Search results for: stochastic deterioration modelling

Authors: Vinayak Bassi, Rajpreet Singh

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Over the years, with the emergence of sophisticated computers and algorithms, finance has been quantified using computational prowess. Asset valuation has been one of the key components of quantitative finance. In fact, it has become one of the embryonic steps in determining risk related to a portfolio, the main goal of quantitative finance. This study comprises a drawing comparison between valuation output generated by two stochastic dynamic models, namely Black-Scholes and Dupire’s bi-dimensionality model. Both of these models are formulated for computing the valuation function for a portfolio of European options using Monte Carlo simulation methods. Although Monte Carlo algorithms have a slower convergence rate than calculus-based simulation techniques (like FDM), they work quite effectively over high-dimensional dynamic models. A fidelity gap is analyzed between the static (historical) and stochastic inputs for a sample portfolio of underlying assets. In order to enhance the performance efficiency of the model, the study emphasized the use of variable reduction methods and customizing random number generators to implement parallelization. An attempt has been made to further implement the Dupire’s model on a GPU to achieve higher computational performance. Furthermore, ideas have been discussed around the performance enhancement and bottleneck identification related to the implementation of options-pricing models on GPUs.

Keywords: monte carlo, stochastic models, computational finance, parallel programming, scientific computing

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Authors: Kausik Halder, Nabendu Chaki, Ranjan Dasgupta

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We present a modelling framework that supports the engineering of early requirements specifications for design of learner centric dynamic Learning Management System. The framework is based on i* modelling tool and Means End Analysis, that adopts primitive concepts for modelling early requirements (such as actor, goal, and strategic dependency). We show how pedagogical and computational requirements for designing a learner centric Learning Management system can be adapted for the automatic early requirement engineering specifications. Finally, we presented a model on a Learner Quanta based adaptive Courseware. Our early requirement analysis shows that how means end analysis reveals gaps and inconsistencies in early requirements specifications that are by no means trivial to discover without the help of formal analysis tool.

Keywords: adaptive courseware, early requirement engineering, means end analysis, organizational modelling, requirement modelling

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Authors: Nikolaos Mamalis

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The work of the eminent architect and composer has undoubtedly been influenced both by his architecture and collaboration with Le Corbusier and by the conquests of the musical avant-garde of the 20th century (Schoenberg, Messian, Bartock, electroacoustic music). It is known that the golden mean and the Fibonacci sequence played a momentous role in the Architectural Avant-garde (Modulor) and expanded on musical pursuits. Especially in the 50s (serialism), it was a structural tool for composition. Xenakis' architectural and musical work (Sacrifice, Metastasis, Rebonds, etc.) received the influence of the Golden Section, as has been repeatedly demonstrated. However, the idea of this retrospective sequence and the reflection raised by the search for new proportions, both in the architectural and the musical work of Xenakis, was not limited to constituting a step, a workable formula that acted unifyingly with regard to the other parameters of the musical work, or as an aesthetic model that makes sense - philosophically and poetically - an anthropocentric dimension as in other composers (see Luigi Nono) ̇ triggered a qualitative leap, an opening of the composer to the assimilation of mathematical concepts and scientific types in music and the consolidation of new sound horizons of stochastic music.

Keywords: golden ratio, music, space, stochastic music

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Authors: Mohammad Mahdi Paydar, Armin Cheraghalipour, Mostafa Hajiaghaei-Keshteli

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Nowadays, in advanced countries, agriculture as one of the most significant sectors of the economy, plays an important role in its political and economic independence. Due to farmers' lack of information about products' demand and lack of proper planning for harvest time, annually the considerable amount of products is corrupted. Besides, in this paper, we attempt to improve these unfavorable conditions via designing an effective supply chain network that tries to minimize total costs of agricultural products along with minimizing shortage in demand points. To validate the proposed model, a stochastic optimization approach by using a branch and bound solver of the LINGO software is utilized. Furthermore, to accumulate the data of parameters, a case study in Mazandaran province placed in the north of Iran has been applied. Finally, using ɛ-constraint approach, a Pareto front is obtained and one of its Pareto solutions as best solution is selected. Then, related results of this solution are explained. Finally, conclusions and suggestions for the future research are presented.

