Search results for: bar model method

Authors: Anas H. Aljemely, Jianping Xuan

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Rolling bearing fault diagnosis plays a pivotal issue in the rotating machinery of modern manufacturing. In this research, a raw vibration signal and improved deep learning method for bearing fault diagnosis are proposed. The multi-dimensional scales of raw vibration signals are selected for evaluation condition monitoring system, and the deep learning process has shown its effectiveness in fault diagnosis. In the proposed method, employing an Exponential linear unit (ELU) layer in a convolutional neural network (CNN) that conducts the identical function on positive data, an exponential nonlinearity on negative inputs, and a particular convolutional operation to extract valuable features. The identification results show the improved method has achieved the highest accuracy with a 100-dimensional scale and increase the training and testing speed.

Keywords: bearing fault prognostics, developed CNN model, multiple-scale evaluation, deep learning features

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Authors: M. A. Alavianmehr, A. Tashk, A. Sodagaran

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Modeling background and moving objects are significant techniques for video surveillance and other video processing applications. This paper presents a foreground detection algorithm that is robust against illumination changes and noise based on adaptive mixture Gaussian model (GMM), and provides a novel and practical choice for intelligent video surveillance systems using static cameras. In the previous methods, the image of still objects (background image) is not significant. On the contrary, this method is based on forming a meticulous background image and exploiting it for separating moving objects from their background. The background image is specified either manually, by taking an image without vehicles, or is detected in real-time by forming a mathematical or exponential average of successive images. The proposed scheme can offer low image degradation. The simulation results demonstrate high degree of performance for the proposed method.

Keywords: image processing, background models, video surveillance, foreground detection, Gaussian mixture model

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

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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: Mouna Zitouni, Mariem Tounsi

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This research introduces an application of the Riesz mixture model for medical image segmentation for accurate diagnosis and treatment of brain tumors. We propose a pixel classification technique based on the Riesz distribution, derived from an extended Bartlett decomposition. To our knowledge, this is the first study addressing this approach. The Expectation-Maximization algorithm is implemented for parameter estimation. A comparative analysis, using both synthetic and real brain images, demonstrates the superiority of the Riesz model over a recent method based on the Wishart distribution.

Keywords: EM algorithm, segmentation, Riesz probability distribution, Wishart probability distribution

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Authors: Mohanad Alhabo, Li Zhang, Naveed Nawaz

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Small cell deployment in 5G networks is a promising technology to enhance capacity and coverage. However, unplanned deployment may cause high interference levels and high number of unnecessary handovers, which in turn will result in an increase in the signalling overhead. To guarantee service continuity, minimize unnecessary handovers, and reduce signalling overhead in heterogeneous networks, it is essential to properly model the handover decision problem. In this paper, we model the handover decision according to Multiple Attribute Decision Making (MADM) method, specifically Technique for Order Preference by Similarity to an Ideal Solution (TOPSIS). In this paper, we propose a hybrid TOPSIS method to control the handover in heterogeneous network. The proposed method adopts a hybrid weighting, which is a combination of entropy and standard deviation. A hybrid weighting control parameter is introduced to balance the impact of the standard deviation and entropy weighting on the network selection process and the overall performance. Our proposed method shows better performance, in terms of the number of frequent handovers and the mean user throughput, compared to the existing methods.

Keywords: handover, HetNets, interference, MADM, small cells, TOPSIS, weight

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Authors: M. J. Uddin, M. M. Rahman

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The unsteady convective heat transfer flow of nanofluids in a half circular-annulus shape enclosure using nonhomogeneous dynamic model has been investigated numerically. The round upper wall of the enclosure is maintained at constant low temperature whereas the bottom wall is heated by three different thermal conditions. The enclosure is permeated by a uniform magnetic field having variable orientation. The Brownian motion and thermophoretic phenomena of the nanoparticles are taken into account in model construction. The governing nonlinear momentum, energy, and concentration equations are solved numerically using Galerkin weighted residual finite element method. To discover the best performer, the average Nusselt number is demonstrated for different types of nanofluids. The heat transfer rate for different flow parameters, positions of the annulus, thicknesses of the half circular-annulus and thermal conditions is also exhibited.

