Search results for: stochastic volatility

Authors: Iannick Gagnon, Alain April

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The performance of a metaheuristic on a given problem class depends on the class itself and the choice of parameters. Parameter tuning is the most time-consuming phase of the optimization process after the main calculations and it often nullifies the speed advantage of metaheuristics over traditional optimization algorithms. Several off-the-shelf parameter tuning algorithms are available, but when the objective function is expensive to evaluate, these can be prohibitively expensive to use. This paper presents a surrogate-like method for finding adequate parameters using fitness landscape analysis on simple benchmark functions and real-world objective functions. The result is a simple compound similarity metric based on the empirical correlation coefficient and a measure of convexity. It is then used to find the best benchmark functions to serve as surrogates. The near-optimal parameter set is then found using fractional factorial design. The real-world problem of NACA airfoil lift coefficient maximization is used as a preliminary proof of concept. The overall aim of this research is to reduce the computational overhead of metaheuristics parameterization.

Keywords: metaheuristics, stochastic optimization, particle swarm optimization, exploratory landscape analysis

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Authors: Taha Benarbia, Kay W. Axhausen, Anugrah Ilahi

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Electric car sharing system as ecologic transportation increasing in the world. The complexity of managing electric car sharing systems, especially one-way trips and battery autonomy have direct influence to on supply and demand of system. One must be able to precisely model the demand and supply of these systems to better operate electric car sharing and estimate its effect on mobility management and the accessibility that it provides in urban areas. In this context, our work focus to develop performances optimization model of the system based on discrete event simulation and stochastic Petri net. The objective is to search optimal decisions and management parameters of the system in order to fulfil at best demand while minimizing undesirable situations. In this paper, we present new model of electric cars sharing with relocation based on monitoring system. The proposed approach also help to precise the influence of battery charging level on the behaviour of system as important decision parameter of this complex and dynamical system.

Keywords: electric car-sharing systems, smart mobility, Petri nets modelling, discrete event simulation

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Authors: Aradhna Pandarum

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South Africa is experiencing an exponential growth of distributed solar PV installations. This is due to various factors with the predominant one being increasing electricity tariffs along with decreasing installation costs, resulting in attractive business cases to some end-users. Despite there being a variety of economic and environmental advantages associated with the installation of PV, their potential impact on distribution grids has yet to be thoroughly investigated. This is especially true since the locations of these units cannot be controlled by Network Service Providers (NSPs) and their output power is stochastic and non-dispatchable. This report details two case studies that were completed to determine the possible voltage and technical losses impact of increasing PV penetration in the Northern Cape of South Africa. Some major impacts considered for the simulations were ramping of PV generation due to intermittency caused by moving clouds, the size and overall hosting capacity and the location of the systems. The main finding is that the technical impact is different on a constrained feeder vs a non-constrained feeder. The acceptable PV penetration level is much lower for a constrained feeder than a non-constrained feeder, depending on where the systems are located.

Keywords: medium voltage networks, power system losses, power system voltage, solar photovoltaic

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Authors: Ashraf Ward

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Effect of calving interval on 305 day milk yield for first three lactations was studied in order to increase efficiency of selection schemes and to more efficiently manage Holstein cows that have been raised on small farms in Libya. Results obtained by processing data of 1476 cows, managed in 935 small scale farms, pointed out that current calving interval significantly affects on milk production for first three lactations (p<0.05). Preceding calving interval affected 305 day milk yield (p<0.05) in second lactation only. Linear regression model accounted for 20-25 % of the total variance of 305 day milk yield. Extension of calving interval over 420, 430, 450 days for first, second and third lactations respectively, did not increase milk production when converted to 305 day lactation. Stochastic relations between calving interval and calving age and month are moderated. Values of Pierson’s correlation coefficients ranged 0.38 to 0.69. Adjustment of milk production in order to reduce effect of calving interval on total phenotypic variance of milk yield is valid for first lactation only. Adjustment of 305 day milk yield for second and third lactations in order to reduce effects of factors “calving age and month” brings about, at the same time, elimination of calving interval effect.

Keywords: milk yield, Holstien, non genetic, calving

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Authors: Mohammad Y. Badiee, Saeed Golestani, Mir Saman Pishvaee

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In recent years consumers and governments have been pushing companies to design their activities in such a way as to reduce negative environmental impacts by producing renewable product or threat free disposal policy more and more. It is therefore important to focus more accurate to the optimization of various aspect of total supply chain. Modeling a supply chain can be a challenging process due to the fact that there are a large number of factors that need to be considered in the model. The use of multi-objective optimization can lead to overcome those problems since more information is used when designing the model. Uncertainty is inevitable in real world. Considering uncertainty on parameters in addition to use multi-objectives are ways to give more flexibility to the decision making process since the process can take into account much more constraints and requirements. In this paper we demonstrate a stochastic scenario based robust model to cope with uncertainty in a closed-loop multi-objective supply chain. By applying the proposed model in a real world case, the power of proposed model in handling data uncertainty is shown.

