Search results for: bid estimate
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1854

Search results for: bid estimate

1194 Human Resources and Business Result: An Empirical Approach Based on RBV Theory

Authors: Xhevrie Mamaqi

Abstract:

Organization capacity learning is a process referring to the sum total of individual and collective learning through training programs, experience and experimentation, among others. Today, in-business ongoing training is one of the most important strategies for human capital development and it is crucial to sustain and improve workers’ knowledge and skills. Many organizations, firms and business are adopting a strategy of continuous learning, encouraging employees to learn new skills continually to be innovative and to try new processes and work in order to achieve a competitive advantage and superior business results. This paper uses the Resource Based View and Capacities (RBV) approach to construct a hypothetical relationships model between training and business results. The test of the model is applied on transversal data. A sample of 266 business of Spanish sector service has been selected. A Structural Equation Model (SEM) is used to estimate the relationship between ongoing training, represented by two latent dimension denominated Human and Social Capital resources and economic business results. The coefficients estimated have shown the efficient of some training aspects explaining the variation in business results.

Keywords: business results, human and social capital resources, training, RBV theory, SEM

Procedia PDF Downloads 289
1193 Exchange Rate Forecasting by Econometric Models

Authors: Zahid Ahmad, Nosheen Imran, Nauman Ali, Farah Amir

Abstract:

The objective of the study is to forecast the US Dollar and Pak Rupee exchange rate by using time series models. For this purpose, daily exchange rates of US and Pakistan for the period of January 01, 2007 - June 2, 2017, are employed. The data set is divided into in sample and out of sample data set where in-sample data are used to estimate as well as forecast the models, whereas out-of-sample data set is exercised to forecast the exchange rate. The ADF test and PP test are used to make the time series stationary. To forecast the exchange rate ARIMA model and GARCH model are applied. Among the different Autoregressive Integrated Moving Average (ARIMA) models best model is selected on the basis of selection criteria. Due to the volatility clustering and ARCH effect the GARCH (1, 1) is also applied. Results of analysis showed that ARIMA (0, 1, 1 ) and GARCH (1, 1) are the most suitable models to forecast the future exchange rate. Further the GARCH (1,1) model provided the volatility with non-constant conditional variance in the exchange rate with good forecasting performance. This study is very useful for researchers, policymakers, and businesses for making decisions through accurate and timely forecasting of the exchange rate and helps them in devising their policies.

Keywords: exchange rate, ARIMA, GARCH, PAK/USD

Procedia PDF Downloads 548
1192 The Impact of System Cascading Collapse and Transmission Line Outages to the Transfer Capability Assessment

Authors: Nur Ashida Salim, Muhammad Murtadha Othman, Ismail Musirin, Mohd Salleh Serwan

Abstract:

Uncertainty of system operating conditions is one of the causative reasons which may render to the instability of a transmission system. This will encumber the performance of transmission system to efficiently transmit the electrical power between areas. For that reason, accurate assessment of Transmission Reliability Margin (TRM) is essential in order to ensure effective power transfer between areas during the occurrence of system uncertainties. The power transfer is also called as the Available Transfer Capability (ATC) in which it is the information required by the utilities and marketers to instigate selling and buying the electric energy. This paper proposes a computationally effective approach to estimate TRM and ATC by considering the uncertainties of system cascading collapse and transmission line outages which is identified as the main reasons in power system instability. In accordance to the results that have been obtained, the proposed method is essential for the transmission providers which could help the power marketers and planning sectors in the operation and reserving transmission services based on the ATC calculated.

Keywords: system cascading collapse, transmission line outages, transmission reliability margin, available transfer capability

Procedia PDF Downloads 418
1191 DOA Estimation Using Golden Section Search

Authors: Niharika Verma, Sandeep Santosh

Abstract:

DOA technique is a localization technique used in the communication field. Various algorithms have been developed for direction of arrival estimation like MUSIC, ROOT MUSIC, etc. These algorithms depend on various parameters like antenna array elements, number of snapshots and various others. Basically the MUSIC spectrum is evaluated and peaks obtained are considered as the angle of arrivals. The angles evaluated using this process depends on the scanning interval chosen. The accuracy of the results obtained depends on the coarseness of the interval chosen. In this paper, golden section search is applied to the MUSIC algorithm and therefore, more accurate results are achieved. Initially the coarse DOA estimations is done using the MUSIC algorithm in the range -90 to 90 degree at the interval of 10 degree. After the peaks obtained then fine DOA estimation is done using golden section search. Also, the partitioning method is applied to estimate the number of signals incident on the antenna array. Dependency of the algorithm on the number of snapshots is also being explained. Hence, the accurate results are being determined using this algorithm.

