Search results for: stochastic uncertainty analysis

Authors: Jessemyn Modiini, Timothy Lynar, Elena Sitnikova

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We present a novel enhanced compartmental model for malware spread analysis in cyber security. This paper applies cyber security data features to epidemiological compartmental models to model the infectious potential of malware. Compartmental models are most efficient for calculating the infectious potential of a disease. In this paper, we discuss and profile epidemiologically relevant data features from a Domain Name System (DNS) dataset. We then apply these features to epidemiological compartmental models to network traffic features. This paper demonstrates how epidemiological principles can be applied to the novel analysis of key cybersecurity behaviours and trends and provides insight into threat modelling above that of kill-chain analysis. In applying deterministic compartmental models to a cyber security use case, the authors analyse the deficiencies and provide an enhanced stochastic model for cyber epidemiology. This enhanced compartmental model (SUEICRN model) is contrasted with the traditional SEIR model to demonstrate its efficacy.

Keywords: cybersecurity, epidemiology, cyber epidemiology, malware

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Authors: Jian Li

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The uncertainty quantification and inversion problems of subsurface oil-water phase flow usually require extensive repeated forward calculations for new runs with changed conditions. To reduce the computational time, various forms of surrogate models have been built. Related research shows that deep learning has emerged as an effective surrogate model, while most surrogate models with deep learning are purely data-driven, which always leads to poor robustness and abnormal results. To guarantee the model more consistent with the physical laws, a coupled theory-guided convolutional neural network (TgCNN) based surrogate model is built to facilitate computation efficiency under the premise of satisfactory accuracy. The model is a convolutional neural network based on multi-well reservoir simulation. The core notion of this proposed method is to bridge two separate blocks on top of an overall network. They underlie the TgCNN model in a coupled form, which reflects the coupling nature of pressure and water saturation in the two-phase flow equation. The model is driven by not only labeled data but also scientific theories, including governing equations, stochastic parameterization, boundary, and initial conditions, well conditions, and expert knowledge. The results show that the TgCNN-based surrogate model exhibits satisfactory accuracy and efficiency in subsurface oil-water phase flow under multi-well conditions.

Keywords: coupled theory-guided convolutional neural network, multi-well conditions, surrogate model, subsurface oil-water phase

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Authors: Dalvinder Kaur Mangal

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For the past decade, noise corrupted output measurements have been a fundamental research problem to be investigated. On the other hand, the estimation of the parameters for linear dynamic systems when also the input is affected by noise is recognized as more difficult problem which only recently has received increasing attention. Representations where errors or measurement noises/disturbances are present on both the inputs and outputs are usually called errors-in-variables (EIV) models. These disturbances may also have additive effects which are also considered in this paper. Parameter estimation of false EIV problem using equation error, output error and iterative prefiltering identification schemes with and without additive uncertainty, when only the output observation is corrupted by noise has been dealt in this paper. The comparative study of these three schemes has also been carried out.

Keywords: errors-in-variable (EIV), false EIV, equation error, output error, iterative prefiltering, Gaussian noise

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Authors: Maryam Safrai, Tewfik Mahdi

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This article presents the stochastic modeling of the Richelieu River flood in Quebec, Canada, occurred in the spring of 2011. With the aid of the one-dimensional Watershed Modeling System (WMS (v.10.1) and HEC-RAS (v.4.1) as a flood simulator, the delineation of the probabilistic flooded areas was considered. Based on the Monte Carlo method, WMS (v.10.1) delineated the probabilistic flooded areas with corresponding occurrence percentages. Furthermore, results of this one-dimensional model were compared with the results of two-dimensional model (SRH-2D) for the evaluation of efficiency and precision of each applied model. Based on this comparison, computational process in two-dimensional model is longer and more complicated versus brief one-dimensional one. Although, two-dimensional models are more accurate than one-dimensional method, but according to existing modellers, delineation of probabilistic flooded areas based on Monte Carlo method is achievable via one-dimensional modeler. The applied software in this case study greatly responded to verify the research objectives. As a result, flood risk maps of the Richelieu River with the two applied models (1d, 2d) could elucidate the flood risk factors in hydrological, hydraulic, and managerial terms.

Keywords: flood modeling, HEC-RAS, model comparison, Monte Carlo simulation, probabilistic flooded area, SRH-2D, WMS

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Authors: Elizabeth Stojanovski

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Associations between life events and various forms of cancers have been identified. The purpose of a recent random-effects meta-analysis was to identify studies that examined the association between adverse events associated with changes to financial status including decreased income and breast cancer risk. The same association was studied in four separate studies which displayed traits that were not consistent between studies such as the study design, location and time frame. It was of interest to pool information from various studies to help identify characteristics that differentiated study results. Two random-effects Bayesian meta-analysis models are proposed to combine the reported estimates of the described studies. The proposed models allow major sources of variation to be taken into account, including study level characteristics, between study variance, and within study variance and illustrate the ease with which uncertainty can be incorporated using a hierarchical Bayesian modelling approach.

