Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400...
Transcript of Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400...
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Spatio-temporal stochastic models withembedded deterministic dynamics
Krzysztof Podgorski
28th April 2011
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What do we want to do?
• In search: a mathematical model X (p, t) that accounts bothfor motion and stochastic variability.
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What do we want to do?
• In search: a mathematical model X (p, t) that accounts bothfor motion and stochastic variability.
![Page 4: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/4.jpg)
What was done? or How to move around stochastics?
• Stochastic differential equations:
L(X , ∂X/∂p, ∂X/∂t,p, t) = dW (p, t)
• Dispersion relations encoded in spectrum:
X (p, t) =∑ω
s(ω) · cos(ω2
gp + ωt
)
![Page 5: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/5.jpg)
What was done? or How to move around stochastics?
• Stochastic differential equations:
L(X , ∂X/∂p, ∂X/∂t,p, t) = dW (p, t)
• Dispersion relations encoded in spectrum:
X (p, t) =∑ω
s(ω) · cos(ω2
gp + ωt
)
![Page 6: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/6.jpg)
What do we do here?
Essentially, we combine together well-established components:
• Deterministic Model- Physical phenomenon- Deterministic flow
• Stochastic Model- Covariance structures- ’Static’ stochastic flow
• Stochastic-Deterministic Model- Embedding deterministic flow into static stochastic flow- Dynamical stochastic flow
![Page 7: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/7.jpg)
What do we do here?
Essentially, we combine together well-established components:
• Deterministic Model- Physical phenomenon- Deterministic flow
• Stochastic Model- Covariance structures- ’Static’ stochastic flow
• Stochastic-Deterministic Model- Embedding deterministic flow into static stochastic flow- Dynamical stochastic flow
![Page 8: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/8.jpg)
What do we do here?
Essentially, we combine together well-established components:
• Deterministic Model- Physical phenomenon- Deterministic flow
• Stochastic Model- Covariance structures- ’Static’ stochastic flow
• Stochastic-Deterministic Model- Embedding deterministic flow into static stochastic flow- Dynamical stochastic flow
![Page 9: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/9.jpg)
What do we do here?
Essentially, we combine together well-established components:
• Deterministic Model- Physical phenomenon- Deterministic flow
• Stochastic Model- Covariance structures- ’Static’ stochastic flow
• Stochastic-Deterministic Model- Embedding deterministic flow into static stochastic flow- Dynamical stochastic flow
![Page 10: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/10.jpg)
Motivation
A need for models that account for:• Variability in time - non-trivial, physically meaningful dynamics• Stochastic variability
One approach is to have a differential equation that is driven by astochastic noise.We propose a reverse:
Stochastic field driven by deterministic flow.
![Page 11: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/11.jpg)
Motivation
A need for models that account for:• Variability in time - non-trivial, physically meaningful dynamics• Stochastic variability
One approach is to have a differential equation that is driven by astochastic noise.We propose a reverse:
Stochastic field driven by deterministic flow.
![Page 12: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/12.jpg)
Motivation
A need for models that account for:• Variability in time - non-trivial, physically meaningful dynamics• Stochastic variability
One approach is to have a differential equation that is driven by astochastic noise.We propose a reverse:
Stochastic field driven by deterministic flow.
![Page 13: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/13.jpg)
Motivation
A need for models that account for:• Variability in time - non-trivial, physically meaningful dynamics• Stochastic variability
One approach is to have a differential equation that is driven by astochastic noise.We propose a reverse:
Stochastic field driven by deterministic flow.
![Page 14: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/14.jpg)
Motivation
A need for models that account for:• Variability in time - non-trivial, physically meaningful dynamics• Stochastic variability
One approach is to have a differential equation that is driven by astochastic noise.We propose a reverse:
Stochastic field driven by deterministic flow.
![Page 16: Spatio-temporal stochastic models with embedded ... · Isastochasticfieldmoving? 0 100 200 300 400 500 0 50 100 150 200 250 300 350 400 450 500 y, [m] x, [m] W(x,y,4) 0 100 200 300](https://reader034.fdocuments.us/reader034/viewer/2022042221/5ec8026847519f60970321cc/html5/thumbnails/16.jpg)
Is a stochastic field moving?
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Measuring velocities of a moving surface
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Stochastic Velocity Field
• One of possible definitions of velocity on random surfaces
v(x , t) = −Xt(x , t)
Xx(x , t)= − ∂X (x , t)t
∂X (x , t)x,
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Spatial Static Model
The starting point is the following spectral representation of astationary process
X (p)d=
∫Rn
exp(ip · ω)√
S(ω) dB(ω),
Non-stationary extension:
X (p)d=
∫Rn
exp(ip · ω)√
Sp(ω) dB(ω).
