Monte Carlo method to solve differential equations utilized in model-based prognostics. The methodology is derived from the theory of stochastic calculus, and the goal of such a method is to speed up the estimation of the probability density functions describing the independent variable evolution over time. In the prognostic scenarios presented in this paper, the stochastic differential equations describe variables directly or indirectly related to the degradation of a monitored system. The method allows the estimation of the probability density functions by solving the deterministic equation and approximating the stochastic integrals using samples of the model noise. By so doing, the prognostic problem is solved without the Monte Carlo simulation based on Euler's forward method, which is typically the most time consuming task of the prediction stage. Three different prognostic scenarios are presented as proof of concept: (i) life prediction of electrolytic capacitors, (ii) remaining time to discharge of Lithium-ion batteries, and (iii) prognostic of cracked structures under fatigue loading. The paper shows how the method produces probability density functions that are statistically indistinguishable from the distributions estimated with Euler's forward Monte Carlo simulation. However, the proposed solution is orders of magnitude faster when computing the time-to-failure distribution of the monitored system. The approach may enable complex real-time prognostics and health management solutions with limited computing power.

stochastic calculus↗
NASA NTRS2018

A Fast Monte Carlo Method for Model-Based Prognostics Based on Stochastic Calculus

This work proposes a fast Monte Carlo method to solve differential equations utilized in model-based prognostics. The methodology is derived from the theory of stochastic calculus, and the goal of such a method is to speed up the estimation of the probability density functions describing the independent variable evolution over time. In the prognostic scenarios presented in this paper, the stochastic differential equations describe variables directly or indirectly related to the degradation of a monitored system. The method allows the estimation of the probability density functions by solving the deterministic equation and approximating the stochastic integrals using samples of the model noise. By so doing, the prognostic problem is solved without the Monte Carlo simulation based on Euler's forward method, which is typically the most time consuming task of the prediction stage. Three different prognostic scenarios are presented as proof of concept: (i) life prediction of electrolytic capacitors, (ii) remaining time to discharge of Lithium-ion batteries, and (iii) prognostic of cracked structures under fatigue loading. The paper shows how the method produces probability density functions that are statistically indistinguishable from the distributions estimated with Euler's forward Monte Carlo simulation. However, the proposed solution is orders of magnitude faster when computing the time-to-failure distribution of the monitored system. The approach may enable complex real-time prognostics and health management solutions with limited computing power.

Corbetta, M.↗
NASA NTRS2011

Optimal Control via Self-Generated Stochasticity

The problem of global maxima of functionals has been examined. Mathematical roots of local maxima are the same as those for a much simpler problem of finding global maximum of a multi-dimensional function. The second problem is instability even if an optimal trajectory is found, there is no guarantee that it is stable. As a result, a fundamentally new approach is introduced to optimal control based upon two new ideas. The first idea is to represent the functional to be maximized as a limit of a probability density governed by the appropriately selected Liouville equation. Then, the corresponding ordinary differential equations (ODEs) become stochastic, and that sample of the solution that has the largest value will have the highest probability to appear in ODE simulation. The main advantages of the stochastic approach are that it is not sensitive to local maxima, the function to be maximized must be only integrable but not necessarily differentiable, and global equality and inequality constraints do not cause any significant obstacles. The second idea is to remove possible instability of the optimal solution by equipping the control system with a self-stabilizing device. The applications of the proposed methodology will optimize the performance of NASA spacecraft, as well as robot performance.

Zak, Michail↗
NASA NTRS1973

A guidance and navigation system for continuous low thrust vehicles

A midcourse guidance and navigation system for continuous low thrust vehicles is described. A set of orbit elements, known as the equinoctial elements, are selected as the state variables. The uncertainties are modelled statistically by random vector and stochastic processes. The motion of the vehicle and the measurements are described by nonlinear stochastic differential and difference equations respectively. A minimum time nominal trajectory is defined and the equation of motion and the measurement equation are linearized about this nominal trajectory. An exponential cost criterion is constructed and a linear feedback guidance law is derived to control the thrusting direction of the engine. Using this guidance law, the vehicle will fly in a trajectory neighboring the nominal trajectory. The extended Kalman filter is used for state estimation. Finally a short mission using this system is simulated. The results indicate that this system is very efficient for short missions.

