Beruflich Dokumente
Kultur Dokumente
2016-2
Variance algebra applied to dynamical systems
Hugo Hernandez
ForsChem Research, 050030 Medellin, Colombia
hugo.hernandez@forschem.org
ORCID : 0000-0002-7634-7161
doi: 10.13140/RG.2.2.36507.26403
Abstract
In this paper, the basic concept of variance algebra is used for describing fluctuation in
dynamical systems. By expressing any random variable as a function of standard random
variables (e.g. standard white noise, standard Markovian), the algebra of the expected value
and the variance is greatly simplified and easier to apply. Through three different case studies,
the validity and usefulness of variance algebra for modeling fluctuation in dynamical systems is
demonstrated. The stochastic model can be simulated using Monte Carlo simulation by
generating the corresponding random numbers for each type of random variable.
Keywords
Brownian motion; Differential Equations; Dynamical systems; Markovian processes; Random
variables; Shot noise; Stochastic modeling; Variance algebra; White noise
1. Introduction
Real processes (either static or dynamic) fluctuate as a result of the simultaneous effect of
multiple factors. These fluctuations are commonly interpreted as noise. Noisy process
variables fluctuate around a mean or average value. As the noise is reduced, the uncertainty in
the value of the process variables is also reduced, and in the limit of zero noise, a purely
deterministic process is obtained. Conventional modeling techniques are deterministic, as they
describe the average behavior of the processes without describing how the variables fluctuate.
Stochastic modeling techniques, on the other hand, take into account the probabilistic nature
of the processes describing them in a more realistic way. Modeling the behavior of the
fluctuations in a system can be done using Variance Algebra.[1]
17/12/2016
2016-2 (1 / 26)
Previously, it was shown that simple variance linear algebra can be extended to arbitrary
nonlinear functions ( ) of random variables ( ) by transforming the function using a Taylor
power series expansion around the expected value ( ( )): [1]
( )
where
( )
( )
( ( ))
( ))
(1.1)
with respect to .
For the particular case when the random variable is a normal or Gaussian random variable, then
the nonlinear function can be expressed as a power series of the standard normal random
variable ( ) as follows:
( )
( )(
where
( ))
(1.2)
An additional degree of complexity is found when the arbitrary function ( ) include time
derivatives of . That is, the function can be expressed as:
( )
where
( ))
(
( )
(1.3)
This is the case of dynamical systems. In a dynamical process, the derivatives with respect to
time of the process variables (either random or deterministic) have a significant role in the
process outcome, and understanding the behavior of fluctuation in a dynamical system is key
to obtain reliable dynamic stochastic models.
In Section 2, the mathematical foundations of variance algebra applied to dynamical systems
are presented. Section 3 includes three application case studies, exemplifying in detail the use
of variance algebra to dynamical systems. They include a microwave electronic circuit used for
wireless communication, the Brownian motion problem, and a cylindrical tank being filled with
water. Variance algebra can, however, be applied to any dynamical process.
17/12/2016
2016-2 (2 / 26)
are:
(2.1)
(2.2)
( )
(2.3)
For understanding the behavior of dynamical systems, let us consider the statistical behavior of
the first derivative of a random variable (not necessarily a normal random variable) with
respect to time:
( )
( )
( )
( )
(2.4)
( ( )
))
[ ( ( ))
( (
))]
(2.5)
( ( ) (
))]
(2.6)
( ( ))
( (
))
[ ( ( ))
( (
))]
[ ( ( ))
(
( ( ))
( (
( (
))
))
( (
( ( )
))]
(2.7)
))]
(2.8)
and in general,
(
( ))
17/12/2016
) ( ) ( (
))
(2.9)
2016-2 (3 / 26)
( ))
)(
))
)(
))
)(
)(
))]
(2.10)
The recurrence in the case of variance is possible, but a particular result depends on the
autocorrelation function (defined as the covariance of a random variable at two different times
or with a time lag) of the random variable. Let us consider three possible cases: White-noise
random variables, Markovian random variables and non-Markovian random variables.