Keywords: random-effects, meta-analysis, Bayesian, variation

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Authors: M. G. Mattos, J. E. Pécora Jr, T. A. Briso

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Today's challenging business environment, with unpredictable demand and volatility, requires a supply chain strategy that handles uncertainty and risks in the right way. Even though inventory models have been previously explored, this paper seeks to apply these concepts on a practical situation. This study involves the inventory replenishment problem, applying techniques that are mainly based on mathematical assumptions and modeling. The primary goal is to improve the retailer’s supply chain processes taking store differences when setting the various target stock levels. Through inventory review policy, picking piece implementation and minimum exposure definition, we were able not only to promote the inventory reduction as well as improve sales results. The inventory management theory from literature review was then tested on a single case study regarding a particular department in one of the largest Latam retail chains.

Keywords: inventory, distribution, retail, risk, safety stock, sales, uncertainty

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Authors: Ozgu Turgut

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Water scarcity is a problem for many regions which requires immediate action, and solutions cannot be postponed for a long time. It is known that farming consumes a significant portion of usable water. Although in recent years, the efforts to make the transition to dripping or spring watering systems instead of using surface watering started to pay off. It is also known that this transition is not necessarily translated into an increase in the capacity dedicated to other water consumption channels such as city water or power usage. In order to control and allocate the water resource more purposefully, new watering systems have to be used with monitoring abilities that can limit the usage capacity for each farm. In this study, a decision support model which relies on a bi-objective stochastic linear optimization is proposed, which takes crop yield and price volatility into account. The model generates annual planting plans as well as water usage limits for each farmer in the region while taking the total value (i.e., profit) of the overall harvest. The mathematical model is solved using the L-shaped method optimally. The decision support model can be especially useful for regional administrations to plan next year's planting and water incomes and expenses. That is why not only a single optimum but also a set of representative solutions from the Pareto set is generated with the proposed approach.

Keywords: decision support, farming, water, tactical planning, optimization, stochastic, pareto

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Authors: Roberta Martino, Viviana Ventre

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From a theoretical point of view, the relationship between the risk associated with an investment and the expected value are directly proportional, in the sense that the market allows a greater result to those who are willing to take a greater risk. However, empirical evidence proves that this relationship is distorted in the minds of investors and is perceived exactly the opposite. To deepen and understand the discrepancy between the actual actions of the investor and the theoretical predictions, this paper analyzes the essential parameters used for the valuation of financial assets with greater attention to two elements: probability and the passage of time. Although these may seem at first glance to be two distinct elements, they are closely related. In particular, the error in the theoretical description of the relationship between risk and return lies in the failure to consider the impatience that is generated in the decision-maker when events that have not yet happened occur in the decision-making context. In this context, probability loses its objective meaning and in relation to the psychological aspects of the investor, it can only be understood as the degree of confidence that the investor has in the occurrence or non-occurrence of an event. Moreover, the concept of objective probability does not consider the inter-temporality that characterizes financial activities and does not consider the condition of limited cognitive capacity of the decision maker. Cognitive psychology has made it possible to understand that the mind acts with a compromise between quality and effort when faced with very complex choices. To evaluate an event that has not yet happened, it is necessary to imagine that it happens in your head. This projection into the future requires a cognitive effort and is what differentiates choices under conditions of risk and choices under conditions of uncertainty. In fact, since the receipt of the outcome in choices under risk conditions is imminent, the mechanism of self-projection into the future is not necessary to imagine the consequence of the choice and the decision makers dwell on the objective analysis of possibilities. Financial activities, on the other hand, develop over time and the objective probability is too static to consider the anticipatory emotions that the self-projection mechanism generates in the investor. Assuming that uncertainty is inherent in valuations of events that have not yet occurred, the focus must shift from risk management to uncertainty management. Only in this way the intertemporal dimension of the decision-making environment and the haste generated by the financial market can be cautioned and considered. The work considers an extension of the prospectus theory with the temporal component with the aim of providing a description of the attitude towards risk with respect to the passage of time.

