Search results for: 4/2 stochastic volatility model
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 17106

Search results for: 4/2 stochastic volatility model

16656 A Novel Probablistic Strategy for Modeling Photovoltaic Based Distributed Generators

Authors: Engy A. Mohamed, Y. G. Hegazy

Abstract:

This paper presents a novel algorithm for modeling photovoltaic based distributed generators for the purpose of optimal planning of distribution networks. The proposed algorithm utilizes sequential Monte Carlo method in order to accurately consider the stochastic nature of photovoltaic based distributed generators. The proposed algorithm is implemented in MATLAB environment and the results obtained are presented and discussed.

Keywords: comulative distribution function, distributed generation, Monte Carlo

Procedia PDF Downloads 584
16655 Do European Hedge Fund Managers Time Market Liquidity?

Authors: Soumaya Ben Kheilifa, Dorra Mezzez Hmaied

Abstract:

We propose two approaches to examine whether European hedge fund managers can time market liquidity. Using a sample of 1616 European hedge funds, we find evidence of liquidity timing. More importantly, this ability adds economic value to investors. Thus, it represents valuable managerial skill and a major source of European hedge funds’ performance. Also we show that the majority of these funds demonstrate liquidity timing ability especially during liquidity crisis. Finally, it emerged that our main evidence of liquidity timing remains significant after controlling for market timing and volatility timing.

Keywords: european hedge funds, liquidity timing ability, market liquidity, crisis

Procedia PDF Downloads 392
16654 A Crop Growth Subroutine for Watershed Resources Management (WRM) Model

Authors: Kingsley Nnaemeka Ogbu, Constantine Mbajiorgu

Abstract:

Vegetation has a marked effect on runoff and has become an important component in hydrologic model. The watershed Resources Management (WRM) model, a process-based, continuous, distributed parameter simulation model developed for hydrologic and soil erosion studies at the watershed scale lack a crop growth component. As such, this model assumes a constant parameter values for vegetation and hydraulic parameters throughout the duration of hydrologic simulation. Our approach is to develop a crop growth algorithm based on the original plant growth model used in the Environmental Policy Integrated Climate Model (EPIC) model. This paper describes the development of a single crop growth model which has the capability of simulating all crops using unique parameter values for each crop. Simulated crop growth processes will reflect the vegetative seasonality of the natural watershed system. An existing model was employed for evaluating vegetative resistance by hydraulic and vegetative parameters incorporated into the WRM model. The improved WRM model will have the ability to evaluate the seasonal variation of the vegetative roughness coefficient with depth of flow and further enhance the hydrologic model’s capability for accurate hydrologic studies

Keywords: crop yield, roughness coefficient, PAR, WRM model

Procedia PDF Downloads 409
16653 Numerical Modeling of the Depth-Averaged Flow over a Hill

Authors: Anna Avramenko, Heikki Haario

Abstract:

This paper reports the development and application of a 2D depth-averaged model. The main goal of this contribution is to apply the depth averaged equations to a wind park model in which the treatment of the geometry, introduced on the mathematical model by the mass and momentum source terms. The depth-averaged model will be used in future to find the optimal position of wind turbines in the wind park. K-E and 2D LES turbulence models were consider in this article. 2D CFD simulations for one hill was done to check the depth-averaged model in practise.

Keywords: depth-averaged equations, numerical modeling, CFD, wind park model

Procedia PDF Downloads 603
16652 Some Accuracy Related Aspects in Two-Fluid Hydrodynamic Sub-Grid Modeling of Gas-Solid Riser Flows

Authors: Joseph Mouallem, Seyed Reza Amini Niaki, Norman Chavez-Cussy, Christian Costa Milioli, Fernando Eduardo Milioli

Abstract:

