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Mean Field Approximation of Uncertain Stochastic Models Luca Bortolussi 1 , Nicolas Gast 2 DSN conference 2016, Toulouse, France 1 CNR-Univ Trieste, Italy 2 Inria, France Nicolas Gast – 1 / 30

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Page 1: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Mean Field Approximation of Uncertain StochasticModels

Luca Bortolussi1, Nicolas Gast2

DSN conference 2016, Toulouse, France

1CNR-Univ Trieste, Italy2Inria, France

Nicolas Gast – 1 / 30

Page 2: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Why do we need models?

Design, prediction, optimization, correctness, etc.

Nicolas Gast – 2 / 30

Page 3: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Uncertainties in models: stochastic v.s. non-determinism

Stochastic Non-determinismex: Markov chains ex: ODE, timed-automata

Quantitative analysis. Worst case / correctness

+ can be simulated

− How to choose parameters?

− Symbolic computation

+ No problem of parameters

Uncertain Markov chains

Combination of the two

Nicolas Gast – 3 / 30

Page 4: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Uncertainties in models: stochastic v.s. non-determinism

Stochastic Non-determinismex: Markov chains ex: ODE, timed-automata

Quantitative analysis. Worst case / correctness

+ can be simulated

− How to choose parameters?

− Symbolic computation

+ No problem of parameters

Uncertain Markov chains

Combination of the two

Nicolas Gast – 3 / 30

Page 5: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Building a

n uncertain

continuous time Markov chain

agents engage in actions at some rate.

(α, θ).P

actiontype

activity rate(parameter of an

exponential distribution)

component/ derivative

d

dtP(t) = P(t).Q

d

dtP(t) = P(t).Q

d

dtP(t) ∈

⋃θ∈[θmin,θmax]

P(t)Q(θ)unknown θ ∈ [θmin, θmax]

Nicolas Gast – 4 / 30

Page 6: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Building an uncertain continuous time Markov chain

agents engage in actions at some rate.

(α, θ).P

actiontype

activity rate(parameter of an

exponential distribution)

component/ derivative

d

dtP(t) = P(t).Q

d

dtP(t) = P(t).Q

d

dtP(t) ∈

⋃θ∈[θmin,θmax]

P(t)Q(θ)unknown θ ∈ [θmin, θmax]

Nicolas Gast – 4 / 30

Page 7: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Main problem: the state space grows exponentially

313 ≈ 106 states.

We need to keep track

P(X1(t) = i1, . . . ,Xn(t) = in)

and solve the differential inclusion:

d

dtP(t) ∈

⋃θ∈[θmin,θmax]

P(t)Q(θ)

Is there any hope?

Nicolas Gast – 5 / 30

Page 8: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Contributions (and Outline)

1 Some systems simplify when the population grows.I Mean-field approach

2 We can add non-determinism to these models

3 We can build and use numerical algorithms.

Nicolas Gast – 6 / 30

Page 9: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Outline

1 Population Processes and Classical Mean Field Methods

2 Uncertain and Imprecise Population Processes

3 Numerical Algorithms and ComparisonsNumerical algorithms (transient regime)Steady-stateGeneral processor sharing example

4 Conclusion

Nicolas Gast – 7 / 30

Page 10: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Outline

1 Population Processes and Classical Mean Field Methods

2 Uncertain and Imprecise Population Processes

3 Numerical Algorithms and ComparisonsNumerical algorithms (transient regime)Steady-stateGeneral processor sharing example

4 Conclusion

Nicolas Gast – 8 / 30

Page 11: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Mean field methods have been used in a multiple contextsex: model-checking, performance of SSD, load balancing, MAC protocol,...

SPAA 98 Analyses of Load Stealing Models Based on DifferentialEquations by Mitzenmacher

JSAC 2000 Performance Analysis of the IEEE 802.11 Distributed CoordinationFunction by Bianchi

FOCS 2002 Load balancing with memory by Mitzenmacher et al.

DSN 2013 A logic for model-checking mean-field models by Kolesnichenko et al

DSN 2013 Lumpability of fluid models with heterogeneous agent types byIacobelli and Tribastone

SIGMETRICS 2013 A mean field model for a class of garbage collection algorithms inflash-based solid state drives by Van Houdt

......

Nicolas Gast – 9 / 30

Page 12: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

These models correspond to distributed systemsEach object interacts with the mass

We view the population of objects more abstractly, assuming thatindividuals are indistinguishable.An occupancy measure records the proportion of agents that are currentlyexhibiting each possible state.

Nicolas Gast – 10 / 30

Page 13: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

These models correspond to distributed systemsEach object interacts with the mass

We view the population of objects more abstractly, assuming thatindividuals are indistinguishable.

An occupancy measure records the proportion of agents that are currentlyexhibiting each possible state.

