The chemical master equation (CME) represents the accepted stochastic description of chemical reaction kinetics in mesoscopic systems. As its exact solution – which gives the corresponding probability density function – is possible only in very simple cases, there is a clear need for approximation techniques. Here, we propose a novel perturbative three-step approach which draws heavily on graph theory: (i) we expand the eigenvalues of the transition state matrix in the CME as a series in a non-dimensional parameter that depends on the reaction rates and the reaction volume; (ii) we derive an analogous series for the corresponding eigenvectors via a graph-based algorithm; (iii) we combine the resulting expansions into an approximate solution to the CME. We illustrate our approach by applying it to a reversible dimerization reaction; then, we formulate a set of conditions, which ensure its applicability to more general reaction networks. We follow attempting to apply the results to a more complicated system, namely push-pull, but the problem reveals too complex for a complete solution. Finally, we discuss the limitations of the methodology.

The paper is devoted to asymptotic analysis of the Dirichlet problem for a second order partial differential equation containing a small parameter multiplying the highest order derivatives. It corresponds to a small perturbation of a dynamical system having a stationary solution in the domain. We focus on the case where the trajectories of the system go into the domain and the stationary solution is a proper node.

We solve the problem of two-point boundary optimal control of linear time-varying systems with unknown model dynamics using reinforcement learning. Leveraging singular perturbation theory techniques, we transform the time-varying optimal control problem into two time-invariant subproblems. This allows the utilization of an off-policy iteration method to learn the controller gains. We show that the performance of the learning-based controller approximates that of the model-based optimal controller and the approximation accuracy improves as the control problem’s time horizon increases. We also provide a simulation example to verify the results / M.S. / We use reinforcement learning to find two-point boundary optimum controls for linear time-varying systems with uncertain model dynamics. We divided the LTV control problem into two LTI subproblems using singular perturbation theory techniques. As a result, it is possible to identify the controller gains via a learning technique. We show that the training-based controller’s performance approaches that of the model-based optimal controller, with approximation accuracy growing with the temporal horizon of the control issue. In addition, we provide a simulated scenario to back up our findings.