Sub-grid closures for filtered two-fluid models (fTFM) useful in large scale simulations (LSS) of riser flows can be derived from highly resolved simulations (HRS) with microscopic two-fluid modeling (mTFM). Accurate sub-grid closures require accurate mTFM formulations as well as accurate correlation of relevant filtered parameters to suitable independent variables. This article deals with both of those issues. The accuracy of mTFM is touched by assessing the impact of gas sub-grid turbulence over HRS filtered predictions. A gas turbulence alike effect is artificially inserted by means of a stochastic forcing procedure implemented in the physical space over the momentum conservation equation of the gas phase. The correlation issue is touched by introducing a three-filtered variable correlation analysis (three-marker analysis) performed under a variety of different macro-scale conditions typical or risers. While the more elaborated correlation procedure clearly improved accuracy, accounting for gas sub-grid turbulence had no significant impact over predictions.

Keywords: fluidization, gas-particle flow, two-fluid model, sub-grid models, filtered closures

Procedia PDF Downloads 124
16651 UBCSAND Model Calibration for Generic Liquefaction Triggering Curves

Authors: Jui-Ching Chou

Abstract:

Numerical simulation is a popular method used to evaluate the effects of soil liquefaction on a structure or the effectiveness of a mitigation plan. Many constitutive models (UBCSAND model, PM4 model, SANISAND model, etc.) were presented to model the liquefaction phenomenon. In general, inputs of a constitutive model need to be calibrated against the soil cyclic resistance before being applied to the numerical simulation model. Then, simulation results can be compared with results from simplified liquefaction potential assessing methods. In this article, inputs of the UBCSAND model, a simple elastic-plastic stress-strain model, are calibrated against several popular generic liquefaction triggering curves of simplified liquefaction potential assessing methods via FLAC program. Calibrated inputs can provide engineers to perform a preliminary evaluation of an existing structure or a new design project.

Keywords: calibration, liquefaction, numerical simulation, UBCSAND Model

Procedia PDF Downloads 173
16650 A Crop Growth Subroutine for Watershed Resources Management (WRM) Model 1: Description

Authors: Kingsley Nnaemeka Ogbu, Constantine Mbajiorgu

Abstract:

Vegetation has a marked effect on runoff and has become an important component in hydrologic model. The watershed Resources Management (WRM) model, a process-based, continuous, distributed parameter simulation model developed for hydrologic and soil erosion studies at the watershed scale lack a crop growth component. As such, this model assumes a constant parameter values for vegetation and hydraulic parameters throughout the duration of hydrologic simulation. Our approach is to develop a crop growth algorithm based on the original plant growth model used in the Environmental Policy Integrated Climate Model (EPIC) model. This paper describes the development of a single crop growth model which has the capability of simulating all crops using unique parameter values for each crop. Simulated crop growth processes will reflect the vegetative seasonality of the natural watershed system. An existing model was employed for evaluating vegetative resistance by hydraulic and vegetative parameters incorporated into the WRM model. The improved WRM model will have the ability to evaluate the seasonal variation of the vegetative roughness coefficient with depth of flow and further enhance the hydrologic model’s capability for accurate hydrologic studies.

Keywords: runoff, roughness coefficient, PAR, WRM model

Procedia PDF Downloads 378
16649 Stock Market Prediction by Regression Model with Social Moods

Authors: Masahiro Ohmura, Koh Kakusho, Takeshi Okadome

Abstract:

This paper presents a regression model with autocorrelated errors in which the inputs are social moods obtained by analyzing the adjectives in Twitter posts using a document topic model. The regression model predicts Dow Jones Industrial Average (DJIA) more precisely than autoregressive moving-average models.

