Search results for: STOCHASTIC

Authors: Haruna Modibbo Usman, Mustapha Muktar, Nasiru Inuwa

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This paper examined the long run relationship between health outcomes and economic growth in Nigeria from 1961 to 2012. Using annual time series data, Augmented Dickey-Fuller (ADF) test is conducted to check the stochastic properties of the variables. Also, the long run relationship among the variables is confirmed based on Johansen Multivariate Cointegration approach whereas the long run and short run dynamics are observed using Vector Error Correction Mechanism (VECM). In addition, VEC Granger causality test is employed to examine the direction of causality among the variables. On the whole, the results obtained revealed the existence of a long run relationship between health outcomes and economic growth in Nigeria and that both life expectancy and crude death rate as measures of health are found to have a long run negative and statistically significant impact on the economic growth over the study period. This is further buttressed by the results of Granger causality test which indicated the existence of unidirectional causality running from life expectancy and crude death rate to economic growth. The study therefore, calls for governments at various levels to create preconditions for health improvements in Nigeria in order to boost the level of health outcomes.

Keywords: cointegration, economic growth, Granger causality, health outcomes, VECM

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Authors: Clarinda V. Nhangumbe, Ercília Sousa

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Weather Derivatives are financial instruments used to cover non-catastrophic weather events and can be expressed in the form of standard or plain vanilla products, structured or exotics products. The underlying asset, in this case, is the weather index, such as temperature, rainfall, humidity, wind, and snowfall. The complexity of the Weather Derivatives structure shows the weakness of the Black Scholes framework. Therefore, under the risk-neutral probability measure, the option price of a weather contract can be given as a unique solution of a two-dimensional partial differential equation (parabolic in one direction and hyperbolic in other directions), with an initial condition and subjected to adequate boundary conditions. To calculate the price of the option, one can use numerical methods such as the Monte Carlo simulations and implicit finite difference schemes conjugated with Semi-Lagrangian methods. This paper is proposed two explicit methods, namely, first-order upwind in the hyperbolic direction combined with Lax-Wendroff in the parabolic direction and first-order upwind in the hyperbolic direction combined with second-order upwind in the parabolic direction. One of the advantages of these methods is the fact that they take into consideration the boundary conditions obtained from the financial interpretation and deal efficiently with the different choices of the convection coefficients.

Keywords: incomplete markets, numerical methods, partial differential equations, stochastic process, weather derivatives

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Authors: M. A. Meslem

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For precise geoid determination, we use a reference field to subtract long and medium wavelength of the gravity field from observations data when we use the remove-compute-restore technique. Therefore, a comparison study between considered models should be made in order to select the optimal reference gravity field to be used. In this context, two recent global geopotential models have been selected to perform this comparison study over Northern Algeria. The Earth Gravitational Model (EGM2008) and the Global Gravity Model (GECO) conceived with a combination of the first model with anomalous potential derived from a GOCE satellite-only global model. Free air gravity anomalies in the area under study have been used to compute residual data using both gravity field models and a Digital Terrain Model (DTM) to subtract the residual terrain effect from the gravity observations. Residual data were used to generate local empirical covariance functions and their fitting to the closed form in order to compare their statistical behaviors according to both cases. Finally, height anomalies were computed from both geopotential models and compared to a set of GPS levelled points on benchmarks using least squares adjustment. The result described in details in this paper regarding these two models has pointed out a slight advantage of GECO global model globally through error degree variances comparison and ground-truth evaluation.

Keywords: quasigeoid, gravity aomalies, covariance, GGM

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Authors: Naragain Phumchusri, Kittitach Pongpairoj

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Overbooking is a very useful revenue management technique that could help reduce costs caused by either undersales or oversales. In this paper, we propose an overbooking model for two types of cars that can minimize the total cost for car rental service. With two types of cars, there is an upgrade possibility for lower type to upper type. This makes the model more complex than one type of cars scenario. We have found that convexity can be proved in this case. Sensitivity analysis of the parameters is conducted to observe the effects of relevant parameters on the optimal solution. Model simplification is proposed using multiple linear regression analysis, which can help estimate the optimal overbooking level using appropriate independent variables. The results show that the overbooking level from multiple linear regression model is relatively close to the optimal solution (with the adjusted R-squared value of at least 72.8%). To evaluate the performance of the proposed model, the total cost was compared with the case where the decision maker uses a naïve method for the overbooking level. It was found that the total cost from optimal solution is only 0.5 to 1 percent (on average) lower than the cost from regression model, while it is approximately 67% lower than the cost obtained by the naïve method. It indicates that our proposed simplification method using regression analysis can effectively perform in estimating the overbooking level.