Keywords: supply chain management, closed-loop supply chain, multi-objective optimization, goal programming, uncertainty, robust optimization

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Authors: Ana M. Korol, Bibiana Riquelme, Osvaldo A. Rosso

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Since erythrocyte deformability analysis is mostly qualitative, the development of quantitative nonlinear methods is crucial for restricting subjectivity in the study of cell behaviour. An electro-optic mechanic system called erythrodeformeter has been developed and constructed in our laboratory in order to evaluate the erythrocytes' viscoelasticity. A numerical method formulated on the basis of fractal approximation for ordinary (OBM) and fractionary Brownian motion (FBM), as well as wavelet transform analysis, are proposed to distinguish chaos from noise based on the assumption that diffractometric data involves both deterministic and stochastic components, so it could be modelled as a system of bounded correlated random walk. Here we report studies on 25 donors: 4 alpha thalassaemic patients, 11 beta thalassaemic patients, and 10 healthy controls non-alcoholic and non-smoker individuals. The Correlation Coefficient, a nonlinear parameter, showed evidence of the changes in the erythrocyte deformability; the Wavelet Entropy could quantify those differences which are detected by the light diffraction patterns. Such quantifiers allow a good deal of promise and the possibility of a better understanding of the rheological erythrocytes aspects and also could help in clinical diagnosis.

Keywords: red blood cells, deformability, nonlinear dynamics, chaos theory, wavelet trannsform

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Authors: Mohammad Alshawaf, Rahmat Poudineh, Nawaf Alhajeri

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The power generated from photovoltaic (PV) modules is non-dispatchable on demand due to the stochastic nature of solar radiation. The random variations in the measured intensity of solar irradiance are due to clouds and, in the case of arid regions, dust storms which decrease the intensity of intensity of solar irradiance. Therefore, modeling PV power output using average, maximum, or minimum solar irradiance values is inefficient to predict power generation reliably. The overall objective of this paper is to predict the power output of PV modules using Monte Carlo approach based the weather and solar conditions measured in Kuwait. Given the 250 Wp PV module used in study, the average daily power output is 1021 Wh/day. The maximum power was generated in April and the minimum power was generated in January 1187 Wh/day and 823 Wh/day respectively. The certainty of the daily predictions varies seasonally and according to the weather conditions. The output predictions were far more certain in the summer months, for example, the 80% certainty range for August is 89 Wh/day, whereas the 80% certainty range for April is 250 Wh/day.

Keywords: Monte Carlo, solar energy, variable renewable energy, Kuwait

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Authors: Arnab Adhikari, Arnab Bisi

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Since the inception, the fashion apparel supply chain is facing the problem of high demand uncertainty. Often the demand volatility compels the corresponding supply chain member to incur substantial holding cost and opportunity cost in case of the overproduction and the underproduction scenario, respectively. It leads to an uncoordinated fashion apparel supply chain. There exist several scholarly works to achieve coordination in the fashion apparel supply chain by employing the different contracts such as the buyback contract, the revenue sharing contract, the option contract, and so on. Specially, the application of option contract in the apparel industry becomes prevalent with the changing global scenario. Exploration of existing literature related to the option contract reveals that most of the research works concentrate on the one direction demand adjustment i.e. either to match the demand upwards or downwards. Here, we present a holistic approach to coordinate a dyadic fashion apparel supply chain comprising one manufacturer and one retailer with the help of bidirectional option contract. We show a combination of wholesale price contract and bidirectional option contract can coordinate the under expanded supply chain. We also propose a framework that captures the variation of the apparel retailer’s order quantity and the apparel manufacturer’s production quantity with the changing exercise price for the different ranges of the option price. We analytically explore that corresponding cost parameters of the supply chain members along with the nature of demand distribution play an instrumental role in the coordination as well as the retailer’s ordering decision.

