A stochastic system is a system which state depends or some random elements making its behavior non-deterministic. Questions with this tag should cover topics regarding random variables and non-determenistic systems.
Questions tagged [stochastic]
256 questions
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Normal Distribution in Stochastic Calculus, MATLAB: how to find probability?
I am currently revising for my computational finance exam in a computer science course and got stuck on this question:
Let S be the price of a share with the yearly drift rate μ = 0.25 and the yearly volatility σ = 0.5. Suppose that the share is…
Tai
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Delay differential equations with pink noise
I need to solve a set of delay differential equations and I want to use pink noise in these equations.
I tried doing it with the Pydelay package for Python, but the problem is that I need to either generate the noise and then pass it to the…
Katarzyna Piskała
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Solving stochastic differential equations
Below code is used to solve a stochastic equation numerically in Mathematica for one particle. I wonder if there is a way to generalize it to the case of more than one particle and average over them. Is there anyone who knows how to do…
user7203960
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Calculate minimum of two independent and piecewise defined function random variable
I want to calculate Cumulative distribution function of Y, when Y is a Random Variable (Y=min{X,X'}) and X is a piecewise defined function Random variable. CDF of X is something like this code:
if (0
user5254345
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stochastic heat equation - Fortran
I have a portion of my code below which solves a stochastic heat equation in 1D with periodic boundary conditions. The stochastic term is Gaussian white noise.
My question is, am I implementing the noise correctly?
Gaussian noise is defined as…
Jeff Faraci
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How to sample cells of a grid (matrix) according to a Normal(Gaussian) distribution?
I need to sample cells of a grid (matrix of MXN) according to a Normal Distribution in Java.
I know that the Apache Math library has functions to sample values unidimensionally (1D), so it would be fine for a vector but I cannot find any alternative…
toto_tico
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Can we reproduce the same benchmarking results for a stochastic algorithm, using the same random seed but on different machines?
I am testing a stochastic algorithm. To make the results reproducible, I plan to use the same random seed and include this seed number (an integer) together with the benchmark results when they are published.
But I have a naive question regarding…
zell
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wss process and autocorrelation
In a paper, I saw a quiz question about auto-correlation of a WSS process than I can not understand. It says:
Let X(t) be WSS. Which of the following **can be** correct?
a) E[X(t1) X(t2)] = |t1 - t2|
b) E[X(t1) X(t2)] = max{t1 - t2,0}
c) E[X(t1)…
Amn10
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Graph-based searching vs Stochastic Based Searching
So far, I have only known A* search and some of its variants on a grid. Recently, I have heard of Stochastic Search algorithms such as Rapidly Random Exploring Trees (RRT) and how they are very good when the search problem becomes very big, but…
Streak324
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Calibration of a stochastic python simulation
I have an (agent-based) simulation in python. The results are stochastic. I would like to calibrate the simulation be minimizing a sum of square distances.
What python algorithms are available to minimize a stochastic simulation?
Davoud Taghawi-Nejad
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implementing stochastic ACO algorithm
I am trying to implement a stochastic ant colony optimisation algorithm, and I'm having trouble working out how to implement movement choices based on probabilities.
the standard (greedy) version that I have implemented so far is that an ant m at a…
guskenny83
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Stochastic Differential Equations using Euler Method in Matlab
I am trying to solve a system of two stochastic differential equations using "sde_euler". Here is my code:
function y = stoch_Fx_model(t0,tf,F0,x0)
r=1;
sig=1;
lambda=1;
h=1;
S=1;
f= @(t,Y)[r.*Y(1).*(1-Y(1)) -h.*Y(1).*(1-Y(2))./(Y(1)+S);
…
User1
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How do I check or validate the RBM (Restricted Boltzmann Machine) Model?
I'm trying to implement RBM, then i used play tennis case to test the rbm.
I've tried autoencoder before, and the result was good. Actually, I confuse with the function of RBM it self, i think it just like autoencoder, encode the input (each…
Hendri
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how to use Euler method for numerical integration of differential equation?
I want to numerically solve a stochastic differential equation (SDE) in MATLAB, The code I have written just simply does not recognize sde function!
The question is as below:
dz=v*dt +sqrt(2*Ds)*dw_t
where v = 1/(N*delta) * sigma f_i (i=1- N)
N=…
Roza
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How do i solve coupled stochastic differential equation in Matlab
I have single Hindmarsh-Rose(HR) neuronal model as follows
x' = y - a*x^3 + b*x^2 -z + I0 + I1*cos*w*t + D*Zyi(t);
y' = c - d*x^2 -y;
z' = r[s(x - x0) - z ];
where a,b,I1,I0,D,c,d,r,s,x0 are parameters.
I want to vary "w"(in x' of I1*coswt) and…
saurav
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