Section: New Results

Probabilistic numerical methods, stochastic modeling and applications

Participants : Sofia Allende Contador, Alexis Anagnostakis, Mireille Bossy, Lorenzo Campana, Nicolas Champagnat, Quentin Cormier, Madalina Deaconu, Aurore Dupre, Coralie Fritsch, Vincent Hass, Pascal Helson, Christophe Henry, Ulysse Herbach, Igor Honore, Antoine Lejay, Rodolphe Loubaton, Radu Maftei, Kerlyns Martinez Rodriguez, Victor Martin Lac, Hector Olivero-Quinteros, Édouard Strickler, Denis Talay, Etienne Tanré, Denis Villemonais.

Published works and preprints

• H. AlRachid (Orléans University), M. Bossy, C. Ricci (University of Florence) and L. Szpruch (University of Edinburgh and The Alan Turing Institute, London) introduced several new particle representations for ergodic McKean-Vlasov SDEs. They construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. In [12] they present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (McKean-Vlasov SDEs) process.

• M. Di Iorio (Marine Energy Research and Innovation Center, Santiago, Chile), M.  Bossy, C. Mokrani (Marine Energy Research and Innovation Center, Santiago, Chile), and A. Rousseau (Lemon team) obtained advances in stochastic Lagrangian approaches for the simulation of hydrokinetic turbines immersed in complex topography [42].

• M. Bossy, J.-F. Jabir (University of Edinburgh) and K. Martinez (University of Valparaiso) consider the problem of the approximation of the solution of a one-dimensional SDE with non-globally Lipschitz drift and diffusion coefficients behaving as $x^{\alpha }$, with $\alpha >1$ [44]. They propose an (semi-explicit) exponential-Euler scheme and study its convergence through its weak approximation error. To this aim, they analyze the $C^{1,4}$ regularity of the solution of the associated backward Kolmogorov PDE using its Feynman-Kac representation and the flow derivative of the involved processes. From this, under some suitable hypotheses on the parameters of the model ensuring the control of its positive moments, they recover a rate of weak convergence of order one for the proposed exponential Euler scheme. Numerical experiments are analyzed in order to complement their theoretical result.

• L. Campana et al. developed some Lagrangian stochastic model for anisotropic particles in turbulent flow [35]. Suspension of anisotropic particles can be found in various industrial applications. Microscopic ellipsoidal bodies suspended in a turbulent fluid flow rotate in response to the velocity gradient of the flow. Understanding their orientation is important since it can affect the optical or rheological properties of the suspension (e.g. polymeric fluids). The equations of motion for the orientation of microscopic ellipsoidal particles was obtained by Jeffery. But so far this description has been always investigated in the framework of direct numerical simulations (DNS) and experimental measurements. In this work, the orientation dynamics of rod-like tracer particles, i.e. long ellipsoidal particles (in the limit of infinite aspect-ratio) is studied. The size of the rod is assumed smaller than the Kolmogorov length scale but sufficiently large that its Brownian motion need not be considered. As a result, the local flow around a particle can be considered as inertia-free and Stokes flow solutions can be used to relate particle rotational dynamics to the local velocity gradient. The orientation of rod can be described as the normalised solution of the linear ordinary differential equation for the separation vector between two fluid tracers, under the action of the velocity gradient tensor. In this framework, the rod orientation is described by a Lagrangian stochastic model where cumulative velocity gradient fluctuations are represented by a white-noise tensor such that the incompressibility condition is preserved. A numerical scheme based on the decomposition into skew/symmetric part of the process dynamics is proposed.

• Together with M. Andrade-Restrepo (Univ. Paris Diderot) and R. Ferrière (Univ. Arizona and École Normale Supérieure), N. Champagnat studied deterministic and stochastic spatial eco-evolutionary dynamics along environmental gradients. This work focuses on numerical and analytical analysis of the clustering phenomenon in the population, and on the patterns of invasion fronts [13].