Keywords: Direction of Arrival (DOA), golden section search, MUSIC, number of snapshots

Procedia PDF Downloads 436
1190 Material Properties Evolution Affecting Demisability for Space Debris Mitigation

Authors: Chetan Mahawar, Sarath Chandran, Sridhar Panigrahi, V. P. Shaji

Abstract:

The ever-growing advancement in space exploration has led to an alarming concern for space debris removal as it restricts further launch operations and adventurous space missions; hence numerous studies have come up with technologies for re-entry predictions and material selection processes for mitigating space debris. The selection of material and operating conditions is determined with the objective of lightweight structure and ability to demise faster subject to spacecraft survivability during its mission. Since the demisability of spacecraft depends on evolving thermal material properties such as emissivity, specific heat capacity, thermal conductivity, radiation intensity, etc. Therefore, this paper presents the analysis of evolving thermal material properties of spacecraft, which affect the demisability process and thus estimate demise time using the demisability model by incorporating evolving thermal properties for sensible heating followed by the complete or partial break-up of spacecraft. The demisability analysis thus concludes the best suitable spacecraft material is based on the least estimated demise time, which fulfills the criteria of design-for-survivability and as well as of design-for-demisability.

Keywords: demisability, emissivity, lightweight, re-entry, survivability

Procedia PDF Downloads 103
1189 Voltage Problem Location Classification Using Performance of Least Squares Support Vector Machine LS-SVM and Learning Vector Quantization LVQ

Authors: M. Khaled Abduesslam, Mohammed Ali, Basher H. Alsdai, Muhammad Nizam Inayati

Abstract:

This paper presents the voltage problem location classification using performance of Least Squares Support Vector Machine (LS-SVM) and Learning Vector Quantization (LVQ) in electrical power system for proper voltage problem location implemented by IEEE 39 bus New-England. The data was collected from the time domain simulation by using Power System Analysis Toolbox (PSAT). Outputs from simulation data such as voltage, phase angle, real power and reactive power were taken as input to estimate voltage stability at particular buses based on Power Transfer Stability Index (PTSI).The simulation data was carried out on the IEEE 39 bus test system by considering load bus increased on the system. To verify of the proposed LS-SVM its performance was compared to Learning Vector Quantization (LVQ). The results showed that LS-SVM is faster and better as compared to LVQ. The results also demonstrated that the LS-SVM was estimated by 0% misclassification whereas LVQ had 7.69% misclassification.

Keywords: IEEE 39 bus, least squares support vector machine, learning vector quantization, voltage collapse

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1188 Modelling Operational Risk Using Extreme Value Theory and Skew t-Copulas via Bayesian Inference

Authors: Betty Johanna Garzon Rozo, Jonathan Crook, Fernando Moreira

Abstract:

Operational risk losses are heavy tailed and are likely to be asymmetric and extremely dependent among business lines/event types. We propose a new methodology to assess, in a multivariate way, the asymmetry and extreme dependence between severity distributions, and to calculate the capital for Operational Risk. This methodology simultaneously uses (i) several parametric distributions and an alternative mix distribution (the Lognormal for the body of losses and the Generalized Pareto Distribution for the tail) via extreme value theory using SAS®, (ii) the multivariate skew t-copula applied for the first time for operational losses and (iii) Bayesian theory to estimate new n-dimensional skew t-copula models via Markov chain Monte Carlo (MCMC) simulation. This paper analyses a newly operational loss data set, SAS Global Operational Risk Data [SAS OpRisk], to model operational risk at international financial institutions. All the severity models are constructed in SAS® 9.2. We implement the procedure PROC SEVERITY and PROC NLMIXED. This paper focuses in describing this implementation.

Keywords: operational risk, loss distribution approach, extreme value theory, copulas

Procedia PDF Downloads 585
1187 The Evaluation of Shear Modulus (Go) Consistency State of Consolidation Cohesive Soils and Seismic Reflection Survey Using Degree of Soil Consolidation

Authors: Abdul Halim Abdul, Wan Ismail Wan Yusoff

Abstract:

The geological formation at Limau Manis Besar area, are consist of low grade metamorphic rock and undulating mountaineers, rugged terrain and the quite steeply 45 degree slope gradient. The objectives of this paper are present the methods and devices used in measurement of P-wave velocity to estimate the initial Shear Modulus (Go) in steady state and critical state soil consolidation. The relationship between SPT-N values and the Shear Modulus (Go) at very small strain is widely considered to be evaluated. Based on the seismic reflection survey, the constant (K) poroelastic theory, mean effectives stress and primer wave velocity (Vs) increase as the soil depth increase. The steady state and critical state, Degree of Soil Consolidation(U) concept is used to interpret the behavior of Shear Modulus (Go). The relationship between Consolidation Test and Seismic Reflection Survey is also discussed.