Keywords: overbooking, car rental industry, revenue management, stochastic model

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Authors: Keunock Lew, Seungryul Ma

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The paper analyzes risk and expected return of lenders who provide mortgage loans to households in the shared mortgage program of Korea. In 2013, the Korean government introduced the mortgage program to help low income householders to convert their renting into purchasing houses. The financial source for the mortgage program is the Urban Housing Fund set up by the Korean government. Through the program, low income households can borrow money from lenders to buy a house at a very low interest rate (e.g. 1 % per year) for a long time. The motivation of adopting this mortgage program by the Korean government is that the cost of renting houses has been rapidly increased especially in large urban areas during the past decade, which became financial difficulties to low income households who do not have their own houses. As the analysis methodology, the paper uses a spread sheet model for projecting cash flows of the mortgage product over the period of loan contract. It also employs Monte Carlo simulation method to analyze the risk and expected yield of the lenders with assumption that the future housing price and market rate of interest follow a stochastic process. The study results will give valuable implications to the Korean government and lenders who want to stabilize the mortgage program and innovate the related loan products.

Keywords: expected return, Monte Carlo simulation, risk, shared mortgage program

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Authors: Benga Ebouele, Thomas Tengen

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Implementing either periodic or continuous inventory review model within most manufacturing-companies-supply chains as a management tool may incur higher costs. These high costs affect the system flexibility which in turn affects the level of service required to satisfy customers. However, these effects are not clearly understood because the parameters of both inventory review policies (protection demand interval, order quantity, etc.) are not designed to be fully utilized under different and uncertain conditions such as poor manufacturing, supplies and delivery performance. Coming up with a hybrid model which may combine in some sense the feature of both continuous and a periodic inventory review models should be useful. Therefore, there is a need to build and evaluate such hybrid model on the annual total cost, stock out probability and system’s flexibility in order to search for the most cost effective inventory review model. This work also seeks to find the optimal sets of parameters of inventory management under stochastic condition so as to optimise each policy independently. The results reveal that a continuous inventory system always incurs lesser cost than a periodic (R, S) inventory system, but this difference tends to decrease as time goes by. Although the hybrid inventory is the only one that can yield lesser cost over time, it is not always desirable but also natural to use it in order to help the system to meet high performance specification.

Keywords: demand and lead time randomness, hybrid Inventory model, optimization, supply chain

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Authors: Niklas Panten, Eberhard Abele

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This paper presents a novel approach for real-time and near-optimal control of industrial smart grids by deep reinforcement learning (DRL). To achieve highly energy-efficient factory systems, the energetic linkage of machines, technical building equipment and the building itself is desirable. However, the increased complexity of the interacting sub-systems, multiple time-variant target values and stochastic influences by the production environment, weather and energy markets make it difficult to efficiently control the energy production, storage and consumption in the hybrid industrial smart grids. The studied deep reinforcement learning approach allows to explore the solution space for proper control policies which minimize a cost function. The deep neural network of the DRL agent is based on a multilayer perceptron (MLP), Long Short-Term Memory (LSTM) and convolutional layers. The agent is trained within multiple Modelica-based factory simulation environments by the Advantage Actor Critic algorithm (A2C). The DRL controller is evaluated by means of the simulation and then compared to a conventional, rule-based approach. Finally, the results indicate that the DRL approach is able to improve the control performance and significantly reduce energy respectively operating costs of industrial smart grids.

Keywords: industrial smart grids, energy efficiency, deep reinforcement learning, optimal control

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Authors: Imen Boudali, Marwa Ragmoun

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The Vehicle Routing Problem with Hard Time Windows (VRPHTW) is a basic distribution management problem that models many real-world problems. The objective of the problem is to deliver a set of customers with known demands on minimum-cost vehicle routes while satisfying vehicle capacity and hard time windows for customers. In this paper, we propose to deal with our optimization problem by using a new hybrid stochastic algorithm based on two metaheuristics: Chemical Reaction Optimization (CRO) and Greedy Randomized Adaptive Search Procedure (GRASP). The first method is inspired by the natural process of chemical reactions enabling the transformation of unstable substances with excessive energy to stable ones. During this process, the molecules interact with each other through a series of elementary reactions to reach minimum energy for their existence. This property is embedded in CRO to solve the VRPHTW. In order to enhance the population diversity throughout the search process, we integrated the GRASP in our method. Simulation results on the base of Solomon’s benchmark instances show the very satisfactory performances of the proposed approach.