• Together with M. Benaïm (Univ, Neuchâtel), N. Champagnat and D. Villemonais studied stochastic algorithms to approximate quasi-stationary distributions of diffusion processes absorbed at the boundary of a bounded domain. They study a reinforced version of the diffusion, which is resampled according to its occupation measure when it reaches the boundary. They show that its occupation measure converges to the unique quasi-stationary distribution of the diffusion process [43].

• N. Champagnat, C. Fritsch and S. Billiard (Univ. Lille) studied models of food web adaptive evolution. They identified the biomass conversion efficiency as a key mechanism underlying food webs evolution and discussed the relevance of such models to study the evolution of food webs [51].

• N. Champagnat and J. Claisse (Univ. Paris-Dauphine) studied the ergodic and infinite horizon controls of discrete population dynamics with almost sure extinction in finite time. This can either correspond to control problems in favor of survival or of extinction, depending on the cost function. They have proved that these two problems are related to the quasi-stationary distribution of the processes controled by Markov controls [18].

• N. Champagnat and B. Henry (Univ. Lille 1) studied a probabilistic approach for the Hamilton-Jacobi limit of non-local reaction-diffusion models of adaptive dynamics when mutations are small. They used a Feynman-Kac interpretation of the partial differential equation and large deviation estimates to obtain a variational characterization of the limit. They also studied in detail the case of finite phenotype space with exponentially rare mutations, where they were able to obtain uniqueness of the limit [19].

• N. Champagnat and D. Villemonais solved a general conjecture on the Fleming-Viot particle systems approximating quasi-stationary distributions (QSD): in cases where several quasi-stationary distributions exist, it is expected that the stationary distributions of the Fleming-Viot processes approach a particular QSD, called minimal QSD. They proved that this holds true for general absorbed Markov processes with soft obstacles [20].

• N. Champagnat and D. Villemonais studied the geometric convergence of normalized unbounded semigroups. They proved in [47] that general criteria for this convergence can be easily deduced from their recent results on the theory of quasi-stationary distributions.

• N. Champagnat, S. Méléard (École Polytechnique) and V.C. Tran (Univ. Paris Est Marne-la-Vallée) studied evolutionary models of bacteria with horizontal transfer. They considered in [46] a scaling of parameters taking into account the influence of negligible but non-extinct populations, allowing them to study specific phenomena observed in these models (re-emergence of traits, cyclic evolutionary dynamics and evolutionary suicide).

• M. Bahlali (CEREA, France) , C. Henry and B. Carissimo (CEREA, France) clarify issues related to the expression of Lagrangian stochastic models used for atmospheric dispersion applications. They showed that accurate simulations are possible only if two aspects are properly addressed: the respect of the well-mixed criterion (related to the incorporation of the mean pressure-gradient term in the mean drift-term) and the consistency between Eulerian and Lagrangian turbulence models (regarding turbulence models, boundary and divergence-free conditions).

• A. Lejay and A. Brault have continued their work on rough flows, which provides an unified framework to deal with the theory of rough paths from the point of view of flows. In particular, they have studied consistency, stability and generic properties of rough differential equations [45].

• A. Lejay and P. Pigato have provided an estimator of a discontinuous drift coefficients [30], which follows their previous work on the oscillating Brownian motion and its application to financial models.

• A. Lejay and H. Mardones (U. la Serenan, Chile), have completed their work on the Monte Carlo simulation of the Navier-Stockes equations based on a new representation by Forward-Backward Stochastic Differential Equations [53].

• O. Faugeras, E. Soret and E. Tanré have obtained a Mean-Field description of thermodynamics limits of large population of neurons with random interactions. They have obtained the asymptotic behaviour for an asymmetric neuronal dynamics in a network of linear Hopfield neurons. They have a complete description of this limit with Gaussian processes. Furthermore, the limit object is not a Markov process [50].