Keywords: geological setting, shear modulus, poroelastic theory, steady state and none steady state degree of soil consolidation, consolidation test

Procedia PDF Downloads 466
1186 Estimating Pile Toe Levels for Capacity Assessment of Piers and Wharves in the Philippines

Authors: Ailvy Faith Zamora, Serj Donn David, Michael Anderson

Abstract:

There are a number of decades-old piers and wharves in Manila, Philippines, that are currently being used for container and bulk cargo handling port operations. These structures fulfill a very important role in the economy and hence have undergone rehabilitation and assessment of capacity to accommodate current and future operational requirements. The capacity assessment would include structural and pile geotechnical evaluation. Unfortunately, old marine structures in the Philippines may not have a complete set of as-built information. In certain instances, critical information, such as pile toe levels, is missing in the documentation. A combination of direct tests, geophysical tests, and numerical analysis/modelling has been performed to estimate existing pile toe levels of open-type piers and anchored quay wall wharves in Manila. These techniques were applied to both concrete and steel piles. This paper presents the tools utilized, testing setup, and techniques used for estimating toe levels of existing piles for certain structures, including the challenges encountered and applied solutions.

Keywords: geophysical testing, pile toe level, structural assessment, piers, wharves

Procedia PDF Downloads 114
1185 Seismic Fragility Functions of RC Moment Frames Using Incremental Dynamic Analyses

Authors: Seung-Won Lee, JongSoo Lee, Won-Jik Yang, Hyung-Joon Kim

Abstract:

A capacity spectrum method (CSM), one of methodologies to evaluate seismic fragilities of building structures, has been long recognized as the most convenient method, even if it contains several limitations to predict the seismic response of structures of interest. This paper proposes the procedure to estimate seismic fragility curves using an incremental dynamic analysis (IDA) rather than the method adopting a CSM. To achieve the research purpose, this study compares the seismic fragility curves of a 5-story reinforced concrete (RC) moment frame obtained from both methods, an IDA method and a CSM. Both seismic fragility curves are similar in slight and moderate damage states whereas the fragility curve obtained from the IDA method presents less variation (or uncertainties) in extensive and complete damage states. This is due to the fact that the IDA method can properly capture the structural response beyond yielding rather than the CSM and can directly calculate higher mode effects. From these observations, the CSM could overestimate seismic vulnerabilities of the studied structure in extensive or complete damage states.

Keywords: seismic fragility curve, incremental dynamic analysis, capacity spectrum method, reinforced concrete moment frame

Procedia PDF Downloads 413
1184 Nonlinear Finite Element Modeling of Reinforced Concrete Flat Plate-Inclined Column Connection

Authors: Rabab Allouzi, Amer Alkloub

Abstract:

As the complex shaped buildings become a popular trend for architects, this paper is presented to investigate the performance of reinforced concrete flat plate-inclined column connection. The studies on the inclined column and flat plate connections are not sufficient in comparison to those on the conventional structures. The effect of column angle of inclination on the punching shear strength is found significant and studied herein. This paper presents a non-linear finite element based modeling approach to estimate behavior of RC flat plate inclined column connection. Results from simulations of RC flat plate-straight column connection show good agreement with experimental response of specimens tested by other researchers. The model is further used to study the response of inclined columns to punching at various ranges of inclination angles. The inclination angle can be included in the punching shear strength provisions provided by ACI 318-14 to account for the effect of column inclination.

Keywords: punching shear, non-linear finite element, inclined columns, reinforced concrete connection

Procedia PDF Downloads 232
1183 Towards an Effective Approach for Modelling near Surface Air Temperature Combining Weather and Satellite Data

Authors: Nicola Colaninno, Eugenio Morello

Abstract:

The urban environment affects local-to-global climate and, in turn, suffers global warming phenomena, with worrying impacts on human well-being, health, social and economic activities. Physic-morphological features of the built-up space affect urban air temperature, locally, causing the urban environment to be warmer compared to surrounding rural. This occurrence, typically known as the Urban Heat Island (UHI), is normally assessed by means of air temperature from fixed weather stations and/or traverse observations or based on remotely sensed Land Surface Temperatures (LST). The information provided by ground weather stations is key for assessing local air temperature. However, the spatial coverage is normally limited due to low density and uneven distribution of the stations. Although different interpolation techniques such as Inverse Distance Weighting (IDW), Ordinary Kriging (OK), or Multiple Linear Regression (MLR) are used to estimate air temperature from observed points, such an approach may not effectively reflect the real climatic conditions of an interpolated point. Quantifying local UHI for extensive areas based on weather stations’ observations only is not practicable. Alternatively, the use of thermal remote sensing has been widely investigated based on LST. Data from Landsat, ASTER, or MODIS have been extensively used. Indeed, LST has an indirect but significant influence on air temperatures. However, high-resolution near-surface air temperature (NSAT) is currently difficult to retrieve. Here we have experimented Geographically Weighted Regression (GWR) as an effective approach to enable NSAT estimation by accounting for spatial non-stationarity of the phenomenon. The model combines on-site measurements of air temperature, from fixed weather stations and satellite-derived LST. The approach is structured upon two main steps. First, a GWR model has been set to estimate NSAT at low resolution, by combining air temperature from discrete observations retrieved by weather stations (dependent variable) and the LST from satellite observations (predictor). At this step, MODIS data, from Terra satellite, at 1 kilometer of spatial resolution have been employed. Two time periods are considered according to satellite revisit period, i.e. 10:30 am and 9:30 pm. Afterward, the results have been downscaled at 30 meters of spatial resolution by setting a GWR model between the previously retrieved near-surface air temperature (dependent variable), the multispectral information as provided by the Landsat mission, in particular the albedo, and Digital Elevation Model (DEM) from the Shuttle Radar Topography Mission (SRTM), both at 30 meters. Albedo and DEM are now the predictors. The area under investigation is the Metropolitan City of Milan, which covers an area of approximately 1,575 km2 and encompasses a population of over 3 million inhabitants. Both models, low- (1 km) and high-resolution (30 meters), have been validated according to a cross-validation that relies on indicators such as R2, Root Mean Squared Error (RMSE) and Mean Absolute Error (MAE). All the employed indicators give evidence of highly efficient models. In addition, an alternative network of weather stations, available for the City of Milano only, has been employed for testing the accuracy of the predicted temperatures, giving and RMSE of 0.6 and 0.7 for daytime and night-time, respectively.

Keywords: urban climate, urban heat island, geographically weighted regression, remote sensing

Procedia PDF Downloads 182
1182 An Estimation Process for Progress Rate Based on Labor-Quantity in Republic of Korea

Authors: Dong-Ho Kim, Zheng-Xun Jin, Yong-Woon Cha, Su-Sang Lim, Sang-Won Han, Chang-Taek Hyun

Abstract:

As construction is a labor-intensive industry, it is important to identify and manage labor quantities for accurate progress management of the construction project. However, the progress management that focuses on construction cost calculated based on materials rather than labor quantities has led to a difference in the implementation of cost and progress of the actual construction. In addition, since it is not easy to predict accurate labor quantities in the estimation of labor quantity-based progress rate, there have been limited researches into the progress rate estimation based on labor quantity. Accordingly, this study proposed a process for labor quantity-based progress rate estimation using a standard of estimate to predict accurate progress rate of the construction project in Republic Korea. It is expected that the utilization of the proposed process will help to identify the progress rate closer to that of the actual site management and adjust the workforce in each construction type, thereby contributing to improving construction efficiency.

Keywords: labor based, labor cost, progress management, progress rate, progress payment

Procedia PDF Downloads 333
1181 A Study on Cleaning Mirror Technology with Reduced Water Consumption in a Solar Thermal Power Plant

Authors: Bayarjargal Enkhtaivan, Gao Wei, Zhang Yanping, He Guo Qiang

Abstract:

In our study, traditional cleaning mirror technology with reduced consumption of water in solar thermal power plants is investigated. In developed countries, a significant increase of growth and innovation in solar thermal power sector is evident since over the last decade. These power plants required higher water consumption, however, there are some complications to construct and operate such power plants under severe drought-inflicted areas like deserts where high water-deficit can be seen but sufficient solar energy is available. Designing new experimental equipments is the most important advantage of this study. These equipments can estimate various types of measurements at the mean time. In this study, Glasses were placed for 10 and 20 days at certain positions to deposit dusts on glass surface by using a common method. Dust deposited on glass surface was washed by experimental equipment and measured dust deposition on each glass. After that, experimental results were analyzed and concluded.

Keywords: concentrated solar power (CSP) plant, high-pressure water, test equipment of clean mirror, cleaning technology of glass and mirror

Procedia PDF Downloads 164
1180 Feasibility of a Biopolymer as Lightweight Aggregate in Perlite Concrete

Authors: Ali A. Sayadi, Thomas R. Neitzert, G. Charles Clifton

Abstract:

Lightweight concrete is being used in the construction industry as a building material in its own right. Ultra-lightweight concrete can be applied as a filler and support material for the manufacturing of composite building materials. This paper is about the development of a stable and reproducible ultra-lightweight concrete with the inclusion of poly-lactic acid (PLA) beads and assessing the feasibility of PLA as a lightweight aggregate that will deliver advantages such as a more eco-friendly concrete and a non-petroleum polymer aggregate. In total, sixty-three samples were prepared and the effectiveness of mineral admixture, curing conditions, water-cement ratio, PLA ratio, EPS ratio and perlite ratio on compressive strength of perlite concrete are studied. The results show that PLA particles are sensitive to alkali environment of cement paste and considerably shrank and lost their strength. A higher compressive strength and a lower density was observed when expanded polystyrene (EPS) particles replaced PLA beads. In addition, a set of equations is proposed to estimate the water-cement ratio, cement content and compressive strength of perlite concrete.