Keywords: perishable products, stochastic optimization, agricultural supply chain, ɛ-constraint

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Authors: Zellagui Redouane, Bellaouar Ahmed, Lachi Mohammed

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The railway axles are the essential parts in the bogie of train, and its failure creates a big problem in the railway transport; during the work of this parts we noticed a premature deterioration. The aim has been presented a predictive model allowing the identification of the probable causes that are the cause of these premature deterioration. The results are employed for predicting fatigue crack growth in the railway axle, Also we want to present the variation value of stress intensity factor in different positions of elliptical crack tip. The modeling of axle in performed by the SOLID WORKS software and imported into ANSYS.

Keywords: crack growth, static load, railway axle, lifetime

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Authors: Pawan Kumar Sharma, Sudhakar Dwivedi, R. K. Arora

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Saffron is one of the most precious spices grown on the earth and is cultivated in a very limited area in few countries of the world. It has also been grown as a niche crop in Kishtwar district of Jammu region of Jammu and Kashmir State of India. This paper attempts to examine the presence of cost inefficiencies in saffron production and the associated socio-economic characteristics of saffron growers in the mentioned area. Although the numbers of inputs used in cultivation of saffron were limited, still cost inefficiencies were present in its production. The net present value (NPV), internal rate of return (IRR) and profitability index (PI) of investment in five years of saffron production were INR 1120803, 95.67 % and 3.52 respectively. The estimated coefficients of saffron stochastic cost function for saffron bulbs, human labour, animal labour, manure and saffron output were positive. The saffron growers having non-farm income were more cost inefficient as compared to farmers who did not have sources of income other than farming by 0.04 %. The maximum value of cost efficiency for saffron grower was 1.69 with mean value of 1.12. The majority of farmers have low cost inefficiencies, as the highest frequency of occurrence of the predicted cost efficiency was below 1.06.

Keywords: saffron, internal rate of return, cost efficiency, stochastic frontier model

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Authors: Reza Zakerinejad

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Gully erosion is a serious problem that threading the sustainability of agricultural area and rangeland and water in a large part of Iran. This type of water erosion is the main source of sedimentation in many catchment areas in the north of Iran. Since in many national assessment approaches just qualitative models were applied the aim of this study is to predict the spatial distribution of gully erosion processes by means of detail terrain analysis and GIS -based logistic regression in the loess deposition in a case study in the Golestan Province. This study the DEM with 25 meter result ion from ASTER data has been used. The Landsat ETM data have been used to mapping of land use. The TreeNet model as a stochastic modeling was applied to prediction the susceptible area for gully erosion. In this model ROC we have set 20 % of data as learning and 20 % as learning data. Therefore, applying the GIS and satellite image analysis techniques has been used to derive the input information for these stochastic models. The result of this study showed a high accurate map of potential for gully erosion.

Keywords: TreeNet model, terrain analysis, Golestan Province, Iran

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Authors: Jihad Daba, Jean-Pierre Dubois

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Multi path fading noise degrades the performance of cellular communication, most notably in femto- and pico-cells in 3G and 4G systems. When the wireless channel consists of a small number of scattering paths, the statistics of fading noise is not analytically tractable and poses a serious challenge to developing closed canonical forms that can be analysed and used in the design of efficient and optimal receivers. In this context, noise is multiplicative and is referred to as stochastically local fading. In many analytical investigation of multiplicative noise, the exponential or Gamma statistics are invoked. More recent advances by the author of this paper have utilized a Poisson modulated and weighted generalized Laguerre polynomials with controlling parameters and uncorrelated noise assumptions. In this paper, we investigate the statistics of multi-diversity stochastically local area fading channel when the channel consists of randomly distributed Rayleigh and Rician scattering centers with a coherent specular Nakagami-distributed line of sight component and an underlying doubly stochastic Poisson process driven by a lognormal intensity. These combined statistics form a unifying triply stochastic filtered marked Poisson point process model.