• E. Tanré, P. Grazieschi (Univ. Warwick), M. Leocata (Univ. Pisa), C. Mascart (Univ. Côte d'Azur), J. Chevallier (Univ. of Grenoble) and F. Delarue (Univ. Côte d'Azur) have extended the previous work [9] to sparse networks of interacting neurons. They have obtained a precise description of the limit behavior of the mean field limit according to the probability of (random) interactions between two individual LIF neurons [24].

• P. Helson has studied the learning of an external signal by a neural network and the time to forget it when this network is submitted to noise. He has constructed an estimator of the initial signal thanks to the synaptic currents, which are Markov chains. The mathematical study of the Markov chains allow to obtain a lower bound on the number of external stimuli that the network can receive before the initial signal is forgotten [52].

• Q. Cormier and E. Tanré studied with Romain Veltz (team MathNeuro ) the long time behavior of a McKean-Vlasov SDE modeling a large assembly of neurons. A convergence to the unique (in this case) invariant measure is obtained assuming that the interactions between the neurons are weak enough. The key quantity in this model is the “firing rate”: it gives the average number of jumps per unit of times of the solution of the SDE. They derive a non-linear Volterra equation satisfied by this rate. They used methods from integral equation to control finely the long time behavior of this firing rate [21].

• E. Tanré has worked with Nicolas Fournier (Sorbonne Université) and Romain Veltz (MathNeuro Inria team) on a network of spiking networks with propagation of spikes along the dendrites. Consider a large number $n$ of neurons randomly connected. When a neuron spikes at some rate depending on its electric potential, its membrane potential is set to a minimum value $v_{min}$, and this makes start, after a small delay, two fronts on the dendrites of all the neurons to which it is connected. Fronts move at constant speed. When two fronts (on the dendrite of the same neuron) collide, they annihilate. When a front hits the soma of a neuron, its potential is increased by a small value $w_n$. Between jumps, the potentials of the neurons are assumed to drift in $[v_{min},\infty )$, according to some well-posed ODE. They prove the existence and uniqueness of a heuristically derived mean-field limit of the system when $n\to \infty$ [23].

• O. Faugeras, James Maclaurin (Univ. of Utah) and E. Tanré have worked on the asymptotic behavior of a model of neurons in interaction with correlated gaussian synaptic weights. They have obtained the limit equation as a singular non-linear SDE and a Large Deviation Principle for the law of the finite network [49].

• E. Tanré has worked with Alexandre Richard (Centrale-Supelec) and Soledad Torres (Universidad de Valparaíso, Chile) on a one-dimensional fractional SDE with reflection. They have proved the existence of the reflected SDE with a penalization scheme (suited to numerical approximation). Penalization also gives an algorithm to approach this solution [55].

• The Neutron Transport Equation (NTE) describes the flux of neutrons over time through an inhomogeneous fissile medium. A probabilistic solution of the NTE is considered in order to demonstrate a Perron-Frobenius type growth of the solution via its projection onto an associated leading eigenfunction. The associated eigenvalue, denoted $k_{eff}$, has the physical interpretation as being the ratio of neutrons produced (during fission events) to the number lost (due to absorption in the reactor or leakage at the boundary) per typical fission event. Together with A. M. G. Cox, E. L. Horton and A. E. Kyprianou (Univ. Bath), D. Villemonais developed the stochastic analysis of the NTE by giving a rigorous probabilistic interpretation of $k_{eff}$ [48].

• In [34], D. Villemonais obtained a lower bound for the coarse Ricci curvature of continuous-time pure-jump Markov processes, with an emphasis on interacting particle systems. Applications to several models are provided, with a detailed study of the herd behavior of a simple model of interacting agents.

• In collaboration with C. Coron (Univ. Paris Sud) and S. Méléard (École Polytechnique), D. Villemonais studied in [22] the way alleles extinctions and fixations occur for a multiple allelic proportions model based on diffusion processes. It is proved in particular that alleles extinctions occur successively and that a 0-1 law holds for fixation and extinction: depending on the population dynamics near extinction, either fixation occurs before extinction, or the converse, almost surely.

