Search results for: stochastic perturbation

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

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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

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Authors: E. R. Swart, S. J. Gismondi, N. R. Swart, C. E. Bell

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We present an heuristic algorithm that decides graph non-Hamiltonicity. All graphs are directed, each undirected edge regarded as a pair of counter directed arcs. Each of the n! Hamilton cycles in a complete graph on n+1 vertices is mapped to an n-permutation matrix P where p(u,i)=1 if and only if the ith arc in a cycle enters vertex u, starting and ending at vertex n+1. We first create exclusion set E by noting all arcs (u, v) not in G, sufficient to code precisely all cycles excluded from G i.e. cycles not in G use at least one arc not in G. Members are pairs of components of P, {p(u,i),p(v,i+1)}, i=1, n-1. A doubly stochastic-like relaxed LP formulation of the Hamilton cycle decision problem is constructed. Each {p(u,i),p(v,i+1)} in E is coded as variable q(u,i,v,i+1)=0 i.e. shrinks the feasible region. We then implement the Weak Closure Algorithm (WCA) that tests necessary conditions of a matching, together with Boolean closure to decide 0/1 variable assignments. Each {p(u,i),p(v,j)} not in E is tested for membership in E, and if possible, added to E (q(u,i,v,j)=0) to iteratively maximize |E|. If the WCA constructs E to be maximal, the set of all {p(u,i),p(v,j)}, then G is decided non-Hamiltonian. Only non-Hamiltonian G share this maximal property. Ten non-Hamiltonian graphs (10 through 104 vertices) and 2000 randomized 31 vertex non-Hamiltonian graphs are tested and correctly decided non-Hamiltonian. For Hamiltonian G, the complement of E covers a matching, perhaps useful in searching for cycles. We also present an example where the WCA fails.

Keywords: Hamilton cycle decision problem, computational complexity theory, graph theory, theoretical computer science

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Authors: José M Martín-Moreno, Rafaela Pérez, Jesús Ruiz

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In this paper we use a small open economy Dynamic Stochastic General Equilibrium Model (DSGE) for the Spanish economy to search for a deeper characterization of the determinants of Spain’s macroeconomic fluctuations throughout the period 1970-2008. In order to do this, we distinguish between tradable and non-tradable goods to take into account the fact that the presence of non-tradable goods in this economy is one of the largest in the world. We estimate a DSGE model with supply and demand shocks (sectorial productivity, public spending, international real interest rate and preferences) using Kalman Filter techniques. We find the following results. First of all, our variance decomposition analysis suggests that 1) the preference shock basically accounts for private consumption volatility, 2) the idiosyncratic productivity shock accounts for non-tradable output volatility, and 3) the sectorial productivity shock along with the international interest rate both greatly account for tradable output. Secondly, the model closely replicates the time path observed in the data for the Spanish economy and finally, the model captures the main cyclical qualitative features of this economy reasonably well.

Keywords: business cycle, DSGE models, Kalman filter estimation, small open economy

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Authors: Héctor Rivera-Gómez, Eva Selene Hernández-Gress, Oscar Montaño-Arango, Jose Ramon Corona-Armenta

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This research studies the joint production, maintenance and subcontracting control policy for an unreliable deteriorating manufacturing system. Production activities are controlled by a derivation of the Hedging Point Policy, and given that the system is subject to deterioration, it reduces progressively its capacity to satisfy product demand. Multiple deterioration effects are considered, reflected mainly in the quality of the parts produced and the reliability of the machine. Subcontracting is available as support to satisfy product demand; also overhaul maintenance can be conducted to reduce the effects of deterioration. The main objective of the research is to determine simultaneously the production, maintenance and subcontracting rate which minimize the total incurred cost. A stochastic dynamic programming model is developed and solved through a simulation-based approach composed of statistical analysis and optimization with the response surface methodology. The obtained results highlight the strong interactions between production, deterioration and quality which justify the development of an integrated model. A numerical example and a sensitivity analysis are presented to validate our results.