Keywords: cellular communication, femto and pico-cells, stochastically local area fading channel, triply stochastic filtered marked Poisson point process

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Authors: Kisan Sarda, Bhavika Shingote

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This paper aims to evaluate regression modelling for prediction of Energy storage of solar photovoltaic (PV) system using Semi parametric regression techniques because there are some parameters which are known while there are some unknown parameters like humidity, dust etc. Here irradiation of solar energy is different for different places on the basis of Latitudes, so by finding out areas which give more storage we can implement PV systems at those places and our need of energy will be fulfilled. This regression modelling is done for daily, monthly and seasonal prediction of solar energy storage. In this, we have used R modules for designing the algorithm. This algorithm will give the best comparative results than other regression models for the solar PV cell energy storage.

Keywords: semi parametric regression, photovoltaic (PV) system, regression modelling, irradiation

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Authors: Phanida Phukoetphim, Asaad Y. Shamseldin

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In this study, the novel Stochastic Gradient Boosting (SGB) combination method is addressed for producing daily river flows from four different rain-runoff models of Ohinemuri catchment, New Zealand. The selected rainfall-runoff models are two empirical black-box models: linear perturbation model and linear varying gain factor model, two conceptual models: soil moisture accounting and routing model and Nedbør-Afrstrømnings model. In this study, the simple average combination method and the weighted average combination method were used as a benchmark for comparing the results of the novel SGB combination method. The models and combination results are evaluated using statistical and graphical criteria. Overall results of this study show that the use of combination technique can certainly improve the simulated river flows of four selected models for Ohinemuri catchment, New Zealand. The results also indicate that the novel SGB combination method is capable of accurate prediction when used in a combination method of the simulated river flows in New Zealand.

Keywords: multi-model combination, rainfall-runoff modeling, stochastic gradient boosting, bioinformatics

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Authors: Go Bong Choi, Shin Je Lee, Sung Jin Yoo, Gibaek Lee, Jong Min Lee

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In South Korea, it is difficult to obtain data for statistical pipe assessment. In this paper, to address these issues, we find that various statistical model presented before is how data mixed with noise and are whether apply in South Korea. Three major type of model is studied and if data is presented in the paper, we add noise to data, which affects how model response changes. Moreover, we generate data from model in paper and analyse effect of noise. From this we can find robustness and applicability in Korea of each model.

Keywords: proportional hazard model, survival model, water main deterioration, ecological sciences

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Authors: Ayman M. Othman, Hassan Y. Ahmed, Tallat A. Ali

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Inadequate maintenance programs and funds allocated for highway networks in the developed countries have led to fast deterioration of road side elements. Therefore, this research focuses on developing a performance model for road side elements periodic maintenance activities. Road side elements that receive periodic maintenance include; earthen shoulder, road signs and traffic markings. Using the level of service concept, the developed model can determine the optimal periodic maintenance intervals for those elements based on a selected level of service suitable with the available periodic maintenance budget. Data related to time periods for progressive deterioration stages for the chosen elements were collected. Ten maintenance experts in Aswan, Sohag and Assiut cities were interviewed for that purpose. Time in months related to 10%, 25%, 40%, 50%, 75%, 90% and 100% deterioration of each road side element was estimated based on the experts opinion. Least square regression analysis has shown that a power function represents the best fit for earthen shoulders edge drop-off and damage of road signs with time. It was also evident that, the progressive dirtiness of road signs could be represented by a quadratic function an a linear function could represent the paint degradation nature of both traffic markings and road signs. Actual measurements of earthen shoulder edge drop-off agree considerably with the developed model.

