Oliver Probst | Searcharxiv

arXiv2026

An analytical approach to calculating stationary PDFs for reflected random walks with an application to BESS-based ramp-rate control

A Wiener-Hopf-type integral equation for the stationary PDF of a reflected random walk is derived rigorously based on modern probability theory, and an application to battery energy storage systems (BESS), specifically the sizing of the inverter, is discussed in depth. The methodological steps include the construction of a Markov kernel, the derivation of a Fredholm integral equation of the second kind for the PDF of the BESS power, and an analytical solution of the equation based on a Neumann series. The analytical results were compared against numerical solutions obtained with the Nystrom method, as well as against the results of an algorithmic simulation using simulated input time series. The use of truncated versions of the analytic solution allows for the construction of simplified design rules for the power systems practitioner. General insights into inverter sizing criteria of storage systems for ramp-rate control of variable renewable energy (VRE) sources such as wind and solar are provided.

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arXiv2025

A multichannel generalization of the HAVOK method for the analysis of nonlinear dynamical systems

By extending Takens' embedding theorem (1981), Deyle and Sugihara (2011) provided a theoretical justification for using parallel measurement time series to reconstruct a system's attractor. Building on Takens' framework, Brunton et al. (2017) introduced the Hankel alternative view of Koopman (HAVOK) algorithm, a data-driven approach capable of linearizing chaotic systems through delay embeddings. In this work, a modified version of the original algorithm is presented (mHAVOK), a practical realization of Deyle and Sugihara's generalized embedding theory. mHAVOK extends the original algorithm from one to multiple input time series and introduces a systematic approach to separating linear and nonlinear terms. An R2-informed quality score is introduced and shown to be a reliable guide for the selection of the reduced rank. The algorithm is tested on the familiar Lorenz system, as well as the more sophisticated Sprott system, which features different behaviors depending on the initial conditions. The quality of the reconstructions is assessed with the Chamfer distance, validating how mHAVOK allows for a more accurate reconstruction of the system dynamics. The new methodology generalizes HAVOK by allowing the analysis of multivariate time series, fundamental in real life data-driven applications.

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