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<p>Den kvasilinjära formen av differential-algebraiska ekvationer är både en mycket allmängiltig generalisering av den linjära tidsinvarianta formen, och en form som visar sig lämpa sig väl för indexreduktionsmetoder som vi hoppas ska komma att bli både praktiskt tillämpbara och väl förstådda i framtiden.</p><p>Kuperingsalgoritmen (engelska: the shuffle algorithm) användes ursprungligen för att bestämma konsistenta initialvillkor för linjära tidsinvarianta differential-algebraiska ekvationer, men har även andra tillämpningar, till exempel det grundläggande problemet numerisk integration. I syfte att förstå hur kuperingsalgoritmen kan tillämpas på kvasilinjära differential-algebraiska ekvationer som inte låter sig analyseras utifrån mönstret av nollor, har problemet att förstå singulära perturbationer i differential-algebraiska ekvationer uppstått. Den här avhandlingen presenterar en indexreduktionsmetod där behovet framgår tydligt, och visar att algoritmen inte bara generaliserar kuperingsalgoritmen, utan även är ett specialfall av den mer allmänna strukturalgoritmen (engelska: the structure algorithm) för att invertera system av Li och Feng.</p><p>Ett kapitel av den här avhandlingen söker av en klass av ekvations-former efter former som är mindre generella än den kvasilinjära, men som en algoritm lik vår kan anpassas till. Det visar sig att indexreduktionen ofta förstör strukturella egenskaper hos ekvationerna, och att det därför är naturligt att arbeta med den mest allmänna kvasilinjära formen.</p><p>Avhandlingen innehåller också några tidiga resultat gällande hur perturbationerna kan hanteras. Huvudresultaten är inspirerade av den modellering i skilda tidskalor som görs i teorin om singulära perturbationer (engelska: singular perturbation theory). Medan teorin om singulära perturbationer betraktar inverkan av en försvinnande skalär i ekvationerna, betraktar analysen häri en okänd matris vars norm begränsas av en liten skalär. Resultaten är begränsade till linjära tidsinvarianta ekvationer av index inte högre än 1, men det är värt att notera att index 0-fallet självt innebär en intressant generalisering av teorin för singulära perturbationer för ordinära differentialekvationer.</p> / <p>The quasilinear form of differential-algebraic equations is at the same time both a very versatile generalization of the linear time-invariant form, and a form which turns out to suit methods for index reduction which we hope will be practically applicable and well understood in the future.</p><p>The shuffle algorithm was originally a method for computing consistent initial conditions for linear time-invariant differential algebraic equations, but has other applications as well, such as the fundamental task of numerical integration. In the prospect of understanding how the shuffle algorithm can be applied to quasilinear differential-algebraic equations that cannot be analyzed by zero-patterns, the question of understanding singular perturbation in differential-algebraic equations has arose. This thesis details an algorithm for index reduction where this need is evident, and shows that the algorithm not only generalizes the shuffle algorithm, but also specializes the more general structure algorithm for system inversion by Li and Feng.</p><p>One chapter of this thesis surveys a class of forms of equations, searching less general forms than the quasilinear, to which an algorithm like ours can be tailored. It is found that the index reduction process often destroys structural properties of the equations, and hence that it is natural to work with the quasilinear form in its full generality.</p><p>The thesis also contains some early results on how the perturbations can be handled. The main results are inspired by the separate timescale modeling found in singular perturbation theory. While the singular perturbation theory considers the influence of a vanishing scalar in the equations, the analysis herein considers an unknown matrix bounded in norm by a small scalar. Results are limited to linear time-invariant equations of index at most 1, but it is worth noting that the index 0 case in itself holds an interesting generalization of the singular perturbation theory for ordinary differential equations.</p> / Report code: LiU-TEK-LIC-2007:27.

Den kvasilinjära formen av differential-algebraiska ekvationer är både en mycket allmängiltig generalisering av den linjära tidsinvarianta formen, och en form som visar sig lämpa sig väl för indexreduktionsmetoder som vi hoppas ska komma att bli både praktiskt tillämpbara och väl förstådda i framtiden. Kuperingsalgoritmen (engelska: the shuffle algorithm) användes ursprungligen för att bestämma konsistenta initialvillkor för linjära tidsinvarianta differential-algebraiska ekvationer, men har även andra tillämpningar, till exempel det grundläggande problemet numerisk integration. I syfte att förstå hur kuperingsalgoritmen kan tillämpas på kvasilinjära differential-algebraiska ekvationer som inte låter sig analyseras utifrån mönstret av nollor, har problemet att förstå singulära perturbationer i differential-algebraiska ekvationer uppstått. Den här avhandlingen presenterar en indexreduktionsmetod där behovet framgår tydligt, och visar att algoritmen inte bara generaliserar kuperingsalgoritmen, utan även är ett specialfall av den mer allmänna strukturalgoritmen (engelska: the structure algorithm) för att invertera system av Li och Feng. Ett kapitel av den här avhandlingen söker av en klass av ekvations-former efter former som är mindre generella än den kvasilinjära, men som en algoritm lik vår kan anpassas till. Det visar sig att indexreduktionen ofta förstör strukturella egenskaper hos ekvationerna, och att det därför är naturligt att arbeta med den mest allmänna kvasilinjära formen. Avhandlingen innehåller också några tidiga resultat gällande hur perturbationerna kan hanteras. Huvudresultaten är inspirerade av den modellering i skilda tidskalor som görs i teorin om singulära perturbationer (engelska: singular perturbation theory). Medan teorin om singulära perturbationer betraktar inverkan av en försvinnande skalär i ekvationerna, betraktar analysen häri en okänd matris vars norm begränsas av en liten skalär. Resultaten är begränsade till linjära tidsinvarianta ekvationer av index inte högre än 1, men det är värt att notera att index 0-fallet självt innebär en intressant generalisering av teorin för singulära perturbationer för ordinära differentialekvationer. / The quasilinear form of differential-algebraic equations is at the same time both a very versatile generalization of the linear time-invariant form, and a form which turns out to suit methods for index reduction which we hope will be practically applicable and well understood in the future. The shuffle algorithm was originally a method for computing consistent initial conditions for linear time-invariant differential algebraic equations, but has other applications as well, such as the fundamental task of numerical integration. In the prospect of understanding how the shuffle algorithm can be applied to quasilinear differential-algebraic equations that cannot be analyzed by zero-patterns, the question of understanding singular perturbation in differential-algebraic equations has arose. This thesis details an algorithm for index reduction where this need is evident, and shows that the algorithm not only generalizes the shuffle algorithm, but also specializes the more general structure algorithm for system inversion by Li and Feng. One chapter of this thesis surveys a class of forms of equations, searching less general forms than the quasilinear, to which an algorithm like ours can be tailored. It is found that the index reduction process often destroys structural properties of the equations, and hence that it is natural to work with the quasilinear form in its full generality. The thesis also contains some early results on how the perturbations can be handled. The main results are inspired by the separate timescale modeling found in singular perturbation theory. While the singular perturbation theory considers the influence of a vanishing scalar in the equations, the analysis herein considers an unknown matrix bounded in norm by a small scalar. Results are limited to linear time-invariant equations of index at most 1, but it is worth noting that the index 0 case in itself holds an interesting generalization of the singular perturbation theory for ordinary differential equations. / Report code: LiU-TEK-LIC-2007:27.