Keywords: deterioration, level of service, periodic maintenance, performance model, road side element

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Authors: A. Y. Mukhtar, J. B. Munyakazi, R. Ouifki

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Over the past few decades, the unprecedented increase in mobility has raised considerable concern about the relationship between mobility and vector-borne diseases and malaria in particular. Thus, one can claim that human mobility is one of the contributing factors to the resurgence of malaria. To assess human mobility on malaria burden among hosts, we formulate a movement-based model on a network of patches. We then extend human multi-group SEIAR deterministic epidemic models into a system of stochastic differential equations (SDEs). Our quantitative stochastic model which is expressed in terms of average rates of movement between compartments is fitted to time-series data (weekly malaria data of 2011 for each patch) using the maximum likelihood approach. Using the metapopulation (multi-group) model, we compute and analyze the basic reproduction number. The result shows that human movement is sufficient to preserve malaria disease firmness in the patches with the low transmission. With these results, we concluded that the sensitivity of malaria to the human mobility is turning to be greatly important over the implications of future malaria control in South Sudan.

Keywords: basic reproduction number, malaria, maximum likelihood, movement, stochastic model

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Authors: Felix Baumann, Aleksandar Milutinovic, Dieter Roller

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Up to this point business process management projects in general and business process modelling projects in particular could not rely on a practical and scientifically validated method to estimate cost and effort. Especially the model development phase is not covered by a cost estimation method or model. Further phases of business process modelling starting with implementation are covered by initial solutions which are discussed in the literature. This article proposes a method of filling this gap by deriving a cost estimation method from available methods in similar domains namely software development or software engineering. Software development is regarded as closely similar to process modelling as we show. After the proposition of this method different ideas for further analysis and validation of the method are proposed. We derive this method from COCOMO II and Function Point which are established methods of effort estimation in the domain of software development. For this we lay out similarities of the software development rocess and the process of process modelling which is a phase of the Business Process Management life-cycle.

Keywords: COCOMO II, busines process modeling, cost estimation method, BPM COCOMO

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Authors: Eslam Mohammed Abdelkader, Mohamed Marzouk, Tarek Zayed

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Infrastructure systems are crucial to every aspect of life on Earth. Existing Infrastructure is subjected to degradation while the demands are growing for a better infrastructure system in response to the high standards of safety, health, population growth, and environmental protection. Bridges play a crucial role in urban transportation networks. Moreover, they are subjected to high level of deterioration because of the variable traffic loading, extreme weather conditions, cycles of freeze and thaw, etc. The development of Bridge Management Systems (BMSs) has become a fundamental imperative nowadays especially in the large transportation networks due to the huge variance between the need for maintenance actions, and the available funds to perform such actions. Deterioration models represent a very important aspect for the effective use of BMSs. This paper presents a probabilistic time-based model that is capable of predicting the condition ratings of the concrete bridge decks along its service life. The deterioration process of the concrete bridge decks is modeled using semi-Markov process. One of the main challenges of the Markov Chain Decision Process (MCDP) is the construction of the transition probability matrix. Yet, the proposed model overcomes this issue by modeling the sojourn times based on some probability density functions. The sojourn times of each condition state are fitted to probability density functions based on some goodness of fit tests such as Kolmogorov-Smirnov test, Anderson Darling, and chi-squared test. The parameters of the probability density functions are obtained using maximum likelihood estimation (MLE). The condition ratings obtained from the Ministry of Transportation in Quebec (MTQ) are utilized as a database to construct the deterioration model. Finally, a comparison is conducted between the Markov Chain and semi-Markov chain to select the most feasible prediction model.

