Weighted averaging and stochastic approximation

We explore the relationship between weighted averaging and stochastic approximation algorithms, and study their convergence via a sample-path analysis. We prove that the convergence of a stochastic approximation algorithm is equivalent to the convergence of the weighted average of the associated noise sequence. We also present necessary and sufficient noise conditions for convergence of the average of the output of a stochastic approximation algorithm in the linear case. We show that the averaged stochastic approximation algorithms can tolerate a larger class of noise sequences than the stand-alone stochastic approximation algorithms.This research was supported by the National Science Foundation through Grants ECS-9410313 and ECS-9501652.This research was supported by the National Science Foundation through NYI Grant IRI-9457645.     

Wonham Filtering by Observations with Multiplicative Noises

We solve the optimal filtering problem for states of a homogeneous finite-state Markov jump process by indirect observations in the presence of Wiener noise. The key feature of this problem is that the noise intensities in observations depend on the unobserved state. The filtering estimate is represented as a solution to some stochastic system with continuous and purely discontinuous martingales in the right-hand side. We discuss the theoretical results and present a numerical example that illustrates the properties of the obtained estimates.     

A nonlinear control law for a stochastic infinite time problem

The expectation of a particular class of nonquadratic performance criterion involving even powers of the state variables up to sixth order is minimized, over an infinite horizon, subject to a linear stochastic system. The process noise is composed of both additive white noise and state dependent white noise processes. The resulting controller is composed of a linear and cubic function of the state. Furthermore, this controller depends upon the noise variances of both the additive and state dependent noise processes. For partially observable systems with no state dependent noise, similar results as the completely observable system are implied by the separation theorem. For state dependent noise alone, a stochastic Lyapunov function is obtained from which simple probability bounds for the trajectory to exit from a given region of the state space are determined.     

Nonlinear feedback systems perturbed by noise: steady-stateprobability distributions and optimal control

We describe a class of nonlinear feedback systems perturbed by white noise for which explicit formulas for steady-state probability densities can be found. We show that this class includes what has been called monotemperaturic systems in earlier work and establish relationships with Lyapunov functions for the corresponding deterministic systems. We also treat a number of stochastic optimal control problems in the case of quantized feedback, with performance criteria formulated in terms of the steady-state probability density     

相关乘性和加性高斯白噪声激励下周期势系统的随机共振

研究了外加周期信号作用下,相关高斯乘性和加性白噪声激励下周期势系统的随机共振.利用线性响应理论,计算了系统输出信号的功率谱密度、振幅、相位差.研究结果表明:当加性噪声强度和关联系数不变的情况下,通过调整乘性噪声强度可以出现随机共振;关联系数的正负以及大小对随机共振的影响较小.当乘性噪声强度较小时,输出信号的振幅和相位差曲线有一个单峰出现,即出现随机共振现象,能量从噪声向信号进行转化.随着噪声强度的增大,随机共振现象消失,噪声由增大系统的有序程度渐渐变为增大系统的无序程度.     

Determination of firing times for the stochastic Fitzhugh-Nagumo neuronal model

We present for the first time an analytical approach for determining the time of firing of multicomponent nonlinear stochastic neuronal models. We apply the theory of first exit times for Markov processes to the Fitzhugh-Nagumo system with a constant mean gaussian white noise input, representing stochastic excitation and inhibition. Partial differential equations are obtained for the moments of the time to first spike. The observation that the recovery variable barely changes in the prespike trajectory leads to an accurate one-dimensional approximation. For the moments of the time to reach threshold, this leads to ordinary differential equations that may be easily solved. Several analytical approaches are explored that involve perturbation expansions for large and small values of the noise parameter. For ranges of the parameters appropriate for these asymptotic methods, the perturbation solutions are used to establish the validity of the one-dimensional approximation for both small and large values of the noise parameter. Additional verification is obtained with the excellent agreement between the mean and variance of the firing time found by numerical solution of the differential equations for the one-dimensional approximation and those obtained by simulation of the solutions of the model stochastic differential equations. Such agreement extends to intermediate values of the noise parameter. For the mean time to threshold, we find maxima at small noise values that constitute a form of stochastic resonance. We also investigate the dependence of the mean firing time on the initial values of the voltage and recovery variables when the input current has zero mean.     