Nicolas Gast – 10 / 30

Page 14: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

These models correspond to distributed systemsEach object interacts with the mass

We view the population of objects more abstractly, assuming thatindividuals are indistinguishable.An occupancy measure records the proportion of agents that are currentlyexhibiting each possible state.

Nicolas Gast – 10 / 30

Page 15: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

These models correspond to distributed systemsEach object interacts with the mass

We view the population of objects more abstractly, assuming thatindividuals are indistinguishable.An occupancy measure records the proportion of agents that are currentlyexhibiting each possible state.

Nicolas Gast – 10 / 30

Page 16: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

These models correspond to distributed systemsEach object interacts with the mass

We view the population of objects more abstractly, assuming thatindividuals are indistinguishable.An occupancy measure records the proportion of agents that are currentlyexhibiting each possible state.

Nicolas Gast – 10 / 30

Page 17: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Population CTMCWe consider a sequence XN , indexed by the population size N, with statespaces EN ⊂ E ⊂ Rd . The transitions are:

X 7→ X +`

Nat rate Nβ`(X ).

for a finite number of ` ∈ L.The drift is f (x) =

∑`

`β`(x).

Example :The state is (XS ,XI ,XR) and the transitions are

`1 = (−1,+1, 0) at rate NXSXI

`2 = (0,−1,+1) at rate NXI

`3 = (+1, 0,−1) at rate NXR

`4 = (−1, 0,+1) at rate NXS

Nicolas Gast – 11 / 30

Page 18: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Kurtz’ convergence theorem

Theorem: Let X be a population model. If XN(0) converges (inprobability) to a point x , then the stochastic process XN converges (inprobability) to the solutions of the differential equation x = f (x), where fis the drift.

0 1 2 3 4 5 6 7 8time

0.0

0.1

0.2

0.3

0.4

0.5

0.6XS

XS (one simulation)

[XS] (ave. over 10000 simu)

xs (mean-field approximation)

N = 10

Nicolas Gast – 12 / 30

Page 19: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Kurtz’ convergence theorem

Theorem: Let X be a population model. If XN(0) converges (inprobability) to a point x , then the stochastic process XN converges (inprobability) to the solutions of the differential equation x = f (x), where fis the drift.

0 1 2 3 4 5 6 7 8time

0.0

0.1

0.2

0.3

0.4

0.5

0.6XS

XS (one simulation)

[XS] (ave. over 10000 simu)

xs (mean-field approximation)

N = 100

Nicolas Gast – 12 / 30

Page 20: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Kurtz’ convergence theorem

Theorem: Let X be a population model. If XN(0) converges (inprobability) to a point x , then the stochastic process XN converges (inprobability) to the solutions of the differential equation x = f (x), where fis the drift.

0 1 2 3 4 5 6 7 8time

0.0

0.1

0.2

0.3

0.4

0.5

0.6XS

XS (one simulation)

[XS] (ave. over 10000 simu)

xs (mean-field approximation)

N = 1000

Nicolas Gast – 12 / 30

Page 21: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Outline

1 Population Processes and Classical Mean Field Methods

2 Uncertain and Imprecise Population Processes

3 Numerical Algorithms and ComparisonsNumerical algorithms (transient regime)Steady-stateGeneral processor sharing example

4 Conclusion

Nicolas Gast – 13 / 30

Page 22: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Uncertain and imprecise models

Instead of β`(x), the rates can depend on a parameter ϑ: β`(x , ϑ).

We distinguish two kinds of uncertainties:

Uncertain Imprecise

ϑ ∈ Θ is constant but its value isnot known precisely.

Uncertainties in the model

ϑ = ϑ(t) ∈ Θ can vary (measur-ably) as a function of time

human behavior,environment, adversary,...

Nicolas Gast – 14 / 30

Page 23: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Uncertain and imprecise population models

We consider a sequence XN of Imprecise or Uncertain population processes, indexed bythe size N, with state spaces EN ⊂ E ⊂ Rd . The transitions are (for ` ∈ L):

X 7→ X +`

Nat rate Nβ`(X , ϑ)

The drifts corresponding to parameter ϑ is f (x , ϑ) =∑`∈L

`β`(x , ϑ).