The covariance of X is given by
rS(p,p′) =
∫Rn
exp(i(p− p′) · ω)√
Sp(ω)Sp′(ω) dω,
and is non-stationary.
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Spatial Static Model
The starting point is the following spectral representation of astationary process
X (p)d=
∫Rn
exp(ip · ω)√
S(ω) dB(ω),
Non-stationary extension:
X (p)d=
∫Rn
exp(ip · ω)√
Sp(ω) dB(ω).
The covariance of X is given by
rS(p,p′) =
∫Rn
exp(i(p− p′) · ω)√
Sp(ω)Sp′(ω) dω,
and is non-stationary.
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Spatial Static Model
The starting point is the following spectral representation of astationary process
X (p)d=
∫Rn
exp(ip · ω)√
S(ω) dB(ω),
Non-stationary extension:
X (p)d=
∫Rn
exp(ip · ω)√
Sp(ω) dB(ω).
The covariance of X is given by
rS(p,p′) =
∫Rn
exp(i(p− p′) · ω)√
Sp(ω)Sp′(ω) dω,
and is non-stationary.
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Example
Take
Sp(ω) =s2(p)Ln(p)
2πn/2 exp(−L2(p)|ω|2/2
),
The non-stationary covariance of X is given by
rS(p,p′) = s(p)s(p′)(
2L(p)L(p′)L2(p) + L2(p′)
)− n2
exp(−(p− p′)TΣ(p− p′)
2
)where Σ = Σ(p,p′) = 2/
(L2(p) + L2(p′)
)· I.
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Example
Take
Sp(ω) =s2(p)Ln(p)
2πn/2 exp(−L2(p)|ω|2/2
),
The non-stationary covariance of X is given by
rS(p,p′) = s(p)s(p′)(
2L(p)L(p′)L2(p) + L2(p′)
)− n2
exp(−(p− p′)TΣ(p− p′)
2
)where Σ = Σ(p,p′) = 2/
(L2(p) + L2(p′)
)· I.
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Spatio-temporal static fields
Assuming that Φ(·; ds) is a Gaussian field-valued measure that isuniquely characterized by the time dependent spatial covariancesrS(p,p′; s), we can define
X (p, t) =
∫f (t, s; p) Φ(p; ds),
which will have the covariance
r(p,p′; t, t ′) =
∫f (t, s; p)f (t ′, s; p′) · rS(p,p′; s) ds
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Spatio-temporal static fields
Assuming that Φ(·; ds) is a Gaussian field-valued measure that isuniquely characterized by the time dependent spatial covariancesrS(p,p′; s), we can define
X (p, t) =
∫f (t, s; p) Φ(p; ds),
which will have the covariance
r(p,p′; t, t ′) =
∫f (t, s; p)f (t ′, s; p′) · rS(p,p′; s) ds
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Example: Temporal Ornstein-Uhlenbeck field
Taking f (t) = e−λt1[0,∞)(t) gives
X (p, t) =
∫ t
−∞e−λ(t−s) Φ(p; ds)
and if rS(p,p′; s) = rS(p,p′), its covariance is given by
r(p,p′; t) = rS(p,p′) · 12λ
e−λ|t|.
This example corresponds to the autoregression model of order one
X (p, t) = ρX (p, t −∆t) +√
1− ρ2 Φt(p),
Taking a space dependent λ(p) gives
r(p,p′; t) =rS(p,p′)
λ(p) + λ(p′)
{e−λ(p′)·t ; if t > 0,e−λ(p)·t ; if t < 0.
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Example: Temporal Ornstein-Uhlenbeck field
Taking f (t) = e−λt1[0,∞)(t) gives
X (p, t) =
∫ t
−∞e−λ(t−s) Φ(p; ds)
and if rS(p,p′; s) = rS(p,p′), its covariance is given by
r(p,p′; t) = rS(p,p′) · 12λ
e−λ|t|.
This example corresponds to the autoregression model of order one
X (p, t) = ρX (p, t −∆t) +√
1− ρ2 Φt(p),
Taking a space dependent λ(p) gives
r(p,p′; t) =rS(p,p′)
λ(p) + λ(p′)
{e−λ(p′)·t ; if t > 0,e−λ(p)·t ; if t < 0.
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Example: Temporal Ornstein-Uhlenbeck field
Taking f (t) = e−λt1[0,∞)(t) gives
X (p, t) =
∫ t
−∞e−λ(t−s) Φ(p; ds)
and if rS(p,p′; s) = rS(p,p′), its covariance is given by
r(p,p′; t) = rS(p,p′) · 12λ
e−λ|t|.
This example corresponds to the autoregression model of order one
X (p, t) = ρX (p, t −∆t) +√
1− ρ2 Φt(p),
Taking a space dependent λ(p) gives
r(p,p′; t) =rS(p,p′)
λ(p) + λ(p′)
{e−λ(p′)·t ; if t > 0,e−λ(p)·t ; if t < 0.
