Entropy production in stochastics

D. Koutsoyiannis, Entropy production in stochastics, Entropy, 19 (11), 581, doi:10.3390/e19110581, 2017.

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[English]

While the modern definition of entropy is genuinely probabilistic, in entropy production the classical thermodynamic definition, as in heat transfer, is typically used. Here we explore the concept of entropy production within stochastics and, particularly, two forms of entropy production in logarithmic time, unconditionally (EPLT) or conditionally on the past and present having been observed (CEPLT). We study the theoretical properties of both forms, in general and in application to a broad set of stochastic processes. A main question investigated, related to model identification and fitting from data, is how to estimate the entropy production from a time series. It turns out that there is a link of the EPLT with the climacogram, and of the CEPLT with two additional tools introduced here, namely the differenced climacogram and the climacospectrum. In particular, EPLT and CEPLT are related to slopes of log-log plots of these tools, with the asymptotic slopes at the tails being most important as they justify the emergence of scaling laws of second-order characteristics of stochastic processes. As a real-world application, we use an extraordinary long time series of turbulent velocity and show how a parsimonious stochastic model can be identified and fitted using the tools developed.

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Our works referenced by this work:

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Our works that reference this work:

1. P. Dimitriadis, and D. Koutsoyiannis, Stochastic synthesis approximating any process dependence and distribution, Stochastic Environmental Research & Risk Assessment, doi:10.1007/s00477-018-1540-2, 2018.
2. I. Tsoukalas, C. Makropoulos, and D. Koutsoyiannis, Simulation of stochastic processes exhibiting any-range dependence and arbitrary marginal distributions, Water Resources Research, doi:10.1029/2017WR022462, 2018.
3. E. Klousakou, M. Chalakatevaki, P. Dimitriadis, T. Iliopoulou, R. Ioannidis, G. Karakatsanis, A. Efstratiadis, N. Mamassis, R. Tomani, E. Chardavellas, and D. Koutsoyiannis, A preliminary stochastic analysis of the uncertainty of natural processes related to renewable energy resources, Advances in Geosciences, 45, 193–199, doi:10.5194/adgeo-45-193-2018, 2018.

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Tagged under: Hurst-Kolmogorov dynamics, Course bibliography: Stochastic methods, Determinism vs. stochasticity, Entropy, Most recent works, Scaling, Stochastics