Theorem (Bortolussi, G. 2016)

if XN(0) converges (in probability) to a point x , then the uncertain (orimprecise) stochastic process XN converges in probability to:

Uncertain Imprecise

A solution of x = f (x , ϑ) (for a given ϑ) A solution of x ∈⋃ϑ∈Θ

f (x , ϑ)

Nicolas Gast – 15 / 30

Page 24: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of the SIR modelThe state is (XS ,XI ,XR) and the transitions are

`1 = (−1,+1, 0) at rate N(aXS + ϑXSXI )`2 = (0,−1,+1) at rate NbXI

`3 = (+1, 0,−1) at rate NcXR

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

prop

ortio

nof

infe

cted

xmaxI (uncertain)

xminI (uncertain)xmaxI (imprecise)

xminI (imprecise)

Nicolas Gast – 16 / 30

Page 25: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Consequence on the stochastic system

Uncertain Imprecise

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

prop

ortio

nof

infe

cted

xmaxI (uncertain)

xminI (uncertain)

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

prop

ortio

nof

infe

cted

xmaxI (imprecise)

xminI (imprecise)

N = 1000

0

Remark : the proportion of infected is non-monotone on the infection rate.

Nicolas Gast – 17 / 30

Page 26: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Consequence on the stochastic system

Uncertain Imprecise

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

prop

ortio

nof

infe

cted

xmaxI (uncertain)

xminI (uncertain)

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

prop

ortio

nof

infe

cted

xmaxI (imprecise)

xminI (imprecise)

N = 10000

Remark : the proportion of infected is non-monotone on the infection rate.

Nicolas Gast – 17 / 30

Page 27: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Outline

1 Population Processes and Classical Mean Field Methods

2 Uncertain and Imprecise Population Processes

3 Numerical Algorithms and ComparisonsNumerical algorithms (transient regime)Steady-stateGeneral processor sharing example

4 Conclusion

Nicolas Gast – 18 / 30

Page 28: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Numerical algorithms

Uncertain (fixed parameter)I Exhaustive searchI Online learning

Imprecise (varying parameter). Difficulty = non-linear.I Exact: reachability (ex: solvable by Pontryagin’s principle)I Approximation: polygons (ex: differential hull)

Nicolas Gast – 19 / 30

Page 29: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 30: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 31: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 32: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 33: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 34: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 35: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 36: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 37: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 3]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 38: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 39: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 40: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 41: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 42: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 43: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 44: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 45: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 46: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Example of numerical algorithm: differential hull

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

For any solution of the differentialequation x , we have:

x(t) ≤ x(t) ≤ x(t)

where x and x satisfy x = f (x , x)and x = f (x , x), with

f i (x , x)= minx∈[x ,x]:xi=x i (t)

minFi (x)

f i (x , x)= maxx∈[x ,x]:xi=x i (t)

maxFi (x)

ϑ ∈ Θ = [1, 6]

Differential hull provide loose bounds when Θ is large.

Nicolas Gast – 20 / 30

Page 47: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

An alternative is to formulate the problem as anoptimization problem

xmaxi (T ) := max

θxi (T ) such that for all t ∈ [0;T ]: x(t) = x +

∫ t

0f (x(s), θ(s))ds

θ(t) ∈ Θ

Pontryagin’s principle can be used.

Easier than MDP

Nicolas Gast – 21 / 30

Page 48: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

SIR model: we can compute an minimal/maximaltrajectory by using Pontraygin’s maximum principle

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

prop

ortio

nof

infe

cted

xmaxI (imprecise)

xminI (imprecise)

Traj. that max. xI(3)

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

prop

ortio

nof

infe

cted

xmaxI (imprecise)

xminI (imprecise)

Traj. that min. xI(3)

A trajectory that A trajectory thatmaximizes XI (3). minimizes XI (3).

Nicolas Gast – 22 / 30

Page 49: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Stationary regime of imprecise models

Asymptotic reachable set of the differential inclusion AF :

AF =⋂T>0

⋃x ,t≥T ,x∈SF ,x

{x(t)}

Theorem: Let X be an imprecise population process, then

limN→∞

limt→∞

d(XN(t),AF ) = 0 in probability.

Theorem: Let X be an imprecise population process such that XN is aMarkov chain that has a stationary measure µN . Let µ be a limitpoint of µN (for the weak convergence). Then, the support of µ isincluded in the Birkhoff centre of F : µ(BF ) = 1.

Nicolas Gast – 23 / 30

Page 50: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Stationary regime of imprecise models

Asymptotic reachable set of the differential inclusion AF :

AF =⋂T>0

⋃x ,t≥T ,x∈SF ,x

{x(t)}

Theorem: Let X be an imprecise population process, then

limN→∞

limt→∞

d(XN(t),AF ) = 0 in probability.

Theorem: Let X be an imprecise population process such that XN is aMarkov chain that has a stationary measure µN . Let µ be a limitpoint of µN (for the weak convergence). Then, the support of µ isincluded in the Birkhoff centre of F : µ(BF ) = 1.

Nicolas Gast – 23 / 30

Page 51: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Asymptotically reachable set: example for the SIR model

0.3 0.4 0.5 0.6 0.7 0.8 0.9

Susceptible

0.00

0.05

0.10

0.15

0.20

Infe

cted

uncertainimprecise

Note: comparison with the differential hull approach: bounds are veryloose.