Keywords: stock market prediction, social moods, regression model, DJIA

Procedia PDF Downloads 548
16648 Structural Equation Modeling Semiparametric Truncated Spline Using Simulation Data

Authors: Adji Achmad Rinaldo Fernandes

Abstract:

SEM analysis is a complex multivariate analysis because it involves a number of exogenous and endogenous variables that are interconnected to form a model. The measurement model is divided into two, namely, the reflective model (reflecting) and the formative model (forming). Before carrying out further tests on SEM, there are assumptions that must be met, namely the linearity assumption, to determine the form of the relationship. There are three modeling approaches to path analysis, including parametric, nonparametric and semiparametric approaches. The aim of this research is to develop semiparametric SEM and obtain the best model. The data used in the research is secondary data as the basis for the process of obtaining simulation data. Simulation data was generated with various sample sizes of 100, 300, and 500. In the semiparametric SEM analysis, the form of the relationship studied was determined, namely linear and quadratic and determined one and two knot points with various levels of error variance (EV=0.5; 1; 5). There are three levels of closeness of relationship for the analysis process in the measurement model consisting of low (0.1-0.3), medium (0.4-0.6) and high (0.7-0.9) levels of closeness. The best model lies in the form of the relationship X1Y1 linear, and. In the measurement model, a characteristic of the reflective model is obtained, namely that the higher the closeness of the relationship, the better the model obtained. The originality of this research is the development of semiparametric SEM, which has not been widely studied by researchers.

Keywords: semiparametric SEM, measurement model, structural model, reflective model, formative model

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16647 Metabolic Predictive Model for PMV Control Based on Deep Learning

Authors: Eunji Choi, Borang Park, Youngjae Choi, Jinwoo Moon

Abstract:

In this study, a predictive model for estimating the metabolism (MET) of human body was developed for the optimal control of indoor thermal environment. Human body images for indoor activities and human body joint coordinated values were collected as data sets, which are used in predictive model. A deep learning algorithm was used in an initial model, and its number of hidden layers and hidden neurons were optimized. Lastly, the model prediction performance was analyzed after the model being trained through collected data. In conclusion, the possibility of MET prediction was confirmed, and the direction of the future study was proposed as developing various data and the predictive model.

Keywords: deep learning, indoor quality, metabolism, predictive model

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16646 Model Averaging in a Multiplicative Heteroscedastic Model

Authors: Alan Wan

Abstract:

In recent years, the body of literature on frequentist model averaging in statistics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this paper, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimisation of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favourable properties compared to some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function misspecification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two real data sets.

Keywords: heteroscedasticity-robust, model averaging, multiplicative heteroscedasticity, plug-in, squared prediction risk

Procedia PDF Downloads 384
16645 Reliability Prediction of Tires Using Linear Mixed-Effects Model

Authors: Myung Hwan Na, Ho- Chun Song, EunHee Hong

Abstract:

We widely use normal linear mixed-effects model to analysis data in repeated measurement. In case of detecting heteroscedasticity and the non-normality of the population distribution at the same time, normal linear mixed-effects model can give improper result of analysis. To achieve more robust estimation, we use heavy tailed linear mixed-effects model which gives more exact and reliable analysis conclusion than standard normal linear mixed-effects model.

Keywords: reliability, tires, field data, linear mixed-effects model

Procedia PDF Downloads 563
16644 Towards a Measurement-Based E-Government Portals Maturity Model

Authors: Abdoullah Fath-Allah, Laila Cheikhi, Rafa E. Al-Qutaish, Ali Idri

Abstract:

The e-government emerging concept transforms the way in which the citizens are dealing with their governments. Thus, the citizens can execute the intended services online anytime and anywhere. This results in great benefits for both the governments (reduces the number of officers) and the citizens (more flexibility and time saving). Therefore, building a maturity model to assess the e-government portals becomes desired to help in the improvement process of such portals. This paper aims at proposing an e-government maturity model based on the measurement of the best practices’ presence. The main benefit of such maturity model is to provide a way to rank an e-government portal based on the used best practices, and also giving a set of recommendations to go to the higher stage in the maturity model.