Keywords: perlite concrete, poly-lactic acid (pla), expanded polystyrene (eps), concrete

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1179 Quantum Modelling of AgHMoO4, CsHMoO4 and AgCsMoO4 Chemistry in the Field of Nuclear Power Plant Safety

Authors: Mohamad Saab, Sidi Souvi

Abstract:

In a major nuclear accident, the released fission products (FPs) and the structural materials are likely to influence the transport of iodine in the reactor coolant system (RCS) of a pressurized water reactor (PWR). So far, the thermodynamic data on cesium and silver species used to estimate the magnitude of FP release show some discrepancies, data are scarce and not reliable. For this reason, it is crucial to review the thermodynamic values related to cesium and silver materials. To this end, we have used state-of-the-art quantum chemical methods to compute the formation enthalpies and entropies of AgHMoO₄, CsHMoO₄, and AgCsMoO₄ in the gas phase. Different quantum chemical methods have been investigated (DFT and CCSD(T)) in order to predict the geometrical parameters and the energetics including the correlation energy. The geometries were optimized with TPSSh-5%HF method, followed by a single point calculation of the total electronic energies using the CCSD(T) wave function method. We thus propose with a final uncertainty of about 2 kJmol⁻¹ standard enthalpies of formation of AgHMoO₄, CsHMoO₄, and AgCsMoO₄.

Keywords: nuclear accident, ASTEC code, thermochemical database, quantum chemical methods

Procedia PDF Downloads 181
1178 Use of Regression Analysis in Determining the Length of Plastic Hinge in Reinforced Concrete Columns

Authors: Mehmet Alpaslan Köroğlu, Musa Hakan Arslan, Muslu Kazım Körez

Abstract:

Basic objective of this study is to create a regression analysis method that can estimate the length of a plastic hinge which is an important design parameter, by making use of the outcomes of (lateral load-lateral displacement hysteretic curves) the experimental studies conducted for the reinforced square concrete columns. For this aim, 170 different square reinforced concrete column tests results have been collected from the existing literature. The parameters which are thought affecting the plastic hinge length such as cross-section properties, features of material used, axial loading level, confinement of the column, longitudinal reinforcement bars in the columns etc. have been obtained from these 170 different square reinforced concrete column tests. In the study, when determining the length of plastic hinge, using the experimental test results, a regression analysis have been separately tested and compared with each other. In addition, the outcome of mentioned methods on determination of plastic hinge length of the reinforced concrete columns has been compared to other methods available in the literature.

Keywords: columns, plastic hinge length, regression analysis, reinforced concrete

Procedia PDF Downloads 463
1177 Analysis of Path Nonparametric Truncated Spline Maximum Cubic Order in Farmers Loyalty Modeling

Authors: Adji Achmad Rinaldo Fernandes

Abstract:

Path analysis tests the relationship between variables through cause and effect. Before conducting further tests on path analysis, the assumption of linearity must be met. If the shape of the relationship is not linear and the shape of the curve is unknown, then use a nonparametric approach, one of which is a truncated spline. The purpose of this study is to estimate the function and get the best model on the nonparametric truncated spline path of linear, quadratic, and cubic orders with 1 and 2-knot points and determine the significance of the best function estimator in modeling farmer loyalty through the jackknife resampling method. This study uses secondary data through questionnaires to farmers in Sumbawa Regency who use SP-36 subsidized fertilizer products as many as 100 respondents. Based on the results of the analysis, it is known that the best-truncated spline nonparametric path model is the quadratic order of 2 knots with a coefficient of determination of 85.50%; the significance of the best-truncated spline nonparametric path estimator shows that all exogenous variables have a significant effect on endogenous variables.

Keywords: nonparametric path analysis, farmer loyalty, jackknife resampling, truncated spline

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1176 Study on the Transition to Pacemaker of Two Coupled Neurons

Authors: Sun Zhe, Ruggero Micheletto

Abstract:

The research of neural network is very important for the development of advanced next generation intelligent devices and the medical treatment. The most important part of the neural network research is the learning. The process of learning in our brain is essentially several adjustment processes of connection strength between neurons. It is very difficult to figure out how this mechanism works in the complex network and how the connection strength influences brain functions. For this reason, we made a model with only two coupled neurons and studied the influence of connection strength between them. To emulate the neuronal activity of realistic neurons, we prefer to use the Izhikevich neuron model. This model can simulate the neuron variables accurately and it’s simplicity is very suitable to implement on computers. In this research, the parameter ρ is used to estimate the correlation coefficient between spike train of two coupling neurons.We think the results is very important for figuring out the mechanism between synchronization of coupling neurons and synaptic plasticity. The result also presented the importance of the spike frequency adaptation in complex systems.