Nicolas Gast – 24 / 30

Page 52: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

SIR model: stationary regimeN

=10

00

0.3 0.4 0.5 0.6 0.7 0.8 0.9XS

0.00

0.05

0.10

0.15

0.20XI

Simulation (θ1)UncertainImprecise

0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0XS

0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

0.18

XI

Simulation (θ2)UncertainImprecise

(a) policy θ1 (b) policy θ2

No policy can make the stochastic system exit the blue zone (for largeN).

Nicolas Gast – 25 / 30

Page 53: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

In the paper, we also study a Generalized ProcessorSharing model

Phase type

Phase type

Poisson

Poisson

Parameters: µ1 = 5, µ2 = 1,φ1 = φ2 = 1, a1 = 1 anda2 = 2. λi , λ

′i imprecise with

λmin1 = 1, λmax

1 = 7, λmin2 = 2,

λmax2 = 3,

λ′imin

= 1/(1/ai + a/λmini ) ,and

λ′imax

= 1/(1/ai + a/λmaxi )

A model of two tandem queues Q1,Q2 sharing a processor. Qi gets afraction φiNiQi/(φ1N1Q1 + φ2N2Q2) of the capacity C of the server. Eachqueue serves a job of type i , with average completion time µi . Arrivals arePoisson (Di - delay station - rate λ′i ) or MAP ( two delay stations in seriesEi ,Di rates ai , λi ).

Nicolas Gast – 26 / 30

Page 54: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Generalized Processor Sharing: for the imprecise model, ahigher arrival rate does not imply a larger queuing delay.

0 1 2 3 4 5Time

0.05

0.10

0.15

0.20

0.25

0.30

0.35

Q1

Qmax1 (uncert)

Qmax1 (uncert)

Qmax1 (impre.)

Qmax1 (impre.)

0 1 2 3 4 5Time

0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

Q1

Qmax1 (uncert)

Qmax1 (uncert)

Qmax1 (impre.)

Qmax1 (impre.)

Poisson MAP

Optimization (for imprecise) of φ1 to minimize the maximum queuelength at time t: Q(t) = max

θ(Qθ

1 (t) + Qθ2 (t)).

Nicolas Gast – 27 / 30

Page 55: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Outline

1 Population Processes and Classical Mean Field Methods

2 Uncertain and Imprecise Population Processes

3 Numerical Algorithms and ComparisonsNumerical algorithms (transient regime)Steady-stateGeneral processor sharing example

4 Conclusion

Nicolas Gast – 28 / 30

Page 56: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Recap and Future Work

Mean field methods are useful to studylarge stochastic systems.

0 1 2 3 4 5 6 7 8time

0.0

0.1

0.2

0.3

0.4

0.5

0.6

XS

XS (one simulation)

[XS] (ave. over 10000 simu)

xs (mean-field approximation)

We extended the mean field results for im-precise and uncertain PCTMCs, both attransient and at steady state.

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

prop

ortio

nof

infe

cted

xmaxI (imprecise)

xminI (imprecise)

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0

time

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

prop

ortio

nof

infe

cted

xmaxI (uncertain)

xminI (uncertain)

We developed numerical method tobound the reachable sets.

0.4 0.5 0.6 0.7 0.8 0.9xS (proportion of susceptible)

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

xI

(pro

port

ion

ofin

fect

ed)

diff hullopti

Future work: scalability of numerical algorithms, integration in a toolset(EU project Quanticol), algorithmic complexity.

Nicolas Gast – 29 / 30

Page 57: Mean Field Approximation of Uncertain Stochastic Modelspolaris.imag.fr/nicolas.gast/slides/Gast_uncertainMF_DSN16.pdf · 1 Population Processes and Classical Mean Field Methods 2

Thank you!

Slides are online:

http://mescal.imag.fr/membres/nicolas.gast

[email protected]

This paper Mean Field Approximation of Uncertain Stochastic Models, L. Bortolussi and N.Gast, DSN 2016

Other mean-field references

B-G 16 Mean-Field Limits Beyond Ordinary Differential Equations, L. Bortolussi, N.Gast., SFM Quanticol summer school

Benaım,Le Boudec 08

A class of mean field interaction models for computer and communicationsystems, M.Benaım and J.Y. Le Boudec., Performance evaluation, 2008.

Le Boudec 10 The stationary behaviour of fluid limits of reversible processes isconcentrated on stationary points., J.-Y. L. Boudec. , Arxiv:1009.5021, 2010

G. Van Houdt 15 Transient and Steady-state Regime of a Family of List-based CacheReplacement Algorithms., Gast, Van Houdt., ACM Sigmetrics 2015

Nicolas Gast – 30 / 30