Keywords: best practices, e-government portal, maturity model, quality model

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16643 CFD Simulation of a Large Scale Unconfined Hydrogen Deflagration

Authors: I. C. Tolias, A. G. Venetsanos, N. Markatos

Abstract:

In the present work, CFD simulations of a large scale open deflagration experiment are performed. Stoichiometric hydrogen-air mixture occupies a 20 m hemisphere. Two combustion models are compared and are evaluated against the experiment. The Eddy Dissipation Model and a Multi-physics combustion model which is based on Yakhot’s equation for the turbulent flame speed. The values of models’ critical parameters are investigated. The effect of the turbulence model is also examined. k-ε model and LES approach were tested.

Keywords: CFD, deflagration, hydrogen, combustion model

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16642 A Framework for Consumer Selection on Travel Destinations

Authors: J. Rhodes, V. Cheng, P. Lok

Abstract:

The aim of this study is to develop a parsimonious model that explains the effect of different stimulus on a tourist’s intention to visit a new destination. The model consists of destination trust and interest as the mediating variables. The model was tested using two different types of stimulus; both studies empirically supported the proposed model. Furthermore, the first study revealed that advertising has a stronger effect than positive online reviews. The second study found that the peripheral route of the elaboration likelihood model has a stronger influence power than the central route in this context.

Keywords: advertising, electronic word-of-mouth, elaboration likelihood model, intention to visit, trust

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16641 A Combined AHP-GP Model for Selecting Knowledge Management Tool

Authors: Ahmad Sarfaraz, Raiyad Herwies

Abstract:

In this paper, a multi-criteria decision making analysis is used to help any organization selects the best KM tool that fits and serves its needs. The AHP model is used based on a previous study to highlight and identify the main criteria and sub-criteria that are incorporated in the selection process. Different KM tools alternatives with different criteria are compared and weighted accurately to be incorporated in the GP model. The main goal is to combine the GP model with the AHP model to ensure that selecting the KM tool considers the resource constraints. Two important issues are discussed in this paper: how different factors could be taken into consideration in forming the AHP model, and how to incorporate the AHP results into the GP model for better results.

Keywords: knowledge management, analytical hierarchy process, goal programming, multi-criteria decision making

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16640 Long Short-Time Memory Neural Networks for Human Driving Behavior Modelling

Authors: Lu Zhao, Nadir Farhi, Yeltsin Valero, Zoi Christoforou, Nadia Haddadou

Abstract:

In this paper, a long short-term memory (LSTM) neural network model is proposed to replicate simultaneously car-following and lane-changing behaviors in road networks. By combining two kinds of LSTM layers and three input designs of the neural network, six variants of the LSTM model have been created. These models were trained and tested on the NGSIM 101 dataset, and the results were evaluated in terms of longitudinal speed and lateral position, respectively. Then, we compared the LSTM model with a classical car-following model (the intelligent driving model (IDM)) in the part of speed decision. In addition, the LSTM model is compared with a model using classical neural networks. After the comparison, the LSTM model demonstrates higher accuracy than the physical model IDM in terms of car-following behavior and displays better performance with regard to both car-following and lane-changing behavior compared to the classical neural network model.

Keywords: traffic modeling, neural networks, LSTM, car-following, lane-change

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16639 Exploring De-Fi through 3 Case Studies: Transparency, Social Impact, and Regulation

Authors: Dhaksha Vivekanandan

Abstract:

DeFi is a network that avoids reliance on financial intermediaries through its peer-to-peer financial network. DeFi operates outside of government control; hence it is important for us to understand its impacts. This study employs a literature review to understand DeFi and its emergence, as well as its implications on transparency, social impact, and regulation. Further, 3 case studies are analysed within the context of these categories. DeFi’s provision of increased transparency poses environmental and storage costs and can lead to user privacy being endangered. DeFi allows for the provision of entrepreneurial incentives and protection against monetary censorship and capital control. Despite DeFi's transparency issues and volatility costs, it has huge potential to reduce poverty; however, regulation surrounding DeFi still requires further tightening by governments.

