Detection, modelling and estimation of non-linear trends by using a non-homogeneous Vasicek stochastic diffusion. Application to CO2 emissions in Morocco

This paper proposes a new stochastic model, based on a Vasicek non-homogeneous diffusion process, in which the non-linear trend coefficient (drift) depends on deterministic functions that describe the dynamic evolution of certain exogenous variables. After studying its probabilistic characteristics, and in particular the transition probability density and trend function, the associated stochastic inference based on discrete sampling in time is established using maximum likelihood methodology. This model is applied to detect, estimate and model the non-linear trend present in data corresponding to CO₂ emissions in Morocco. Energy and financial variables that affect the behaviour of this trend are also detected, and substantial improvement provided by this non-homogeneous model with respect to its corresponding homogeneous version, is confirmed.     

Two-stage decision-making under uncertainty and stochasticity: Bayesian Programming

This paper develops a new method for decision-making under uncertainty. The method, Bayesian Programming (BP), addresses a class of two-stage decision problems with features that are common in environmental and water resources. BP is applicable to two-stage combinatorial problems characterized by uncertainty in unobservable parameters, only some of which is resolved upon observation of the outcome of the first-stage decision. The framework also naturally accommodates stochastic behavior, which has the effect of impeding uncertainty resolution. With the incorporation of systematic methods for decision search and Monte Carlo methods for Bayesian analysis, BP addresses limitations of other decision-analytic approaches for this class of problems, including conventional decision tree analysis and stochastic programming. The methodology is demonstrated with an illustrative problem of water quality pollution control. Its effectiveness for this problem is compared to alternative approaches, including a single-stage model in which expected costs are minimized and a deterministic model in which uncertain parameters are replaced by their mean values. A new term, the expected value of including uncertainty resolution, or EVIUR, is introduced and evaluated for the illustrative problem. It is a measure of the worth of incorporating the experimental value of decisions into an optimal decision-making framework. For the illustrative problem, the two-stage adaptive management framework extracted up to approximately 50% of the gains of perfect information. The strength and limitations of the method are discussed and conclusions are presented.     

A stochastic model reduction method for nonlinear unconfined flow with multiple random input fields

In this paper we present a stochastic model reduction method for efficiently solving nonlinear unconfined flow problems in heterogeneous random porous media. The input random fields of flow model are parameterized in a stochastic space for simulation. This often results in high stochastic dimensionality due to small correlation length of the covariance functions of the input fields. To efficiently treat the high-dimensional stochastic problem, we extend a recently proposed hybrid high-dimensional model representation (HDMR) technique to high-dimensional problems with multiple random input fields and integrate it with a sparse grid stochastic collocation method (SGSCM). Hybrid HDMR can decompose the high-dimensional model into a moderate M-dimensional model and a few one-dimensional models. The moderate dimensional model only depends on the most M important random dimensions, which are identified from the full stochastic space by sensitivity analysis. To extend the hybrid HDMR, we consider two different criteria for sensitivity test. Each of the derived low-dimensional stochastic models is solved by the SGSCM. This leads to a set of uncoupled deterministic problems at the collocation points, which can be solved by a deterministic solver. To demonstrate the efficiency and accuracy of the proposed method, a few numerical experiments are carried out for the unconfined flow problems in heterogeneous porous media with different correlation lengths. The results show that a good trade-off between computational complexity and approximation accuracy can be achieved for stochastic unconfined flow problems by selecting a suitable number of the most important dimensions in the M-dimensional model of hybrid HDMR.     