Keywords: fashion apparel supply chain, supply chain coordination, wholesale price contract, bidirectional option contract

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Authors: Sudaff Mohammed, Wahda Shuker Al-Hinkawi, Nada Abdulmueen Hasan

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The compatibility of the Rhizome and Complex Adaptive system theory as a strategy within the urban context is the essential interest of this paper since there are only a few attempts to establish a hybrid, multi-scalar, and developable strategy based on the concept of the Rhizome and the CAS theory. This paper aims to establish a Rhizomic CAS strategy for different urban contexts by investigating the principles, characteristics, properties, and mechanisms of Rhizome and Complex Adaptive Systems. The research focused mainly on analyzing three properties: aggregation, non-linearity, and flow through the lens of Rhizome, Rhizomatization of CAS properties. The most intriguing result is that the principal and well-investigated characteristics of Complex Adaptive systems can be ‘Rhizomatized’ in two ways; highlighting commonalities between Rhizome and Complex Adaptive systems in addition to using Rhizome-related concepts. This paper attempts to emphasize the potency of the Rhizome as an apparently stochastic and barely anticipatable structure that can be developed to analyze cities of distinctive contexts for formulating better customized urban strategies.

Keywords: rhizome, complex adaptive system (CAS), system Theory, urban system, rhizomatic CAS, assemblage, human occupation impulses (HOI)

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Authors: Yangrae Cho, Jinseok Kim, Yongtae Park

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Mobile app service ecosystem has been abruptly emerged, explosively grown, and dynamically transformed. In contrast with product markets in which product sales directly cause increment in firm’s income, customer’s usage is less visible but more valuable in service market. Especially, the market situation with cutthroat competition in mobile app store makes securing and keeping of users as vital. Although a few service firms try to manage their apps’ usage patterns by fitting on S-curve or applying other forecasting techniques, the time series approaches based on past sequential data are subject to fundamental limitation in the market where customer’s attention is being moved unpredictably and dynamically. We therefore propose a new conceptual approach for detecting usage pattern of mobile app service with Hidden Markov Model (HMM) which is based on the dual stochastic structure and mainly used to clarify unpredictable and dynamic sequential patterns in voice recognition or stock forecasting. Our approach could be practically utilized for app service firms to manage their services’ lifecycles and academically expanded to other markets.

Keywords: mobile app service, usage pattern, Hidden Markov Model, pattern detection

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Authors: Ghulam Murshid

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Carbon dioxide is one of the major greenhouse gas (GHG) contributors. It is an obligation of the industry to reduce the amount of carbon dioxide emission to the acceptable limits. Tremendous research and studies are reported in the past and still the quest to find the suitable and economical solution of this problem needed to be explored in order to develop the most plausible absorber for carbon dioxide removal. Amino acids are reported by the researchers as a potential solvent for absorption of carbon dioxide to replace alkanolamines due to its ability to resist oxidative degradation, low volatility due to its ionic structure and higher surface tension. In addition, the introduction of promoter-like piperazine to amino acid helps to further enhance the solubility. In this work, the effect of piperazine on thermophysical properties and solubility of β-Alanine aqueous solutions were studied for various concentrations. The measured physicochemical properties data was correlated as a function of temperature using least-squares method and the correlation parameters are reported together with it respective standard deviations. The effect of activator piperazine on the CO2 loading performance of selected amino acid under high-pressure conditions (1bar to 10bar) at temperature range of (30 to 60)oC was also studied. Solubility of CO2 decreases with increasing temperature and increases with increasing pressure. Quadratic representation of solubility using Response Surface Methodology (RSM) shows that the most important parameter to optimize solubility is system pressure. The addition of promoter increases the solubility effect of the solvent.

Keywords: amino acids, co2, global warming, solubility

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Authors: Doyoung Kim, Hyo Seon Park

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Studies of System Identification(SI) based on Structural Health Monitoring(SHM) have actively conducted for structural safety. Recently SI techniques have been rapidly developed with output-only SI paradigm for estimating modal parameters. The features of these output-only SI methods consist of Frequency Domain Decomposition(FDD) and Stochastic Subspace Identification(SSI) are using the algorithms based on orthogonal decomposition such as singular value decomposition(SVD). But the SVD leads to high level of computational complexity to estimate modal parameters. This paper proposes the technique to estimate mode shape with lower computational cost. This technique shows pseudo modal Operating Deflections Shape(ODS) through bandpass filter and suggests time history Modal Assurance Criterion(MAC). Finally, mode shape could be estimated from pseudo modal ODS and time history MAC. Analytical simulations of vibration measurement were performed and the results with mode shape and computation time between representative SI method and proposed method were compared.