Keywords: neural networks, noise, stochastic processes, coupled neurons, correlation coefficient, synchronization, pacemaker, synaptic plasticity

Procedia PDF Downloads 269
1175 The Use of Fractional Brownian Motion in the Generation of Bed Topography for Bodies of Water Coupled with the Lattice Boltzmann Method

Authors: Elysia Barker, Jian Guo Zhou, Ling Qian, Steve Decent

Abstract:

A method of modelling topography used in the simulation of riverbeds is proposed in this paper, which removes the need for datapoints and measurements of physical terrain. While complex scans of the contours of a surface can be achieved with other methods, this requires specialised tools, which the proposed method overcomes by using fractional Brownian motion (FBM) as a basis to estimate the real surface within a 15% margin of error while attempting to optimise algorithmic efficiency. This removes the need for complex, expensive equipment and reduces resources spent modelling bed topography. This method also accounts for the change in topography over time due to erosion, sediment transport, and other external factors which could affect the topography of the ground by updating its parameters and generating a new bed. The lattice Boltzmann method (LBM) is used to simulate both stationary and steady flow cases in a side-by-side comparison over the generated bed topography using the proposed method and a test case taken from an external source. The method, if successful, will be incorporated into the current LBM program used in the testing phase, which will allow an automatic generation of topography for the given situation in future research, removing the need for bed data to be specified.

Keywords: bed topography, FBM, LBM, shallow water, simulations

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1174 A Comparative Study of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Extreme Value Theory (EVT) Model in Modeling Value-at-Risk (VaR)

Authors: Longqing Li

Abstract:

The paper addresses the inefficiency of the classical model in measuring the Value-at-Risk (VaR) using a normal distribution or a Student’s t distribution. Specifically, the paper focuses on the one day ahead Value-at-Risk (VaR) of major stock market’s daily returns in US, UK, China and Hong Kong in the most recent ten years under 95% confidence level. To improve the predictable power and search for the best performing model, the paper proposes using two leading alternatives, Extreme Value Theory (EVT) and a family of GARCH models, and compares the relative performance. The main contribution could be summarized in two aspects. First, the paper extends the GARCH family model by incorporating EGARCH and TGARCH to shed light on the difference between each in estimating one day ahead Value-at-Risk (VaR). Second, to account for the non-normality in the distribution of financial markets, the paper applies Generalized Error Distribution (GED), instead of the normal distribution, to govern the innovation term. A dynamic back-testing procedure is employed to assess the performance of each model, a family of GARCH and the conditional EVT. The conclusion is that Exponential GARCH yields the best estimate in out-of-sample one day ahead Value-at-Risk (VaR) forecasting. Moreover, the discrepancy of performance between the GARCH and the conditional EVT is indistinguishable.

Keywords: Value-at-Risk, Extreme Value Theory, conditional EVT, backtesting

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1173 Framework for Detecting External Plagiarism from Monolingual Documents: Use of Shallow NLP and N-Gram Frequency Comparison

Authors: Saugata Bose, Ritambhra Korpal

Abstract:

The internet has increased the copy-paste scenarios amongst students as well as amongst researchers leading to different levels of plagiarized documents. For this reason, much of research is focused on for detecting plagiarism automatically. In this paper, an initiative is discussed where Natural Language Processing (NLP) techniques as well as supervised machine learning algorithms have been combined to detect plagiarized texts. Here, the major emphasis is on to construct a framework which detects external plagiarism from monolingual texts successfully. For successfully detecting the plagiarism, n-gram frequency comparison approach has been implemented to construct the model framework. The framework is based on 120 characteristics which have been extracted during pre-processing the documents using NLP approach. Afterwards, filter metrics has been applied to select most relevant characteristics and then supervised classification learning algorithm has been used to classify the documents in four levels of plagiarism. Confusion matrix was built to estimate the false positives and false negatives. Our plagiarism framework achieved a very high the accuracy score.

Keywords: lexical matching, shallow NLP, supervised machine learning algorithm, word n-gram

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1172 Simulation of 'Net' Nutrients Removal by Green Mussel (Perna viridis) in Estuarine and Coastal Areas

Authors: Chayarat Tantanasarit, Sandhya Babel

Abstract:

Green mussels (Perna viridis) can effectively remove nutrients from seawater through their filtration process. This study aims to estimate 'net' nutrient removal rate by green mussel through calculation of nutrient uptake and release. Nutrients (carbon, nitrogen, and phosphorus) uptake was calculated based on the mussel filtration rate. Nutrient release was evaluated from carbon, nitrogen, and phosphorus released as mussel feces. By subtracting nutrient release from nutrient uptake, net nutrient removal by green mussel can be found as 3302, 380 and 124 mg/year/indv. Mass balance model was employed to simulate nutrient removal in actual green mussel farming conditions. Mussels farm area, seawater flow rate and amount of mussels were considered in the model. Results show that although larger quantity of green mussel farms lead to higher nutrient removal rate, the maximum green mussel cultivation should be taken into consideration as nutrients released through mussel excretion can strongly affect marine ecosystem.