Keywords: DeFi, transparency, regulation, social impact

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16638 AgriFood Model in Ankara Regional Innovation Strategy

Authors: Coskun Serefoglu

Abstract:

The study aims to analyse how a traditional sector such as agri-food could be mobilized through regional innovation strategies. A principal component analysis as well as qualitative information, such as in-depth interviews, focus group and surveys, were employed to find the priority sectors. An agri-food model was developed which includes both a linear model and interactive model. The model consists of two main components, one of which is technological integration and the other one is agricultural extension which is based on Land-grant university approach of U.S. which is not a common practice in Turkey.

Keywords: regional innovation strategy, interactive model, agri-food sector, local development, planning, regional development

Procedia PDF Downloads 149
16637 Stability Analysis of SEIR Epidemic Model with Treatment Function

Authors: Sasiporn Rattanasupha, Settapat Chinviriyasit

Abstract:

The treatment function adopts a continuous and differentiable function which can describe the effect of delayed treatment when the number of infected individuals increases and the medical condition is limited. In this paper, the SEIR epidemic model with treatment function is studied to investigate the dynamics of the model due to the effect of treatment. It is assumed that the treatment rate is proportional to the number of infective patients. The stability of the model is analyzed. The model is simulated to illustrate the analytical results and to investigate the effects of treatment on the spread of infection.

Keywords: basic reproduction number, local stability, SEIR epidemic model, treatment function

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16636 Design of Lead-Lag Based Internal Model Controller for Binary Distillation Column

Authors: Rakesh Kumar Mishra, Tarun Kumar Dan

Abstract:

Lead-Lag based Internal Model Control method is proposed based on Internal Model Control (IMC) strategy. In this paper, we have designed the Lead-Lag based Internal Model Control for binary distillation column for SISO process (considering only bottom product). The transfer function has been taken from Wood and Berry model. We have find the composition control and disturbance rejection using Lead-Lag based IMC and comparing with the response of simple Internal Model Controller.

Keywords: SISO, lead-lag, internal model control, wood and berry, distillation column

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16635 Explicit Numerical Approximations for a Pricing Weather Derivatives Model

Authors: Clarinda V. Nhangumbe, Ercília Sousa

Abstract:

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

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

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16634 Improving the Efficiency of a High Pressure Turbine by Using Non-Axisymmetric Endwall: A Comparison of Two Optimization Algorithms

Authors: Abdul Rehman, Bo Liu

Abstract:

Axial flow turbines are commonly designed with high loads that generate strong secondary flows and result in high secondary losses. These losses contribute to almost 30% to 50% of the total losses. Non-axisymmetric endwall profiling is one of the passive control technique to reduce the secondary flow loss. In this paper, the non-axisymmetric endwall profile construction and optimization for the stator endwalls are presented to improve the efficiency of a high pressure turbine. The commercial code NUMECA Fine/ Design3D coupled with Fine/Turbo was used for the numerical investigation, design of experiments and the optimization. All the flow simulations were conducted by using steady RANS and Spalart-Allmaras as a turbulence model. The non-axisymmetric endwalls of stator hub and shroud were created by using the perturbation law based on Bezier Curves. Each cut having multiple control points was supposed to be created along the virtual streamlines in the blade channel. For the design of experiments, each sample was arbitrarily generated based on values automatically chosen for the control points defined during parameterization. The Optimization was achieved by using two algorithms i.e. the stochastic algorithm and gradient-based algorithm. For the stochastic algorithm, a genetic algorithm based on the artificial neural network was used as an optimization method in order to achieve the global optimum. The evaluation of the successive design iterations was performed using artificial neural network prior to the flow solver. For the second case, the conjugate gradient algorithm with a three dimensional CFD flow solver was used to systematically vary a free-form parameterization of the endwall. This method is efficient and less time to consume as it requires derivative information of the objective function. The objective function was to maximize the isentropic efficiency of the turbine by keeping the mass flow rate as constant. The performance was quantified by using a multi-objective function. Other than these two classifications of the optimization methods, there were four optimizations cases i.e. the hub only, the shroud only, and the combination of hub and shroud. For the fourth case, the shroud endwall was optimized by using the optimized hub endwall geometry. The hub optimization resulted in an increase in the efficiency due to more homogenous inlet conditions for the rotor. The adverse pressure gradient was reduced but the total pressure loss in the vicinity of the hub was increased. The shroud optimization resulted in an increase in efficiency, total pressure loss and entropy were reduced. The combination of hub and shroud did not show overwhelming results which were achieved for the individual cases of the hub and the shroud. This may be caused by fact that there were too many control variables. The fourth case of optimization showed the best result because optimized hub was used as an initial geometry to optimize the shroud. The efficiency was increased more than the individual cases of optimization with a mass flow rate equal to the baseline design of the turbine. The results of artificial neural network and conjugate gradient method were compared.