Keywords: modal assurance criterion, mode shape, operating deflection shape, system identification

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Authors: Abdelmounaim Lahrech, Hajar Bousfiha

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This paper examines equity market integration between Morocco and France and its consequent implications on international portfolio diversification. In the absence of stock market linkages, Morocco can act as a diversification destination to European investors, allowing higher returns at a comparable level of risk in developed markets. In contrast, this attractiveness is limited if both financial markets show significant linkage. The research empirically measures financial market’s integration in by capturing the conditional correlation between the two markets using the Generalized Autoregressive Conditionally Heteroscedastic (GARCH) model. Then, the research uses the Dynamic Conditional Correlation (DCC) model of Engle (2002) to track the correlations. The research findings show that there is no important increase over the years in the correlation between the Moroccan and the French equity markets, even though France is considered Morocco’s first trading partner. Failing to prove evidence of the stock index linkage between the two countries, the volatility series of each market were assumed to change over time separately. Yet, the study reveals that despite the important historical and economic linkages between Morocco and France, there is no evidence that equity markets follow. The small correlations and their stationarity over time show that over the 10 years studied, correlations were fluctuating around a stable mean with no significant change at their level. Different explanations can be attributed to the absence of market linkage between the two equity markets.

Keywords: equity market linkage, DCC GARCH, international portfolio diversification, Morocco, France

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Authors: Vaidehi Iyer, Konstantin Borozdin

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Time series prediction problems have many important practical applications, but are notoriously difficult for statistical modeling. Recently, machine learning methods have been attracted significant interest as a practical tool applied to a variety of problems, even though developments in this field tend to be semi-empirical. This paper explores application of Long Short Term Memory based Recurrent Neural Networks to the one-step prediction of time series for both trend and stochastic components. Two types of data are analyzed - daily stock prices, that are often considered to be a typical example of a random walk, - and weather patterns dominated by seasonal variations. Results from both analyses are compared, and reinforced learning framework is used to select more efficient between Recurrent Neural Networks and more traditional auto regression methods. It is shown that both methods are able to follow long-term trends and seasonal variations closely, but have difficulties with reproducing day-to-day variability. Future research directions and potential real world applications are briefly discussed.

Keywords: long short term memory, prediction methods, recurrent neural networks, reinforcement learning

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Authors: Sarah Marie

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In today's dynamic financial landscape, cryptocurrencies represent a paradigm shift characterized by innovation and intense debate. This study probes into their transformative potential and the challenges they present, offering a balanced perspective that recognizes both their promise and pitfalls. Emulating the engaging style of a TED Talk, this research goes beyond academic analysis, serving as a critical bridge to reconcile the perspectives of cryptocurrency skeptics and enthusiasts, fostering a well-informed dialogue. The study employs a mixed-method approach, analyzing current trends, regulatory landscapes, and public perceptions in the cryptocurrency domain. It distinguishes genuine innovators in this field from ostentatious opportunists, echoing the sentiment that real innovation should be separated from mere showmanship. If one is unfamiliar with who is being referenced, they can likely spot them leaning against their Lamborghinis outside "Crypto" conventions, looking greasy. Major findings reveal a complex scenario dominated by regulatory uncertainties, market volatility, and security issues, emphasizing the need for a coherent regulatory framework that balances innovation with risk management and sustainable practices. The study underscores the importance of transparency and consumer protection in fostering responsible growth within the cryptocurrency ecosystem. In conclusion, the research advocates for education, innovation, and ethical governance in the realm of cryptocurrencies. It calls for collaborative efforts to navigate the intricacies of this evolving landscape and to realize its full potential in a responsible, inclusive, and forward-thinking manner.

Keywords: financial landscape, innovation, public perception, transparency

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Authors: Peng Li, Luan Wang, Haifeng Fei, Renhong Xie, Yibin Rui, Shanhong Guo

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The applications of satellite-based automatic identification system (S-AIS) pave the road for wide-range maritime traffic monitoring and management. But the coverage of satellite’s view includes multiple AIS self-organizing networks, which leads to the collision of AIS signals from different cells. The contribution of this work is to propose an improved multi-channel blind source separation algorithm based on Artificial Bee Colony (ABC) and advanced stochastic optimization to perform separation of the mixed AIS signals. The proposed approach adopts modified ABC algorithm to get an optimized initial separating matrix, which can expedite the initialization bias correction, and utilizes the Adaptive Moment Estimation (Adam) to update the separating matrix by adjusting the learning rate for each parameter dynamically. Simulation results show that the algorithm can speed up convergence and lead to better performance in separation accuracy.

