Questions tagged [stochastic]

For questions regarding the numerical treatment of processes whose behaviors are determined by both deterministic (predictable) and non-deterministic (random) actions.

16 questions with no upvoted or accepted answers
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638 views

Stochastic Galerkin projection approach for using generalized polynomial chaos expansion (GPCE) in solving PDE

I want to know if there is any way to define the test and trial function in the way that I want instead of using the default functions. So if I want define the polynomial and basis and coefficient, ...
5
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0answers
81 views

Probability approximation: monte carlo VS sde

I have a probability measure $\mu$ (say, in $\mathbb{R}^{d}$, with density) and I want to approximate it numerically. Today I noticed that my measure is ergotic for a certain Stochastic Differential ...
5
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0answers
35 views

Stochastic conjugate directions to improve convergence in narrow valleys

My question concerns a specific statement in this paper: N. N. Schraudolph and T. Graepel, "Conjugate Directions for Stochastic Gradient Descent," in Int. Conf. Artificial Neural Networks, Berlin, ...
3
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0answers
121 views

Stochastic gradient descent for large deterministic optimization problems

The Wikipedia page for SGD describes optimizing a function $f = \sum f_i(\theta;x_i)$ by successively approximating gradients from random subsets of the data, while most literature poses the problem ...
3
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0answers
81 views

Stochastic Collocation for time evolving ODE

For an Stochastic Differential Equation, e.g., $$ \frac{du}{dt} = \alpha*\sin(u*t) $$ where $\alpha$ is normally distributed with nonzero mean, I am trying to use a stochastic collocation approach ...
2
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0answers
70 views

Numerical integration of SDE: choice of $dt$ and algorithm

I am working on the following Stochastic Differential Equation (SDE) in the Quantum Mechanics context: $$dX_{t} = a X_{t} dt + b X_{t} dW$$ where $X_{t}$ is my stochastic varible, $dt$ is my ...
2
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0answers
47 views

How to determine the order of convergence of the Euler-Maruyama method?

This question is originally posted in Quant.StackExchange but has been unanswered for some time so I ask in here. To make this simple let us consider the Geometric Brownian Motions (GBM). My ...
2
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0answers
40 views

Is this a form of stochastic gradient descent?

I want to minimize the following with respect to parameters $B$. $$\sum_{k = 1}^{K} f(A_{k}, B)$$ where $A_k$ are $K$ different data-sets and $B$ is a matrix of parameters. Can I do this by a ...
2
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0answers
66 views

Global optimization with known distributions of some variables

I'm solving simple single-objective multidimensional global optimization problem using various stochastic algorithms like Monte-Carlo, GA and other evolutionary approaches. The task is formulated as ...
2
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0answers
94 views

non convex, non linear optimization involving matrix differential equation solution

I'm trying to develop an inferential procedure for a multivariate dependent Markov process. Basically, the procedure could be considered as a non linear regression, with a known dependence structure ...
2
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0answers
82 views

How to fix time intervals to store data in a stochastic simulation (continous time markov chain)

I am using FORTRAN to implement Gillespie's stochastic simulation algorithm. I would be running many simulations in parallel (both parallel instances with different seed and parallel functions); if I ...
2
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0answers
65 views

Solving a nonlinear equation with a Markov process and RVs

Assume that we have the following equation and the following assumption. The scope is to solve for some particular variables expressed later. Update $$E_{t}\left[ b(A_{t+1})^{1-\gamma} *R_{t+1}^{-\...
1
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0answers
20 views

Effective fitness formula in the Moran process on a game

I was recently reading some literature about evolutionary game theory and I got particularly interested in Moran process linked to prisoner's dilemma as a model of evolution of two sub-populations. ...
1
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0answers
2k views

How to solve an ode with stochastic time-dependent input

I am trying to repeat an example I found in a paper. I have to solve this ODE: $25 \ddot{x} + 15 \dot{x} + 330000 x = p(t)$ where $p(t)$ is a white noise sequence band-limited into the 10-25 Hz ...
0
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30 views

Markov chain Monte Carlo with stopping time

I asked the same question two days ago on MSE, but received no answer. So I post it here in hope to get any suggestion. As long as I have answer, I will close the other one. Let $(X_t)$ be a ...
0
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0answers
20 views

How to use the solution of a multistage stochastic program?

Given a multistage stochastic program, its solution (if it exists) consists of the first decision vector, as well as all the recourse decision vectors for all possible scenarios of an event tree. But ...