Keywords: nanofluid, convection, semicircular-annulus, nonhomogeneous dynamic model, finite element method

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Authors: Zina Benouaret, Djamil Aissani

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In this work, we introduce the qualitative and quantitative concept of the strong stability method in the risk process modeling two lines of business of the same insurance company or an insurance and re-insurance companies that divide between them both claims and premiums with a certain proportion. The approach proposed is based on the identification of the ruin probability associate to the model considered, with a stationary distribution of a Markov random process called a reversed process. Our objective, after clarifying the condition and the perturbation domain of parameters, is to obtain the stability inequality of the ruin probability which is applied to estimate the approximation error of a model with disturbance parameters by the considered model. In the stability bound obtained, all constants are explicitly written.

Keywords: Markov chain, risk models, ruin probabilities, strong stability analysis

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Authors: Tomoaki Hashimoto

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Recent technological advance has prompted significant interest in developing the control theory of quantum systems. Following the increasing interest in the control of quantum dynamics, this paper examines the control problem of Schrödinger equation because quantum dynamics is basically governed by Schrödinger equation. From the practical point of view, stochastic disturbances cannot be avoided in the implementation of control method for quantum systems. Thus, we consider here the robust stabilization problem of Schrödinger equation against stochastic disturbances. In this paper, we adopt model predictive control method in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. The objective of this study is to derive the stability criterion for model predictive control of Schrödinger equation under stochastic disturbances.

Keywords: optimal control, stochastic systems, quantum systems, stabilization

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Authors: Li Chen, Alex Skvortsov, Chris Norwood

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Gas releasing into water can be found in for many industrial situations. This process results in the formation of bubbles and acoustic emission which depends upon the bubble characteristics. If the bubble creation rates (bubble volume flow rate) are of interest, an inverse method has to be used based on the measurement of acoustic emission. However, there will be sound attenuation through the bubbly plume which will influence the measurement and should be taken into consideration in the model. The sound transmission through the bubbly plume depends on the characteristics of the bubbly plume, such as the shape and the bubble distributions. In this study, the bubbly plume shape is modelled using a self-similarity model, which has been normally applied for a single phase buoyant plume. The prediction is compared with the experimental data. It has been found the model can be applied to a buoyant plume of gas-liquid mixture. The influence of the gas flow rate and discharge nozzle size is studied.

Keywords: bubbly plume, buoyant plume, bubble acoustics, self-similarity model

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Authors: Diego De Castro Rodrigues, Marcelo Lisboa Rocha, Daniela M. De Q. Trevisan, Marcos Dias Da Conceicao, Gabriel Rosa, Rommel M. Barbosa

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The use of association rules algorithms within data mining is recognized as being of great value in the knowledge discovery in databases. Very often, the number of rules generated is high, sometimes even in databases with small volume, so the success in the analysis of results can be hampered by this quantity. The purpose of this research is to present a method for reducing the quantity of rules generated with association algorithms. Therefore, a computational algorithm was developed with the use of a Weka Application Programming Interface, which allows the execution of the method on different types of databases. After the development, tests were carried out on three types of databases: synthetic, model, and real. Efficient results were obtained in reducing the number of rules, where the worst case presented a gain of more than 50%, considering the concepts of support, confidence, and lift as measures. This study concluded that the proposed model is feasible and quite interesting, contributing to the analysis of the results of association rules generated from the use of algorithms.