Deterministic uncertainty in landscapes

Deterministic complexity (chaos) may be common in geomorphic systems, but traditional definitions may have limited practical utility for empirical geomorphology. These definitions are based on sensitivity to initial conditions, which in geomorphology are both unknown and unknowable. Further, chaos analysis depends on distinguishing deterministic complexity from stochastic complexity. This is problematic in geomorphology because some stochastic complexity is virtually always present in addition to any chaos that may be present. While it is important to recognize that some complex, apparently random patterns may derive from inherent non-linear system dynamics, this is of limited use in explaining process–response relationships or mechanics of landscape evolution. A more general term, which subsumes chaos, is deterministic uncertainty, i.e. uncertainty associated with an identifiable but unknown or uncertain source. An analysis of landscape entropy shows that such underlying constraints produce spatial patterns which are apparently chaotic. For the case of geologic controls, the apparent contribution of deterministic chaos to the landscape entropy is a direct non-linear function of the extent of geologic constraints. However, the underlying constraints and their contribution to observed spatial patterns can also be interpreted in non-chaotic terms. Examples are given, involving geologic constraints on stream channel networks and parent material control of surface soil textures. Because both randomness and chaos may be more apparent than real, the concept of deterministic uncertainty is more useful in process geomorphology than that of chaos.     

Identifying rock blocks based on hierarchical rock-mass structure model

Rock-masses are divided into many closed blocks by deterministic and stochastic discontinuities and engineering interfaces in complex rock-mass engineering. Determining the sizes, shapes, and adjacent relations of blocks is important for stability analysis of fractured rock masses. Here we propose an algorithm for identifying spatial blocks based on a hierarchical 3D Rock-mass Structure Model (RSM). First, a model is built composed of deterministic discontinuities, engineering interfaces, and the earth’s su...     

Planning hydroelectric resources with recourse-based multistage interval-stochastic programming

Optimization models play an important role in long-term hydroelectric resources planning. The effectiveness of an optimization model, however, depends on its capability of dealing with uncertainties. This study presents a multistage interval-stochastic programming model for long-term hydropower planning, in which uncertainties are reflected as randomness and intervals. The model is developed based on interval programming technique and recourse-based multistage stochastic programming and using the expected value of long-term hydroelectric profit as the objective function. A solution method of the developed model is also presented, which is based on a decomposition method by partitioning the multistage interval-stochastic program into two-stage stochastic programming sub-problems in each scenario-tree node. A hypothetical case study is used to demonstrate the developed model and its solution method. Modeling results demonstrates the computationally effectiveness of the solution method and reveal the applicability of the developed model for long term planning of hydroelectric resources.     

Rainfall data simulation by hidden Markov model and discrete wavelet transformation

In many regions, monthly (or bimonthly) rainfall data can be considered as deterministic while daily rainfall data may be treated as random. As a result, deterministic models may not sufficiently fit the daily data because of the strong stochastic nature, while stochastic models may also not reliably fit into daily rainfall time series because of the deterministic nature at the large scale (i.e. coarse scale). Although there are different approaches for simulating daily rainfall, mixing of deterministic and stochastic models (towards possible representation of both deterministic and stochastic properties) has not hitherto been proposed. An attempt is made in this study to simulate daily rainfall data by utilizing discrete wavelet transformation and hidden Markov model. We use a deterministic model to obtain large-scale data, and a stochastic model to simulate the wavelet tree coefficients. The simulated daily rainfall is obtained by inverse transformation. We then compare the accumulated simulated and accumulated observed data from the Chao Phraya Basin in Thailand. Because of the stochastic nature at the small scale, the simulated daily rainfall on a point to point comparison show deviations with the observed data. However the accumulated simulated data do show some level of agreement with the observed data.     

Comparison of fully coupled approaches for approximating nonlinear transport and reaction problems

The purpose of this work is to evaluate the computational efficiency of fully coupled approaches for approximating a common class of nonlinear, two-phase advective–dispersive–reactive equations. The general problem considered includes homogeneous phase chemical kinetics, equilibrium interphase mass transfer, and rate-controlled interphase mass transfer––all of which may be nonlinear. Aspects of the problem investigated include discrete mass conservative formulations, temporal discretization approaches, and nonlinear equation solution methods. Their effect on computational efficiency is investigated through a series of numerical experiments using a nondimensional model problem. The effect of problem characteristics such as large sorption capacity, strong sorption nonlinearity, fast mass transfer, fast reactions, and strong diffusion is investigated. Comparisons of solution efficiency show that the optimal approach depends upon: (1) the characteristics of the problem considered, which may be described in a nondimensional form; and (2) the accuracy achieved in the solution. Results offer general guidance for selecting solution approaches for the class of problems investigated and introduce some new solution approaches to the water resources field that may be applicable to other problems.     