Keywords: satellite-based automatic identification system, blind source separation, artificial bee colony, adaptive moment estimation

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Authors: Mojahid F. Saeed Osman

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Repairable items inventory system is a management tool used to incorporate all information concerning inventory levels and movements for repaired and new items. This paper presents development of an effective simulation model for managing the inventory of repairable items for a production system where production lines send their faulty items to a repair shop considering the stochastic failure behavior and repair times. The developed model imitates the process of handling the on-hand inventory of repaired items and the replenishment of the inventory of new items using Economic Order Quantity and Reorder Point ordering policy in a flexible and risk-free environment. We demonstrate the appropriateness and effectiveness of the proposed simulation model using an illustrative case problem. The developed simulation model can be used as a reliable tool for estimating a healthy on-hand inventory of new and repaired items, backordered items, and downtime due to unavailability of repaired items, and validating and examining Economic Order Quantity and Reorder Point ordering policy, which would further be compared with other ordering strategies as future work.

Keywords: inventory system, repairable items, simulation, maintenance, economic order quantity, reorder point

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Authors: Fazıl Gökgöz, Fahrettin Filiz

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Electricity prices have sophisticated features such as high volatility, nonlinearity and high frequency that make forecasting quite difficult. Electricity price has a volatile and non-random character so that, it is possible to identify the patterns based on the historical data. Intelligent decision-making requires accurate price forecasting for market traders, retailers, and generation companies. So far, many shallow-ANN (artificial neural networks) models have been published in the literature and showed adequate forecasting results. During the last years, neural networks with many hidden layers, which are referred to as DNN (deep neural networks) have been using in the machine learning community. The goal of this study is to investigate electricity price forecasting performance of the shallow-ANN and DNN models for the Turkish day-ahead electricity market. The forecasting accuracy of the models has been evaluated with publicly available data from the Turkish day-ahead electricity market. Both shallow-ANN and DNN approach would give successful result in forecasting problems. Historical load, price and weather temperature data are used as the input variables for the models. The data set includes power consumption measurements gathered between January 2016 and December 2017 with one-hour resolution. In this regard, forecasting studies have been carried out comparatively with shallow-ANN and DNN models for Turkish electricity markets in the related time period. The main contribution of this study is the investigation of different shallow-ANN and DNN models in the field of electricity price forecast. All models are compared regarding their MAE (Mean Absolute Error) and MSE (Mean Square) results. DNN models give better forecasting performance compare to shallow-ANN. Best five MAE results for DNN models are 0.346, 0.372, 0.392, 0,402 and 0.409.

Keywords: deep learning, artificial neural networks, energy price forecasting, turkey

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Authors: Hatem Mrad, Alban Notin, Mohamed Bouazara

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Sheet metal forming process has a multiple successive steps starting from sheets fixation to sheets evacuation. Often after forming operation, the sheet has defects requiring additional corrections steps. For example, in the drawing process, the formed sheet may have several defects such as springback, localized thinning and bends. All these defects are directly dependent on process, geometric and material parameters. The prediction and elimination of these defects requires the control of most sensitive parameters. The present study is concerned with a reliable parametric study of deep forming process in order to control the localized thinning. The proposed approach will be based on stochastic finite element method. Especially, the polynomial Chaos development will be used to establish a reliable relationship between input (process, geometric and material parameters) and output variables (sheet thickness). The commercial software Abaqus is used to conduct numerical finite elements simulations. The automatized parametrical modification is provided by coupling a FORTRAN routine, a PYTHON script and input Abaqus files.

Keywords: sheet metal forming, reliability, localized thinning, parametric simulation

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Authors: Azam Abkhiz, Abolghasem Nasir

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To achieve sustainable competitive advantage in the market, it is necessary to provide and improve customer satisfaction and Loyalty. To reach this objective, companies need to identify and analyze their customers. Thus, it is critical to measure the level of customer satisfaction and Loyalty very carefully. This study attempts to build a conceptual model to provide clear insights of customer loyalty. Using Bayesian networks (BNs), a model is proposed to evaluate customer loyalty and its consequences, such as repurchase and positive word-of-mouth. BN is a probabilistic approach that predicts the behavior of a system based on observed stochastic events. The most relevant determinants of customer loyalty are identified by the literature review. Perceived value, service quality, trust, corporate image, satisfaction, and switching costs are the most important variables that explain customer loyalty. The data are collected by use of a questionnaire-based survey from 1430 customers of a home appliances manufacturer in Iran. Four scenarios and sensitivity analyses are performed to run and analyze the impact of different determinants on customer loyalty. The proposed model allows businesses to not only set their targets but proactively manage their customer behaviors as well.