Keywords: data mining, association rules, rules reduction, artificial intelligence

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Authors: Damous Mohamed, Zeroudi Nasredine

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High-speed milling of thin-walled parts with complex curvilinear profiles often encounters machining instability, commonly referred to as chatter. This phenomenon arises due to the dynamic interaction between the cutting tool and the part, exacerbated by the part's low rigidity and varying dynamic characteristics along the tool path. This research presents a dynamic model specifically developed to predict machining stability for such curved thin-walled components. The model employs the semi-discretization method, segmenting the tool trajectory into small, straight elements to locally approximate the behavior of an inclined plane. Dynamic characteristics for each segment are extracted through experimental modal analysis and incorporated into the simulation model to generate global stability lobe diagrams. Validation of the model is conducted through cutting tests where acoustic intensity is measured to detect instabilities. The experimental data align closely with the predicted stability limits, confirming the model's accuracy and effectiveness. This work provides a comprehensive approach to enhancing machining stability predictions, thereby improving the efficiency and quality of high-speed milling operations for thin-walled parts.

Keywords: chatter, curved thin-walled part, semi-discretization method, stability lobe diagrams

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Authors: Mohammad Reza Dahmardeh Ghaleno, Mohammad Nohtani, Saeedeh Khaledi

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Hydrological models are applied to simulation and prediction floods in watersheds. WetSpa is a distributed, continuous and physically model with daily or hourly time step that explains of precipitation, runoff and evapotranspiration processes for both simple and complex contexts. This model uses a modified rational method for runoff calculation. In this model, runoff is routed along the flow path using Diffusion-Wave Equation which depend on the slope, velocity and flow route characteristics. Garmabrood watershed located in Mazandaran province in Iran and passing over coordinates 53° 10´ 55" to 53° 38´ 20" E and 36° 06´ 45" to 36° 25´ 30"N. The area of the catchment is about 1133 km2 and elevations in the catchment range from 213 to 3136 m at the outlet, with average slope of 25.77 %. Results of the simulations show a good agreement between calculated and measured hydrographs at the outlet of the basin. Drawing upon Nash-Sutcliffe Model Efficiency Coefficient for calibration periodic model estimated daily hydrographs and maximum flow rate with an accuracy up to 61% and 83.17 % respectively.

Keywords: watershed simulation, WetSpa, runoff, flood prediction

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Authors: Ozden Saygili, Eser Cakti

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The masonry building stock in Istanbul and in other cities of Turkey are exposed to significant earthquake hazard. Determination of the safety of masonry structures against earthquakes is a complex challenge. This study deals with experimental tests and non-linear dynamic analysis of masonry structures modeled through discrete element method. The 1:10 scale model of Mustafa Paşa Mosque was constructed and the data were obtained from the sensors on it during its testing on the shake table. The results were used in the calibration/validation of the numerical model created on the basis of the 1:10 scale model built for shake table testing. 3D distinct element model was developed that represents the linear and nonlinear behavior of the shake table model as closely as possible during experimental tests. Results of numerical analyses with those from the experimental program were compared and discussed.

Keywords: dynamic analysis, non-linear modeling, shake table tests, masonry

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Authors: Mohanad Al-Behadili, Djamila Ouelhadj

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In this paper, a specific type of vehicle routing problem under stochastic demand (SVRP) is considered. This problem is of great importance because it models for many of the real world vehicle routing applications. This paper used a robust optimisation model to solve the problem along with the novel Simulation-Particle Swarm Optimisation (Sim-PSO) approach. The proposed Sim-PSO approach is based on the hybridization of the Monte Carlo simulation technique with the PSO algorithm. A comparative study between the proposed model and the Sim-PSO approach against other solution methods in the literature has been given in this paper. This comparison including the Analysis of Variance (ANOVA) to show the ability of the model and solution method in solving the complicated SVRP. The experimental results show that the proposed model and Sim-PSO approach has a significant impact on the obtained solution by providing better quality solutions comparing with well-known algorithms in the literature.

