Simulation of non-Gaussian correlated random variables, stochastic processes and random fields: Introducing the anySim R-Package for environmental applications and beyond

I. Tsoukalas, P. Kossieris, and C. Makropoulos, Simulation of non-Gaussian correlated random variables, stochastic processes and random fields: Introducing the anySim R-Package for environmental applications and beyond, Water, 12 (6), 1645, doi:10.3390/w12061645, 2020.

[doc_id=2049]

[English]

Stochastic simulation has a prominent position in a variety of scientific domains including those of environmental and water resources sciences. This is due to the numerous applications that can benefit from it, such as risk-related studies. In such domains, stochastic models are typically used to generate synthetic weather data with the desired properties, often resembling those of hydrometeorological observations, which are then used to drive deterministic models of the understudy system. However, generating synthetic weather data with the desired properties is not an easy task. This is due to the peculiarities of such processes, i.e., non-Gaussianity, intermittency, dependence, and periodicity, and the limited availability of open-source software for such purposes. This work aims to simplify the synthetic data generation procedure by providing an R-package called anySim, specifically designed for the simulation of non-Gaussian correlated random variables, stochastic processes at single and multiple temporal scales, and random fields. The functionality of the package is demonstrated through seven simulation studies, accompanied by code snippets, which resemble real-world cases of stochastic simulation (i.e., generation of synthetic weather data) of hydrometeorological processes and fields (e.g., rainfall, streamflow, temperature, etc.), across several spatial and temporal scales (ranging from annual down to 10-min simulations).

PDF Full text (4754 KB)

See also: https://www.mdpi.com/2073-4441/12/6/1645

Our works referenced by this work:

1. D. Koutsoyiannis, and A. Manetas, Simple disaggregation by accurate adjusting procedures, Water Resources Research, 32 (7), 2105–2117, doi:10.1029/96WR00488, 1996.
2. D. Koutsoyiannis, Optimal decomposition of covariance matrices for multivariate stochastic models in hydrology, Water Resources Research, 35 (4), 1219–1229, doi:10.1029/1998WR900093, 1999.
3. D. Koutsoyiannis, A generalized mathematical framework for stochastic simulation and forecast of hydrologic time series, Water Resources Research, 36 (6), 1519–1533, doi:10.1029/2000WR900044, 2000.
4. D. Koutsoyiannis, Coupling stochastic models of different time scales, Water Resources Research, 37 (2), 379–391, doi:10.1029/2000WR900200, 2001.
5. D. Koutsoyiannis, The Hurst phenomenon and fractional Gaussian noise made easy, Hydrological Sciences Journal, 47 (4), 573–595, doi:10.1080/02626660209492961, 2002.
6. D. Koutsoyiannis, and A. Economou, Evaluation of the parameterization-simulation-optimization approach for the control of reservoir systems, Water Resources Research, 39 (6), 1170, doi:10.1029/2003WR002148, 2003.
7. D. Koutsoyiannis, Stochastic simulation of hydrosystems, Water Encyclopedia, Vol. 4, Surface and Agricultural Water, edited by J. H. Lehr and J. Keeley, 421–430, doi:10.1002/047147844X.sw913, Wiley, New York, 2005.
8. A. Efstratiadis, Y. Dialynas, S. Kozanis, and D. Koutsoyiannis, A multivariate stochastic model for the generation of synthetic time series at multiple time scales reproducing long-term persistence, Environmental Modelling and Software, 62, 139–152, doi:10.1016/j.envsoft.2014.08.017, 2014.
9. I. Tsoukalas, and C. Makropoulos, Multiobjective optimisation on a budget: Exploring surrogate modelling for robust multi-reservoir rules generation under hydrological uncertainty, Environmental Modelling and Software, 69, 396–413, doi:10.1016/j.envsoft.2014.09.023, 2015.
10. I. Tsoukalas, and C. Makropoulos, A surrogate based optimization approach for the development of uncertainty-aware reservoir operational rules: the case of Nestos hydrosystem, Water Resources Management, 29 (13), 4719–4734, doi:10.1007/s11269-015-1086-8, 2015.
11. D. Koutsoyiannis, Generic and parsimonious stochastic modelling for hydrology and beyond, Hydrological Sciences Journal, 61 (2), 225–244, doi:10.1080/02626667.2015.1016950, 2016.
12. I. Tsoukalas, P. Kossieris, A. Efstratiadis, and C. Makropoulos, Surrogate-enhanced evolutionary annealing simplex algorithm for effective and efficient optimization of water resources problems on a budget, Environmental Modelling and Software, 77, 122–142, doi:10.1016/j.envsoft.2015.12.008, 2016.
13. I. Tsoukalas, C. Makropoulos, and A. Efstratiadis, Stochastic simulation of periodic processes with arbitrary marginal distributions, 15th International Conference on Environmental Science and Technology (CEST2017), Rhodes, Global Network on Environmental Science and Technology, 2017.
14. P. Kossieris, C. Makropoulos, C. Onof, and D. Koutsoyiannis, A rainfall disaggregation scheme for sub-hourly time scales: Coupling a Bartlett-Lewis based model with adjusting procedures, Journal of Hydrology, 556, 980–992, doi:10.1016/j.jhydrol.2016.07.015, 2018.
15. P. Dimitriadis, and D. Koutsoyiannis, Stochastic synthesis approximating any process dependence and distribution, Stochastic Environmental Research & Risk Assessment, 32 (6), 1493–1515, doi:10.1007/s00477-018-1540-2, 2018.
16. I. Tsoukalas, A. Efstratiadis, and C. Makropoulos, Stochastic periodic autoregressive to anything (SPARTA): Modelling and simulation of cyclostationary processes with arbitrary marginal distributions, Water Resources Research, 54 (1), 161–185, WRCR23047, doi:10.1002/2017WR021394, 2018.
17. I. Tsoukalas, P. Kossieris, A. Efstratiadis, C. Makropoulos, and D. Koutsoyiannis, CastaliaR: An R package for multivariate stochastic simulation at multiple temporal scales, European Geosciences Union General Assembly 2018, Geophysical Research Abstracts, Vol. 20, Vienna, EGU2018-18433, doi:10.13140/RG.2.2.20978.81605, European Geosciences Union, 2018.
18. I. Tsoukalas, S.M. Papalexiou, A. Efstratiadis, and C. Makropoulos, A cautionary note on the reproduction of dependencies through linear stochastic models with non-Gaussian white noise, Water, 10 (6), 771, doi:10.3390/w10060771, 2018.
19. I. Tsoukalas, C. Makropoulos, and D. Koutsoyiannis, Simulation of stochastic processes exhibiting any-range dependence and arbitrary marginal distributions, Water Resources Research, 54 (11), 9484–9513, doi:10.1029/2017WR022462, 2018.
20. I. Tsoukalas, Modelling and simulation of non-Gaussian stochastic processes for optimization of water-systems under uncertainty, PhD thesis, 339 pages, Department of Water Resources and Environmental Engineering – National Technical University of Athens, December 2018.
21. I. Tsoukalas, A. Efstratiadis, and C. Makropoulos, Building a puzzle to solve a riddle: A multi-scale disaggregation approach for multivariate stochastic processes with any marginal distribution and correlation structure, Journal of Hydrology, 575, 354–380, doi:10.1016/j.jhydrol.2019.05.017, 2019.
22. P. Kossieris, I. Tsoukalas, C. Makropoulos, and D. Savic, Simulating marginal and dependence behaviour of water demand processes at any fine time scale, Water, 11 (5), 885, doi:10.3390/w11050885, 2019.
23. P. Kossieris, Multi-scale stochastic analysis and modelling of residential water demand processes, PhD thesis, 350 pages, Department of Water Resources and Environmental Engineering – National Technical University of Athens, Athens, February 2020.

Tagged under: Hurst-Kolmogorov dynamics, Course bibliography: Stochastic methods, Stochastic disaggregation, Most recent works, Scaling, Software, Stochastics, Uncertainty