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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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All sourcesNASA NTRSDOE OSTI
DOE OSTI2019

Model reduction methods for population dynamics with fast-switching environments: Reduced master equations, stochastic differential equations, and applications

Here we study stochastic population dynamics coupled to fast external environments and combine expansions in the inverse switching rate of the environment and a Kramers–Moyal expansion in the inverse size of the population. This leads to a series of approximation schemes, capturing both intrinsic and environmental noise. These methods provide a means of efficient simulation and we show how they can be used to obtain analytical results for the fluctuations of population dynamics in switching environments. We place the approximations in relation to existing work on piecewise-deterministic and piecewise-diffusive Markov processes. Finally, we demonstrate the accuracy and efficiency of these model-reduction methods in different research fields, including systems in biology and a model of crack propagation.

59 BASIC BIOLOGICAL SCIENCES↗
DOE OSTI2020

Physics-Informed Generative Adversarial Networks for Stochastic Differential Equations

We developed a new class of physics-informed generative adversarial networks (PI-GANs) to solve forward, inverse, and mixed stochastic problems in a unified manner based on a limited number of scattered measurements. Unlike standard GANs relying solely on data for training, here we encoded into the architecture of GANs the governing physical laws in the form of stochastic differential equations (SDEs) using automatic differentiation. In particular, we applied Wasserstein GANs with gradient penalty (WGAN-GP) for its enhanced stability compared to vanilla GANs. We first tested WGAN-GP in approximating Gaussian processes of different correlation lengths based on data realizations collected from simultaneous reads at sparsely placed sensors. We obtained good approximation of the generated stochastic processes to the target ones even if there is a mismatch between the input noise dimensionality and the effective dimensionality of the target stochastic processes. We also studied the overfitting issue for both the discriminator and the generator, and we found that overfitting occurs also in the generator in addition to the discriminator as previously reported. Subsequently, we considered the solution of elliptic SDEs requiring approximations of three stochastic processes, namely the solution, the forcing, and the diffusion coefficient. Here again, we assumed data collected from simultaneous reads at a limited number of sensors for the multiple stochastic processes. Furthermore, three generators were used for the PI-GANs: two of them were feed forward deep neural networks (DNNs), while the other one was the neural network induced by the SDE. For the case where we have one group of data, we employed one feed forward DNN as the discriminator, while for the case of multiple groups of data we employed multiple discriminators in PI-GANs. We solved forward, inverse, and mixed problems without changing the framework of PI-GANs, obtaining both the means and the standard deviations of the stochastic solution and the diffusion coefficient in good agreement with benchmarks. In this work, we have demonstrated the effectiveness of PI-GANs in solving SDEs for about 120 dimensions. In principle, PI-GANs could tackle very high dimensional problems given more sensor data with low-polynomial growth in computational cost.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2023

Learning effective stochastic differential equations from microscopic simulations: Linking stochastic numerics to deep learning

We identify effective stochastic differential equations (SDEs) for coarse observables of fine-grained particle- or agent-based simulations; these SDEs then provide useful coarse surrogate models of the fine scale dynamics. We approximate the drift and diffusivity functions in these effective SDEs through neural networks, which can be thought of as effective stochastic ResNets. The loss function is inspired by, and embodies, the structure of established stochastic numerical integrators (here, Euler–Maruyama and Milstein); our approximations can thus benefit from backward error analysis of these underlying numerical schemes. They also lend themselves naturally to “physics-informed” gray-box identification when approximate coarse models, such as mean field equations, are available. Existing numerical integration schemes for Langevin-type equations and for stochastic partial differential equations can also be used for training; we demonstrate this on a stochastically forced oscillator and the stochastic wave equation. Our approach does not require long trajectories, works on scattered snapshot data, and is designed to naturally handle different time steps per snapshot. We consider both the case where the coarse collective observables are known in advance, as well as the case where they must be found in a data-driven manner.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