Keywords: stochastic vehicle routing problem, robust optimisation model, Monte Carlo simulation, particle swarm optimisation

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Authors: Lei Chen, Jian Jiao, Tingdi Zhao

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Failures of automotive electric/electronic systems, which are universally considered to be safety-critical and software-intensive, may cause catastrophic accidents. Analysis and verification of failures in these kinds of systems is a big challenge with increasing system complexity. Model-checking is often employed to allow formal verification by ensuring that the system model conforms to specified safety properties. The system-level effects of failures are established, and the effects on system behavior are observed through the formal verification. A hazard analysis technique, called Systems-Theoretic Process Analysis, is capable of identifying design flaws which may cause potential failure hazardous, including software and system design errors and unsafe interactions among multiple system components. This paper provides a concept on how to use model-checking integrated with Systems-Theoretic Process Analysis to perform failure analysis and verification of automotive electric/electronic systems. As a result, safety requirements are optimized, and failure propagation paths are found. Finally, an automotive electric/electronic system case study is used to verify the effectiveness and practicability of the method.

Keywords: failure analysis and verification, model checking, system-theoretic process analysis, automotive electric/electronic system

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Authors: Hyun-Woo Cho

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Continuous monitoring of industrial plants is one of necessary tasks when it comes to ensuring high-quality final products. In terms of monitoring and diagnosis, it is quite critical and important to detect some incipient abnormal events of manufacturing processes in order to improve safety and reliability of operations involved and to reduce related losses. In this work a new multivariate statistical online diagnostic method is presented using a case study. For building some reference models an empirical discriminant model is constructed based on various past operation runs. When a fault is detected on-line, an on-line diagnostic module is initiated. Finally, the status of the current operating conditions is compared with the reference model to make a diagnostic decision. The performance of the presented framework is evaluated using a dataset from complex industrial processes. It has been shown that the proposed diagnostic method outperforms other techniques especially in terms of incipient detection of any faults occurred.

Keywords: data mining, empirical model, on-line diagnostics, process fault, process monitoring

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Authors: Wataru Nakamura, Tomoaki Hashimoto, Liang-Kuang Chen

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This paper provides a state estimation method for automatic control systems of nonlinear vehicle dynamics. A nonlinear tire model is employed to represent the realistic behavior of a vehicle. In general, all the state variables of control systems are not precisedly known, because those variables are observed through output sensors and limited parts of them might be only measurable. Hence, automatic control systems must incorporate some type of state estimation. It is needed to establish a state estimation method for nonlinear vehicle dynamics with restricted measurable state variables. For this purpose, unscented Kalman filter method is applied in this study for estimating the state variables of nonlinear vehicle dynamics. The objective of this paper is to propose a state estimation method using unscented Kalman filter for nonlinear vehicle dynamics. The effectiveness of the proposed method is verified by numerical simulations.

Keywords: state estimation, control systems, observer systems, nonlinear systems

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Authors: Ibrahim Elnour Abdelrahman Eltayeb

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Computational modelling is a method used to investigate joint forces during a movement. It can get high accuracy in the joint forces via subject-specific models. However, the construction of subject-specific models remains time-consuming and expensive. The purpose of this paper was to identify what alterations we can make to generic computational models to get a better estimation of the joint forces. It appraised the impact of these alterations on the accuracy of the estimated joint forces. It found different strategies of alterations: joint model, muscle model, and an optimisation problem. All these alterations affected joint contact force accuracy, so showing the potential for improving the model predictions without involving costly and time-consuming medical images.

Keywords: joint force, joint model, optimisation problem, validation

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Authors: Arezoo Sadrinezhad, Kallol Sett, S. I. Hariharan

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In this paper, a probabilistic framework based on Fokker-Planck-Kolmogorov (FPK) approach has been applied to simulate triaxial cyclic constitutive behavior of uncertain soils. The framework builds upon previous work of the writers, and it has been extended for cyclic probabilistic simulation of triaxial undrained behavior of soils. von Mises elastic-perfectly plastic material model is considered. It is shown that by using probabilistic framework, some of the most important aspects of soil behavior under cyclic loading can be captured even with a simple elastic-perfectly plastic constitutive model.