2.1. Case I: White-noise random variables
White-noise random variables are those whose autocorrelation function is represented by
Diracs delta function:
[( ( )
( ( ))) ( (
Thus, for
( ( ) (
( (
)))]
( )
( )
(2.11)
( ( ))
( (
))
(2.12)
Assuming that the expected value and the variance of the random variable remain constant
during the process, then the expected value and the variance for the -th derivative of with
respect to time become:
(
( ))
( ))
( )
( )
) ( )
( )
(2.13)
( )
(2.14)
Equation (2.14) is obtained because all covariance terms disappear, and a simple generalization
is possible.
If the variance is constant but the expected value of the white-noise random variable is a
function of time, ( )
( ), then
17/12/2016
2016-2 (4 / 26)
( ))
) ( ) (
( )(
(2.15)
(2.16)
( )
[ ( ) (
(2.17)
)]
( )
(2.18)
Thus, any arbitrary white-noise random variable ( ) can be expressed as a function of the
standard white-noise random variable ( ) as follows:
(2.19)
and
The time derivatives of the standard white-noise random variable will have the following
properties (from Eq. 2.13 and 2.14):
(
( ))
(2.20)
( ))
(2.21)
17/12/2016
2016-2 (5 / 26)
( )
( )
(2.22)
In other words, for a Markovian random variable the first derivative with respect to time is a
white-noise random variable with known constant expected value and variance. Therefore:
(
for
( )
(2.23)
where ( )
( )
( )
(2.24)
( ).
( )
(2.25)
Since ( )
( ( ) (
( )
( ( ) (
))]
(2.26)
(2.27)
and
(
( )
(2.28)
( ))
( )
):
)
( )
(2.29)
As it can be seen, it is possible to describe the behavior of the higher order derivatives as a
) is missing. From Eq. (2.24):
function of ( ). Only the behavior of (
17/12/2016
2016-2 (6 / 26)
( (
))
( (
( ( ))
))
( )
( ( ))
(2.30)
( )
( ( ) ( ))
(2.31)
( )
where
( )
(2.32)
Then,
( ( ))
( ( ) ( ))
( ( )) ( ( ))
( ( ))
( ( )) ( ( ))
(2.33)
and
( (
))
( ( ))
( )
(2.34)
That means that both the expected value and the variance of the random variable change
linearly with time:
( ( ))
( ( ))
( ( ))
( )(
( ( ))
)
( )(
(2.35)
)
(2.36)
Furthermore, the variance of the random variable always increases with time, and such
increase depends on the time step considered. This is an important conclusion to be considered
when the system dynamics are solved using numerical methods. Of course, the smaller the
time step the calculation will be more precise, but the computation times will be longer.
It is also useful here to describe the Markovian random variable
Markovian random number
defined as:
( )
( )
in terms of a standard
(2.37)
with
(
( ))
( ))
(2.38)
Therefore,
(
( ))
17/12/2016
(2.39)
2016-2 (7 / 26)
( ))
(2.40)
( )
( )
( ))
(2.41)
then
(
))
(
))
( ))
(2.42)
( ))
(2.43)
Thus,
( ))
( ))
(2.44)
Please notice that the standard Markovian random variable is not dimensionless (as the white
noise standard random variable). The standard Markovian random variable has units of time.
From this definition of the standard Markovian random variable, the Markovian random
variable can be expressed as:
( )
( )
( )
( )
(2.45)
( )
)
)
(2.46)
In the limit of
( )
((
(2.47)
(2.48)
)
(2.49)
or equivalently,
(
)
(
(2.50)
17/12/2016
(2.51)
2016-2 (8 / 26)
Since
(
(
(2.52)
) ((
( )
(2.54)
which is also consistent with the definition in Eq. 2.40, confirming the validity of this approach.