Keywords: subcontracting, optimal control, deterioration, simulation, production planning

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Authors: Violeta Damjanovic-Behrendt

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This paper presents an approach for optimal cyber security decisions to protect instances of a federated Internet of Things (IoT) platform in the cloud. The presented solution implements the repeated Stackelberg Security Game (SSG) and a model called Stochastic Human behaviour model with AttRactiveness and Probability weighting (SHARP). SHARP employs the Subjective Utility Quantal Response (SUQR) for formulating a subjective utility function, which is based on the evaluations of alternative solutions during decision-making. We augment the repeated SSG (including SHARP and SUQR) with a reinforced learning algorithm called Naïve Q-Learning. Naïve Q-Learning belongs to the category of active and model-free Machine Learning (ML) techniques in which the agent (either the defender or the attacker) attempts to find an optimal security solution. In this way, we combine GT and ML algorithms for discovering optimal cyber security policies. The proposed security optimization components will be validated in a collaborative cloud platform that is based on the Industrial Internet Reference Architecture (IIRA) and its recently published security model.

Keywords: security, internet of things, cloud computing, stackelberg game, machine learning, naive q-learning

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Authors: Okuyade Ighoroje Wilson Ata

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Magneto-hydrodynamic mixed convective chemically reacting fluid flow through two parallel vertical plates channel with Hall, radiation, and chemical reaction effects are examined. The fluid is assumed to be chemically reactive, electrically conducting, magnetically susceptible, viscous, incompressible, and Newtonian; the plates are porous, electrically conductive, and heated to a high-temperature regime to generate thermal rays. The flow system is highly interactive, such that cross/double diffusion is present. The governing equations are partial differential equations transformed into ordinary differential equations using similarity transformation and solved by the method of Homotopy Perturbation. Expressions for the concentration, temperature, velocity, Nusselt number, Sherwood number, and Wall shear stress are obtained, computed, and presented graphically and tabularly. The analysis of results shows, amongst others, that an increase in the Raleigh number increases the main velocity and temperature but decreases the concentration. More so, an increase in chemical reaction rate increases the main velocity, temperature, rate of heat transfer from the terminal plate, the rate of mass transfer from the induced plate, and Wall shear stress on both the induced and terminal plates, decreasing the concentration, and the mass transfer rate from the terminal plate. Some of the obtained results are benchmarked with those of existing literature and are in consonance.

Keywords: chemical reaction, hall effect, magneto-hydrodynamic, radiation, vertical plates channel

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Authors: Tuiana A. Aiusheeva, Sergey S. Tamozhnikov, Alexander E. Saprygin, Arina A. Antonenko, Valentina V. Stepanova, Natalia N. Tolstykh, Alexander N. Savostyanov

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Situation of choice is an important condition for the formation of essential character qualities of a child, such as being initiative, responsible, hard-working. We have studied the behavioral and EEG reactions in Russian schoolchildren during recognition of syntactic errors in emotionally colored sentences that describe the choice situation. Twenty healthy children (mean age 9,0±0,3 years, 12 boys, 8 girls) were examined. Forty sentences were selected for the experiment; the half of them contained a syntactic error. The experiment additionally had the hidden condition: 50% of the sentences described the children's own choice and were emotionally colored (positive or negative). The other 50% of the sentences described the forced-choice situation, also with positive or negative coloring. EEG were recorded during execution of error-recognition task. Reaction time and quality of syntactic error detection were chosen as behavioral measures. Event-related spectral perturbation (ERSP) was applied to characterize the oscillatory brain activity of children. There were two time-frequency intervals in EEG reactions: (1) 500-800 ms in the 3-7 Hz frequency range (theta synchronization) and (2) 500-1000 ms in the 8-12 Hz range (alpha desynchronization). We found out that behavioral and brain reactions in child brain during recognition of positive and negative sentences describing forced-choice situation did not have significant differences. Theta synchronization and alpha desynchronization were stronger during recognition of sentences with children's own choice, especially with negative coloring. Also, the quality and execution time of the task were higher for this types of sentences. The results of our study will be useful for improvement of teaching methods and diagnostics of children affective disorders.

