Local information transfer as a spatiotemporal filter for complex systems

We present a measure of local information transfer, derived from an existing averaged information-theoretical measure, namely transfer entropy. Local transfer entropy is used to produce profiles of the information transfer into each spatiotemporal point in a complex system. These spatiotemporal profiles are useful not only as an analytical tool, but also allow explicit investigation of different parameter settings and forms of the transfer entropy metric itself. As an example, local transfer entropy is applied to cellular automata, where it is demonstrated to be a novel method of filtering for coherent structure. More importantly, local transfer entropy provides the first quantitative evidence for the long-held conjecture that the emergent traveling coherent structures known as particles (both gliders and domain walls, which have analogues in many physical processes) are the dominant information transfer agents in cellular automata.

Stability of Filters for the Navier-Stokes Equation

Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation algorithms designed to update the estimation of the state in a on-line fashion, as data is acquired sequentially. For linear problems subject to Gaussian noise filtering can be performed exactly using the Kalman filter. For nonlinear systems it can be approximated in a systematic way by particle filters. However in high dimensions these particle filtering methods can break down. Hence, for the large nonlinear systems arising in applications such as weather forecasting, various ad hoc filters are used, mostly based on making Gaussian approximations. The purpose of this work is to study the properties of these ad hoc filters, working in the context of the 2D incompressible Navier-Stokes equation. By working in this infinite dimensional setting we provide an analysis which is useful for understanding high dimensional filtering, and is robust to mesh-refinement. We describe theoretical results showing that, in the small observational noise limit, the filters can be tuned to accurately track the signal itself (filter stability), provided the system is observed in a sufficiently large low dimensional space; roughly speaking this space should be large enough to contain the unstable modes of the linearized dynamics. Numerical results are given which illustrate the theory. In a simplified scenario we also derive, and study numerically, a stochastic PDE which determines filter stability in the limit of frequent observations, subject to large observational noise. The positive results herein concerning filter stability complement recent numerical studies which demonstrate that the ad hoc filters perform poorly in reproducing statistical variation about the true signal.

A framework for the local information dynamics of distributed computation in complex systems

The nature of distributed computation has often been described in terms of the component operations of universal computation: information storage, transfer and modification. We review the first complete framework that quantifies each of these individual information dynamics on a local scale within a system, and describes the manner in which they interact to create non-trivial computation where the whole is greater than the sum of the parts. We describe the application of the framework to cellular automata, a simple yet powerful model of distributed computation. This is an important application, because the framework is the first to provide quantitative evidence for several important conjectures about distributed computation in cellular automata: that blinkers embody information storage, particles are information transfer agents, and particle collisions are information modification events. The framework is also shown to contrast the computations conducted by several well-known cellular automata, highlighting the importance of information coherence in complex computation. The results reviewed here provide important quantitative insights into the fundamental nature of distributed computation and the dynamics of complex systems, as well as impetus for the framework to be applied to the analysis and design of other systems.

Automatic differentiation for error analysis of Monte Carlo data

Automatic Differentiation (AD) allows to determine exactly the Taylor series of any function truncated at any order. Here we propose to use AD techniques for Monte Carlo data analysis. We discuss how to estimate errors of a general function of measured observables in different Monte Carlo simulations. Our proposal combines the $Gamma$-method with Automatic differentiation, allowing exact error propagation in arbitrary observables, even those defined via iterative algorithms. The case of special interest where we estimate the error in fit parameters is discussed in detail. We also present a freely available fortran reference implementation of the ideas discussed in this work.

Superstatistics with cut-off tails for financial time series

Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect in superstatistics. Then we confirm that the presented stochastic model is capable of describing the statistical properties of real financial time series. In addition, we present an option pricing formula with respect to superstatistics.