• Mean telomere length in human leukocyte DNA samples reflects the different lengths of telomeres at the ends of the 23 chromosomes and in an admixture of cells. Together with S. Toupance (CHRU Nancy), D. Germain (Univ. Lorraine), A. Gégout-Petit (Univ. Lorraine and Bigs Inria team), E. Albuisson (CHRU Nancy) and A. Benetos (CHRU Nancy), D. Villemonais analysed telomere length distributions dynamics in adults individuals. It is proved in [33] that the shape of this distribution is stable over the lifetime of individuals.

• J. Bion-Nadal (Ecole Polytechnique) and D. Talay have pursued their work on their Wasserstein-type distance on the set of the probability distributions of strong solutions to stochastic differential equations. This new distance is defined by restricting the set of possible coupling measures and can be expressed in terms of the solution to a stochastic control problem, which allows one to deduce a priori estimates or to obtain numerical evaluations [15].

  A notable application concerns the following modeling issue: given an exact diffusion model, how to select a simplified diffusion model within a class of admissible models under the constraint that the probability distribution of the exact model is preserved as much as possible? The objective being to select a model minimizing the above distance to a target model, approximations of the optimal model have been established. The construction and analysis of an efficient stochastic algorithm are being in progress.

• D. Talay and M. Tomašević have continued to work on their new type of stochastic interpretation of the parabolic-parabolic Keller-Segel systems. It involves an original type of McKean-Vlasov interaction kernel. At the particle level, each particle interacts with all the past of each other particle. D. Talay and M. Tomašević are studying the well-posedness and the propagation of chaos of the particle system related to the two-dimensional parabolic-parabolic Keller-Segel system.

• V. Martin Lac, R. Maftei D. Talay and M. Tomašević have continued to work on theoretical and algorithmic questions related to the simulation of the Keller–Segel particle systems. The library Diamss has been developed.

• H. Olivero (Inria, now University of Valparaiso, Chile) and D. Talay have continued to work on their hypothesis test which helps to detect when the probability distribution of complex stochastic simulations has an heavy tail and thus possibly an infinite variance. This issue is notably important when simulating particle systems with complex and singular McKean-Vlasov interaction kernels whick make it extremely difficult to get a priori estimates on the probability laws of the mean-field limit, the related particle system, and their numerical approximations. In such situations the standard limit theorems do not lead to effective tests. In the simple case of independent and identically distributed sequences the procedure developed this year and its convergence analysis are based on deep tools coming from the statistics of semimartingales.

• I. Honoré and D. Talay have worked on statistical issues related to numerical approximations of invariant probability measures of ergodic diffusions. These approximations are based on the simulation of one single trajectory up to long time horizons. I. Honoré and D. Talay handle the critical situations where the asymptotic variance of the normalized error is infinite.

• V. Martin Lac, H. Olivero-Quinteros and D. Talay have worked on theoretical and algorithmic questions related to the simulation of large particle systems under singular interactions and to critical numerical issues related to the simulation of independent random variables with heavy tails. A preliminary version of a library has been developed.

• C. Graham (École Polytechnique) and D. Talay have ended the second volume of their series on Mathematical Foundation of Stochastic Simulation to be published by Springer.

Other works in progress

• K. Martinez, M. Bossy, C. Henry, R. Maftei and S. Sherkarforush work on a refined algorithm for macroscopic simulations of particle agglomeration using population balance equations (PBE). More precisely, their study is focused on identifying regions with non-homogeneous spatial distribution of particles. This is indeed a major drawback of PBE formulations which require a well-mixed condition to be satisfied. The developed algorithm identifies higher/lower density regions to treat them separately.