Keywords: bridge management system, bridge decks, deterioration model, Semi-Markov chain, sojourn times, maximum likelihood estimation

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Authors: Silas A. Ihedioha

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In this work; it is considered that an investor’s portfolio is comprised of two assets; a risky stock which price process is driven by the geometric Brownian motion and a risk-free asset with Ornstein-Uhlenbeck Stochastic interest rate of return, where consumption, taxes, transaction costs and dividends are involved. This paper aimed at the optimization of the investor’s expected utility of consumption and terminal return on his investment at the terminal time having power utility preference. Using dynamic optimization procedure of maximum principle, a second order nonlinear partial differential equation (PDE) (the Hamilton-Jacobi-Bellman equation HJB) was obtained from which an ordinary differential equation (ODE) obtained via elimination of variables. The solution to the ODE gave the closed form solution of the investor’s problem. It was found the optimal investment in the risky asset is horizon dependent and a ratio of the total amount available for investment and the relative risk aversion coefficient.

Keywords: optimal, investment, Ornstein-Uhlenbeck, utility maximization, stochastic interest rate, maximum principle

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Authors: Ana Clara Santos, Maria Manuela Portela, Bettina Schaefli

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This work assesses the performance of an analytical model framework to generate daily flow duration curves, FDCs, based on climatic characteristics of the catchments and on their streamflow recession coefficients. According to the analytical model framework, precipitation is considered to be a stochastic process, modeled as a marked Poisson process, and recession is considered to be deterministic, with parameters that can be computed based on different models. The analytical model framework was tested for three case studies with different hydrological regimes located in Switzerland: pluvial, snow-dominated and glacier. For that purpose, five time intervals were analyzed (the four meteorological seasons and the civil year) and two developments of the model were tested: one considering a linear recession model and the other adopting a nonlinear recession model. Those developments were combined with recession coefficients obtained from two different approaches: forward and inverse estimation. The performance of the analytical framework when considering forward parameter estimation is poor in comparison with the inverse estimation for both, linear and nonlinear models. For the pluvial catchment, the inverse estimation shows exceptional good results, especially for the nonlinear model, clearing suggesting that the model has the ability to describe FDCs. For the snow-dominated and glacier catchments the seasonal results are better than the annual ones suggesting that the model can describe streamflows in those conditions and that future efforts should focus on improving and combining seasonal curves instead of considering single annual ones.

Keywords: analytical streamflow distribution, stochastic process, linear and non-linear recession, hydrological modelling, daily discharges

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Authors: Sanam Haseen, Abdul Bari

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In this paper a three stage multivariate programming problem with random survey cost and variances as random variables has been formulated as a non-linear stochastic programming problem. The problem has been converted into an equivalent deterministic form using chance constraint programming and modified E-modeling. An empirical study of the problem has been done at the end of the paper using R-simulation.

Keywords: chance constraint programming, modified E-model, stochastic programming, stratified sample surveys, three stage sample surveys

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Authors: Hassan Manouzi

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We present in this paper a useful strategy to solve stochastic partial differential equations (SPDEs) involving stochastic coefficients. Using the Wick-product of higher order and the Wiener-Itˆo chaos expansion, the SPDEs is reformulated as a large system of deterministic partial differential equations. To reduce the computational complexity of this system, we shall use a decomposition-coordination method. To obtain the chaos coefficients in the corresponding deterministic equations, we use a least square formulation. Once this approximation is performed, the statistics of the numerical solution can be easily evaluated.

Keywords: least squares, wick product, SPDEs, finite element, wiener chaos expansion, gradient method

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Authors: Ghania Zerari, Abderrezak Guessoum, Rachid Beguenane

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This paper introduces high-performance architecture for fully parallel stochastic Low-Density Parity-Check (LDPC) field programmable gate array (FPGA) based LDPC decoder. The new approach is designed to decrease the decoding latency and to reduce the FPGA logic utilisation. To accomplish the target logic utilisation reduction, the routing of the proposed sub-variable node (VN) internal memory is designed to utilize one slice distributed RAM. Furthermore, a VN initialization, using the channel input probability, is achieved to enhance the decoder convergence, without extra resources and without integrating the output saturated-counters. The Xilinx FPGA implementation, of IEEE 802.3an standard LDPC code, shows that the proposed decoding approach attain high performance along with reduction of FPGA logic utilisation.