Keywords: customer satisfaction, customer loyalty, Bayesian networks, home appliances industry

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Authors: Soebowo Musa

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Mining industries are known to be very volatile due to their sensitive nature toward changes in the environment, particularly coal mining. Heavy equipment distributors and coal mining contractors are among heavily affected by such volatility. They are facing more uncertainty on the sustainability of the coal mining industry. Strategic alliances and organizational capabilities such as innovation capability have long been seen as ways to stay competitive with a focus more on the strategic alliances partner-to-partner in serving their customers. In today’s rapid change in the environment, a shift in consumer behaviors, and the human-centric business approach, this study looks at the strategic alliance partner-to-customer relationship in both the industrial organization and resource-based theories. This study was conducted based on 250 respondents from the strategic alliances partner-to-customer between heavy equipment distributors and coal mining contractors in Indonesia. This study finds strategic alliances have the highest association toward cost reduction, a proxy of operational efficiency followed by its association toward innovation capability. Further, strategic alliances and innovation capability have a positive relationship with customer loyalty, while innovation capability and customer loyalty have no significant relationships toward the firm’s competitive advantage. This study also indicates that cost reduction is not a condition to develop customer loyalty in the strategic alliance partner-to-customer relationship. It confirms strategic alliances are a strategy that creates a firm’s operational efficiency, innovation capability that develops customer loyalty, and competitive advantage.

Keywords: strategic alliance, innovation capability, cost reduction, customer loyalty, competitive advantage

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Authors: Yong-Heng Shi, Peng Hao, Bai-Chen Xie

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Solar prosumers are playing increasingly prominent roles in the power system. However, its uncertainty affects the outcomes and functions of the power market, especially in the asymmetric information environment. Therefore, an important issue is how to take effective measures to reduce the impact of uncertainty on market equilibrium. We propose a two-level stochastic differential game model to explore the Cournot decision problem of prosumers. In particular, we study the impact of punishment and cooperation mechanisms on the efficiency of the Cournot game in which prosumers face uncertainty. The results show that under the penalty mechanism of fixed and variable rates, producers and consumers tend to take conservative actions to hedge risks, and the variable rates mechanism is more reasonable. Compared with non-cooperative situations, prosumers can improve the efficiency of the game through cooperation, which we attribute to the superposition of market power and uncertainty reduction. In addition, the market environment of asymmetric information intensifies the role of uncertainty. It reduces social welfare but increases the income of prosumers. For regulators, promoting alliances is an effective measure to realize the integration, optimization, and stable grid connection of producers and consumers.

Keywords: Cournot games, power market, uncertainty, prosumer cooperation

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Authors: Ons Triki, Fathi Abid

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The basic objective of this paper is twofold. It resides in designing a model for a contingent convertible lease contract that can ensure the financial stability of a company and recover the losses of the parties to the lease in the event of default. It also aims to compare the convertible lease contract on inefficiencies resulting from the debt-overhang problem and asset substitution with other financing policies. From this perspective, this paper highlights the interaction between investments and financing policies in a dynamic model with existing assets and a growth option where the investment cost is financed by a contingent convertible lease and equity. We explore the impact of the contingent convertible lease on the capital structure. We also check the reliability and effectiveness of the use of the convertible lease contract as a means of financing. Findings show that the rental convertible contract with a sufficiently high conversion ratio has less severe inefficiencies arising from risk-shifting and debt overhang than those entailed by risky debt and pure-equity financing. The problem of underinvestment pointed out by Mauer and Ott (2000) and the problem of overinvestment mentioned by Hackbarth and Mauer (2012) may be reduced under contingent convertible lease financing. Our findings predict that the firm value under contingent convertible lease financing increases globally with asset volatility instead of decreasing with business risk. The study reveals that convertible leasing contracts can stand for a reliable solution to ensure the lessee and quickly recover the counterparties of the lease upon default.

Keywords: contingent convertible lease, growth option, debt overhang, risk-shifting, capital structure

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Authors: C. E. Ogbanje, S. A. N. D. Chidebelu, N. J. Nweze

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The study evaluated off-farm work and cost efficiency in staple food production among small-scale farmers in North Central Nigeria. Multistage sampling technique was used to select 360 respondents (participants and non-participants in off-farm work). Primary data obtained were analysed using stochastic cost frontier and test of means’ difference. Capital input was lower for participants (N2,596.58) than non-participants (N11,099.14). Gamma (γ) was statistically significant. Farm size significantly (p<0.01) increased cost outlay for participants and non-participants. Average input prices of enterprises one and two significantly (p<0.01) increased cost. Sex, household size, credit obtained, formal education, farming experience, and farm income significantly (p<0.05) reduced cost inefficiency for non-participants. Average cost efficiency was 11%. Farm capital was wasted. Participants’ substitution of capital for labour did not put them at a disadvantage. Extension agents should encourage farmers to obtain financial relief from off-farm work but not to the extent of endangering farm cost efficiency.