( )
( )
( )
)(
( )
( )(
(2.55)
( )(
)
)
(2.56)
and in general,
( )(
( )(
( )(
(2.57)
For small values of the time step, Eq. (2.57) can be approximated by the following recurrence:
( )(
( )(
)(
(2.58)
From Eq. (2.58), the expected value and the variance of the
(
( )(
17/12/2016
))
( )(
))
)(
))
))
( )(
))
)(
))
(2.60)
If it is assumed that at a certain derivative ( -th derivative) there is a white-noise behavior, then
the -th derivative can be expressed as:
(
( )
(2.61)
( )
( )
(2.62)
For the (
(
( )
(
)
( ))
(2.63)
(2.64)
with
(
)
(
(2.65)
)
(2.66)
(2.67)
where
(
)
(
(2.68)
)
(2.69)
(2.70)
Therefore:
(
(2.71)
) )]
(2.72)
)
(
)]
(2.73)
( [
)
(
(
)]
(2.74)
)
)
(2.75)
(
(
)]
)
(2.76)
(2.77)
)])
)
)
)]
))
)
(2.78)
)]
(
(
)
)
)
) ((
)
)
(2.79)
Considering that if both terms in the equation are equal to zero, then the overall expression
will be zero, it is found that one possible solution to Eq. (2.79) is:
(
(2.80)
is identical to
, and therefore:
(2.81)
( )
( )
( )
(2.82)
This means that for a non-Markovian case, it is possible to use the standard Markovian random
variable the all derivatives (up to the (
)-th derivative), and the same procedure of the
Markovian case can be used.
Furthermore, given that
(
(2.83)
( )
( )
( )
(2.84)
for
Thus, for practical purposes, a white noise random variable can be assumed for the lower
derivatives. This last approximation, however, is not recommended for the Markovian
derivative (
)-th derivative.
3. Application examples
3.1. Microwave electronic circuit
The first example considered is a microwave electronic circuit, commonly used in wireless
communication by computers, mobile phones and other electronic devices.[2] Microwaves
operate at frequencies normally between 300 MHz and 300 GHz,[3] which correspond to time
scales in the range of 510-13 to 510-10 s. As there is a trend to design smaller, more efficient
devices, it is necessary to reduce power consumption and operate in the nanoampere scale or
even below.[4] Under these conditions, the number of electrons passing through the circuit at
the relevant microwave frequency is very small, and therefore shot noise becomes relevant.
Shot noise is a Poisson-type noise that takes place in electric circuits as a consequence of the
discrete nature of electrons.[5] When the number of electrons passing per unit time is
significantly larger than one, shot noise, as any Poisson process, approaches the behavior of a
normal or Gaussian distribution. Shot noise current is, in fact, a white-noise random variable.
The expected value and the variance of shot noise current are:[5]
(
)
(
(3.1)
)
17/12/2016
(3.2)
where
is the charge of an individual electron, is the electric current
entering in the circuit, and is the characteristic time scale of the circuit, which in this case, is
the reciprocal of the characteristic microwave frequency.
Electronic circuits of this type usually contain chokes (Fig. 1), inductors used to block analog
current (AC) while allowing the passing of direct current (DC). Chokes are preferred over
resistors as they do not dissipate power, and therefore, do not heat the circuit. When the
current flow through the choke ( ) changes, a voltage ( ) is induced according to Faradays
law of induction:[6]
(3.3)
where is a property of the conductor material, called Inductance.
(3.5)
The shot noise current can be expressed in function of the standard white noise variable ( )
as:
| |
(3.6)
17/12/2016
| |
| |
(3.7)
(3.8)
| |
[ (
(3.9)
where
is the numerical time step considered. Although it is desirable to set
for
improved accuracy, computational limitations require the use of larger values for the time step.
If the input current were a constant (DC current), then:
( )
(3.10)
| |
( )
(3.11)
Actually, the input current is expected to be a sinusoidal wave (AC current) with the following
general expression:
( )
( (
(3.12)
In this case:
( )
( )
( (
|
( (
)
)|
(3.13)
( (
)|
( (
)] (3.14)
, then
| |
(3.15)
Equations (3.13) and (3.15) can be compared with simulation to test their validity. A dynamic
simulation (numerical solution) of the differential equation (3.3) is performed using Eulers
method with a time step
for a total time of
, and considering the
following parameters:
(
),
,
(
),
,
(20 turns of 30-gauge copper wire in a 0.5 cm diameter coil). The
17/12/2016
results obtained are compared to the results of a Monte Carlo (MC) simulation of algebraic
equations (3.13) and (3.15), and graphically summarized in Figure 2.
Figure 2. Dynamic simulation (upper plot) vs. Monte Carlo simulation (lower plot) of voltage
induced by a choke in a microwave circuit operating at 160 GHz for a 0.1 A, 60 Hz AC current.