Keywords: carbon, ecretion, filtration, nitrogen, phosphorus

Procedia PDF Downloads 387
1171 Developing a New Relationship between Undrained Shear Strength and Over-Consolidation Ratio

Authors: Wael M Albadri, Hassnen M Jafer, Ehab H Sfoog

Abstract:

Relationship between undrained shear strength (Su) and over consolidation ratio (OCR) of clay soil (marine clay) is very important in the field of geotechnical engineering to estimate the settlement behaviour of clay and to prepare a small scale physical modelling test. In this study, a relationship between shear strength and OCR parameters was determined using the laboratory vane shear apparatus and the fully automatic consolidated apparatus. The main objective was to establish non-linear correlation formula between shear strength and OCR and comparing it with previous studies. Therefore, in order to achieve this objective, three points were chosen to obtain 18 undisturbed samples which were collected with an increasing depth of 1.0 m to 3.5 m each 0.5 m. Clay samples were prepared under undrained condition for both tests. It was found that the OCR and shear strength are inversely proportional at similar depth and at same undrained conditions. However, a good correlation was obtained from the relationships where the R2 values were very close to 1.0 using polynomial equations. The comparison between the experimental result and previous equation from other researchers produced a non-linear correlation which has a similar pattern with this study.

Keywords: shear strength, over-consolidation ratio, vane shear test, clayey soil

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1170 Diversity and Ecology of the Aquatic Avifauna of the Wetland of Sebkhet Bazer Sakhra, South of Setif, Algeria

Authors: Gouga Hadjer, Djerdali Sofia, Benssaci Ettayeb

Abstract:

In order to estimate the evolution of the numbers of the aquatic avifauna and their seasonal variations in Sebkhet of Bazer-Sakhra (Site of the eco-complex wetlands of Setif) a monitoring realized during the period from September 2012 to August 2013 allowed to inventory 54 species are spread over 08 orders, 15 families, 34 genres. To follow the global dynamics and the seasonal distribution of species inventoried at Sebkhet Bazer, an analysis of the variation of the total workforce has been established by ecological indices. The autumn season includes the largest number of birds, it totals 3639 individuals. Accidental species are well represented at the autumn and spring seasons denote the interest of the site with respect to migration passages of aquatic birds. During the fall and spring, the Flamingo and the Belon Shelduck are the most abundant with respectively (500, 883) and (560, 1296) individuals. The ecological analysis of this stand showed us that the highest species richness is recorded in spring, (45 species) and the lowest value is obtained in summer it is 20 species.

Keywords: Sebkhet of BazerSakra, ecology, aquatic avifauna, biodiversity, seasonal evolution, wetland

Procedia PDF Downloads 309
1169 Modelling of Relocation and Battery Autonomy Problem on Electric Cars Sharing Dynamic by Using Discrete Event Simulation and Petri Net

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

Abstract:

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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1168 An Integrated Real-Time Hydrodynamic and Coastal Risk Assessment Model

Authors: M. Reza Hashemi, Chris Small, Scott Hayward

Abstract:

The Northeast Coast of the US faces damaging effects of coastal flooding and winds due to Atlantic tropical and extratropical storms each year. Historically, several large storm events have produced substantial levels of damage to the region; most notably of which were the Great Atlantic Hurricane of 1938, Hurricane Carol, Hurricane Bob, and recently Hurricane Sandy (2012). The objective of this study was to develop an integrated modeling system that could be used as a forecasting/hindcasting tool to evaluate and communicate the risk coastal communities face from these coastal storms. This modeling system utilizes the ADvanced CIRCulation (ADCIRC) model for storm surge predictions and the Simulating Waves Nearshore (SWAN) model for the wave environment. These models were coupled, passing information to each other and computing over the same unstructured domain, allowing for the most accurate representation of the physical storm processes. The coupled SWAN-ADCIRC model was validated and has been set up to perform real-time forecast simulations (as well as hindcast). Modeled storm parameters were then passed to a coastal risk assessment tool. This tool, which is generic and universally applicable, generates spatial structural damage estimate maps on an individual structure basis for an area of interest. The required inputs for the coastal risk model included a detailed information about the individual structures, inundation levels, and wave heights for the selected region. Additionally, calculation of wind damage to structures was incorporated. The integrated coastal risk assessment system was then tested and applied to Charlestown, a small vulnerable coastal town along the southern shore of Rhode Island. The modeling system was applied to Hurricane Sandy and a synthetic storm. In both storm cases, effect of natural dunes on coastal risk was investigated. The resulting damage maps for the area (Charlestown) clearly showed that the dune eroded scenarios affected more structures, and increased the estimated damage. The system was also tested in forecast mode for a large Nor’Easters: Stella (March 2017). The results showed a good performance of the coupled model in forecast mode when compared to observations. Finally, a nearshore model XBeach was then nested within this regional grid (ADCIRC-SWAN) to simulate nearshore sediment transport processes and coastal erosion. Hurricane Irene (2011) was used to validate XBeach, on the basis of a unique beach profile dataset at the region. XBeach showed a relatively good performance, being able to estimate eroded volumes along the beach transects with a mean error of 16%. The validated model was then used to analyze the effectiveness of several erosion mitigation methods that were recommended in a recent study of coastal erosion in New England: beach nourishment, coastal bank (engineered core), and submerged breakwater as well as artificial surfing reef. It was shown that beach nourishment and coastal banks perform better to mitigate shoreline retreat and coastal erosion.