Keywords: Benchmark Problems, Combinatorial Optimization, Vehicle Routing Problem with Hard Time Windows, Meta-heuristics, Hybridization, GRASP, CRO

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Authors: Tehreem Fatima, Enjun Xia

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The research investigates the relationship between total oil consumption and transport oil consumption, GDP, oil price, and oil reserve in order to forecast future oil demand in China. Annual time series data is used over the period of 1980 to 2015, and for this purpose, an oil demand function is estimated by applying structural time series model (STSM). The technique also uncovers the Underline energy demand trend (UEDT) for China oil demand and GDP, oil reserve, oil price and UEDT are considering important drivers of China oil demand. The long-run elasticity of total oil consumption with respect to GDP and price are (0.5, -0.04) respectively while GDP, oil reserve, and price remain (0.17; 0.23; -0.05) respectively. Moreover, the Estimated results of long-run elasticity of transport oil consumption with respect to GDP and price are (0.5, -0.00) respectively long-run estimates remain (0.28; 37.76;-37.8) for GDP, oil reserve, and price respectively. For both model estimated underline energy demand trend (UEDT) remains nonlinear and stochastic and with an increasing trend of (UEDT) and based on estimated equations, it is predicted that China total oil demand somewhere will be 9.9 thousand barrel per day by 2025 as compare to 9.4 thousand barrel per day in 2015, while transport oil demand predicting value is 9.0 thousand barrel per day by 2020 as compare to 8.8 thousand barrel per day in 2015.

Keywords: china, forecasting, oil, structural time series model (STSM), underline energy demand trend (UEDT)

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Authors: Adewale Oladapo, Carolyn A. Afolami

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Agricultural production should be the major financial contributor to the Nigerian economy; however, the petroleum sector had taken the importance attached to this sector. The situation tends to be more worsening unless necessary attention is given to adequate credit supply among food crop farmers. This research analyses the effect of credit use on the technical efficiency of cassava farmers in Ondo State, Nigeria. Primary data were collected from two hundred randomly selected cassava farmers through a multistage sampling procedure in the study area. Data were analysed using descriptive statistics and stochastic frontier analysis (SFA). Findings revealed that 95.0% of the farmers were male while 56.0% had no formal education and were married. The SFA showed that cassava farmer’s efficiency increased with farm size, herbicide and planting material at 5%,10% and 1% respectively but decreased with fertilizer application at 1% level while farmers’ age, education, household size, experience and access to credit increased technical inefficiency at 10%. The study concluded that cassava farmers are technically inefficient in the use of farm resources and recommended that adequate and workable agricultural policy measures that will ensure availability and efficient fertilizer distribution should be put in place to increase efficiency. Furthermore, the government should encourage youth participation in cassava production and ensure improvement in farmer’s access to credit to increase farmer’s technical efficiency.

Keywords: agriculture, access to credit, cassava farmers, technical efficiency

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Authors: Felipa de Mello-Sampayo

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The aim of this study is to undertake, from patient’s perspective, the timing and probability of using teledermatology, comparing it with a conventional referral system. The dynamic stochastic model’s main value-added consists of the concrete application to patients waiting for dermatology surgical intervention. Patients with low health level uncertainty must use teledermatology treatment as soon as possible, which is precisely when the teledermatology is least valuable. The results of the model were then tested empirically with the teledermatology network covering the area served by the Hospital Garcia da Horta, Portugal, links the primary care centers of 24 health districts with the hospital’s dermatology department via the corporate intranet of the Portuguese healthcare system. Health level volatility can be understood as the hazard of developing skin cancer and the trend of health level as the bias of developing skin lesions. The results of the survival analysis suggest that the theoretical model can explain the use of teledermatology. It depends negatively on the volatility of patients' health, and positively on the trend of health, i.e., the lower the risk of developing skin cancer and the younger the patients, the more presurgical teledermatology one expects to occur. Presurgical teledermatology also depends positively on out-of-pocket expenses and negatively on the opportunity costs of teledermatology, i.e., the lower the benefit missed by using teledermatology, the more presurgical teledermatology one expects to occur.

Keywords: teledermatology, wait time, uncertainty, opportunity cost, survival analysis

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Authors: Yerbolat Iztleuov

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Stochastic effects, which are currently largely associated with exposure to ionizing radiation or a combination of ionizing radiation with other chemical, physical, and biological agents, are expressed in the form of various mutations. In the first stage of the study, rats of both sexes were divided into 3 groups. 1st - control group, animals of the 2nd group were exposed to gamma radiation at a dose of 0.2 Gy. The third group received hexavalent chromium in a dose of 180 mg/ l with drinking water for a month before irradiation and a day after the end of chromium consumption and was subjected to total gamma irradiation at a dose of 0.2 Gy. The second stage of the experiment. After 3 days, the males were mated with the females. The obtained offspring were studied for peroxidation, cytokine profile and micronucleus in the nuclei. This study shows that 5-month-old offspring whose parents were exposed to combined exposure to chromium and γ-irradiation exhibit hereditary instability of the genome, decreased activity of antioxidant enzymes and sulfhydryl blood groups, and increased levels of lipid peroxidation. There is also an increase in the level of inflammatory markers (IL-6 and TNF) in the blood plasma against the background of a decrease in anti-inflammatory cytokine (IL-10). Thus, the combined effect of hexavalent chromium and ionizing radiation can lead to the development of an oncological process.