Keywords: elasto-plasticity, uncertainty, soils, fokker-planck equation, fourier spectral method, finite difference method

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Authors: Aurelija Burinskiene

Abstract:

This paper presents the study for an e-commerce warehouse. The study is aiming to improve order fulfillment activity by identifying the strategy presenting the best performance. A simulation model was proposed to reach the target of this research. This model enables various scenario tests in an e-commerce warehouse, allowing them to find out for the best order fulfillment strategy. By using simulation, model authors investigated customers’ orders representing on-line purchases for one month. Experiments were designed to evaluate various order picking methods applicable to the fulfillment of customers’ orders. The research uses cost components analysis and helps to identify the best possible order picking method improving the overall performance of e-commerce warehouse and fulfillment service to the customers. The results presented show that the application of order batching strategy is the most applicable because it brings distance savings of around 6.7 percentage. This result could be improved by taking an assortment clustering action until 8.34 percentage. So, the recommendations were given to apply the method for future e-commerce warehouse operations.

Keywords: e-commerce, order, fulfilment, strategy, simulation

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Authors: Hamid Rostami, Ali Fallah Yeznabad, Mohammad H. Baziar

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The energy-based method for evaluating seismic soil liquefaction has two main sections. First is the demand energy, which is dissipated energy of earthquake at a site, and second is the capacity energy as a representation of soil resistance against liquefaction hazard. In this study, using a statistical analysis of recorded data by 14 down-hole array sites in California, an empirical equation was developed to estimate the demand energy at sites. Because determination of capacity energy at a site needs to calculate several site calibration factors, which are obtained by experimental tests, in this study the standard penetration test (SPT) N-value was assumed as an alternative to the capacity energy at a site. Based on this assumption, the empirical equation was employed to calculate the demand energy for 193 liquefied and no-liquefied sites and then these amounts were plotted versus the corresponding SPT numbers for all sites. Subsequently, a discrimination analysis was employed to determine the equations of several boundary curves for various liquefaction likelihoods. Finally, a comparison was made between the probabilistic model and the commonly used stress method. As a conclusion, the results clearly showed that energy-based method can be more reliable than conventional stress-based method in evaluation of liquefaction occurrence.

Keywords: energy demand, liquefaction, probabilistic analysis, SPT number

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Authors: Sofia Ayouche, Rachid Ellaia, Rajae Aboulaich

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Today, insurers may use the yield curve as an indicator evaluation of the profit or the performance of their portfolios; therefore, they modeled it by one class of model that has the ability to fit and forecast the future term structure of interest rates. This class of model is the Nelson-Siegel-Svensson model. Unfortunately, many authors have reported a lot of difficulties when they want to calibrate the model because the optimization problem is not convex and has multiple local optima. In this context, we implement a hybrid Particle Swarm optimization and Nelder Mead algorithm in order to minimize by least squares method, the difference between the zero-coupon curve and the NSS curve.

Keywords: optimization, zero-coupon curve, Nelson-Siegel-Svensson, particle swarm optimization, Nelder-Mead algorithm

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Authors: Myungjin Lee, Daegun Han, Jongsung Kim, Soojun Kim, Hung Soo Kim

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Recently, the localized heavy rainfall and typhoons are frequently occurred due to the climate change and the damage is becoming bigger. Therefore, we may need a more accurate prediction of the rainfall and runoff. However, the gauge rainfall has the limited accuracy in space. Radar rainfall is better than gauge rainfall for the explanation of the spatial variability of rainfall but it is mostly underestimated with the uncertainty involved. Therefore, the ensemble of radar rainfall was simulated using error structure to overcome the uncertainty and gauge rainfall. The simulated ensemble was used as the input data of the rainfall-runoff models for obtaining the ensemble of runoff hydrographs. The previous studies discussed about the accuracy of the rainfall-runoff model. Even if the same input data such as rainfall is used for the runoff analysis using the models in the same basin, the models can have different results because of the uncertainty involved in the models. Therefore, we used two models of the SSARR model which is the lumped model, and the Vflo model which is a distributed model and tried to simulate the optimum runoff considering the uncertainty of each rainfall-runoff model. The study basin is located in Han river basin and we obtained one integrated runoff hydrograph which is an optimum runoff hydrograph using the blending methods such as Multi-Model Super Ensemble (MMSE), Simple Model Average (SMA), Mean Square Error (MSE). From this study, we could confirm the accuracy of rainfall and rainfall-runoff model using ensemble scenario and various rainfall-runoff model and we can use this result to study flood control measure due to climate change. Acknowledgements: This work is supported by the Korea Agency for Infrastructure Technology Advancement(KAIA) grant funded by the Ministry of Land, Infrastructure and Transport (Grant 18AWMP-B083066-05).