CRPropa 3.1—a low energy extension based on stochastic differential equations

The propagation of charged cosmic rays through the Galactic environment influences all aspects of the observation at Earth. Energy spectrum, composition and arrival directions are changed due to deflections in magnetic fields and interactions with the interstellar medium. Today the transport is simulated with different simulation methods either based on the solution of a transport equation (multi-particle picture) or a solution of an equation of motion (single-particle picture). We developed a new module for the publicly available propagation software CRPropa 3.1, where we implemented an algorithm to solve the transport equation using stochastic differential equations. This technique allows us to use a diffusion tensor which is anisotropic with respect to an arbitrary magnetic background field. The source code of CRPropa is written in C++ with python steering via SWIG which makes it easy to use and computationally fast. In this paper, we present the new low-energy propagation code together with validation procedures that are developed to proof the accuracy of the new implementation. Furthermore, we show first examples of the cosmic ray density evolution, which depends strongly on the ratio of the parallel κ{sub ∥} and perpendicular κ{sub ⊥} diffusion coefficients. This dependency is systematically examined as well the influence of the particle rigidity on the diffusion process.

79 ASTRONOMY AND ASTROPHYSICS↗
DOE OSTI2018

Stochastic differential equation in a random environment

Solutions of the Itô stochastic differential equation in a random environment are considered. The random environment is formed by the generalized telegraph process. It is proved that the initial problem is equivalent to a system of two stochastic differential equations with nonrandom coefficients. The first equation is the Itô equation, and the initial process is its solution. The second equation is an equation with Poisson process, and its solution is a generalized telegraph process. The theorems of existence and uniqueness of strong and weak solutions are proved.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2015

Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps

We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each candidate-approximation converges to the solution of the original BSDEJ in a space which we specify. We use this result to investigate in further detail the consequences of the choice of the model to (partial) hedging in incomplete markets in finance. As an application, we consider models in which the small variations in the price dynamics are modeled with a Poisson random measure with infinite activity and models in which these small variations are modeled with a Brownian motion or are cut off. Using the convergence results on BSDEJs, we show that quadratic hedging strategies are robust towards the approximation of the market prices and we derive an estimation of the model risk.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2015

The use of copulas to practical estimation of multivariate stochastic differential equation mixed effects models

A system of stochastic differential equations (SDE) with mixed-effects parameters and multivariate normal copula density function were used to develop tree height model for Scots pine trees in Lithuania. A two-step maximum likelihood parameter estimation method is used and computational guidelines are given. After fitting the conditional probability density functions to outside bark diameter at breast height, and total tree height, a bivariate normal copula distribution model was constructed. Predictions from the mixed-effects parameters SDE tree height model calculated during this research were compared to the regression tree height equations. The results are implemented in the symbolic computational language MAPLE.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2025

Energy-momentum-conserving stochastic differential equations and algorithms for the nonlinear Landau-Fokker-Planck equation

Coulomb collision is a fundamental diffusion process in plasmas that can be described by the Landau-Fokker-Planck (LFP) equation or the stochastic differential equation (SDE). While energy and momentum are conserved exactly in the LFP equation, they are conserved only on average by the conventional corresponding SDEs, suggesting that the underlying stochastic process may not be well defined by such SDEs. Here, in this study, we derive new SDEs with exact energy-momentum conservation for the Coulomb collision by factorizing the collective effect of field particles into individual particles and enforcing Newton's third law. These SDEs, when interpreted in the Stratonovich sense, have a particularly simple form that represents pure diffusion between particles without drag. To demonstrate that the new SDEs correspond to the LFP equation, we develop numerical algorithms that converge to the SDEs and preserve discrete conservation laws. Simulation results are presented in a benchmark of various relaxation processes.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗
DOE OSTI2015

Stochastic differential equation model to Prendiville processes

The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

Symmetries of stochastic differential equations: A geometric approach

A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an algebra of strong symmetries for a modified SDE is proved under suitable regularity assumptions. This general approach is applied to a stochastic version of a two dimensional symmetric ordinary differential equation and to the case of two dimensional Brownian motion.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2015

Stochastic differential equation model for linear growth birth and death processes with immigration and emigration

This paper discusses on linear birth and death with immigration and emigration (BIDE) process to stochastic differential equation (SDE) model. Forward Kolmogorov equation in continuous time Markov chain (CTMC) with a central-difference approximation was used to find Fokker-Planckequation corresponding to a diffusion process having the stochastic differential equation of BIDE process. The exact solution, mean and variance function of BIDE process was found.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2025