Keywords: impatience, risk aversion, subjective probability, uncertainty

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Authors: H. C. Chinwenyi, H. D. Ibrahim, F. A. Ahmed

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In modern financial mathematics, valuing derivatives such as options is often a tedious task. This is simply because their fair and correct prices in the future are often probabilistic. This paper examines three different Stochastic Differential Equation (SDE) models in finance; the Constant Elasticity of Variance (CEV) model, the Balck-Karasinski model, and the Heston model. The various Martingales option price valuation formulas for these three models were obtained using the replicating portfolio method. Also, the numerical solution of the derived Martingales options price valuation equations for the SDEs models was carried out using the Monte Carlo method which was implemented using MATLAB. Furthermore, results from the numerical examples using published data from the Nigeria Stock Exchange (NSE), all share index data show the effect of increase in the underlying asset value (stock price) on the value of the European Put Option for these models. From the results obtained, we see that an increase in the stock price yields a decrease in the value of the European put option price. Hence, this guides the option holder in making a quality decision by not exercising his right on the option.

Keywords: equivalent martingale measure, European put option, girsanov theorem, martingales, monte carlo method, option price valuation formula

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Authors: Tomoaki Hashimoto

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Recently, feedback control systems using random dither quantizers have been proposed for linear discrete-time systems. However, the constraints imposed on state and control variables have not yet been taken into account for the design of feedback control systems with random dither quantization. Model predictive control is a kind of optimal feedback control in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. An important advantage of model predictive control is its ability to handle constraints imposed on state and control variables. Based on the model predictive control approach, the objective of this paper is to present a control method that satisfies probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization. In other words, this paper provides a method for solving the optimal control problems subject to probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization.

Keywords: optimal control, stochastic systems, random dither, quantization

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Authors: Navid Mohammadzadeh, Huy Truong-Ba, Michael Cholette

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The solar tower (ST) plant is a promising technology to exploit large-scale solar irradiation. With thermal energy storage, ST plant has the potential to shift generation to high electricity price periods. However, the size of storage limits the dispatchability of the plant, particularly when it should compete with uncertainty in forecasts of solar irradiation and electricity prices. The purpose of this study is to explore the size of storage when Rolling Horizon Control (RHC) is employed for dispatch scheduling. To this end, RHC is benchmarked against perfect knowledge (PK) forecast and two day-ahead dispatching policies. With optimisation of dispatch planning using PK policy, the optimal achievable profit for a specific size of the storage is determined. A sensitivity analysis using Monte-Carlo simulation is conducted, and the size of storage for RHC and day-ahead policies is determined with the objective of reaching the profit obtained from the PK policy. A case study is conducted for a hypothetical ST plant with thermal storage located in South Australia and intends to dispatch under two market scenarios: 1) fixed price and 2) wholesale spot price. The impact of each individual source of uncertainty on storage size is examined for January and August. The exploration of results shows that dispatching with RH controller reaches optimal achievable profit with ~15% smaller storage compared to that in day-ahead policies. The results of this study may be applied to the CSP plant design procedure.

Keywords: solar tower plant, spot market, thermal storage system, optimized dispatch planning, sensitivity analysis, Monte Carlo simulation

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Authors: I. Teotónio, C.O. Cruz, C.M. Silva, M. Manso

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Diverse stakeholders show different concerns when choosing green roof systems. Also, green roof solutions vary in their cost and performance. Therefore, decision-makers continually face the difficult task of balancing benefits against green roofs costs. Decision analysis methods, as multicriteria analysis, can be used when the decision‑making process includes different perspectives, multiple objectives, and uncertainty. The present study adopts a multicriteria decision model to evaluate the installation of green roofs in buildings, determining the solution with the best trade-off between costs and benefits in agreement with the preferences of the users/investors. This methodology was applied to a real decision problem, assessing the preferences between different green roof systems in an existing building in Lisbon. This approach supports the decision-making process on green roofs and enables robust and informed decisions on urban planning while optimizing buildings retrofitting.

Keywords: decision making, green roofs, investors preferences, multicriteria analysis, sustainable development

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Authors: Congping Lin

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Intracellular transport in fungi has a number of important roles in, e.g., filamentous fungal growth and cellular metabolism. Two basic mechanisms for intracellular transport are motor-driven trafficking along microtubules (MTs) and diffusion. Mathematical modelling has been actively developed to understand such intracellular transport and provide unique insight into cellular complexity. Based on live-cell imaging data in Ustilago hyphal cells, probabilistic models have been developed to study mechanism underlying spatial organization of molecular motors and organelles. In particular, anther mechanism - stochastic motility of dynein motors along MTs has been found to contribute to half of its accumulation at hyphal tip in order to support early endosome (EE) recycling. The EE trafficking not only facilitates the directed motion of peroxisomes but also enhances their diffusive motion. Considering the importance of spatial organization of early endosomes in supporting peroxisome movement, computational and experimental approaches have been combined to a whole-cell level. Results from this interdisciplinary study promise insights into requirements for other membrane trafficking systems (e.g., in neurons), but also may inform future 'synthetic biology' studies.