A Contraction Theory Approach to Stochastic Incremental Stability

We investigate the incremental stability properties of Ito stochastic dynamical systems. Specifically, we derive a stochastic version of nonlinear contraction theory that provides a bound on the mean square distance between any two trajectories of a stochastically contracting system. This bound can be expressed as a function of the noise intensity and the contraction rate of the noise-free system. We illustrate these results in the contexts of nonlinear observers design and stochastic synchronization.     

Evaluation of disconnected quark loops for hadron structure using GPUs

A number of stochastic methods developed for the calculation of fermion loops are investigated and compared, in particular with respect to their efficiency when implemented on Graphics Processing Units (GPUs). We assess the performance of the various methods by studying the convergence and statistical accuracy obtained for observables that require a large number of stochastic noise vectors, such as the isoscalar nucleon axial charge. The various methods are also examined for the evaluation of sigma-terms where noise reduction techniques specific to the twisted mass formulation can be utilized thus reducing the required number of stochastic noise vectors.     

基于神经元阈上非周期随机共振机制的语音复原技术研究

应用随机共振机制.通过噪声能量来加强语音信号,改善低信噪比语音的输出质量.对FitzHugh-Nagumo(FHN)神经元模型中存在的阈上非周期随机共振现象进行了分析,根据其阈值特性,此二维神经元模型可被等价为两状态的阈值跨越非线性动力学系统.因此对含噪语音信号添加噪声,产生阈值化后的二值输出,经迭代收敛进入阈上非周期随机共振状态.在一个非零添加噪声强度上,含噪语音输出的互相关系数将达到最大值.通过语音复原的结果表明,本文方法对噪声的变化有更好的鲁棒性,尤其在强背景噪声下,随机共振方法较其他传统方法有更佳的复原效果.     

White noise theory of robust nonlinear filtering with correlated state and observation noises

In the existing ‘direct’ white noise theory of nonlinear filtering, the state process is still modelled as a Markov process satisfying an Itô stochastic differential equation, while a ‘finitely additive’ white noise is used to model the observation noise. We remove this asymmetry by modelling the state process as the solution of a (stochastic) differential equation with a ‘finitely additive’ white noise as the input. This enables us to introduce correlation between the state and observation noises, and to obtain robust nonlinear filtering equations in the correlated noise case.     

Coherent Response in a Chaotic Neural Network

We set up a signal-driven scheme of the chaotic neural network with the coupling constants corresponding to certain information, and investigate the stochastic resonance-like effects under its deterministic dynamics, comparing with the conventional case of Hopfield network with stochastic noise. It is shown that the chaotic neural network can enhance weak subthreshold signals and have higher coherence abilities between stimulus and response than those attained by the conventional stochastic model.     

Null controllability of an infinite dimensional SDE with state- and control-dependent noise

We consider a controlled stochastic linear differential equation with state- and control-dependent noise in a Hilbert space H. We investigate the relation between the null controllability of the equation and the existence of the solution of “singular” Riccati operator equations. Moreover, for a fixed interval of time, the null controllability is characterized in terms of the dual state. Examples of stochastic PDEs are also considered.     

Neural network learning based on stochastic sensitivity analysis

A comprehensive theoretical framework is proposed for the learning of a class of gradient-type neural networks with an additive Gaussian white noise process. The study is based on stochastic sensitivity analysis techniques, and formal expressions are obtained for the stochastic learning laws in terms of the functional derivative sensitivity coefficients. The present method efficiently processes the learning information inherent in the stochastic correlation between the signal and corresponding noise processes without the need for actually computing equations of the back-propagation type. New stochastic implementations of the Hebbian and competitive learning laws are derived to elucidate this theoretical development.     

基于阈上随机共振现象的弱信号检测

为了说明当信号幅值处于系统阈值上时,噪声依然对信号起到增强作用,研究了加和网络模型中的随机共振现象,并且将该模型作为线性检测器的预处理器以构成非线性检测器,来进行对弱信号的检测研究。在搭建的非线性检测器中采用奈曼皮尔逊准则对信号做出判决。仿真结果表明:在加和网络模型中观察到了阈上随机共振现象,且非线性检测器的检测性能明显优于线性检测器。这为强噪声环境中提高弱信号检测问题开辟了一条新思路。     

Two-finger stiffness discrimination of a virtual object with haptic sensation enhancement via the stochastic resonance effect