Keywords: choice situation, electroencephalogram (EEG), emotionally colored sentences, schoolchildren

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Authors: Sai Sudarshan, Harsh Vyas, Riddhiman Sherlekar

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The oil and gas industry has been unwilling to adopt stochastic definition of reserves. Nevertheless, Monte Carlo simulation methods have gained acceptance by engineers, geoscientists and other professionals who want to evaluate prospects or otherwise analyze problems that involve uncertainty. One of the common applications of Monte Carlo simulation is the estimation of recoverable hydrocarbon from a reservoir.Monte Carlo Simulation makes use of random samples of parameters or inputs to explore the behavior of a complex system or process. It finds application whenever one needs to make an estimate, forecast or decision where there is significant uncertainty. First, the project focuses on performing Monte-Carlo Simulation on a given data set using U. S Department of Energy’s MonteCarlo Software, which is a freeware e&p tool. Further, an algorithm for simulation has been developed for MATLAB and program performs simulation by prompting user for input distributions and parameters associated with each distribution (i.e. mean, st.dev, min., max., most likely, etc.). It also prompts user for desired probability for which reserves are to be calculated. The algorithm so developed and tested in MATLAB further finds implementation in Python where existing libraries on statistics and graph plotting have been imported to generate better outcome. With PyQt designer, codes for a simple graphical user interface have also been written. The graph so plotted is then validated with already available results from U.S DOE MonteCarlo Software.

Keywords: simulation, probability, confidence interval, sensitivity analysis

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Authors: T. Pedersen, A. Lindfeldt

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The minimum dwell time is an important part of railway timetable planning. Due to its stochastic behaviour, the minimum dwell time should be considered to create resilient timetables. While there has been significant focus on how to determine and estimate dwell times, to our knowledge, little research has been carried out regarding temporal and running direction variations of these. In this paper, we examine how the minimum dwell time varies depending on temporal factors such as the time of day, day of the week and time of the year. We also examine how it is affected by running direction and station type. The minimum dwell time is estimated by means of track occupation data. A method is proposed to ensure that only minimum dwell times and not planned dwell times are acquired from the track occupation data. The results show that on an aggregated level, the average minimum dwell times in both running directions at a station are similar. However, when temporal factors are considered, there are significant variations. The minimum dwell time varies throughout the day with peak hours having the longest dwell times. It is also found that the minimum dwell times are influenced by weekday, and in particular, weekends are found to have lower minimum dwell times than most other days. The findings show that there is a potential to significantly improve timetable planning by taking minimum dwell time variations into account.

Keywords: minimum dwell time, operations quality, timetable planning, track occupation data

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Authors: Urvee B. Trivedi, U. D. Dalal

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As wireless communication services grow quickly; the seriousness of spectrum utilization has been on the rise gradually. An emerging technology, cognitive radio has come out to solve today’s spectrum scarcity problem. To support the spectrum reuse functionality, secondary users are required to sense the radio frequency environment, and once the primary users are found to be active, the secondary users are required to vacate the channel within a certain amount of time. Therefore, spectrum sensing is of significant importance. Once sensing is done, different prediction rules apply to classify the traffic pattern of primary user. Primary user follows two types of traffic patterns: periodic and stochastic ON-OFF patterns. A cognitive radio can learn the patterns in different channels over time. Two types of classification methods are discussed in this paper, by considering edge detection and by using autocorrelation function. Edge detection method has a high accuracy but it cannot tolerate sensing errors. Autocorrelation-based classification is applicable in the real environment as it can tolerate some amount of sensing errors.

Keywords: cognitive radio (CR), probability of detection (PD), probability of false alarm (PF), primary user (PU), secondary user (SU), fast Fourier transform (FFT), signal to noise ratio (SNR)

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Authors: Daidai Shen, Jean Claude Thill, Wenjia Zhang

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This study explores the dynamics of synergy and complementarity within city networks, specifically focusing on the headquarters-subsidiary relations of firms. We begin by defining these two types of networks and establishing their pivotal roles in shaping city network structures. Utilizing the mesoscale analytic approach of weighted stochastic block modeling, we discern relational patterns between city pairs and determine connection strengths through statistical inference. Furthermore, we introduce a community detection approach to uncover the underlying structure of these networks using advanced statistical methods. Our analysis, based on comprehensive network data up to 2017, reveals the coexistence of both complementarity and synergy networks within China’s technology-intensive manufacturing cities. Notably, firms in technology hardware and office & computing machinery predominantly contribute to the complementarity city networks. In contrast, a distinct synergy city network, underpinned by the cities of Suzhou and Dongguan, emerges amidst the expansive complementarity structures in technology hardware and equipment. These findings provide new insights into the relational dynamics and structural configurations of city networks in the context of technology-intensive manufacturing, highlighting the nuanced interplay between synergy and complementarity.