Keywords: hexavalent chromium, ionizing radiation, first generation, oxidative stress, cytokines, mutagenesis, cancer

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Authors: Tan Zhang, Zhongjian Wang, Jack Xin, Zhiwen Zhang

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We aim to efficiently compute the spreading speeds of reaction-diffusion-advection (RDA) fronts in divergence-free random flows under the Kolmogorov-Petrovsky-Piskunov (KPP) nonlinearity. We study a stochastic interacting particle method (IPM) for the reduced principal eigenvalue (Lyapunov exponent) problem of an associated linear advection-diffusion operator with spatially random coefficients. The Fourier representation of the random advection field and the Feynman-Kac (FK) formula of the principal eigenvalue (Lyapunov exponent) form the foundation of our method implemented as a genetic evolution algorithm. The particles undergo advection-diffusion and mutation/selection through a fitness function originated in the FK semigroup. We analyze the convergence of the algorithm based on operator splitting and present numerical results on representative flows such as 2D cellular flow and 3D Arnold-Beltrami-Childress (ABC) flow under random perturbations. The 2D examples serve as a consistency check with semi-Lagrangian computation. The 3D results demonstrate that IPM, being mesh-free and self-adaptive, is simple to implement and efficient for computing front spreading speeds in the advection-dominated regime for high-dimensional random flows on unbounded domains where no truncation is needed.

Keywords: KPP front speeds, random flows, Feynman-Kac semigroups, interacting particle method, convergence analysis

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Authors: Bai-Chen Xie, Biao Li

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With the deepening of international exchanges and investment, the international comparison of power grid firms has become the focus of regulatory authorities. Ignoring the differences in the economic environment, resource endowment, technology, and other aspects of different countries or regions may lead to efficiency bias. Based on the Meta-frontier model, this paper divides China and Japan into two groups by using the data of China and Japan from 2006 to 2020. While preserving the differences between the two countries, it analyzes and compares the efficiency of the transmission and distribution industries of the two countries. Combined with the four-component stochastic frontier model, the efficiency is divided into transient and persistent efficiency. We found that there are obvious differences between the transmission and distribution sectors in China and Japan. On the one hand, the inefficiency of the two countries is mostly caused by long-term and structural problems. The key to improve the efficiency of the two countries is to focus more on solving long-term and structural problems. On the other hand, the long-term and structural problems that cause the inefficiency of the two countries are not the same. Quality factors have different effects on the efficiency of the two countries, and this different effect is captured by the common frontier model but is offset in the overall model. Based on these findings, this paper proposes some targeted policy recommendations.

Keywords: transmission and distribution industries, transient efficiency, persistent efficiency, meta-frontier, international comparison

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Authors: Irina A. Gudkova, Yousra Demigha

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Scientific research is moving more and more towards the study of complex systems in several areas of economics, biology physics, and computer science. In this paper, we will work on complex systems in communication networks, Wireless Sensor Networks (WSN) that are considered as stochastic systems composed of interacting entities. The current advancements of the sensing in computing and communication systems is an investment ground for research in several tracks. A detailed presentation was made for the WSN, their use, modeling, different problems that can occur in their application and some solutions. The main goal of this work reintroduces the idea of mean field method since it is a powerful technique to solve this type of models especially systems that evolve according to a Continuous Time Markov Chain (CTMC). Modeling of a CTMC has been focused; we obtained a large system of interacting Continuous Time Markov Chain with population entities. The main idea was to work on one entity and replace the others with an average or effective interaction. In this context to make the solution easier, we consider a wireless sensor network as a multi-body problem and we reduce it to one body problem. The method was applied to a system of WSN modeled as a Markovian queue showing the results of the used technique.