The high pace at which many of the world's energy markets have gradually been opened to competition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their underlying asset properties set the energy risk management industry apart from its more standard equity and fixed income counterparts. This thesis naturaly contributes to these broad market developments in participating to the advances of the mathematical tools aiming at a better theory of energy contingent claim pricing/hedging. We propose many realistic two-factor and three-factor models for spot and forward price processes that generalize some well known and standard modeling assumptions. We develop the associated pricing methodologies and propose stable calibration algorithms that motivate the application of the relevant modeling schemes.

The high pace at which many of the world's energy markets have gradually been opened to competition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their underlying asset properties set the energy risk management industry apart from its more standard equity and fixed income counterparts. This thesis naturaly contributes to these broad market developments in participating to the advances of the mathematical tools aiming at a better theory of energy contingent claim pricing/hedging. We propose many realistic two-factor and three-factor models for spot and forward price processes that generalize some well known and standard modeling assumptions. We develop the associated pricing methodologies and propose stable calibration algorithms that motivate the application of the relevant modeling schemes.

Hybrid singularly perturbed systems (SPSs) with time delay are considered and exponential stability of these systems is investigated. This work mainly covers switched and impulsive switched delay SPSs . Multiple Lyapunov functions technique as a tool is applied to these systems. Dwell and average dwell time approaches are used to organize the switching between subsystems (modes) so that the hybrid system is stable. Systems with all stable modes are first discussed and, after developing lemmas to ensure existence of growth rates of unstable modes, these systems are then extended to include, in addition, unstable modes. Sufficient conditions showing that impulses contribute to yield stability properties of impulsive switched systems that consist of all unstable subsystems are also established. A number of illustrative examples are presented to help motivate the study of these systems.

Hybrid singularly perturbed systems (SPSs) with time delay are considered and exponential stability of these systems is investigated. This work mainly covers switched and impulsive switched delay SPSs . Multiple Lyapunov functions technique as a tool is applied to these systems. Dwell and average dwell time approaches are used to organize the switching between subsystems (modes) so that the hybrid system is stable. Systems with all stable modes are first discussed and, after developing lemmas to ensure existence of growth rates of unstable modes, these systems are then extended to include, in addition, unstable modes. Sufficient conditions showing that impulses contribute to yield stability properties of impulsive switched systems that consist of all unstable subsystems are also established. A number of illustrative examples are presented to help motivate the study of these systems.