Keywords: low-density parity-check (LDPC) decoder, stochastic decoding, field programmable gate array (FPGA), IEEE 802.3an standard

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Authors: Likewin Thomas, M. V. Manoj Kumar, B. Annappa

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The aim of this study was to develop an Artificial Neural Network0 s recommendation model for an online process using the complexity of load, performance, and average servicing time of the resources. Here, the proposed model investigates the resource performance using stochastic gradient decent method for learning ranking function. A probabilistic cost function is implemented to identify the optimal θ values (load) on each resource. Based on this result the recommendation of resource suitable for performing the currently executing task is made. The test result of CoSeLoG project is presented with an accuracy of 72.856%.

Keywords: ADALINE, neural network, gradient decent, process mining, resource behaviour, polynomial regression model

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Authors: Ahmet Kaya

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Quantum mechanism is one of the most important approaches to calculating non-ruin probability. We apply standard Dirac notation to model given Hamiltonians. By using the traditional method and eigenvector basis, non-ruin probability is found for several examples. Also, non-ruin probability is calculated for two different Hamiltonian by using the tensor product. Finally, the path integral method is applied to the examples and comparison is made for stochastic simulations and path integral calculation.

Keywords: quantum physics, Hamiltonian system, path integral, tensor product, ruin probability

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Authors: Karolína Vozková, Matěj Kuc

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This paper analyzes recent trends in cost efficiency of European cooperative banks using efficient frontier analysis. Our methodology is based on stochastic frontier analysis which is run on a set of 649 European cooperative banks using data between 2006 and 2015. Our results show that average inefficiency of European cooperative banks is increasing since 2008, smaller cooperative banks are significantly more efficient than the bigger ones over the whole time period and that share of net fee and commission income to total income surprisingly seems to have no impact on bank cost efficiency.

Keywords: cooperative banks, cost efficiency, efficient frontier analysis, stochastic frontier analysis, net fee and commission income

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Authors: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

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Introduced by Shannon in 1948 in the field of information theory as the average rate at which information is produced by a stochastic set of data, the concept of entropy has gained much attention as a measure of uncertainty and unpredictability associated with a dynamical system, eventually depicted by a stochastic process. In particular, the Shannon entropy measures the degree of order/disorder of a given signal and provides useful information about the underlying dynamical process. It has found widespread application in a variety of fields, such as, for example, cryptography, statistical physics and finance. In this regard, many contributions have employed different measures of entropy in an attempt to characterize the financial time series in terms of market efficiency, market crashes and/or financial crises. The Shannon entropy has also been considered as a measure of the risk of a portfolio or as a tool in asset pricing. This work investigates the theoretical link between the Shannon entropy and the multifractional Brownian motion (mBm), stochastic process which recently is the focus of a renewed interest in finance as a driving model of stochastic volatility. In particular, after exploring the current state of research in this area and highlighting some of the key results and open questions that remain, we show a well-defined relationship between the Shannon (log)entropy and the memory function H(t) of the mBm. In details, we allow both the length of time series and time scale to change over analysis to study how the relation modify itself. On the one hand, applications are developed after generating surrogates of mBm trajectories based on different memory functions; on the other hand, an empirical analysis of several international stock indexes, which confirms the previous results, concludes the work.

Keywords: Shannon entropy, multifractional Brownian motion, Hurst–Holder exponent, stock indexes

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Authors: Muleya Nqobile, Winston Garira

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We presented a compartmental deterministic multi-scale model which encompass internal plant defensive mechanism and pathogen interaction, then we consider nesting the model into the epidemiological model. The objective was to improve our understanding of the transmission dynamics of within host and between host of Guignardia citricapa Kiely. The inflow of infected class was scaled down to individual level while the outflow was scaled up to average population level. Conceptual model and mathematical model were constructed to display a theoretical framework which can be used for predicting or identify disease pattern.