Keywords: Continuous-Time Markov Chain, Hidden Markov Chain, mean field method, Wireless sensor networks

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Authors: Bastien Batardière, Joon Kwon

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For finite-sum optimization, variance-reduced gradient methods (VR) compute at each iteration the gradient of a single function (or of a mini-batch), and yet achieve faster convergence than SGD thanks to a carefully crafted lower-variance stochastic gradient estimator that reuses past gradients. Another important line of research of the past decade in continuous optimization is the adaptive algorithms such as AdaGrad, that dynamically adjust the (possibly coordinate-wise) learning rate to past gradients and thereby adapt to the geometry of the objective function. Variants such as RMSprop and Adam demonstrate outstanding practical performance that have contributed to the success of deep learning. In this work, we present AdaLVR, which combines the AdaGrad algorithm with loopless variance-reduced gradient estimators such as SAGA or L-SVRG that benefits from a straightforward construction and a streamlined analysis. We assess that AdaLVR inherits both good convergence properties from VR methods and the adaptive nature of AdaGrad: in the case of L-smooth convex functions we establish a gradient complexity of O(n + (L + √ nL)/ε) without prior knowledge of L. Numerical experiments demonstrate the superiority of AdaLVR over state-of-the-art methods. Moreover, we empirically show that the RMSprop and Adam algorithm combined with variance-reduced gradients estimators achieve even faster convergence.

Keywords: convex optimization, variance reduction, adaptive algorithms, loopless

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Authors: Amirhossein Chambari

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This article proposes a bi-objective model for the facility location problem subject to congestion (overcrowding). Motivated by implementations to locate servers in internet mirror sites, communication networks, one-server-systems, so on. This model consider for situations in which immobile (or fixed) service facilities are congested (or queued) by stochastic demand to behave as M/M/1/K queues. We consider for this problem two simultaneous perspectives; (1) Customers (desire to limit times of accessing and waiting for service) and (2) Service provider (desire to limit average facility idle-time). A bi-objective model is setup for facility location problem with two objective functions; (1) Minimizing sum of expected total traveling and waiting time (customers) and (2) Minimizing the average facility idle-time percentage (service provider). The proposed model belongs to the class of mixed-integer nonlinear programming models and the class of NP-hard problems. In addition, to solve the model, controlled elitist non-dominated sorting genetic algorithms (Controlled NSGA-II) and controlled elitist non-dominated ranking genetic algorithms (NRGA-I) are proposed. Furthermore, the two proposed metaheuristics algorithms are evaluated by establishing standard multiobjective metrics. Finally, the results are analyzed and some conclusions are given.

Keywords: bi-objective, facility location, queueing, controlled NSGA-II, NRGA-I

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Authors: Faisal Alsaaq

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Hydrographic surveys have traditionally relied on the availability of tide information for the reduction of sounding observations to a common datum. In most cases, tide information is obtained from tide gauge observations and/or tide predictions over space and time using local, regional or global tide models. While the latter often provides a rather crude approximation, the former relies on tide gauge stations that are spatially restricted, and often have sparse and limited distribution. A more recent method that is increasingly being used is Global Navigation Satellite System (GNSS) positioning which can be utilised to monitor height variations of a vessel or buoy, thus providing information on sea level variations during the time of a hydrographic survey. However, GNSS heights obtained under the dynamic environment of a survey vessel are affected by “non-tidal” processes such as wave activity and the attitude of the vessel (roll, pitch, heave and dynamic draft). This research seeks to examine techniques that separate the tide signal from other non-tidal signals that may be contained in GNSS heights. This requires an investigation of the processes involved and their temporal, spectral and stochastic properties in order to apply suitable recovery techniques of tide information. In addition, different post-mission and near real-time GNSS positioning techniques will be investigated with focus on estimation of height at ocean. Furthermore, the study will investigate the possibility to transfer the chart datums at the location of tide gauges.

Keywords: hydrography, GNSS, datum, tide gauge

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Authors: Zunaira Asif, Zhi Chen

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The sustainable measures on air quality management are recognized as one of the most serious environmental concerns in the mining region. The mining operations emit various types of pollutants which have significant impacts on the environment. This study presents a stochastic control strategy by developing the air pollution control model to achieve a cost-effective solution. The optimization method is formulated to predict the cost of treatment using linear programming with an objective function and multi-constraints. The constraints mainly focus on two factors which are: production of metal should not exceed the available resources, and air quality should meet the standard criteria of the pollutant. The applicability of this model is explored through a case study of an open pit metal mine, Utah, USA. This method simultaneously uses meteorological data as a dispersion transfer function to support the practical local conditions. The probabilistic analysis and the uncertainties in the meteorological conditions are accomplished by Monte Carlo simulation. Reasonable results have been obtained to select the optimized treatment technology for PM_2.5, PM₁₀, NO_x, and SO₂. Additional comparison analysis shows that baghouse is the least cost option as compared to electrostatic precipitator and wet scrubbers for particulate matter, whereas non-selective catalytical reduction and dry-flue gas desulfurization are suitable for NO_x and SO₂ reduction respectively. Thus, this model can aid planners to reduce these pollutants at a marginal cost by suggesting control pollution devices, while accounting for dynamic meteorological conditions and mining activities.