Discrete generative diffusion models without stochastic differential equations: A tensor network approach

Diffusion models (DMs) are a class of generative machine learning methods that sample a target distribution by transforming samples of a trivial (often Gaussian) distribution using a learned stochastic differential equation. In standard DMs, this is done by learning a “score function” that reverses the effect of adding diffusive noise to the distribution of interest. Here we consider the generalisation of DMs to lattice systems with discrete degrees of freedom, and where noise is added via Markov chain jump dynamics. We show how to use tensor networks (TNs) to efficiently define and sample such “discrete diffusion models” (DDMs) without explicitly having to solve a stochastic differential equation. We show the following: (i) by parametrising the data and evolution operators as TNs, the denoising dynamics can be represented exactly; (ii) the auto-regressive nature of TNs allows to generate samples efficiently and without bias; (iii) for sampling Boltzmann-like distributions, TNs allow to construct an efficient learning scheme that integrates well with Monte Carlo. We illustrate this approach to study the equilibrium of two models with non-trivial thermodynamics, the d = 1 constrained Fredkin chain and the d = 2 Ising model. Published by the American Physical Society 2025

Causer, Luke (ORCID:0000000194243473)↗
DOE OSTI2023

Correspondence between open bosonic systems and stochastic differential equations

Bosonic mean-field theories can approximate the dynamics of systems of $n$ bosons provided that $n \gg 1$. Here, we show that there can also be an exact correspondence at finite $n$ when the bosonic system is generalized to include interactions with the environment and the mean-field theory is replaced by a stochastic differential equation. When the $n \to \infty$ limit is taken, the stochastic terms in this differential equation vanish, and a mean-field theory is recovered. Besides providing insight into the differences between the behavior of finite quantum systems and their classical limits given by $n \to \infty$, the developed mathematics can provide a basis for quantum algorithms that solve some stochastic nonlinear differential equations. We discuss conditions on the efficiency of these quantum algorithms, with a focus on the possibility for the complexity to be polynomial in the log of the stochastic system size. A particular system with the form of a stochastic discrete nonlinear Schrödinger equation is analyzed in more detail.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
NASA NTRS1972

Stationary conditions for stochastic differential equations

This is a preliminary study of possible necessary and sufficient conditions to insure stationarity in the solution process for a stochastic differential equation. It indirectly sheds some light on ergodicity properties and shows that the spectral density is generally inadequate as a statistical measure of the solution. Further work is proceeding on a more general theory which gives necessary and sufficient conditions in a form useful for applications.

Adomian, G.↗
DOE OSTI2025

Joint Modeling of Quasar Variability and Accretion Disk Reprocessing Using Latent Stochastic Differential Equations

Quasars are bright active galactic nuclei powered by the accretion of matter around supermassive black holes at the center of galaxies. Their stochastic brightness variability depends on the physical properties of the accretion disk and black hole. The upcoming Rubin Observatory Legacy Survey of Space and Time (LSST) is expected to observe tens of millions of quasars, so there is a need for efficient techniques like machine learning that can handle the large volume of data. Quasar variability is believed to be driven by an X-ray corona, which is reprocessed by the accretion disk and emitted as UV/optical variability. We are the first to introduce an auto-differentiable simulation of the accretion disk and reprocessing. We use the simulation as a direct component of our neural network to jointly model the driving variability and reprocessing, trained with supervised learning on simulated LSST-like 10 yr quasar light curves. We encode the light curves using a transformer encoder, and the driving variability is reconstructed using latent stochastic differential equations, a physically motivated generative deep learning method that can model continuous-time stochastic dynamics. By embedding the physical processes of the driving signal and reprocessing into our network, we achieve a model that is more robust and interpretable. We demonstrate that our model outperforms a Gaussian process regression baseline and can infer accretion disk parameters and time delays between wave bands, even for out-of-distribution driving signals. Our approach provides a powerful framework that can be adapted to solve other inverse problems in multivariate time series.

Fagin, Joshua [City Univ. of New York (CUNY), NY (↗