Keywords: intracellular transport, stochastic process, molecular motors, spatial organization

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Authors: Nejoud Alostad, Anup Bora, Prashant Dhote

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Kuwait Oil Company (KOC) has been producing from its major reservoirs that are well defined and highly productive and of superior reservoir quality. These reservoirs are maturing and priority is shifting towards difficult reservoir to meet future production requirements. This paper discusses the results of the detailed integrated study for one of the satellite complex field discovered in the early 1960s. Following acquisition of new 3D seismic data in 1998 and re-processing work in the year 2006, an integrated G&G study was undertaken to review Lower Cretaceous prospectivity of this reservoir. Nine wells have been drilled in the area, till date with only three wells showing hydrocarbons in two formations. The average oil density is around 300API (American Petroleum Institute), and average porosity and water saturation of the reservoir is about 23% and 26%, respectively. The area is dissected by a number of NW-SE trending faults. Structurally, the area consists of horsts and grabens bounded by these faults and hence compartmentalized. The Wara/Burgan formation consists of discrete, dirty sands with clean channel sand complexes. There is a dramatic change in Upper Wara distributary channel facies, and reservoir quality of Wara and Burgan section varies with change of facies over the area. So predicting reservoir facies and its quality out of sparse well data is a major challenge for delineating the prospective area. To characterize the reservoir of Wara/Burgan formation, an integrated workflow involving seismic, well, petro-physical, reservoir and production engineering data has been used. Porosity and water saturation models are prepared and analyzed to predict reservoir quality of Wara and Burgan 3rd sand upper reservoirs. Subsequently, boundary conditions are defined for reservoir and non-reservoir facies by integrating facies, porosity and water saturation. Based on the detailed analyses of volumetric parameters, potential volumes of stock-tank oil initially in place (STOIIP) and gas initially in place (GIIP) were documented after running several probablistic sensitivity analysis using Montecalro simulation method. Sensitivity analysis on probabilistic models of reservoir horizons, petro-physical properties, and oil-water contacts and their effect on reserve clearly shows some alteration in the reservoir geometry. All these parameters have significant effect on the oil in place. This study has helped to identify uncertainty and risks of this prospect particularly and company is planning to develop this area with drilling of new wells.

Keywords: original oil-in-place, sensitivity, uncertainty, sandstone, reservoir modeling, Monte-Carlo simulation

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Authors: Olga Biedova, Victoria Steblovskaya, Kai Wallbaum

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In the current capital market environment, investors constantly face the challenge of finding a successful and stable investment mechanism. Highly volatile equity markets and extremely low bond returns bring about the demand for sophisticated yet reliable risk management strategies. Investors are looking for risk management solutions to efficiently protect their investments. This study compares a classic Constant Proportion Portfolio Insurance (CPPI) strategy to a Volatility Target portfolio insurance (VTPI). VTPI is an extension of the well-known Option Based Portfolio Insurance (OBPI) to the case where an embedded option is linked not to a pure risky asset such as e.g., S&P 500, but to a Volatility Target (VolTarget) portfolio. VolTarget strategy is a recently emerged rule-based dynamic asset allocation mechanism where the portfolio’s volatility is kept under control. As a result, a typical VTPI strategy allows higher participation rates in the market due to reduced embedded option prices. In addition, controlled volatility levels eliminate the volatility spread in option pricing, one of the frequently cited reasons for OBPI strategy fall behind CPPI. The strategies are compared within the framework of the stochastic dominance theory based on numerical simulations, rather than on the restrictive assumption of the Black-Scholes type dynamics of the underlying asset. An extended comparative quantitative analysis of performances of the above investment strategies in various market scenarios and within a range of input parameter values is presented.

Keywords: CPPI, portfolio insurance, stochastic dominance, volatility target

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Authors: Kamel Malik Bensafta, Gervasio Bensafta

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The purpose of this paper is to investigate the relationship between oil prices and socks markets. The empirical analysis in this paper is conducted within the context of Multivariate GARCH models, using a transform version of the so-called BEKK parameterization. We show that mean and uncertainty of US market are transmitted to oil market and European market. We also identify an important transmission from WTI prices to Brent Prices.

Keywords: oil volatility, stock markets, MGARCH, transmission, structural break

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Authors: Pham Van Nha, Le Cam Binh

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Particle swarm optimization (PSO) is a population-based stochastic optimization algorithm. PSO was inspired by the natural behavior of birds and fish in migration and foraging for food. PSO is considered as a multidisciplinary optimization model that can be applied in various optimization problems. PSO’s ideas are simple and easy to understand but PSO is only applied in simple model problems. We think that in order to expand the applicability of PSO in complex problems, PSO should be described more explicitly in the form of a mathematical model. In this paper, we represent PSO in a mathematical model and apply in the multivariate data classification. First, PSOs general mathematical model (MPSO) is analyzed as a universal optimization model. Then, Model of Optimal Centroids (MOC) is proposed for the multivariate data classification. Experiments were conducted on some benchmark data sets to prove the effectiveness of MOC compared with several proposed schemes.