Additional parameters:
,
,
.
By considering even lower currents, in the nanoampere range, the effect of shot noise is
increasingly significant. The results obtained for a 1 nA input current are presented in Figure 3,
for both the dynamic and the MC simulation. All other parameters are the same used in the
previous case. It is possible to observe that at this scale, the induction voltage of the input
current is less significant that the voltage induced by shot noise.
These results validate the approach described in Section 2.1 for representing the dynamics of
white-noise random variables using variance algebra.
17/12/2016
Figure 3. Dynamic simulation (upper plot) vs. Monte Carlo simulation (lower plot) of voltage
induced by a choke in a microwave circuit operating at 160 GHz for a 1 nA, 60 Hz AC current.
Additional parameters:
,
,
.
) , where
is Boltzmanns constant,
is the temperature
of the liquid, and is an interaction parameter from the Born repulsion potential.
For solving this problem, let us first consider the equations of motion for each Cartesian
direction:
17/12/2016
(3.17)
The particle velocity in each direction can be expressed in terms of the standard Markovian
random variable
as:
(3.18)
(3.19)
(3.20)
From which
(3.21)
That is, the velocity of the particle in each direction tends to an average value of zero for
, independently of its initial average value.
Obtaining the variance to Eq. (3.19) and rearranging:
(
For
(3.22)
, then:
(3.23)
Neglecting the rate of change in the standard deviation of the particle velocity:
(3.24)
)
(
(3.25)
Thus, for the particle velocity in each direction, the expected value is:
( )
(3.26)
(3.27)
(3.28)
(3.29)
then
(
The variance of
(
(3.30)
(3.31)
Considering that the standard Markovian random variable behaves as a normal random
variable, then
(
,
(
(3.32)
and therefore:
(
(3.33)
After having described the velocity of the particle, let us now consider its position:
17/12/2016
(3.34)
2016-2 (18 / 26)
(3.35)
is then:
(
(3.36)
) (
(3.37)
Thus, the particle position can be expressed in terms of the standard white noise random
variable as:
(3.38)
The magnitude of the distance traveled by the particle from its initial position is:
(3.39)
where
)
(
) [
(
) )
(3.40)
) [
) is:
) (
(3.41)
) )
17/12/2016
)
(
, and
(3.42)
)
(
((
(
)
(3.43)
) )
((
)
)
(3.44)
(3.45)
)
(
) )
(3.46)
-3
Dynamic simulation
Expected value (predicted by variance algebra)
3.5
3
2.5
2
1.5
1
0.5
0
0.5
1.5
Time (s)
2.5
Figure 4. Comparison of the dynamic simulation (black) of the square velocity of a particle
during Brownian motion and the corresponding expected value predicted by variance algebra
(blue).
,
,
,
,
,
.
17/12/2016
3.5
-7
3
2.5
2
1.5
1
0.5
0
Dynamic simulation
Expected value (predicted by variance algebra)
0
0.5
1.5
Time (s)
2.5
Figure 5. Comparison of the dynamic simulation (black) of the square displacement of a particle
during Brownian motion and the corresponding expected value predicted by variance algebra
(blue).
,
,
,
,
,
.
Figures 6 and 7 show the comparative results when the particle is initially in motion, with a
velocity of 0.2 m/s in a random direction. In this case, the prediction is made with Eq. (3.33) and
(3.41). The simulation is run at a time step 100 times smaller and only for a period of 3 ms, in
order to observe in detail the relaxation of the particle.
0.045
Dynamic simulation
Expected value (predicted by variance algebra)
0.04
0.035
0.03
0.025
0.02
0.015
0.01
0.005
0
0.5
1.5
Time (s)
2.5
3
x 10
-3
Figure 6. Comparison of the dynamic simulation (black) of the square velocity of a particle
during Brownian motion and the corresponding expected value predicted by variance algebra
(blue).
,
,
,
,
,
.
17/12/2016
-9
3.5
3
2.5
2
1.5
1
Dynamic simulation
Expected value (predicted by variance algebra)
0.5
0
0.5
1.5
Time (s)
2.5
3
x 10
-3
Figure 7. Comparison of the dynamic simulation (black) of the square displacement of a particle
during Brownian motion and the corresponding expected value predicted by variance algebra
(blue).