We investigated the stiffness discrimination ability of two fingers with stochastic resonance. Haptic perception at the fingertip is known to improve when vibrotactile noise propagates to the fingertip, and this phenomenon is called stochastic resonance. The improvement of a fingertip’s haptic sensation depends on the intensity of the noise propagating to the fingertip. Therefore, to improve the haptic sensation at multiple fingertips, we do not need to attach noise sources, such as vibrators, to multiple fingertips. Even if only one vibrator is used, the haptic sensation at multiple fingertips may be improved by propagating noise to the fingertips. In this study, we focus on stiffness discrimination as a task using multiple fingers, in which the thumb and index finger are used to touch a virtual object and perceive its stiffness. Subsequently, we demonstrate that the stiffness perception is improved by propagating sufficiently intense noise to the thumb and index finger using a vibrator. Furthermore, this study considers the same task in a real-world situation to investigate the relationship between the stochastic resonance effect and the stiffness discrimination task. The findings indicate the possibility of improving the haptic sensation at multiple fingertips using one vibrator.     

Integral-based event triggering controller design for stochastic LTI systems via convex optimisation

The presence of measurement noise in the event-based systems can lower system efficiency both in terms of data exchange rate and performance. In this paper, an integral-based event triggering control system is proposed for LTI systems with stochastic measurement noise. We show that the new mechanism is robust against noise and effectively reduces the flow of communication between plant and controller, and also improves output performance. Using a Lyapunov approach, stability in the mean square sense is proved. A simulated example illustrates the properties of our approach.     

Analytic expressions for rate and CV of a type I neuron driven by white gaussian noise

We study the one-dimensional normal form of a saddle-node system under the influence of additive gaussian white noise and a static "bias current" input parameter, a model that can be looked upon as the simplest version of a type I neuron with stochastic input. This is in contrast with the numerous studies devoted to the noise-driven leaky integrate-and-fire neuron. We focus on the firing rate and coefficient of variation (CV) of the interspike interval density, for which scaling relations with respect to the input parameter and noise intensity are derived. Quadrature formulas for rate and CV are numerically evaluated and compared to numerical simulations of the system and to various approximation formulas obtained in different limiting cases of the model. We also show that caution must be used to extend these results to the Theta neuron model with multiplicative gaussian white noise. The correspondence between the first passage time statistics for the saddle-node model and the Theta neuron model is obtained only in the Stratonovich interpretation of the stochastic Theta neuron model, while previous results have focused only on the Ito interpretation. The correct Stratonovich interpretation yields CVs that are still relatively high, although smaller than in the Ito interpretation; it also produces certain qualitative differences, especially at larger noise intensities. Our analysis provides useful relations for assessing the distance to threshold and the level of synaptic noise in real type I neurons from their firing statistics. We also briefly discuss the effect of finite boundaries (finite values of threshold and reset) on the firing statistics.     

Development of multivariable PID controller gains in presence of measurement noise

This paper examines the ability of a multivariable PID controller rejecting measurement noise without the use of any external filter. The work first provides a framework for the design of the PID gains comprising of necessary and sufficient conditions for boundedness of trajectories and zero-error convergence in presence of measurement noise. It turns out that such convergence requires time-varying gains. Subsequently, novel recursive algorithms providing optimal and sub-optimal time-varying PID gains are proposed for discrete-time varying linear multiple-input multiple-output (MIMO) systems. The development of the proposed optimal algorithm is based on minimising a stochastic performance index in presence of erroneous initial conditions, white measurement noise, and white process noise. The proposed algorithms are shown to reject measurement noise provided that the system is asymptotically stable and the product of the input–output coupling matrices is full-column rank. In addition, convergence results are presented for discretised continuous-time plants. Simulation results are included to illustrate the performance capabilities of the proposed algorithms.     

Global Random Optimization by Simultaneous Perturbation Stochastic Approximation

We examine the theoretical and numerical global convergence properties of a certain ldquogradient freerdquo stochastic approximation algorithm called the ldquosimultaneous perturbation stochastic approximation (SPSA)rdquo that has performed well in complex optimization problems. We establish two theorems on the global convergence of SPSA, the first involving the well-known method of injected noise. The second theorem establishes conditions under which ldquobasicrdquo SPSA without injected noise can achieve convergence in probability to a global optimum, a result with important practical benefits.