• S. Allende (CEMEF, France), J. Bec (CEMEF, France), M. Bossy, L. Campana, M. Ferrand (EDF, France), C. Henry and J.P. Minier (EDF, France) work together on a macroscopic model for the dynamics of small, flexible, inextensible fibers in a turbulent flow. Following the model developed at Inria, they perform numerical simulations of the orientation of such fibers in wall-bounded turbulent flows and compare it to microscopic simulations obtained with Direct Numerical Simulation (DNS). This work is performed under the POPART project.

• N. Champagnat, C. Fritsch and U. Herbach are working with A. Harlé (Institut de Cancérologie de Lorraine), J.-L. Merlin (ICL), E. Pencreac'h (CHRU Strasbourg), A. Gégout-Petit, P. Vallois, A. Muller-Gueudin (Inria Bigs team) and A. Kurtzmann (Univ. Lorraine) within an ITMO Cancer project on modeling and parametric estimation of dynamical models of circulating tumor DNA (ctDNA) of tumor cells, divided into several clonal populations. The goal of the project is to predict the emergence of a clonal population resistant to a targeted therapy in a patient's tumor, so that the therapy can be modulated more efficiently.

• N. Champagnat and R. Loubaton are working with P. Vallois (Univ. Lorraine and Inria Bigs team) and L. Vallat (CHRU Strasbourg) on the inference of dynamical gene networks from RNAseq and proteome data.

• N. Champagnat, E. Strickler and D. Villemonais are working on the characterization of convergence in Wasserstein distance of conditional distributions of absorbed Markov processes to a quasi-stationary distribution.

• N. Champagnat and V. Hass are studying evolutionary models of adaptive dynamics under an assumption of large population and small mutations. They expect to recover variants of the canonical equation of adaptive dynamics, which describes the long time evolution of the dominant phenotype in the population, under less stringent biological assumptions than in previous works.

• Q. Cormier, E. Tanré and Romain Veltz (team MathNeuro ) are working on the local stability of a stationary solution of some McKean-Vlasov equation. They also obtain spontaneous oscillation of the solution for critical values of the external currents or the interactions.

• M. Deaconu, A. Lejay and E. Mordecki (U. de la República, Uruguay) are studying an optimal stopping problem for the Snapping Out Brownian motion.

• M. Deaconu and A. Lejay are currently working on the simulation and the estimation of the fragmentation equation through its probabilistic representation.

• S. Allende (CEMEF, France) , C. Henry and J. Bec (CEMEF, France) work on the dynamics of small, flexible, inextensible fibers in a turbulent flow. They show that the fragmentation of fibers smaller than the smallest fluid scale in a turbulent flow occurs through tensile fracture (i.e. when the fiber is stretched along its main axis) or through flexural failure (i.e. when the fiber curvature is too high as it buckles under compressive load). Statistics of such events are provide together with measures of the rate of fragmentation and daughter size distributions, which are basic ingredients for macroscopic fragmentation models.

• C. Henry and M.L. Pedrotti (LOV, France) are working together on the topic of sedimentation of plastic that are populated by biological organisms (this is called biofouling). Biofouling modifies the density of plastic debris in the ocean and can lead to their sedimentation towards deeper regions. This work is done under the PLAISE project, which comprises measurements (by the LOV) and simulations (by C. Henry).

• C. Fritsch is working with A. Gégout-Petit (Univ. Lorraine and EPI Bigs ), B. Marçais (INRA, Nancy) and M. Grosdidier (INRA, Avignon) on a statistical analysis of a Chalara Fraxinea model.

• C. Fritsch is working with Tanjona Ramiadantsoa (Univ. Wisconsin-Madison) on a model of extinction of orphaned plants.

• A. Lejay and M. Clausel (U. Lorraine) are studing the clustering method based on the use of the signature and the iterated integrals of time series. It is based on asymmetric spectral clustering [41].

• In collaboration with L. Lenotre (postdoc at IECL between Oct. 2018 and Sep. 2019), A. Gégout-Petit (Univ. Lorraine and Inria Bigs team) and O. Coudray (Master degree student), D. Villemonais conducted preliminary researches on branching models for the telomeres' length dynamics across generations.