Keywords: city system, complementarity, synergy network, higher-order network

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Authors: J. T. Koininga, J. E. Teigen, A. Wilkinson, D. Kanneh, F. Kanneh, M. Foday, D. S. Grant, M. Leach, L. M. Moses

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Lassa fever (LF) is a severe febrile illness endemic to West Africa. While human-to-human transmission occurs, evidence suggests most LF cases originate from exposure to rodents, particularly the Natal multimammate mouse, Mastomys natalensis. Within West Africa, LF occurs primarily in rural communities where agriculture is the main economic activity. Seasonality of LF has also been linked to agricultural cycles, with peak incidence occurring in the dry season when fields are burned and plowed. To investigate this pattern of seasonality, four agricultural communities were selected for this two-year longitudinal study. Each community was to be sampled four times each year, but this was interrupted by the Ebola virus disease outbreak. Agricultural land use, forested, and fallow areas were identified through participatory mapping. Transects were plotted in each area and Sherman traps were set for four nights. Captured small mammals were identified, ear tagged, and released. Mastomys natalensis abundance was found to be highest in areas of converted fallow land and rice swamps in the dry season and upland mixed crop areas toward the onset of the rainy season. All peak times were associated with heavy perturbation of soil. All ages and genders were present during these time points. These results suggest that peak abundance of the Mastomys natalensis in agricultural areas coincides with peak incidence of LF reported in this region. Although contact with rodents may be higher in villages, our study suggests human behaviors in agricultural areas may increase risk of transmission of Lassa virus.

Keywords: agriculture, land use, Lassa Fever, rodent abundance

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Authors: Akhilesh Kumar, Sathyanarayan G., Nirmala S.

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An unusual approach is developed to determine the orbit of satellites/space objects. The determination of orbits is considered a boundary value problem and has been solved using the finite difference method (FDM). Only positions of the satellites/space objects are known at two end times taken as boundary conditions. The technique of finite difference has been used to calculate the orbit between end times. In this approach, the governing equation is defined as the satellite's equation of motion with a perturbed acceleration. Using the finite difference method, the governing equations and boundary conditions are discretized. The resulting system of algebraic equations is solved using Tri Diagonal Matrix Algorithm (TDMA) until convergence is achieved. This methodology test and evaluation has been done using all GPS satellite orbits from National Geospatial-Intelligence Agency (NGA) precise product for Doy 125, 2023. Towards this, two hours of twelve sets have been taken into consideration. Only positions at the end times of each twelve sets are considered boundary conditions. This algorithm is applied to all GPS satellites. Results achieved using FDM compared with the results of NGA precise orbits. The maximum RSS error for the position is 0.48 [m] and the velocity is 0.43 [mm/sec]. Also, the present algorithm is applied on the IRNSS satellites for Doy 220, 2023. The maximum RSS error for the position is 0.49 [m], and for velocity is 0.28 [mm/sec]. Next, a simulation has been done for a Highly Elliptical orbit for DOY 63, 2023, for the duration of 6 hours. The RSS of difference in position is 0.92 [m] and velocity is 1.58 [mm/sec] for the orbital speed of more than 5km/sec. Whereas the RSS of difference in position is 0.13 [m] and velocity is 0.12 [mm/sec] for the orbital speed less than 5km/sec. Results show that the newly created method is reliable and accurate. Further applications of the developed methodology include missile and spacecraft targeting, orbit design (mission planning), space rendezvous and interception, space debris correlation, and navigation solutions.

