Xiangjun Wang

1. The change-point problem originated in industrial quality control. It is used to detect changes in product quality during the production process, allowing timely adjustment of production paramet...

Integral equations are widely used in fields such as applied modeling, medical imaging, and system identification, providing a powerful framework for solving deterministic problems. While parameter identification for differential equations has been extensively studied, the focus on integral equations, particularly stochastic Volterra integral equations, remains limited. This research addresses the parameter identification problem, also known as the equation reconstruction problem, in Volterra integral equations driven by Gaussian noise. We propose an improved deep neural networks framework for estimating unknown parameters in the drift term of these equations. The network represents the primary variables and their integrals, enhancing parameter estimation accuracy by incorporating inter-output relationships into the loss function. Additionally, the framework extends beyond parameter identification to predict the system’s behavior outside the integration interval. Prediction accuracy is validated by comparing predicted and true trajectories using a 95% confidence interval. Numerical experiments demonstrate the effectiveness of the proposed deep neural networks framework in both parameter identification and prediction tasks, showing robust performance under varying noise levels and providing accurate solutions for modeling stochastic systems.

This paper proposes a novel fast online methodology for outlier detection called the exception maximization outlier detection (EMOD) algorithm, which employs probabilistic models and statistical algorithms to detect abnormal patterns from the outputs of complex systems. The EMOD is based on a two-state Gaussian mixture model and demonstrates strong performance in probability anomaly detection working on real-time raw data rather than using special prior distribution information. We confirm this using the synthetic data from two numerical cases. For the real-world data, we have detected the short-circuit pattern of the circuit system using EMOD by the current and voltage output of a three-phase inverter. The EMOD also found an abnormal period due to COVID-19 in the insured unemployment data of 53 regions in the United States from 2000 to 2024. The application of EMOD to these two real-life datasets demonstrated the effectiveness and accuracy of our algorithm.

This paper proposes a novel fast online methodology for outlier detection called the exception maximization outlier detection method(EMODM), which employs probabilistic models and statistical algorithms to detect abnormal patterns from the outputs of complex systems. The EMODM is based on a two-state Gaussian mixture model and demonstrates strong performance in probability anomaly detection working on real-time raw data rather than using special prior distribution information. We confirm this using the synthetic data from two numerical cases. For the real-world data, we have detected the short circuit pattern of the circuit system using EMODM by the current and voltage output of a three-phase inverter. The EMODM also found an abnormal period due to COVID-19 in the insured unemployment data of 53 regions in the United States from 2000 to 2024. The application of EMODM to these two real-life datasets demonstrated the effectiveness and accuracy of our algorithm.

The theory of forward–backward stochastic differential equations occupies an important position in stochastic analysis and practical applications. However, the numerical solution of forward–backward stochastic differential equations, especially for high-dimensional cases, has stagnated. The development of deep learning provides ideas for its high-dimensional solution. In this paper, our focus lies on the fully coupled forward–backward stochastic differential equation. We design a neural network structure tailored to the characteristics of the equation and develop a hybrid BiGRU model for solving it. We introduce the time dimension based on the sequence nature after discretizing the FBSDE. By considering the interactions between preceding and succeeding time steps, we construct the BiGRU hybrid model. This enables us to effectively capture both long- and short-term dependencies, thus mitigating issues such as gradient vanishing and explosion. Residual learning is introduced within the neural network at each time step; the structure of the loss function is adjusted according to the properties of the equation. The model established above can effectively solve fully coupled forward–backward stochastic differential equations, effectively avoiding the effects of dimensional catastrophe, gradient vanishing, and gradient explosion problems, with higher accuracy, stronger stability, and stronger model interpretability.

Extensive research has been conducted on models of ordinary differential equations (ODEs), yet these deterministic models often fail to capture the intricate complexities of real-world systems adequately. Thus, many studies have proposed the integration of Markov chains into nonlinear dynamical systems to account for perturbations arising from environmental changes and random variations. Notably, the field of parameter estimation for ODEs incorporating Markov chains still needs to be explored, creating a significant research gap. Therefore, the objective of this study is to investigate a comprehensive model capable of encompassing real-life scenarios. This model combines a system of ODEs with a continuous-time Markov chain, enabling the representation of a continuous system with discrete parameter switching. We present a machine discovery framework for parameter estimation in nonlinear dynamical systems with Markovian switching, effectively addressing this research gap. By incorporating Markov chains into the model, we adeptly capture the time-varying dynamics of real-life systems influenced by environmental factors. This approach enhances the applicability and realism of the research, enabling more precise representations of dynamical systems with Markovian switching in complex scenarios.