Keywords: analysis of optimization, artificial intelligence based optimization, optimization for learning and data analysis, global optimization

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Authors: Kirsi Snellman, Johannes Gartner, , Katja Upadaya

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A transition towards a future where the economy serves society so that it evolves within the safe operating space of the planet calls for fundamental changes in the way managers think, feel and act, and make decisions that relate to social and environmental issues. Sustainable decision-making in organizations are often challenging tasks characterized by trade-offs between environmental, social and financial aspects, thus often bringing forth ethical concerns. Although there have been significant developments in incorporating uncertainty into environmental decision-making and measuring constructs and dimensions in ethical behavior in organizations, the majority of sustainable decision-making models are rationalist-based. Moreover, research in psychology indicates that one’s readiness to make a decision depends on the individual’s state of mind, the feasibility of the implied change, and the compatibility of strategies and tactics of implementation. Although very informative, most of this extant research is limited in the sense that it often directs attention towards the rational instead of the emotional. Hence, little is known about the role of emotions in sustainable decision making, especially in situations where decision-makers evaluate a variety of options and use their feelings as a source of information in tackling the uncertainty. To fill this lacuna, and to embrace the uncertainty and perceived risk involved in decisions that touch upon social and environmental aspects, it is important to add emotion to the evaluation when aiming to reach the one right and good ethical decision outcome. This analysis builds on recent findings in moral psychology that associate feelings and intuitions with ethical decisions and suggests that emotions can sensitize the manager to evaluate the rightness or wrongness of alternatives if ethical concerns are present in sustainable decision making. Capturing such sensitive evaluation as triggered by intuitions, we suggest that rational justification can be complemented by using emotions as a tool to tune in to what feels right in making sustainable decisions. This analysis integrates ethical decision-making theories with recent advancements in emotion theories. It determines the conditions under which emotions play a role in sustainability decisions by contributing to a personal equilibrium in which intuition and rationality are both activated and in accord. It complements the rationalist ethics view according to which nothing fogs the mind in decision making so thoroughly as emotion, and the concept of cheater’s high that links unethical behavior with positive affect. This analysis contributes to theory with a novel theoretical model that specifies when and why managers, who are more emotional, are, in fact, more likely to make ethical decisions than those managers who are more rational. It also proposes practical advice on how emotions can convert the manager’s preferences into choices that benefit both common good and one’s own good throughout the transition towards a more sustainable future.

Keywords: emotion, ethical decision making, intuition, sustainability

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Authors: Mehrdad Mahmudizad, Roya Ahmadi Ahangar

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This paper presents the method of designing the type 2 fuzzy PID controllers in order to solve the problem of Load Frequency Control (LFC). The Harmony Search (HS) algorithm is used to regulate the measurement factors and the effect of uncertainty of membership functions of Interval Type 2 Fuzzy Proportional Integral Differential (IT2FPID) controllers in order to reduce the frequency deviation resulted from the load oscillations. The simulation results implicitly show that the performance of the proposed IT2FPID LFC in terms of error, settling time and resistance against different load oscillations is more appropriate and preferred than PID and Type 1 Fuzzy Proportional Integral Differential (T1FPID) controllers.

Keywords: load frequency control, fuzzy-pid controller, type 2 fuzzy system, harmony search algorithm

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Authors: S. Hamid Mirmohammadi, Shahrazad Tamjidzad

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This paper is concerned with the single-item continuous review inventory system in which demand is stochastic and discrete. The budget consumed for purchasing the ordered items is not restricted but it incurs extra cost when exceeding specific value. The unit purchasing price depends on the quantity ordered under the all-units discounts cost structure. In many actual systems, the budget as a resource which is occupied by the purchased items is limited and the system is able to confront the resource shortage by charging more costs. Thus, considering the resource shortage costs as a part of system costs, especially when the amount of resource occupied by the purchased item is influenced by quantity discounts, is well motivated by practical concerns. In this paper, an optimization problem is formulated for finding the optimal (R, Q) policy, when the system is influenced by the budget limitation and a discount pricing simultaneously. Properties of the cost function are investigated and then an algorithm based on a one-dimensional search procedure is proposed for finding an optimal (R, Q) policy which minimizes the expected system costs .

