SSD Seminar Series with Prof. Leonardo Rydin Gorjão

Monday, December 4, 2023, 4 to 5pm

On December 4, 2023, we welcome Prof. Leonardo Rydin Gorjão of the Department of Physics at the Norwegian University of Life Sciences, Norway, as speaker in our SSD Seminar Series. 

The Seminar will take place in Rogowski Building, Room 115, Schinkelstraße 2, 52062 Aachen.

 

Langevin Processes and Time Series: A Look at Data in Power Systems and Paleoclimate Data

picture of Prof. Leonardo Rydin Gorjão Copyright: © Prof. Leonardo Rydin Gorjão

Time series form one of the basis of data collection in science. An enormous collection of data-driven methods exist for time series analysis, many inspired by physics principles, either for one- or multi-dimensional time series. Among these, we find the likely simplest description of a ‘noisy’ time series: The Langevin process. It describes the motion of a particle influenced by a deterministic and a stochastic motion. Without the physics baggage, it describes a record or measurement with a ‘predictable’ continuous and an ‘unpredictable’ discontinuous term. We can usually reduce the description of a time series into a deterministic drift and a stochastic diffusion term, fundamentally solving an inverse problem of identifying ‘motion’ from data. In this presentation, we will revisit the Langevin equation – complicate it a bit – and look at what simple physics-inspired tools to uncover the drift, diffusion, and a few other properties, tell us about various types of data in power systems and paleoclimate data. Depending on the application, we will see that the stochastic nature of the data dictates a large portion of the important information of a stochastic process.