Stochastic process | EPFL Graph Search

In probability theory and related fields, a stochastic (stəˈkæstɪk) or random process is a mathematical object usually defined as a sequence of random variables, where the index of the sequence has the interpretation of time. Stochastic processes are widely used as mathematical models of systems and phenomena that appear to vary in a random manner. Examples include the growth of a bacterial population, an electrical current fluctuating due to thermal noise, or the movement of a gas molecule. Stochastic processes have applications in many disciplines such as biology, chemistry, ecology, neuroscience, physics, , signal processing, control theory, information theory, computer science, and telecommunications. Furthermore, seemingly random changes in financial markets have motivated the extensive use of stochastic processes in finance. Applications and the study of phenomena have in turn inspired the proposal of new stochastic processes. Examples of such stochastic processes include the

Updated braking forces for the assessment of road bridges

João Miguel De Oliveira Durães Alves Martins

Safety assessments of road bridges to braking events combine the braking force, acting along the longitudinal axis of the deck, with a vertical load that accounts for the vertical component of the traffic action. In modern design standards the vertical load models result from probabilistic calibration procedures targeting predefined return periods. On the contrary, the braking force was derived from a deterministic characterization of the vehicle configurations and of the braking process. Therefore, the return period of the braking force is unclear and may not be consistent with that of the vertical load model. Significant deviations from the target return period might lead to either uneconomical decisions, e.g. uncalled-for retrofitting interventions, or to inaccurate structural safety verifications. This thesis presents an original stochastic model to compute site-specific values of the braking force as a function of the return period. The developed stochastic model takes into account the length of the bridge deck and its dynamic properties for vibrations in the longitudinal direction, as well as different sources of randomness related to braking events, all of which comply with real-world measurements, including: - vehicle configurations, resorting to a time-history of crossing vehicles; - driver response times, randomly generated from probability distributions defined in the scope of this project; - deceleration profiles of the vehicles, resampled from catalogues of realistic deceleration profiles. The stochastic model uses Monte Carlo simulation of braking events and computes the maximum of the dynamic response of the bridge to each event. The computed maxima are collected in an empirical distribution function of the braking force. In the end, the model returns the quantile of this distribution that is suitable for safety assessments. This value of braking force is specific to the bridge given properties, to the traffic characteristics, and to the target return period. An additional novelty of this research work is the estimation of a rate of occurrence on motorways of braking events per vehicle-distance travelled. This parameter enables the estimation of the period of time covered by the simulations of braking events as a function of traffic flow and of the total number of braking events simulated. This step is fundamental to determine the value of the braking force that has a given return period. The braking forces returned by the stochastic model show significant dependence on the bridge length, the natural vibration period of the deck in the longitudinal direction, and the number of directions of traffic on the deck. On the contrary, damping ratio, traffic on the fast-lane or on weekends, and an augmentation of traffic in 20% show no substantial influence on the braking force. Moreover, the two motorway locations considered as sources of traffic data, Denges and Monte Ceneri, both in Switzerland, yielded braking forces with similar magnitudes, despite the significant differences in traffic characteristics. Finally, the results compiled served to calibrate an updated braking force that depends explicitly on the parameters found relevant, as well as on the return period so that it can be adopted by different standards even if they enforce different safety targets. This updated expression evidences that the braking forces of current codes tend to be conservative and, hence, can be improved based on the findings of this project.

EPFL2016

Limit Behaviour of the Voter Model, Exclusion Process and Regenerative Chains

Samuel Schöpfer

Though the following topics seem unlinked, most of the tools used in this thesis are related to random walks and renewal theory. After introducing the voter model, we consider the parabolic Anderson model with the voter model as catalyst. In GÄRTNER, DEN HOLLANDER and MAILLARD [44], the behaviour of the annealed Lyapunov exponents, i.e., the exponential growth rates of the successive moments of the reactant with respect to the catalyst, was investigated. It was shown that these exponents exhibit an interesting dependence on the dimension and on the diffusion constant. In Chapter 3 we address some questions left open in this paper by considering specifically when the Lyapunov exponents are the a priori maximal value. Then, we use exclusion process techniques to show that the evolution of a perturbed threshold voter model is recurrent in the critical case. The key to our approach is to develop the ideas of BRAMSON and MOUNTFORD [9] : we exhibit a Lyapunov-Foster function for the discrete time version of the process. We also make a widespread use of coupling arguments. Finally, using the regenerative scheme of COMETS, FERNÁNDEZ and FERRARI [19], we establish a functional central limit theorem for discrete time stochastic processes with summable memory decay. Furthermore, under stronger assumptions on the memory decay, we identify the limiting variance in terms of the process only. As applications, we define classes of binary autoregressive processes and power-law Ising chains for which the limit theorem is fulfilled.

EPFL2012

Parallel retrieval of correlated patterns: From Hopfield networks to Boltzmann machines

Andrea De Antoni

In this work, we first revise some extensions of the standard Hopfield model in the low storage limit, namely the correlated attractor case and the multitasking case recently introduced by the authors. The former case is based on a modification of the Hebbian prescription, which induces a coupling between consecutive patterns and this effect is tuned by a parameter a. In the latter case, dilution is introduced in pattern entries, in such a way that a fraction d of them is blank. Then, we merge these two extensions to obtain a system able to retrieve several patterns in parallel and the quality of retrieval, encoded by the set of Mattis magnetizations {m(mu)}, is reminiscent of the correlation among patterns. By tuning the parameters d and a, qualitatively different outputs emerge, ranging from highly hierarchical to symmetric. The investigations are accomplished by means of both numerical simulations and statistical mechanics analysis, properly adapting a novel technique originally developed for spin glasses, i.e. the Hamilton-Jacobi interpolation, with excellent agreement. Finally, we show the thermodynamical equivalence of this associative network with a (restricted) Boltzmann machine and study its stochastic dynamics to obtain even a dynamical picture, perfectly consistent with the static scenario earlier discussed. (c) 2012 Elsevier Ltd. All rights reserved.

Elsevier2013

Updated braking forces for the assessment of road bridges

João Miguel De Oliveira Durães Alves Martins

EPFL2016