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Example: Temporal Ornstein-Uhlenbeck field
Taking f (t) = e−λt1[0,∞)(t) gives
X (p, t) =
∫ t
−∞e−λ(t−s) Φ(p; ds)
and if rS(p,p′; s) = rS(p,p′), its covariance is given by
r(p,p′; t) = rS(p,p′) · 12λ
e−λ|t|.
This example corresponds to the autoregression model of order one
X (p, t) = ρX (p, t −∆t) +√
1− ρ2 Φt(p),
Taking a space dependent λ(p) gives
r(p,p′; t) =rS(p,p′)
λ(p) + λ(p′)
{e−λ(p′)·t ; if t > 0,e−λ(p)·t ; if t < 0.
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Is there non-trivial dynamics?
• If
r(p,p′; t, t ′) =
∫ ∞−∞
f (t, s) · f (t ′, s) · rS(p,p′; s) ds.
then the dynamics of the field is trivial (i.e. velocities arecentered at zero).
• Thus the field
X (p, t) =
∫f (t, s) Φ(p; ds),
does not exhibit any organized motion.
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Is there non-trivial dynamics?
• If
r(p,p′; t, t ′) =
∫ ∞−∞
f (t, s) · f (t ′, s) · rS(p,p′; s) ds.
then the dynamics of the field is trivial (i.e. velocities arecentered at zero).
• Thus the field
X (p, t) =
∫f (t, s) Φ(p; ds),
does not exhibit any organized motion.
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Feeding deterministic flow into stochastic field
• Flow ψt,h(p) obtained from a velocity field v(p, t) satisfyingthe transport equation
ψt,h(p) = p+
∫ t+h
tv(ψt,u−t(p), u) du = p+
∫ h
0v(ψt,s(p), t+s) ds,
Construction of the stochastic field at a fixed location p and afixed time t:
Y (p, t) =
∫ ∞−∞
f (t, s) Φ(ψt,s−t(p); ds)
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There is a method in the madness
TheoremLet the spatial covariance rS of the innovations Φ(x , y ; dt) beisotropic (i.e. invariant under rotation), then the distribution ofrandom velocities on the surface of Y (p, t) has its center at thevalue of the deterministic velocity field v(x , y , t).
In other words, stochastic dynamics follows the one represented bythe underlying deterministic field.
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There is a method in the madness
TheoremLet the spatial covariance rS of the innovations Φ(x , y ; dt) beisotropic (i.e. invariant under rotation), then the distribution ofrandom velocities on the surface of Y (p, t) has its center at thevalue of the deterministic velocity field v(x , y , t).
In other words, stochastic dynamics follows the one represented bythe underlying deterministic field.
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Example: Dynamics driven by shallow water equations
∂u∂t
= −g∂h∂x− u
∂u∂x− v
∂u∂y
+ fv
∂v∂t
= −g∂h∂y− u
∂v∂x− v
∂v∂y− fu
∂h∂t
= −∂(hu)
∂x− ∂(hv)
∂y
• where: u, v denote horizontal velocities, h surface elevation• Used to model: Tsunamis, flows in rivers, internal waves,Jupiter’s Atmopshere
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Example cont.: Linearization in one dimension
After linearization and reduction to one dimension.• PDE with constant coefficients:
∂u∂t
= −u0∂u∂x− g
∂h∂x
∂h∂t
= −u0∂h∂x− h0
∂u∂x
,
whereu0, h0, g are constants
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Theorem – figures
Figure: Stochastically distorted flow (left) and deterministic shallowwater flow (right).
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A very incomplete and terribly biased bibliography
• Baxevani, A., Borget, C., Rychlik, I. (2008) Spatial Models for the Variability of the SignificantWave Height on the World Oceans.
• Baxevani, A., Podgórski, K., Rychlik, I. (2003) Velocities for moving random surfaces,• Baxevani, A., Podgórski, K., Rychlik, I. (2011) Dynamically evolving Gaussian spatial fields.• Cox, D.R., Isham, V.S. (1988) A simple spatial-temporal model of rainfall.• Gupta, V.K., Waymire, E. (1987) On Taylor’s hypothesis and dissipation in rainfall.• Longuet-Higgins, M. S (1957) The statistical analysis of a random, moving surface.• Porcu, E., Mateu, J., and Christakos, G., (2009) Quasi-arithmetic means of covariance functions
with potential applications to space-time data.• Schlather, M. (2009) Some covariance models based on normal scale mixtures.• Stein, M.L. (2005) Nonstationary spatial covariance functions• Wegener, J. (2010) Ph.D. Thesis, Lund University.