Keywords: ADCIRC, coastal flooding, storm surge, coastal risk assessment, living shorelines

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1167 Proposal of Methodology Based on Technical Characterization and Quantitative Contrast of Co₂ Emissions for the Migration to Electric Mobility of the Vehicle Fleet: Case Study of Electric Companies in Ecuador

Authors: Rodrigo I. Ullauri, Santiago E. Tinajero, Omar O. Ramos, Paola R. Quintana

Abstract:

The increase of CO₂ emissions in the atmosphere and its impact on climate change is a global concern. The transportation sector is a significant consumer of fossil fuels and contributes significantly to greenhouse gas emissions. The current challenge is to find ways to reduce the use of fossil fuels in transportation. In Ecuador, where 92% of electricity is generated from clean sources, the concept of e-mobility is considered an attractive alternative to address the challenge of sustainable mobility. The proposal is to migrate from combustion-powered vehicles to electric vehicles in the electric companies of Ecuador, using a methodology to standardize criteria, determine specific requirements, contrast technical characteristics, and estimate emission reductions. The results showed that there are three categories of vehicles that have electric counterparts suitable for performing activities under certain operation parameters inherent to current technology limitations but with a significant contribution to the reduction of annual CO₂ emissions.

Keywords: climate change, electro mobility, energy, sustainable transportation

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1166 Dynamic Correlations and Portfolio Optimization between Islamic and Conventional Equity Indexes: A Vine Copula-Based Approach

Authors: Imen Dhaou

Abstract:

This study examines conditional Value at Risk by applying the GJR-EVT-Copula model, and finds the optimal portfolio for eight Dow Jones Islamic-conventional pairs. Our methodology consists of modeling the data by a bivariate GJR-GARCH model in which we extract the filtered residuals and then apply the Peak over threshold model (POT) to fit the residual tails in order to model marginal distributions. After that, we use pair-copula to find the optimal portfolio risk dependence structure. Finally, with Monte Carlo simulations, we estimate the Value at Risk (VaR) and the conditional Value at Risk (CVaR). The empirical results show the VaR and CVaR values for an equally weighted portfolio of Dow Jones Islamic-conventional pairs. In sum, we found that the optimal investment focuses on Islamic-conventional US Market index pairs because of high investment proportion; however, all other index pairs have low investment proportion. These results deliver some real repercussions for portfolio managers and policymakers concerning to optimal asset allocations, portfolio risk management and the diversification advantages of these markets.

Keywords: CVaR, Dow Jones Islamic index, GJR-GARCH-EVT-pair copula, portfolio optimization

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1165 Feasibility of Small Hydropower Plants Odisha

Authors: Sanoj Sahu, Ramakar Jha

Abstract:

Odisha (India) is in need of reliable, cost-effective power generation. A prolonged electricity crisis and increasing power demand have left over thousands of citizens without access to electricity, and much of the population suffers from sporadic outages. The purpose of this project is to build a methodology to evaluate small hydropower potential, which can be used to alleviate the Odisha’s energy problem among rural communities. This project has three major tasks: the design of a simple SHEP for a single location along a river in the Odisha; the development of water flow prediction equations through a linear regression analysis; and the design of an ArcGIS toolset to estimate the flow duration curves (FDCs) at locations where data do not exist. An explanation of the inputs to the tool, as well has how it produces a suitable output for SHEP evaluation will be presented. The paper also gives an explanation of hydroelectric power generation in the Odisha, SHEPs, and the technical and practical aspects of hydroelectric power. Till now, based on topographical and rainfall analysis we have located hundreds of sites. Further work on more number of site location and accuracy of location is to be done.

Keywords: small hydropower, ArcGIS, rainfall analysis, Odisha’s energy problem

Procedia PDF Downloads 438