Keywords: air pollution, linear programming, mining, optimization, treatment technologies

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Authors: Y. Ghiassi-Farrokhfal

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The number of electric vehicles (EVs) is increasing worldwide. Replacing gas fueled cars with EVs reduces carbon emission. However, the extensive energy consumption of EVs stresses the energy systems, requiring non-green sources of energy (such as gas turbines) to compensate for the new energy demand caused by EVs in the energy systems. To make EVs even a greener solution for the future energy systems, new EV charging stations are equipped with solar PV panels and batteries. This will help serve the energy demand of EVs through the green energy of solar panels. To ensure energy availability, solar panels are combined with batteries. The energy surplus at any point is stored in batteries and is used when there is not enough solar energy to serve the demand. While EV charging stations equipped with solar panels and batteries are green and ecologically optimal, they might not be financially viable solutions, due to battery prices. To make the system viable, we should size the battery economically and operate the system optimally. This is, in general, a challenging problem because of the stochastic nature of the EV arrivals at the charging station, the available solar energy, and the battery operating system. In this work, we provide a mathematical model for this problem and we compute the return on investment (ROI) of such a system, which is designed to be ecologically and financially optimal. We also quantify the minimum required investment in terms of battery and solar panels along with the operating strategy to ensure that a charging station has enough energy to serve its EV demand at any time.

Keywords: solar energy, battery storage, electric vehicle, charging stations

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Authors: Ran Etgar, Yuval Cohen, Erel Avineri

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One of the major challenges of transportation in medium sized inner-cities (such as Tel-Aviv) is the last-mile solution. Personal rapid transit (PRT) seems like an applicable candidate for this, as it combines the benefits of personal (car) travel with the operational benefits of transit. However, the investment required for large area PRT grid is significant and there is a need to economically justify such investment by correctly evaluating the grid capacity. PRT main elements are small automated vehicles (sometimes referred to as podcars) operating on a network of specially built guideways. The research is looking at a specific concept of elevated PRT system. Literature review has revealed the drawbacks PRT modelling and simulation approaches, mainly due to the lack of consideration of technical and operational features of the system (such as headways, acceleration, safety issues); the detailed design of infrastructure (guideways, stations, and docks); the stochastic and sessional characteristics of demand; and safety regulations – all of them have a strong effect on the system performance. A highly detailed model of the system, developed in this research, is applying a discrete event simulation combined with an agent-based approach, to represent the system elements and the podecars movement logic. Applying a case study approach, the simulation model is used to study the capacity of the system, the expected throughput of the system, the utilization, and the level of service (journey time, waiting time, etc.).

Keywords: capacity, productivity measurement, PRT, simulation, transportation

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Authors: Chen Bo, Wen Zengping

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Based on the results of previous studies, we focus on the research of real ground motion selection and scaling method for structural performance-based seismic evaluation using nonlinear dynamic analysis. The input of earthquake ground motion should be determined appropriately to make them compatible with the site-specific hazard level considered. Thus, an optimized selection and scaling method are established including the use of not only Monte Carlo simulation method to create the stochastic simulation spectrum considering the multivariate lognormal distribution of target spectrum, but also a spectral shape parameter. Its applications in structural fragility analysis are demonstrated through case studies. Compared to the previous scheme with no consideration of the uncertainty of target spectrum, the method shown here can make sure that the selected records are in good agreement with the median value, standard deviation and spectral correction of the target spectrum, and greatly reveal the uncertainty feature of site-specific hazard level. Meanwhile, it can help improve computational efficiency and matching accuracy. Given the important infection of target spectrum’s uncertainty on structural seismic fragility analysis, this work can provide the reasonable and reliable basis for structural seismic evaluation under scenario earthquake environment.

Keywords: ground motion selection, scaling method, seismic fragility analysis, spectral shape

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Authors: Noor Rizkiyah, Djoko Koestiono, Budi Setiawan, Nuhfil Hanani

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This research aims to identify the factors that affect the production of sugar cane, the level of technical efficiency of farming sugar cane ratooning and factors that affect technical inefficiency. Research carried out in Malang of East Java with sampling in a non random sampling stratified proportioned and obtained 172 household sugar cane farmers who are classified based on the level of ratooning i.e. ratooning I 3-4 times ratoning, ratooning II 5-10 times ratoning as well as ratooning III > 10 times ratoning. The method used is the Stochastic Production Frontier approach MLE (maximum likelihood estimation). From the results obtained by analysis of the factors affecting the production of sugar cane farming land, namely ratooning fertilizer use ZA petroganic, use of fertilizer and seeds of embroidery and labor. While the average level of sugar cane farmers ratooning efficiency of 0.78 and categorized yet efficient technically. For the factors that influence the technical inefficiency i.e. age, number of dependents and the frequency of family ratooning. Though not yet technically efficient but sugar cane farmers cultivate cultivation remains ratooning. But if it is done repeatedly ratooning will result in a decrease in the production of sugar cane. Whereas the results of the analysis of farming level of feasibility or RC ratooning sugar cane ratio of 1.15 so worth trying to accomplish. Thus with increased technology and combining the use of inputs is an attempt to let the technical efficiency can be achieved so that the more worthy to be organised.