Single multipurpose reservoir design: a modified optimal control problem by chance-constrained programming

This paper presents a chance-constrained programming model for optimal control of a multipurpose reservoir and its modification to a model for single reservoir design. An algorithm is developed for solving complex stochastic problems of multipurpose reservoir planning and design. The complexity of the problem is resolved by a two-step algorithm: (1) transformation of chance constraints on the state and control variables is performed at the first step; and (2) the choice of optimum control or optimal reservoir storage is carried out in the second step. The method of iterative convolution is chosen for the first step, while linear programming is selected for the second step. The algorithm allows the use of random inflows and random demands together with other deterministic demands. The reservoir design problem is presented as a modified optimal control problem. The procedure is illustrated with an example of a hypothetical reservoir design problem with three different types of downstream releases (hydropower production, municipal water supply, and irrigation).     

Applied Mathematics in EM Studies with Special Emphasis on an Uncertainty Quantification and 3-D Integral Equation Modelling

Despite impressive progress in the development and application of electromagnetic (EM) deterministic inverse schemes to map the 3-D distribution of electrical conductivity within the Earth, there is one question which remains poorly addressed—uncertainty quantification of the recovered conductivity models. Apparently, only an inversion based on a statistical approach provides a systematic framework to quantify such uncertainties. The Metropolis–Hastings (M–H) algorithm is the most popular technique for sampling the posterior probability distribution that describes the solution of the statistical inverse problem. However, all statistical inverse schemes require an enormous amount of forward simulations and thus appear to be extremely demanding computationally, if not prohibitive, if a 3-D set up is invoked. This urges development of fast and scalable 3-D modelling codes which can run large-scale 3-D models of practical interest for fractions of a second on high-performance multi-core platforms. But, even with these codes, the challenge for M–H methods is to construct proposal functions that simultaneously provide a good approximation of the target density function while being inexpensive to be sampled. In this paper we address both of these issues. First we introduce a variant of the M–H method which uses information about the local gradient and Hessian of the penalty function. This, in particular, allows us to exploit adjoint-based machinery that has been instrumental for the fast solution of deterministic inverse problems. We explain why this modification of M–H significantly accelerates sampling of the posterior probability distribution. In addition we show how Hessian handling (inverse, square root) can be made practicable by a low-rank approximation using the Lanczos algorithm. Ultimately we discuss uncertainty analysis based on stochastic inversion results. In addition, we demonstrate how this analysis can be performed within a deterministic approach. In the second part, we summarize modern trends in the development of efficient 3-D EM forward modelling schemes with special emphasis on recent advances in the integral equation approach.     

基于FFT-MA谱模拟的快速随机反演方法研究

虽然基于地质统计学的随机反演方法能够有效融合测井资料中的高频信息,但计算效率低,占用内存大,限制了它在实际资料中的应用.本文在保留传统随机反演方法优点的基础上,创造性地引入傅里叶滑动平均(Fast Fourier Transform-Moving Average,FFT-MA)谱模拟进行频率域的地质统计模拟,并利用逐步变形算法(Gradual Deformation Method,GDM)确保模拟结果与实际地震数据的匹配,构建了基于FFT-MA谱模拟的新的快速随机反演方法.与常规随机反演相比,新方法不仅分辨率高,而且能够使反演解得到快速收敛,有效提高计算效率,减少内存占用.模型试算获得了与理论模型吻合度较好的高分辨率反演结果.实际资料分析也表明新方法所得到的高分辨率反演结果能够对薄互储层进行良好的展示,为薄储层的识别提供高效可靠的技术支持.     