Tse, C. J. C.↗
NASA NTRS1973

A guidance and navigation system for continuous low-thrust vehicles

A midcourse guidance and navigation system for continuous low thrust vehicles was developed. The equinoctial elements are the state variables. Uncertainties are modelled statistically by random vector and stochastic processes. The motion of the vehicle and the measurements are described by nonlinear stochastic differential and difference equations respectively. A minimum time trajectory is defined; equations of motion and measurements are linearized about this trajectory. An exponential cost criterion is constructed and a linear feedback quidance law is derived. An extended Kalman filter is used for state estimation. A short mission using this system is simulated. It is indicated that this system is efficient for short missions, but longer missions require accurate trajectory and ground based measurements.

Jack-Chingtse, C.↗
NASA NTRS1974

Offset quadrature communications with decision-feedback carrier synchronization

In order to accommodate a quadrature amplitude-shift-keyed (QASK) signal, Simon and Smith (1974) have modified the decision-feedback loop which tracks a quadrature phase-shift-keyed (QPSK). In the investigation reported approaches are considered to modify the loops in such a way that offset QASK signals can be tracked, giving attention to the special case of an offset QPSK. The development of the stochastic integro-differential equation of operation for a decision-feedback offset QASK loop is discussed along with the probability density function of the phase error process.

Simon, M. K.↗
DOE OSTI2026

Semi-Analytical Hierarchical Bayesian Inference of Nonlinear Model Structure in Stochastic Dynamics: Applied to Compartmental Models of Infectious Diseases

A Bayesian computational framework for parsimonious inference in stochastic nonlinear dynamical systems is presented. This framework enables the concurrent estimation of system states, time-varying parameters, time-invariant parameters, and the optimal sparsity structure of the model parameters. Because differential equation-based models are often simplified mechanistic or phenomenological representations, robust inference from noisy measurement data requires explicit treatment of model error and uncertainty. Model error and time-varying parameters can be represented as random processes, enabling inference while making minimal assumptions about the underlying sources of discrepancy and variability. Adopting stochastic differential equation representations affords the model significant flexibility, but can also render it susceptible to overfitting during statistical inversion, where the inferred model may track noise rather than the underlying signal. To alleviate the effects of overfitting and to enable the discovery of the optimal sparse representation of the time-invariant parameters, a Bayesian sparse learning algorithm is embedded within the framework. This sparse learning framework adopts an approximate hierarchical Bayesian setting defined by a series of semi-analytical expressions. The model structure inference framework is validated using a stochastic compartmental model for tracking and forecasting active cases of an infectious disease. Compartmental models describe population-level infectious disease dynamics through interactions among population fractions grouped by disease state. Mathematically, such models consist of a system of coupled ordinary differential equations. This example adopts an expressive compartmental model that includes multiple possible interactions between disease states, motivated by early uncertainty surrounding COVID-19 reinfection dynamics and their implications for long-term epidemic forecasting. The sparse learning exercise permits the inference of a priori unknown epidemiological dynamics from simulated public health data, discovering the nested compartmental model that optimizes the trade-off between average data-fit and model complexity. It is shown that inducing sparsity among the model parameters eliminates redundant interactions between compartments, equivalently revealing the optimal coupling structure between differential equations.

97 MATHEMATICS AND COMPUTING↗
NASA NTRS1972

Nonlinear filtering for random signals in statistically unknown noise.

Natural and effective formulation of the filtering problem involved in satellite orbit determination, aircraft navigation, and missile tracking. The problem arises because the environment of the sensor keeps changing from time to time, and it is quite impractical and sometimes impossible to collect the statistical data of the noise incurred in the observation. Computable filtering equations are deduced. The idea of invariant imbedding along with stochastic differential calculus is used to derive differential equations for the optimal estimate.

Loo, J. T.↗