SIS Epidemic Model Birth-and-Death Markov Chain Approach

We are interested in describing the dynamics of the infected size of the SIS Epidemic model using the Birth-Death Markov process. The Susceptible-Infected-Susceptible (SIS) model is defined within a population of constant size $M$; the size is kept constant by replacing each death with a newborn healthy individual. The life span of each individual in the population is modelled by an exponential distribution with parameter $\alpha$; the disease spreads within the population is modelled by a Poisson process with a rate $\lambda_{I}$. $\lambda_{I}=\beta I(1-\frac{I}{M}) $ is similar to the instantaneous rate in the logistic population growth model. The analysis is focused on the disease outbreak, where the reproduction number $R=\frac{\beta} {\alpha} $ is greater than one. As methodology, we use both numerical and analytical approaches. The numerical approach shows that the infected size dynamics converge to a stationary stochastic process. And the analytical results determine the distribution of the stationary stochastic process as a normal distribution with mean $(1-\frac{1}{R}) M$ and Variance $\frac{M}{R} $ when $M$ becomes larger.

Portfolio selection in non-stationary markets

We consider the task of portfolio selection as a time series prediction problem. At each time-step we obtain prices of a universe of assets and are required to allocate our wealth across them with the goal of maximizing it, based on the historic price returns. We assume these returns are realizations of a general non-stationary stochastic process, and only assume they do not change significantly over short time scales. We follow a statistical learning approach, in which we bound the generalization error of a non-stationary stochastic process, using analogues of uniform laws of large numbers for non-i.i.d. random variables. We use the learning bounds to formulate an optimization algorithm for portfolio selection, and present favorable numerical results with financial data.

Stochastic Kriging for Crashworthiness Optimization Accounting for Simulation Noise

Vehicle crash simulations are notoriously costly and noisy. When performing crashworthiness optimization, it is therefore important to include available information to quantify the noise in the optimization. For this purpose, a stochastic kriging can be used to account for the uncertainty due to the simulation noise. It is done through the addition of a non-stationary stochastic process to the deterministic kriging formulation. This stochastic kriging, which can also be used to include the effect of random non-controllable parameters, can then be used for surrogate-based optimization. In this work, a stochastic kriging-based optimization algorithm is proposed with an infill criterion referred to as the Augmented Expected Improvement, which, unlike its deterministic counterpart the Expect Improvement, accounts for the presence of irreducible aleatory variance due to noise. One of the key novelty of the proposed algorithm stems from the approximation of the aleatory variance and its update during the optimization. The proposed approach is applied to the optimization of two problems including an analytical function and a crashwor-thiness problem where the components of an occupant restraint system of a vehicle are optimized.

Analysis and Probabilistic Modeling of the Stationary Ice Loads Stochastic Process With Lognormal Distribution

Until recent times researchers who investigated ice loads stochastic processes usually stated the fact of normal distribution for them. In the paper the model of a stationary stochastic process with a lognormal distribution for ice loads is offered. This model relates to the strain gauge transducer ice loads measurements as well as to some examples considered in different papers that were published earlier. For this model dependencies of the autocorrelation function were found that allows to simulate the ice loads process relatively easily. The procedure of such a simulation is described in details and the example of the analysis and simulation ice loads measurements is provided.