,
,
,
,
,
.
As it can be observed, both the initial relaxation and the long-range behavior of the motion of
the particle can be predicted by variance algebra. It is also important to notice that the
behavior predicted by Eq. (3.45), which is equivalent to the Einsteins equation,[8] is a relevant
result for understanding molecular diffusion and mass transfer.
(3.47)
where is the mass of liquid in the tank, is the inlet volumetric flow of liquid,
of the tank, and is the density of the liquid.
is the radius
Because of environmental thermal fluctuations and the effect of stirring, the liquid density can
be considered as a white-noise random variable with expected value and variance .
17/12/2016
)(
(3.48)
Re-arranging:
(3.49)
The non-linearity in Eq. (3.49) can be transformed by a truncated power series expansion [1]
into:
( )(
( )
( )
(3.50)
Now, because of the fluctuation in density, the behavior of the level is not purely Markovian.
Let us assume that we can describe the liquid level as a function of the more general standard
white-noise random variable. Then:
)( )(
()
()
(3.51)
17/12/2016
(3.52)
and the variance operator (neglecting the rate of change in the standard deviation of the liquid
level):
(
( ) (
() (
()
()
() )
(3.53)
() )
(3.54)
(3.55)
Figure 9 shows the comparison of the results obtained by dynamic simulation of Eq. (3.48) and
by MC simulation of Eq. (3.54) and (3.55) for a period of 5 minutes. For clarity, the residuals of
the level with respect to its expected value (noise) for both dynamic and MC simulation are
presented in Figure 10. In the absence of density fluctuations, the system would be better
described as a function of the standard Markovian random variable.
Figure 9. Simulation of the filling of a tank with water, considering fluctuations in the flowrate
and the liquid density, by dynamic simulation (blue) and Monte Carlo simulation (green).
,
,
,
,
,
,
,
17/12/2016
Figure 10. Liquid level noise obtained by dynamic simulation (blue) and Monte Carlo simulation
(green) during the filling of a tank with water, considering fluctuations in the flowrate and the
liquid density.
,
,
,
,
,
,
,
.
In the previous examples, it can be observed that in spite of the mathematical complexities
that can arise in a dynamic model, it is always possible to describe the fluctuation of all the
output variables with a simple stochastic model derived from variance algebra, as long as the
fluctuation in the input variables is known.
Acknowledgments
This research did not receive any specific grant from funding agencies in the public,
commercial, or not-for-profit sectors.
References
[1] Hernandez, H. (2016). Modelling the effect of fluctuation in nonlinear systems using variance
algebra - Application to light scattering of ideal gases. ForsChem Research Reports 2016-1, 1-20.
doi: 10.13140/RG.2.2.36501.52969.
[2] Rohde, U. L., & Rudolph, M. (2013). RF/microwave circuit design for wireless applications.
John Wiley & Sons.
[3] Sorrentino, R., & Bianchi, G. (2010). Microwave and RF engineering (Vol. 1). John Wiley &
Sons.
17/12/2016
[4] Morimura, H., Oshima, S., Matsunaga, K., Shimamura, T., & Harada, M. (2014). Ultra-lowpower circuit techniques for mm-size wireless sensor nodes with energy harvesting. IEICE
Electronics Express, 11(20), 20142009.
[5] Engelberg, S. (2006). Random signals and noise: a mathematical introduction. CRC Press.
[6] Fujimoto, M. (2007). Physics of classical electromagnetism (Vol. 240). Springer Science &
Business Media.
[7] Langevin, P. (1908). Sur la thorie du mouvement brownien. CR Acad. Sci. Paris, 146(530533), 530.
[8] Einstein, A. (1905). ber die von der moleklarkinetischen Theorie der Wrme gefrderte
Bewegung von in ruhenden Flssigkeiten suspendierten Teilchen. Annalen der Physik und
Chemie, 17, 549-560.
[9] Ghasem, N., & Henda, R. (2014). Principles of Chemical Engineering Processes: Material and
Energy Balances. CRC Press.
17/12/2016