Keywords: technical efficiency, production, sugarcane, frontier

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Authors: Jiahui Yang, John Quigley, Lesley Walls

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In this paper, the authors develop a stochastic model regarding the investment in supplier delivery performance development from a buyer’s perspective. The authors propose a multivariate model through a Multinomial-Dirichlet distribution within an Empirical Bayesian inference framework, representing both the epistemic and aleatory uncertainties in deliveries. A closed form solution is obtained and the lower and upper bound for both optimal investment level and expected profit under uncertainty are derived. The theoretical properties provide decision makers with useful insights regarding supplier delivery performance improvement problems where multiple delivery statuses are involved. The authors also extend the model from a single supplier investment into a supplier portfolio, using a Lagrangian method to obtain a theoretical expression for an optimal investment level and overall expected profit. The model enables a buyer to know how the marginal expected profit/investment level of each supplier changes with respect to the budget and which supplier should be invested in when additional budget is available. An application of this model is illustrated in a simulation study. Overall, the main contribution of this study is to provide an optimal investment decision making framework for supplier development, taking into account multiple delivery statuses as well as multiple projects.

Keywords: decision making, empirical bayesian, portfolio optimization, supplier development, supply chain management

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Authors: D. Kabeya Nahum, L. Y. Kabeya Mukeba

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In this work, the design of surface defects some support of the anchor rod ball joint. The future adhesion contact was rocking in manufacture machining, for giving by the numerical analysis of a short simple solution of thermo-mechanical coupled problem in process engineering. The analysis of geometrical evaluation and the quasi-static and dynamic states are discussed in kinematic dimensional tolerances onto surfaces of part. Geometric modeling using the finite element method (FEM) in rough part of such phase provides an opportunity to solve the nonlinearity behavior observed by empirical data to improve the discrete functional surfaces. The open question here is to obtain spherical geometry of drain wear with the operation of rolling. The formulation with (1 ± 0.01) mm thickness near the drain wear semi-finishing tool for studying different angles, do not help the professional factor in design cutting metal related vibration, friction and interface solid-solid of part and tool during this physical complex process, with multi-parameters no-defined in Sobolev Spaces. The stochastic approach of cracking, wear and fretting due to the cutting forces face boundary layers small dimensions thickness of the workpiece and the tool in the machining position is predicted neighbor to ‘Yakam Matrix’.

Keywords: FEM, geometry, part, simulation, spherical surface engineering, tool, workpiece

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Authors: Behnaz Moradijamei, Michael Higgins

Abstract:

Identifying community structure is a critical task in analyzing social media data sets often modeled by networks. Statistical models such as the stochastic block model have proven to explain the structure of communities in real-world network data. In this work, we develop a goodness-of-fit test to examine community structure's existence by using a distinguishing property in networks: cyclic structures are more prevalent within communities than across them. To better understand how communities are shaped by the cyclic structure of the network rather than just the number of edges, we introduce a novel method for deciding on the existence of communities. We utilize these structures by using renewal non-backtracking random walk (RNBRW) to the existing goodness-of-fit test. RNBRW is an important variant of random walk in which the walk is prohibited from returning back to a node in exactly two steps and terminates and restarts once it completes a cycle. We investigate the use of RNBRW to improve the performance of existing goodness-of-fit tests for community detection algorithms based on the spectral properties of the adjacency matrix. Our proposed test on community structure is based on the probability distribution of eigenvalues of the normalized retracing probability matrix derived by RNBRW. We attempt to make the best use of asymptotic results on such a distribution when there is no community structure, i.e., asymptotic distribution under the null hypothesis. Moreover, we provide a theoretical foundation for our statistic by obtaining the true mean and a tight lower bound for RNBRW edge weights variance.