Keywords: radar rainfall ensemble, rainfall-runoff models, blending method, optimum runoff hydrograph

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Authors: Davoud Maleki, Neda Zamani

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The present study aims at exploring the effective accountability model of Islamic Azad University using a qualitative approach of grounded theory. The data of this study were obtained from semi-structured interviews with 25 professors and scholars in Islamic Azad University of Tehran who were selected by theoretical sampling method. In the data analysis, the stepwise method and Strauss and Corbin analytical methods (1992) were used. After identification of the main component (balanced response to stakeholders’ needs) and using it to bring the categories together, expressions and ideas representing the relationships between the main and subcomponents, and finally, the revealed components were categorized into six dimensions of the paradigm model, with the relationships among them, including causal conditions (7 components), main component (balanced response to stakeholders’ needs), strategies (5 components), environmental conditions (5 components), intervention features (4 components), and consequences (3 components). Research findings show an exploratory model for describing the relationships between causal conditions, main components, accountability strategies, environmental conditions, university environmental features, and that consequences.

Keywords: accountability, effectiveness, Islamic Azad University, grounded theory

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Authors: Xiaoyu Shen, Fang Fang, Chujun Qiu

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Herewith we present a Fourier method for credit risk quantification and allocation in the factor-copula model framework. The key insight is that, compared to directly computing the cumulative distribution function of the portfolio loss via Monte Carlo simulation, it is, in fact, more efficient to calculate the transformation of the distribution function in the Fourier domain instead and inverting back to the real domain can be done in just one step and semi-analytically, thanks to the popular COS method (with some adjustments). We also show that the Euler risk allocation problem can be solved in the same way since it can be transformed into the problem of evaluating a conditional cumulative distribution function. Once the conditional or unconditional cumulative distribution function is known, one can easily calculate various risk metrics. The proposed method not only fills the niche in literature, to the best of our knowledge, of accurate numerical methods for risk allocation but may also serve as a much faster alternative to the Monte Carlo simulation method for risk quantification in general. It can cope with various factor-copula model choices, which we demonstrate via examples of a two-factor Gaussian copula and a two-factor Gaussian-t hybrid copula. The fast error convergence is proved mathematically and then verified by numerical experiments, in which Value-at-Risk, Expected Shortfall, and conditional Expected Shortfall are taken as examples of commonly used risk metrics. The calculation speed and accuracy are tested to be significantly superior to the MC simulation for real-sized portfolios. The computational complexity is, by design, primarily driven by the number of factors instead of the number of obligors, as in the case of Monte Carlo simulation. The limitation of this method lies in the "curse of dimension" that is intrinsic to multi-dimensional numerical integration, which, however, can be relaxed with the help of dimension reduction techniques and/or parallel computing, as we will demonstrate in a separate paper. The potential application of this method has a wide range: from credit derivatives pricing to economic capital calculation of the banking book, default risk charge and incremental risk charge computation of the trading book, and even to other risk types than credit risk.

Keywords: credit portfolio, risk allocation, factor copula model, the COS method, Fourier method

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Authors: B. Touati, A. Saad, B. Lips, A. Abdenbi, M. Mokhtari.