Keywords: epidemiological model, mathematical modelling, multi-scale modelling, immunological model

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Authors: Loïc Warscotte, Jehan Boreux

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The scientific literature of changepoint detection is vast. Today, a lot of methods are available to detect abrupt changes or slight drift in a signal, based on CUSUM or EWMA charts, for example. However, these methods rely on strong assumptions, such as the stationarity of the stochastic underlying process, or even the independence and Gaussian distributed noise at each time. Recently, the breakthrough research on locally stationary processes widens the class of studied stochastic processes with almost no assumptions on the signals and the nature of the changepoint. Despite the accurate description of the mathematical aspects, this methodology quickly suffers from impractical time and space complexity concerning the signals with high-rate data collection, if the characteristics of the process are completely unknown. In this paper, we then addressed the problem of making this theory usable to our purpose, which is monitoring a high-speed weigh-in-motion system (HS-WIM) towards direct enforcement without supervision. To this end, we first compute bounded approximations of the initial detection theory. Secondly, these approximating bounds are empirically validated by generating many independent long-run stochastic processes. The abrupt changes and the drift are both tested. Finally, this relaxed methodology is tested on real signals coming from a HS-WIM device in Belgium, collected over several months.

Keywords: changepoint, weigh-in-motion, process, non-parametric

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Authors: Karim Hamidi Machekposhti, Hossein Sedghi

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This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.

Keywords: stochastic models, ARIMA, extreme streamflow, Karkheh river

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Authors: Salinee Thumronglaohapun

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The proper number and appropriate locations of service centers can save cost, raise revenue and gain more satisfaction from customers. Establishing service centers is high-cost and difficult to relocate. In long-term planning periods, several factors may affect the service. One of the most critical factors is uncertain demand of customers. The opened service centers need to be capable of serving customers and making a profit although the demand in each period is changed. In this work, the capacitated location-allocation problem with stochastic demand is considered. A mathematical model is formulated to determine suitable locations of service centers and their allocation to maximize total profit for multiple planning periods. Two heuristic methods, a local search and genetic algorithm, are used to solve this problem. For the local search, five different chances to choose each type of moves are applied. For the genetic algorithm, three different replacement strategies are considered. The results of applying each method to solve numerical examples are compared. Both methods reach to the same best found solution in most examples but the genetic algorithm provides better solutions in some cases.

Keywords: location-allocation problem, stochastic demand, local search, genetic algorithm

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Authors: Baha Hasan, Jan Wikander

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This paper describes a part of the integrating work between assembly design and assembly process planning domains (APP). The work is based, in its first stage, on modelling assembly features to support APP. A multi-layer architecture, based on feature-based modelling, is proposed to establish a dynamic and adaptable link between product design using CAD tools and APP. The proposed approach is based on deriving “specific function” features from the “generic” assembly and form features extracted from the CAD tools. A hierarchal structure from “generic” to “specific” and from “high level geometrical entities” to “low level geometrical entities” is proposed in order to integrate geometrical and assembly data extracted from geometrical and assembly modelers to the required processes and resources in APP. The feature concept, feature-based modelling, and feature recognition techniques are reviewed.

Keywords: assembly feature, assembly process planning, feature, feature-based modelling, form feature, ontology

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Authors: Mehdi Jalalpour, Mazdak Tootkaboni

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We present a computationally efficient method for reliability-based topology optimization under material properties uncertainty, which is assumed to be lognormally distributed and correlated within the domain. Computational efficiency is achieved through estimating the response statistics with stochastic perturbation of second order, using these statistics to fit an appropriate distribution that follows the empirical distribution of the response, and employing an efficient gradient-based optimizer. The proposed algorithm is utilized for design of new structures and the changes in the optimized topology is discussed for various levels of target reliability and correlation strength. Predictions were verified thorough comparison with results obtained using Monte Carlo simulation.

Keywords: material uncertainty, stochastic perturbation, structural reliability, topology optimization

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