Keywords: hypothesis testing, RNBRW, network inference, community structure

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Authors: S. Bouhouche, R. Drai, J. Bast

Abstract:

This paper is concerned with a method for uncertainty evaluation of steel sample content using X-Ray Fluorescence method. The considered method of analysis is a comparative technique based on the X-Ray Fluorescence; the calibration step assumes the adequate chemical composition of metallic analyzed sample. It is proposed in this work a new combined approach using the Kalman Filter and Markov Chain Monte Carlo (MCMC) for uncertainty estimation of steel content analysis. The Kalman filter algorithm is extended to the model identification of the chemical analysis process using the main factors affecting the analysis results; in this case, the estimated states are reduced to the model parameters. The MCMC is a stochastic method that computes the statistical properties of the considered states such as the probability distribution function (PDF) according to the initial state and the target distribution using Monte Carlo simulation algorithm. Conventional approach is based on the linear correlation, the uncertainty budget is established for steel Mn(wt%), Cr(wt%), Ni(wt%) and Mo(wt%) content respectively. A comparative study between the conventional procedure and the proposed method is given. This kind of approaches is applied for constructing an accurate computing procedure of uncertainty measurement.

Keywords: Kalman filter, Markov chain Monte Carlo, x-ray fluorescence calibration and testing, steel content measurement, uncertainty measurement

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Authors: Chia-li Wang

Abstract:

The surge of service and commerce platforms, such as e-commerce and internet-of-things, have rapidly changed our lives. How to avoid the congestion and get the job done in the platform is now a common problem that many people encounter every day. This requires platform users to make decisions about when to enter the platform. To that end, we investigate the strategic entering time of a simple platform containing random numbers of buyers and sellers of some item. Upon a trade, the buyer and the seller gain respective profits, yet they pay the cost of waiting in the platform. To maximize their expected payoffs from trading, both buyers and sellers can choose their entering times. This creates an interesting and practical framework of a game that is played among buyers, among sellers, and between them. That is, a strategy employed by a player is not only against players of its type but also a response to those of the other type, and, thus, a strategy profile is composed of strategies of buyers and sellers. The players' best response, the Nash equilibrium (NE) strategy profile, is derived by a pair of differential equations, which, in turn, are used to establish its existence and uniqueness. More importantly, its structure sheds valuable insights of how the entering strategy of one side (buyers or sellers) is affected by the entering behavior of the other side. These results provide a base for the study of dynamic pricing for stochastic demand-supply imbalances. Finally, comparisons between the social welfares (the sum of the payoffs incurred by individual participants) obtained by the optimal strategy and by the NE strategy are conducted for showing the efficiency loss relative to the socially optimal solution. That should help to manage the platform better.

Keywords: double-sided queue, non-cooperative game, nash equilibrium, price of anarchy

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Authors: Giovanni Masala, Stefania Marica

Abstract:

Forecasting electricity load plays a crucial role regards decision making and planning for economical purposes. Besides, in the light of the recent privatization and deregulation of the power industry, the forecasting of future electricity load turned out to be a very challenging problem. Empirical data about electricity load highlights a clear seasonal behavior (higher load during the winter season), which is partly due to climatic effects. We also emphasize the presence of load periodicity at a weekly basis (electricity load is usually lower on weekends or holidays) and at daily basis (electricity load is clearly influenced by the hour). Finally, a long-term trend may depend on the general economic situation (for example, industrial production affects electricity load). All these features must be captured by the model. The purpose of this paper is then to build an hourly electricity load model. The deterministic component of the model requires non-linear regression and Fourier series while we will investigate the stochastic component through econometrical tools. The calibration of the parameters’ model will be performed by using data coming from the Italian market in a 6 year period (2007- 2012). Then, we will perform a Monte Carlo simulation in order to compare the simulated data respect to the real data (both in-sample and out-of-sample inspection). The reliability of the model will be deduced thanks to standard tests which highlight a good fitting of the simulated values.

Keywords: ARMA-GARCH process, electricity load, fitting tests, Fourier series, Monte Carlo simulation, non-linear regression

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Authors: B. Elshafei, X. Mao

Abstract:

The demand for renewable energy is significantly increasing, major investments are being supplied to the wind power generation industry as a leading source of clean energy. The wind energy sector is entirely dependable and driven by the prediction of wind speed, which by the nature of wind is very stochastic and widely random. This s0tudy employs deep multi-fidelity Gaussian process regression, used to predict wind speeds for medium term time horizons. Data of the RUNE experiment in the west coast of Denmark were provided by the Technical University of Denmark, which represent the wind speed across the study area from the period between December 2015 and March 2016. The study aims to investigate the effect of pre-processing the data by denoising the signal using empirical wavelet transform (EWT) and engaging the vector components of wind speed to increase the number of input data layers for data fusion using deep multi-fidelity Gaussian process regression (GPR). The outcomes were compared using root mean square error (RMSE) and the results demonstrated a significant increase in the accuracy of predictions which demonstrated that using vector components of the wind speed as additional predictors exhibits more accurate predictions than strategies that ignore them, reflecting the importance of the inclusion of all sub data and pre-processing signals for wind speed forecasting models.

Keywords: data fusion, Gaussian process regression, signal denoise, temporal extrapolation

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