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The purpose of this study is an application of experiment design method for dimensioning of a solar drying system. NIMROD software was used to build up the matrix of experiments and to analyze the results. The software has the advantages of being easy to use and consists of a forced way, with some choices about the number and range of variation of the parameters, and the desired polynomial shape. The first design of experiments performed concern the drying with constant input characteristics of the hot air in the dryer and a second design of experiments in which the drying chamber is coupled with a solar collector. The first design of experiments allows us to study the influence of various parameters and get the studied answers in a polynomial form. The correspondence between the polynomial thus determined, and the model results were good. The results of the polynomials of the second design of experiments and those of the model are worse than the results in the case of drying with constant input conditions. This is due to the strong link between all the input parameters, especially, the surface of the sensor and the drying chamber, and the mass of the product.

Keywords: solar drying, experiment design method, NIMROD, mint leaves

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Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma

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An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.

Keywords: Black-Scholes partial differential equations, Ito process, option price valuation, partial differential equations

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Authors: Elison Eduardo Jardim Bierhals, Claudineia Brazil, Deivid Pires, Rafael Haag, Elton Gimenez Rossini

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This study evaluated the uncertainties involved in the solar radiation projections generated by the Brazilian Earth System Model (BESM) of the Weather and Climate Prediction Center (CPTEC) belonging to Coupled Model Intercomparison Phase 5 (CMIP5), with the aim of identifying efficiency in the projections for solar radiation of said model and in this way establish the viability of its use. Two different scenarios elaborated by Intergovernmental Panel on Climate Change (IPCC) were evaluated: RCP 4.5 (with more optimistic contour conditions) and 8.5 (with more pessimistic initial conditions). The method used to verify the accuracy of the present model was the Nash coefficient and the Statistical bias, as it better represents these atmospheric patterns. The BESM showed a tendency to overestimate the data ​​of solar radiation projections in most regions of the state of Rio Grande do Sul and through the validation methods adopted by this study, BESM did not present a satisfactory accuracy.

Keywords: climate changes, projections, solar radiation, uncertainty

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Authors: Li Qiang, Yang Ze-Ming, Liu Bao-Xu, Jiang Zheng-Wei

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With the increasing complexity of cyberspace security, the cyber-attack attribution has become an important challenge of the security protection systems. The difficult points of cyber-attack attribution were forced on the problems of huge data handling and key data missing. According to this situation, this paper presented a reasoning method of cyber-attack attribution based on threat intelligence. The method utilizes the intrusion kill chain model and Bayesian network to build attack chain and evidence chain of cyber-attack on threat intelligence platform through data calculation, analysis and reasoning. Then, we used a number of cyber-attack events which we have observed and analyzed to test the reasoning method and demo system, the result of testing indicates that the reasoning method can provide certain help in cyber-attack attribution.

Keywords: reasoning, Bayesian networks, cyber-attack attribution, Kill Chain, threat intelligence

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Authors: Yan Lyu, Yiqun Pan, Zhizhong Huang

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In the design stage of a new building, the energy model of this building is often required for the analysis of the performance on energy efficiency. In practice, a certain degree of geometric simplification should be done in the establishment of building energy models, since the detailed geometric features of a real building are hard to be described perfectly in most energy simulation engine, such as ESP-r, eQuest or EnergyPlus. Actually, the detailed description is not necessary when the result with extremely high accuracy is not demanded. Therefore, this paper analyzed the relationship between the error of the simulation result from building energy models and the geometric simplification of the models. Finally, the following two parameters are selected as the indices to characterize the geometric feature of in building energy simulation: the southward projected area and total side surface area of the building, Based on the parameterization method, the simplification from an arbitrary column building to a typical shape (a cuboid) building can be made for energy modeling. The result in this study indicates that this simplification would only lead to the error that is less than 7% for those buildings with the ratio of southward projection length to total perimeter of the bottom of 0.25~0.35, which can cover most situations.

Keywords: building energy model, simulation, geometric simplification, design, regression

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