Keywords: cost efficiency, mean difference, North Central Nigeria, off-farm work, participants and non-participants, small-scale farmers

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Authors: Kun Li, Yuzheng Liu, Xiuqi Fan

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High-security standard and high efficiency of screening seem to be contradictory to each other in the airport security check process. Improving the efficiency as far as possible while maintaining the same security standard is significantly meaningful. This paper utilizes the knowledge of Operation Research and Stochastic Process to establish mathematical models to explore this problem. We analyze the current process of airport security check and use the M/G/1 and M/G/k models in queuing theory to describe the process. Then we find the least efficient part is the pre-check lane, the bottleneck of the queuing system. To improve passenger throughput and reduce the variance of passengers’ waiting time, we adjust our models and use Monte Carlo method, then put forward three modifications: adjust the ratio of Pre-Check lane to regular lane flexibly, determine the optimal number of security check screening lines based on cost analysis and adjust the distribution of arrival and service time based on Monte Carlo simulation results. We also analyze the impact of cultural differences as the sensitivity analysis. Finally, we give the recommendations for the current process of airport security check process.

Keywords: queue theory, security check, stochatic process, Monte Carlo simulation

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Authors: Seyed Mohammad Hashemi, Shahrokh Barati

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The problem of fault-tolerant control (FTC) by accommodation method has been studied in this paper. The fault occurs in any system components such as actuators, sensors or internal structure of the system and leads to loss of performance and instability of the system. When a fault occurs, the purpose of the fault-tolerant control is designate strategy that can keep the control loop stable and system performance as much as possible perform it without shutting down the system. Here, the section of fault detection and isolation (FDI) system has been evaluated with regard to actuator's fault. Designing a fault detection and isolation system for a multi input-multi output (MIMO) is done by an unknown input observer, so the system is divided to several subsystems as the effect of other inputs such as disturbing given system state equations. In this observer design method, the effect of these disturbances will weaken and the only fault is detected on specific input. The results of this approach simulation can confirm the ability of the fault detection and isolation system design. After fault detection and isolation, it is necessary to redesign controller based on a suitable modification. In this regard after the use of unknown input observer theory and obtain residual signal and evaluate it, PID controller parameters redesigned for iterative. Stability of the closed loop system has proved in the presence of this method. Also, In order to soften the volatility caused by Annie variations of the PID controller parameters, modifying Sigma as a way acceptable solution used. Finally, the simulation results of three tank popular example confirm the accuracy of performance.

Keywords: fault tolerant control, fault detection and isolation, actuator fault, unknown input observer

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Authors: Paffrath Meinhard, Zhou Yayun, Guo Yiqing, Ertl Harald

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Winding geometry design is an important part of power transformer electrical design. Conventionally, the winding geometry is designed manually, which is a time-consuming job because it involves many iteration steps in order to meet all cost, manufacturing and electrical requirements. Here a method is presented which automatically generates the winding geometry for given user parameters and allows the user to interactively set and change parameters. To achieve this goal, the winding problem is transferred to a mixed integer nonlinear optimization problem. The relevant geometrical design parameters are defined as optimization variables. The cost and other requirements are modeled as constraints. For the solution, a stochastic ant colony optimization algorithm is applied. It is well-known, that an optimizer can get stuck in a local minimum. For the winding problem, we present efficient strategies to come out of local minima, furthermore a reduced variable search range helps to accelerate the solution process. Numerical examples show that the optimization result is delivered within seconds such that the user can interactively change the variable search area and constraints to improve the design.

Keywords: ant colony optimization, mixed integer nonlinear programming, power transformer, winding design

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Authors: Manuel I. Capel, Antonio Tomeu, Alberto Salguero

Abstract:

Tumor growth from a transformed cancer-cell up to a clinically apparent mass spans through a range of spatial and temporal magnitudes. Through computer simulations, Cellular Automata (CA) can accurately describe the complexity of the development of tumors. Tumor development prognosis can now be made -without making patients undergo through annoying medical examinations or painful invasive procedures- if we develop appropriate CA-based software tools. In silico testing mainly refers to Computational Biology research studies of application to clinical actions in Medicine. To establish sound computer-based models of cellular behavior, certainly reduces costs and saves precious time with respect to carrying out experiments in vitro at labs or in vivo with living cells and organisms. These aim to produce scientifically relevant results compared to traditional in vitro testing, which is slow, expensive, and does not generally have acceptable reproducibility under the same conditions. For speeding up computer simulations of cellular models, specific literature shows recent proposals based on the CA approach that include advanced techniques, such the clever use of supporting efficient data structures when modeling with deterministic stochastic cellular automata. Multiparadigm and multiscale simulation of tumor dynamics is just beginning to be developed by the concerned research community. The use of stochastic cellular automata (SCA), whose parallel programming implementations are open to yield a high computational performance, are of much interest to be explored up to their computational limits. There have been some approaches based on optimizations to advance in multiparadigm models of tumor growth, which mainly pursuit to improve performance of these models through efficient memory accesses guarantee, or considering the dynamic evolution of the memory space (grids, trees,…) that holds crucial data in simulations. In our opinion, the different optimizations mentioned above are not decisive enough to achieve the high performance computing power that cell-behavior simulation programs actually need. The possibility of using multicore and GPU parallelism as a promising multiplatform and framework to develop new programming techniques to speed-up the computation time of simulations is just starting to be explored in the few last years. This paper presents a model that incorporates parallel processing, identifying the synchronization necessary for speeding up tumor growth simulations implemented in Java and C++ programming environments. The speed up improvement that specific parallel syntactic constructs, such as executors (thread pools) in Java, are studied. The new tumor growth parallel model is proved using implementations with Java and C++ languages on two different platforms: chipset Intel core i-X and a HPC cluster of processors at our university. The parallelization of Polesczuk and Enderling model (normally used by researchers in mathematical oncology) proposed here is analyzed with respect to performance gain. We intend to apply the model and overall parallelization technique presented here to solid tumors of specific affiliation such as prostate, breast, or colon. Our final objective is to set up a multiparadigm model capable of modelling angiogenesis, or the growth inhibition induced by chemotaxis, as well as the effect of therapies based on the presence of cytotoxic/cytostatic drugs.

Keywords: cellular automaton, tumor growth model, simulation, multicore and manycore programming, parallel programming, high performance computing, speed up

Procedia PDF Downloads 238

Authors: Rosita Kanapeckaite

Abstract:

The modern operational military environment is a combination of factors such as change, uncertainty, complexity and ambiguity. Stiehm (2002) refers to such situations as VUCA situations. VUCA is an acronym commonly used to describe the volatility, uncertainty, complexity and ambiguity of various situations and conditions. Increasingly fast-paced military operations require military personnel to demonstrate readiness and resilience under stressful conditions in order to maintain the optimum cognitive and physical performance necessary to achieve success. Military resilience can be defined as the ability to cope with the negative effects of setbacks and associated stress on military performance and combat effectiveness. In the volatile, uncertain, complex and ambiguous modern operational environment, both current and future operations require and place a higher priority on enhancing and maintaining troop readiness and resilience to win decisively in multidimensional combat. This paper explores the phenomenon of soldiers' psychological resilience, theories of leadership, and commitment to the organisation. The aim of the study is to examine the relationship between soldiers' psychological resilience, leadership style and commitment to the organisation. The study involved 425 professional soldiers, the research method was a questionnaire survey. The instruments used were measures of psychological resilience, leadership styles and commitment to the organisation. Results: transformational leadership style predicts higher psychological resilience, and psychologically resilient professional servicemen are more committed to the organisation. The study confirms the importance of soldiers' psychological resilience for their commitment to the organisation. The paper also discusses practical applications.

Keywords: resilience, commitment, solders, leadership style

Procedia PDF Downloads 71

Authors: J. J. Vargas, N. Prieto, L. A. Toro

Abstract:

Control charts are commonly used to monitor processes involving either variable or attribute of quality characteristics and determining the control limits as a critical task for quality engineers to improve the processes. Nonetheless, in some applications it is necessary to include an estimation of efficiency. In this paper, the ability to define the efficiency of an industrial process was added to a control chart by means of incorporating a data envelopment analysis (DEA) approach. In depth, a Bayesian estimation was performed to calculate the posterior probability distribution of parameters as means and variance and covariance matrix. This technique allows to analyse the data set without the need of using the hypothetical large sample implied in the problem and to be treated as an approximation to the finite sample distribution. A rejection simulation method was carried out to generate random variables from the parameter functions. Each resulting vector was used by stochastic DEA model during several cycles for establishing the distribution of each efficiency measures for each DMU (decision making units). A control limit was calculated with model obtained and if a condition of a low level efficiency of DMU is presented, system efficiency is out of control. In the efficiency calculated a global optimum was reached, which ensures model reliability.

Keywords: data envelopment analysis, DEA, Multivariate control chart, rejection simulation method

Procedia PDF Downloads 372