Keywords: (R, Q) policy, stochastic demand, backorders, limited resource, quantity discounts

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Authors: Imane Khalil, Quinn Pratt

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In a nuclear reactor, an array of fuel rods containing stacked uranium dioxide pellets clad with zircalloy is the heat source for a thermodynamic cycle of energy conversion from heat to electricity. After fuel is used in a nuclear reactor, the assemblies are stored underwater in a spent nuclear fuel pool at the nuclear power plant while heat generation and radioactive decay rates decrease before it is placed in packages for dry storage or transportation. A computational model of a Boiling Water Reactor spent fuel assembly is modeled using FLUENT, the computational fluid dynamics package. Heat transfer simulations were performed on the two-dimensional 9x9 spent fuel assembly to predict the maximum cladding temperature for different input to the FLUENT model. Uncertainty quantification is used to predict the heat transfer and the maximum temperature profile inside the assembly.

Keywords: spent nuclear fuel, conduction, heat transfer, uncertainty quantification

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Authors: Shabnam Pashaei, Mohammadali Badamchizadeh

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This paper presents a new fractional-order terminal sliding mode control for synchronization of two different fractional-order chaotic systems with uncertainty and external disturbances. A fractional-order integral type nonlinear switching surface is presented. Then, using the Lyapunov stability theory and sliding mode theory, a fractional-order control law is designed to synchronize two different fractional-order chaotic systems. Finally, a simulation example is presented to illustrate the performance and applicability of the proposed method. Based on numerical results, the proposed controller ensures that the states of the controlled fractional-order chaotic response system are asymptotically synchronized with the states of the drive system.

Keywords: terminal sliding mode control, fractional-order calculus, chaotic systems, synchronization

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Authors: Chao Xu

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Selecting ground motion intensity measures reasonably is one of the very important issues to affect the input ground motions selecting and the reliability of vulnerability analysis results. In this paper, inelastic spectral displacement is used as an alternative intensity measure to characterize the ground motion damage potential. The inelastic spectral displacement is calculated based modal pushover analysis and inelastic spectral displacement based incremental dynamic analysis is developed. Probability seismic demand analysis of a six story and an eleven story RC frame are carried out through cloud analysis and advanced incremental dynamic analysis. The sufficiency and efficiency of inelastic spectral displacement are investigated by means of regression and residual analysis, and compared with elastic spectral displacement. Vulnerability curves are developed based on inelastic spectral displacement. The study shows that inelastic spectral displacement reflects the impact of different frequency components with periods larger than fundamental period on inelastic structural response. The damage potential of ground motion on structures with fundamental period prolonging caused by structural soften can be caught by inelastic spectral displacement. To be compared with elastic spectral displacement, inelastic spectral displacement is a more sufficient and efficient intensity measure, which reduces the uncertainty of vulnerability analysis and the impact of input ground motion selection on vulnerability analysis result.

Keywords: vulnerability, probability seismic demand analysis, ground motion intensity measure, sufficiency, efficiency, inelastic time history analysis

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Authors: Adolfo Martucci, Iulian Mihai

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By means of the expansion through a Conical Nozzle and the low pressure inside the Test Chamber, a large hypersonic stable flow takes place for a duration of up to 30 minutes. Downstream the Test Chamber, the diffuser has the function of reducing the flow velocity to subsonic values, and as a consequence, the temperature increases again. In order to cool down the flow, a heat exchanger is present at the end of the diffuser. The Vacuum System generates the necessary vacuum conditions for the correct hypersonic flow generation, and the DeNOx system, which follows the Vacuum System, reduces the nitrogen oxide concentrations created inside the plasma flow behind the limits imposed by Italian law. This very large, powerful, and complex facility allows researchers and engineers to reproduce entire re-entry trajectories of space vehicles into the atmosphere. One of the most important parameters for a hypersonic flowfield representative of re-entry conditions is the specific total enthalpy. This is the whole energy content of the fluid, and it represents how severe could be the conditions around a spacecraft re-entering from a space mission or, in our case, inside a hypersonic wind tunnel. It is possible to reach very high values of enthalpy (up to 45 MJ/kg) that, together with the large allowable size of the models, represent huge possibilities for making on-ground experiments regarding the atmospheric re-entry field. The maximum nozzle exit section diameter is 1950 mm, where values of Mach number very much higher than 1 can be reached. The specific total enthalpy is evaluated by means of a number of measurements, each of them concurring with its value and its uncertainty. The scope of the present paper is the evaluation of the sensibility of the uncertainty of the specific total enthalpy versus all the parameters and measurements involved. The sensors that, if improved, could give the highest advantages have so been individuated. Several simulations in Python with the METAS library and by means of Monte Carlo simulations are presented together with the obtained results and discussions about them.