Ground motion modelling with a stochastically perturbed excitation

We present a new hybrid method combining deterministic and stochastic features. The aim is to describe the crustal propagation better than deterministic or stochastic methods can do separately. We start from the deterministic hybrid method based on Discrete- Wavenumber and Finite-Difference techniques (DW–FD). First we modify the DW–FD procedure by introducing topographical variations and a spatially varying Q factor. Then, to take into account effects due to small-scale heterogeneities of the crust, we add a stochastic noise (perturbation) to the deterministic signal propagated through the crust. The stochastic noise is constructed using a kind of Markov-like process generator with two physical constraints: to have the Brune spectrum, and to reproduce the spatial decay of coherence reported in literature for real sites. We have chosen a Markov-like technique because it allows us to get stochastic noise, with the given coherence spatial decay, directly in time domain. This new hybrid method is applied in a numerical test, the parameters of which approximate the case of the 12 June, 1995 Rome earthquake. It is found that the coherence decay with distance at the alluvial valley surface is slower than the prescribed coherence decay inside the bedrock.     

基于输出反馈的建筑结构闭开环次优控制

对传统的结构抗震闭开环控制算法进行改进。基于地面运动自回归模型,采用Kalman滤波利用可以量测到的地面加速度激励对未来时段即将发生的地面加速度激励进行预估,并在微分方程的求解中引入精确高效的精细积分算法。考虑到实际控制中量测全部状态变量的困难,改进算法仅需量测部分状态变量。数值仿真表明,基于输出反馈的闭开环次优控制策略能大大降低结构的地震响应。     

Improving the efficiency of ant algorithms using adaptive refinement: Application to storm water network design

The ant algorithm is a new evolutionary optimization method proposed for the solution of discrete combinatorial optimization problems. Many engineering optimization problems involve decision variables of continuous nature. Application of the ant algorithm to the optimization of these continuous problems requires discretization of the continuous search space, thereby reducing the underlying continuous problem to a discrete optimization problem. The level of discretization of the continuous search space, however, could present some problems. Generally, coarse discretization of the continuous design variables could adversely affect the quality of the final solution while finer discretization would enlarge the scale of the problem leading to higher computation cost and, occasionally, to low quality solutions. An adaptive refinement procedure is introduced in this paper as a remedy for the problem just outlined. The method is based on the idea of limiting the originally wide search space to a smaller one once a locally converged solution is obtained. The smaller search space is designed to contain the locally optimum solution at its center. The resulting search space is discretized and a completely new search is conducted to find a better solution. The procedure is continued until no improvement can be made by further refinement. The method is applied to a benchmark problem in storm water network design discipline and the results are compared with those of existing methods. The method is shown to be very effective and efficient regarding the optimality of the solution, and the convergence characteristics of the resulting ant algorithm. Furthermore, the method proves itself capable of finding an optimal, or near-optimal solution, independent of the discretization level and the size of the colony used.     

Deriving reservoir operational strategies considering water quantity and quality objectives by stochastic fuzzy neural networks

By taking advantage of the close relationship between quality and quantity of water, we investigated the potential improvements of the in-reservoir water quality through the optimization of reservoir operational strategies. However, the few available techniques for optimization of reservoir operational strategies present some limitations, such as restrictions on the number of state/decision variables, the impossibility considering stochastic characteristics and difficulties for considering simulation/prediction models. One technique which presents great potential for overcoming some of these limitations is applied here and investigated for the first time in such complex system. The method, named stochastic fuzzy neural network (SFNN), can be defined as a fuzzy neural network (FNN) model stochastically trained by a genetic algorithm (GA) based model to yield a quasi optimal solution. The term “stochastically trained” refers to the introduction of a new loop within the training process which accounts for the stochastic variable of the system and its probabilities of occurrence. The SFNN was successfully applied to the optimization of the monthly operational strategies considering maximum water utilization and improvements on water quality simultaneous. Results showed the potential improvements on the water quality through means of hydraulic control.     

Stochastic overland flows Part 1: Physics-based evolutionary probability distributions

A theoretical solution framework to the nonlinear stochastic partial differential equations (SPDE) of the kinematic wave and diffusion wave models of overland flows under stochastic inflows/outflows, stochastic surface roughness field and stochastic state of flows was obtained. This development was realized by means of an eigenfunction representation of the time-space overland flow depths, and by transforming the problem into the phase space. By using Van Kampen's lemma and the cumulant expansion theory of Kubo-Van Kampen-Fox, the deterministic partial differential equation (PDE) for the evolutionary probability density function (pdf) of overland flow depths was finally obtained. Once this deterministic PDE is solved for the time-varying pdf of overland flow depths, then the time-space varying pdf of overland flow depths can be obtained by a transformation given in the text. In this solution framework it is possible to incorporate the stochastic dynamic behavior of the parameters and of the forcing functions of the overland flow process. For example, not only the individual rainfall duration and fluctuating rain intensity characteristics but also the sequential behavior of rainfall patterns is incorporated into the evolutionary probability density function of overland flow depths.     