Keywords: artificial neural network, axial turbine, conjugate gradient method, non-axisymmetric endwall, optimization

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16633 A New Mathematical Model of Human Olfaction

Authors: H. Namazi, H. T. N. Kuan

Abstract:

It is known that in humans, the adaptation to a given odor occurs within a quite short span of time (typically one minute) after the odor is presented to the brain. Different models of human olfaction have been developed by scientists but none of these models consider the diffusion phenomenon in olfaction. A novel microscopic model of the human olfaction is presented in this paper. We develop this model by incorporating the transient diffusivity. In fact, the mathematical model is written based on diffusion of the odorant within the mucus layer. By the use of the model developed in this paper, it becomes possible to provide quantification of the objective strength of odor.

Keywords: diffusion, microscopic model, mucus layer, olfaction

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16632 An Output Oriented Super-Efficiency Model for Considering Time Lag Effect

Authors: Yanshuang Zhang, Byungho Jeong

Abstract:

There exists some time lag between the consumption of inputs and the production of outputs. This time lag effect should be considered in calculating efficiency of decision making units (DMU). Recently, a couple of DEA models were developed for considering time lag effect in efficiency evaluation of research activities. However, these models can’t discriminate efficient DMUs because of the nature of basic DEA model in which efficiency scores are limited to ‘1’. This problem can be resolved a super-efficiency model. However, a super efficiency model sometimes causes infeasibility problem. This paper suggests an output oriented super-efficiency model for efficiency evaluation under the consideration of time lag effect. A case example using a long term research project is given to compare the suggested model with the MpO model

Keywords: DEA, Super-efficiency, Time Lag, research activities

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16631 Consideration of Uncertainty in Engineering

Authors: A. Mohammadi, M. Moghimi, S. Mohammadi

Abstract:

Engineers need computational methods which could provide solutions less sensitive to the environmental effects, so the techniques should be used which take the uncertainty to account to control and minimize the risk associated with design and operation. In order to consider uncertainty in engineering problem, the optimization problem should be solved for a suitable range of the each uncertain input variable instead of just one estimated point. Using deterministic optimization problem, a large computational burden is required to consider every possible and probable combination of uncertain input variables. Several methods have been reported in the literature to deal with problems under uncertainty. In this paper, different methods presented and analyzed.

Keywords: uncertainty, Monte Carlo simulated, stochastic programming, scenario method

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16630 Validation of the Formal Model of Web Services Applications for Digital Reference Service of Library Information System

Authors: Zainab Magaji Musa, Nordin M. A. Rahman, Julaily Aida Jusoh

Abstract:

The web services applications for digital reference service (WSDRS) of LIS model is an informal model that claims to reduce the problems of digital reference services in libraries. It uses web services technology to provide efficient way of satisfying users’ needs in the reference section of libraries. The formal WSDRS model consists of the Z specifications of all the informal specifications of the model. This paper discusses the formal validation of the Z specifications of WSDRS model. The authors formally verify and thus validate the properties of the model using Z/EVES theorem prover.