Keywords: finite difference method, grid generation, NavIC system, orbit perturbation

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Authors: Solaine Hachem, Frédéric Bourquin, Dominique Siegert

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The brutal collapse of bridges is mainly due to scour. Indeed, the soil erosion in the riverbed around a pier modifies the embedding conditions of the structure, reduces its overall stiffness and threatens its stability. Hence, finding an efficient technique that allows early scour detection becomes mandatory. Vibration analysis is an indirect method for scour detection that relies on real-time monitoring of the bridge. It tends to indicate the presence of a scour based on its consequences on the stability of the structure and its dynamic response. Most of the research in this field has focused on the dynamic behavior of a single pile and has examined the depth of the scour. In this paper, a bridge is fully modeled with all piles and spans and the scour is represented by a reduction in the foundation's stiffnesses. This work aims to identify the vibration modes sensitive to the rigidity’s loss in the foundations so that their variations can be considered as a scour indicator: the decrease in soil-structure interaction rigidity leads to a decrease in the natural frequencies’ values. By using the first-order perturbation method, the expression of sensitivity, which depends only on the selected vibration modes, is established to determine the deficiency of foundations stiffnesses. The solutions are obtained by using the singular value decomposition method for the regularization of the inverse problem. The propagation of uncertainties is also calculated to verify the efficiency of the inverse problem method. Numerical simulations describing different scenarios of scour are investigated on a simplified model of a real composite steel-concrete bridge located in France. The results of the modal analysis show that the modes corresponding to in-plane and out-of-plane piers vibrations are sensitive to the loss of foundation stiffness. While the deck bending modes are not affected by this damage.

Keywords: bridge’s piers, inverse problems, modal sensitivity, scour detection, vibration analysis

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Authors: Haruna Modibbo Usman, Mustapha Muktar, Nasiru Inuwa

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

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

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Authors: Clarinda V. Nhangumbe, Ercília Sousa

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

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

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Authors: Asrat M.Belachew, Tiago Pereira, Institute of Mathematics, Computer Sciences, Avenida Trabalhador São Carlense, 400, São Carlos, 13566-590, Brazil

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Infectious diseases are among the most prominent threats to human beings. They cause morbidity and mortality to an individual and collapse the social, economic, and political systems of the whole world collectively. Mathematical models are fundamental tools and provide a comprehensive understanding of how infectious diseases spread and designing the control strategy to mitigate infectious diseases from the host population. Modeling the spread of infectious diseases using a compartmental model of inhomogeneous populations is good in terms of complexity. However, in the real world, there is a situation that accounts for heterogeneity, such as ages, locations, and contact patterns of the population which are ignored in a homogeneous setting. In this work, we study how classical an SEIR infectious disease spreading of the compartmental model can be extended by incorporating the mobility of population between heterogeneous cities during an outbreak of infectious disease. We have formulated an SEIR multi-cities epidemic spreading model using a system of 4k ordinary differential equations to describe the disease transmission dynamics in k-cities during the day and night. We have shownthat the model is epidemiologically (i.e., variables have biological interpretation) and mathematically (i.e., a unique bounded solution exists all the time) well-posed. We constructed the next-generation matrix (NGM) for the model and calculated the basic reproduction number R0for SEIR-epidemic spreading model with cities mobility. R0of the disease depends on the spectral radius mobility operator, and it is a threshold between asymptotic stability of the disease-free equilibrium and disease persistence. Using the eigenvalue perturbation theorem, we showed that sending a fraction of the population between cities decreases the reproduction number of diseases in interconnected cities. As a result, disease transmissiondecreases in the population.

Keywords: SEIR-model, mathematical model, city mobility, epidemic spreading

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Authors: M. A. Meslem

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

Keywords: quasigeoid, gravity aomalies, covariance, GGM

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Authors: Naragain Phumchusri, Kittitach Pongpairoj

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

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

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Authors: Keunock Lew, Seungryul Ma

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

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

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Authors: Benga Ebouele, Thomas Tengen

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

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

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Authors: Niklas Panten, Eberhard Abele

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

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

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Authors: Imen Boudali, Marwa Ragmoun

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

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

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Authors: Tehreem Fatima, Enjun Xia

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

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

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Authors: Adewale Oladapo, Carolyn A. Afolami

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

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

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Authors: Felipa de Mello-Sampayo

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

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

Procedia PDF Downloads 126

Authors: Yerbolat Iztleuov

Abstract:

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

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

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

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

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

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Authors: Bai-Chen Xie, Biao Li

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

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

Procedia PDF Downloads 99

Authors: Irina A. Gudkova, Yousra Demigha

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

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

Procedia PDF Downloads 165