Stochastic overland flows

A theoretical solution framework to the nonlinear stochastic partial differential equations (SPDE) of the kinematic wave and diffusion wave models of overland flows under stochastic inflows/outflows, stochastic surface roughness field and stochastic state of flows was obtained. This development was realized by means of an eigenfunction representation of the time-space overland flow depths, and by transforming the problem into the phase space. By using Van Kampen's lemma and the cumulant expansion theory of Kubo-Van Kampen-Fox, the deterministic partial differential equation (PDE) for the evolutionary probability density function (pdf) of overland flow depths was finally obtained. Once this deterministic PDE is solved for the time-varying pdf of overland flow depths, then the time-space varying pdf of overland flow depths can be obtained by a transformation given in the text. In this solution framework it is possible to incorporate the stochastic dynamic behavior of the parameters and of the forcing functions of the overland flow process. For example, not only the individual rainfall duration and fluctuating rain intensity characteristics but also the sequential behavior of rainfall patterns is incorporated into the evolutionary probability density function of overland flow depths.     

From Bayes to Tarantola: New insights to understand uncertainty in inverse problems

Anyone working on inverse problems is aware of their ill-posed character. In the case of inverse problems, this concept (ill-posed) proposed by J. Hadamard in 1902, admits revision since it is somehow related to their ill-conditioning and the use of local optimization methods to find their solution. A more general and interesting approach regarding risk analysis and epistemological decision making would consist in analyzing the existence of families of equivalent model parameters that are compatible with the prior information and predict the observed data within the same error bounds. Otherwise said, the ill-posed character of discrete inverse problems (ill-conditioning) originates that their solution is uncertain. Traditionally nonlinear inverse problems in discrete form have been solved via local optimization methods with regularization, but linear analysis techniques failed to account for the uncertainty in the solution that it is adopted. As a result of this fact uncertainty analysis in nonlinear inverse problems has been approached in a probabilistic framework (Bayesian approach), but these methods are hindered by the curse of dimensionality and by the high computational cost needed to solve the corresponding forward problems. Global optimization techniques are very attractive, but most of the times are heuristic and have the same limitations than Monte Carlo methods. New research is needed to provide uncertainty estimates, especially in the case of high dimensional nonlinear inverse problems with very costly forward problems. After the discredit of deterministic methods and some initial years of Bayesian fever, now the pendulum seems to return back, because practitioners are aware that the uncertainty analysis in high dimensional nonlinear inverse problems cannot (and should not be) solved via random sampling methodologies. The main reason is that the uncertainty “space” of nonlinear inverse problems has a mathematical structure that is embedded in the forward physics and also in the observed data. Thus, problems with structure should be approached via linear algebra and optimization techniques. This paper provides new insights to understand uncertainty from a deterministic point of view, which is a necessary step to design more efficient methods to sample the uncertainty region(s) of equivalent solutions.     

Control of hydrologic systems for multiple uses in a closed-loop framework

The role of linear control theory as an aid to the integral control of hydrologic systems is investigated for the case of a combined lake and aquifer storage system that supplies either a deterministic or stochastic water demand. Only lumped time-invariant systems are considered but both deterministic and stochastic inflows to storage are allowed. The computational example allows for recharge of lake water into the aquifer as well as for the subsequent diversion of pumped groundwater back to the lake. Stability criteria are presented for the closed-loop features of the overall control system. Under a quadratic loss criterion, a calculus of variations problem, subject to constraints imposed by the system equations can be solved for the optimal release policy from the lake and aquifer and optimal feedback policy from aquifer to lake.