Keywords: validation, verification, formal, theorem prover

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16629 Linear MIMO Model Identification Using an Extended Kalman Filter

Authors: Matthew C. Best

Abstract:

Linear Multi-Input Multi-Output (MIMO) dynamic models can be identified, with no a priori knowledge of model structure or order, using a new Generalised Identifying Filter (GIF). Based on an Extended Kalman Filter, the new filter identifies the model iteratively, in a continuous modal canonical form, using only input and output time histories. The filter’s self-propagating state error covariance matrix allows easy determination of convergence and conditioning, and by progressively increasing model order, the best fitting reduced-order model can be identified. The method is shown to be resistant to noise and can easily be extended to identification of smoothly nonlinear systems.

Keywords: system identification, Kalman filter, linear model, MIMO, model order reduction

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16628 Risk Assessment of Flood Defences by Utilising Condition Grade Based Probabilistic Approach

Authors: M. Bahari Mehrabani, Hua-Peng Chen

Abstract:

Management and maintenance of coastal defence structures during the expected life cycle have become a real challenge for decision makers and engineers. Accurate evaluation of the current condition and future performance of flood defence structures is essential for effective practical maintenance strategies on the basis of available field inspection data. Moreover, as coastal defence structures age, it becomes more challenging to implement maintenance and management plans to avoid structural failure. Therefore, condition inspection data are essential for assessing damage and forecasting deterioration of ageing flood defence structures in order to keep the structures in an acceptable condition. The inspection data for flood defence structures are often collected using discrete visual condition rating schemes. In order to evaluate future condition of the structure, a probabilistic deterioration model needs to be utilised. However, existing deterioration models may not provide a reliable prediction of performance deterioration for a long period due to uncertainties. To tackle the limitation, a time-dependent condition-based model associated with a transition probability needs to be developed on the basis of condition grade scheme for flood defences. This paper presents a probabilistic method for predicting future performance deterioration of coastal flood defence structures based on condition grading inspection data and deterioration curves estimated by expert judgement. In condition-based deterioration modelling, the main task is to estimate transition probability matrices. The deterioration process of the structure related to the transition states is modelled according to Markov chain process, and a reliability-based approach is used to estimate the probability of structural failure. Visual inspection data according to the United Kingdom Condition Assessment Manual are used to obtain the initial condition grade curve of the coastal flood defences. The initial curves then modified in order to develop transition probabilities through non-linear regression based optimisation algorithms. The Monte Carlo simulations are then used to evaluate the future performance of the structure on the basis of the estimated transition probabilities. Finally, a case study is given to demonstrate the applicability of the proposed method under no-maintenance and medium-maintenance scenarios. Results show that the proposed method can provide an effective predictive model for various situations in terms of available condition grading data. The proposed model also provides useful information on time-dependent probability of failure in coastal flood defences.

Keywords: condition grading, flood defense, performance assessment, stochastic deterioration modelling

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16627 Towards Efficient Reasoning about Families of Class Diagrams Using Union Models

Authors: Tejush Badal, Sanaa Alwidian

Abstract:

Class diagrams are useful tools within the Unified Modelling Language (UML) to model and visualize the relationships between, and properties of objects within a system. As a system evolves over time and space (e.g., products), a series of models with several commonalities and variabilities create what is known as a model family. In circumstances where there are several versions of a model, examining each model individually, becomes expensive in terms of computation resources. To avoid performing redundant operations, this paper proposes an approach for representing a family of class diagrams into Union Models to represent model families using a single generic model. The paper aims to analyze and reason about a family of class diagrams using union models as opposed to individual analysis of each member model in the family. The union algorithm provides a holistic view of the model family, where the latter cannot be otherwise obtained from an individual analysis approach, this in turn, enhances the analysis performed in terms of speeding up the time needed to analyze a family of models together as opposed to analyzing individual models, one model at a time.

Keywords: analysis, class diagram, model family, unified modeling language, union model

Procedia PDF Downloads 74