Keywords: hypersonic, uncertainty, enthalpy, simulations

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Authors: Abdelli Soulaima, Belhadj Besma

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The paper examines the choice of the central bank toward the movements of the nominal exchange rate and evaluates its effects on the volatility of the output growth and the inflation. The novel hybrid method of the dynamic stochastic general equilibrium called the DSGE-VAR is proposed for analyzing this policy experiment in a small scale open economy in particular Tunisia. The contribution is provided to the empirical literature as we apply the Tunisian data with this model, which is rarely used in this context. Note additionally that the issue of treating the degree of response of the central bank to the exchange rate in Tunisia is special. To ameliorate the estimation, the Bayesian technique is carried out for the sample 1980:q1 to 2011 q4. Our results reveal that the central bank should not react or softly react to the exchange rate. The variance decomposition displayed that the overall inflation volatility is more pronounced with the fixed exchange rate regime for most of the shocks except for the productivity and the interest rate. The output volatility is also higher with this regime with the majority of the shocks exempting the foreign interest rate and the interest rate shocks.

Keywords: DSGE-VAR modeling, exchange rate, monetary policy, Bayesian estimation

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Authors: Arcady Ponosov., Ramazan Kadiev

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The work studies the global moment stability of solutions of systems of nonlinear differential Itô equations with delays. A modified regularization method (W-method) for the analysis of various types of stability of such systems, based on the choice of the auxiliaryequations and applications of the theory of positive invertible matrices, is proposed and justified. Development of this method for deterministic functional differential equations is due to N.V. Azbelev and his students. Sufficient conditions for the moment stability of solutions in terms of the coefficients for sufficiently general as well as specific classes of Itô equations are given.

Keywords: asymptotic stability, delay equations, operator methods, stochastic noise

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Authors: Epaminondas G. Kyriakidis, Theodosis D. Dimitrakos, Constantinos C. Karamatsoukis

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The vehicle routing problem (VRP) is a well-known problem in Operations Research and has been widely studied during the last fifty-five years. The context of the VRP is that of delivering or collecting products to or from customers who are scattered in a geographical area and have placed orders for these products. A vehicle or a fleet of vehicles start their routes from a depot and visit the customers in order to satisfy their demands. Special attention has been given to the capacitated VRP in which the vehicles have limited carrying capacity for the goods that are delivered or collected. In the present work, we present a specific capacitated stochastic vehicle routing problem which has many realistic applications. We develop and analyze a mathematical model for a specific vehicle routing problem in which a vehicle starts its route from a depot and visits N customers according to a particular sequence in order to collect from them two similar but not identical products. We name these products, product 1 and product 2. Each customer possesses items either of product 1 or product 2 with known probabilities. The number of the items of product 1 or product 2 that each customer possesses is a discrete random variable with known distribution. The actual quantity and the actual type of product that each customer possesses are revealed only when the vehicle arrives at the customer’s site. It is assumed that the vehicle has two compartments. We name these compartments, compartment 1 and compartment 2. It is assumed that compartment 1 is suitable for loading product 1 and compartment 2 is suitable for loading product 2. However, it is permitted to load items of product 1 into compartment 2 and items of product 2 into compartment 1. These actions cause costs that are due to extra labor. The vehicle is allowed during its route to return to the depot to unload the items of both products. The travel costs between consecutive customers and the travel costs between the customers and the depot are known. The objective is to find the optimal routing strategy, i.e. the routing strategy that minimizes the total expected cost among all possible strategies for servicing all customers. It is possible to develop a suitable dynamic programming algorithm for the determination of the optimal routing strategy. It is also possible to prove that the optimal routing strategy has a specific threshold-type strategy. Specifically, it is shown that for each customer the optimal actions are characterized by some critical integers. This structural result enables us to design a special-purpose dynamic programming algorithm that operates only over these strategies having this structural property. Extensive numerical results provide strong evidence that the special-purpose dynamic programming algorithm is considerably more efficient than the initial dynamic programming algorithm. Furthermore, if we consider the same problem without the assumption that the customers are ordered, numerical experiments indicate that the optimal routing strategy can be computed if N is smaller or equal to eight.

Keywords: dynamic programming, similar products, stochastic demands, stochastic preferences, vehicle routing problem

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Authors: Merve Uzuner Sahin, Kumru D. Atalay, Berna Dengiz

Abstract:

In today’s competitive market, there are many alternative products that can be used in similar manner and purpose. Therefore, the utility of the product is an important issue for the preferability of the brand. This utility could be measured in terms of its functionality, durability, reliability. These all are affected by the system capabilities. Reliability is an important system design criteria for the manufacturers to be able to have high availability. Availability is the probability that a system (or a component) is operating properly to its function at a specific point in time or a specific period of times. System availability provides valuable input to estimate the production rate for the company to realize the production plan. When considering only the corrective maintenance downtime of the system, mean time between failure (MTBF) and mean time to repair (MTTR) are used to obtain system availability. Also, the MTBF and MTTR values are important measures to improve system performance by adopting suitable maintenance strategies for reliability engineers and practitioners working in a system. Failure and repair time probability distributions of each component in the system should be known for the conventional availability analysis. However, generally, companies do not have statistics or quality control departments to store such a large amount of data. Real events or situations are defined deterministically instead of using stochastic data for the complete description of real systems. A fuzzy set is an alternative theory which is used to analyze the uncertainty and vagueness in real systems. The aim of this study is to present a novel approach to compute system availability using representation of MTBF and MTTR in fuzzy numbers. Based on the experience in the system, it is decided to choose 3 different spread of MTBF and MTTR such as 15%, 20% and 25% to obtain lower and upper limits of the fuzzy numbers. To the best of our knowledge, the proposed method is the first application that is used fuzzy MTBF and fuzzy MTTR for fuzzy system availability estimation. This method is easy to apply in any repairable production system by practitioners working in industry. It is provided that the reliability engineers/managers/practitioners could analyze the system performance in a more consistent and logical manner based on fuzzy availability. This paper presents a real case study of a repairable multi-stage production line in lead-acid battery production factory in Turkey. The following is focusing on the considered wet-charging battery process which has a higher production level than the other types of battery. In this system, system components could exist only in two states, working or failed, and it is assumed that when a component in the system fails, it becomes as good as new after repair. Instead of classical methods, using fuzzy set theory and obtaining intervals for these measures would be very useful for system managers, practitioners to analyze system qualifications to find better results for their working conditions. Thus, much more detailed information about system characteristics is obtained.

Keywords: availability analysis, battery production system, fuzzy sets, triangular fuzzy numbers (TFNs)

Procedia PDF Downloads 222

Authors: Fabrizio Ascione, Martina Borrelli, Rosa Francesca De Masi, Silvia Ruggiero, Giuseppe Peter Vanoli

Abstract:

The refurbishment of public buildings is one of the key factors of energy efficiency policy of European States. Educational buildings account for the largest share of the oldest edifice with interesting potentialities for demonstrating best practice with regards to high performance and low and zero-carbon design and for becoming exemplar cases within the community. In this context, this paper discusses the critical issue of dealing the energy refurbishment of a university building in heating dominated climate of South Italy. More in detail, the importance of using validated models will be examined exhaustively by proposing an analysis on uncertainties due to modelling assumptions mainly referring to the adoption of stochastic schedules for occupant behavior and equipment or lighting usage. Indeed, today, the great part of commercial tools provides to designers a library of possible schedules with which thermal zones can be described. Very often, the users do not pay close attention to diversify thermal zones and to modify or to adapt predefined profiles, and results of designing are affected positively or negatively without any alarm about it. Data such as occupancy schedules, internal loads and the interaction between people and windows or plant systems, represent some of the largest variables during the energy modelling and to understand calibration results. This is mainly due to the adoption of discrete standardized and conventional schedules with important consequences on the prevision of the energy consumptions. The problem is surely difficult to examine and to solve. In this paper, a sensitivity analysis is presented, to understand what is the order of magnitude of error that is committed by varying the deterministic schedules used for occupation, internal load, and lighting system. This could be a typical uncertainty for a case study as the presented one where there is not a regulation system for the HVAC system thus the occupant cannot interact with it. More in detail, starting from adopted schedules, created according to questioner’ s responses and that has allowed a good calibration of energy simulation model, several different scenarios are tested. Two type of analysis are presented: the reference building is compared with these scenarios in term of percentage difference on the projected total electric energy need and natural gas request. Then the different entries of consumption are analyzed and for more interesting cases also the comparison between calibration indexes. Moreover, for the optimal refurbishment solution, the same simulations are done. The variation on the provision of energy saving and global cost reduction is evidenced. This parametric study wants to underline the effect on performance indexes evaluation of the modelling assumptions during the description of thermal zones.

Keywords: energy simulation, modelling calibration, occupant behavior, university building

Procedia PDF Downloads 135

Authors: Krzysztof Pomorski

Abstract:

In the given work we present universal mathematical framework for modeling of cattle farm system that can set and validate various hypothesis that can be tested against experimental data. The presented work is preliminary but it is expected to be valid tool for future deeper analysis that can result in new class of prediction methods allowing early detection of cow dieseaes as well as cow performance. Therefore the presented work shall have its meaning in agriculture models and in machine learning as well. It also opens the possibilities for incorporation of certain class of biological models necessary in modeling of cow behavior and farm performance that might include the impact of environment on the farm system. Particular attention is paid to the model of coupled oscillators that it the basic building hypothesis that can construct the model showing certain periodic or quasiperiodic behavior.

Keywords: coupled ordinary differential equations, cattle farm system, numerical methods, stochastic differential equations

Procedia PDF Downloads 142