Search results for: stochastic meta-frontier model

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: H. M. Soroush

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The problem of scheduling products and services for on-time deliveries is of paramount importance in today’s competitive environments. It arises in many manufacturing and service organizations where it is desirable to complete jobs (products or services) with different weights (penalties) on or before their due dates. In such environments, schedules should frequently decide whether to schedule a job based on its processing time, due-date, and the penalty for tardy delivery to improve the system performance. For example, it is common to measure the weighted number of late jobs or the percentage of on-time shipments to evaluate the performance of a semiconductor production facility or an automobile assembly line. In this paper, we address the problem of scheduling a set of jobs on a server where processing times or due-dates of jobs are random variables and fixed weights (penalties) are imposed on the jobs’ late deliveries. The goal is to find the schedule that minimizes the expected weighted number of tardy jobs. The problem is NP-hard to solve; however, we explore three scenarios of the problem wherein: (i) both processing times and due-dates are stochastic; (ii) processing times are stochastic and due-dates are deterministic; and (iii) processing times are deterministic and due-dates are stochastic. We prove that special cases of these scenarios are solvable optimally in polynomial time, and introduce efficient heuristic methods for the general cases. Our computational results show that the heuristics perform well in yielding either optimal or near optimal sequences. The results also demonstrate that the stochasticity of processing times or due-dates can affect scheduling decisions. Moreover, the proposed problem is general in the sense that its special cases reduce to some new and some classical stochastic single machine models.

Keywords: number of late jobs, scheduling, single server, stochastic

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Authors: A. A. Hussen, I. N. Jleta

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Micro-electromechanical system (MEMS) accelerometers and gyroscopes are suitable for the inertial navigation system (INS) of many applications due to the low price, small dimensions and light weight. The main disadvantage in a comparison with classic sensors is a worse long term stability. The estimation accuracy is mostly affected by the time-dependent growth of inertial sensor errors, especially the stochastic errors. In order to eliminate negative effect of these random errors, they must be accurately modeled. Where the key is the successful implementation that depends on how well the noise statistics of the inertial sensors is selected. In this paper, the Allan variance technique will be used in modeling the stochastic errors of the inertial sensors. By performing a simple operation on the entire length of data, a characteristic curve is obtained whose inspection provides a systematic characterization of various random errors contained in the inertial-sensor output data.

Keywords: Allan variance, accelerometer, gyroscope, stochastic errors

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Authors: Sujoy Das, M. M. Ghosh

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The thermal conductivity of a fluid can be significantly enhanced by dispersing nano-sized particles in it, and the resultant fluid is termed as "nanofluid". A theoretical model for estimating the thermal conductivity of a nanofluid has been proposed here. It is based on the mechanism that evenly dispersed nanoparticles within a nanofluid undergo Brownian motion in course of which the nanoparticles repeatedly collide with the heat source. During each collision a rapid heat transfer occurs owing to the solid-solid contact. Molecular dynamics (MD) simulation of the collision of nanoparticles with the heat source has shown that there is a pulse-like pick up of heat by the nanoparticles within 20-100 ps, the extent of which depends not only on thermal conductivity of the nanoparticles, but also on the elastic and other physical properties of the nanoparticle. After the collision the nanoparticles undergo Brownian motion in the base fluid and release the excess heat to the surrounding base fluid within 2-10 ms. The Brownian motion and associated temperature variation of the nanoparticles have been modeled by stochastic analysis. Repeated occurrence of these events by the suspended nanoparticles significantly contributes to the characteristic thermal conductivity of the nanofluids, which has been estimated by the present model for a ethylene glycol based nanofluid containing Cu-nanoparticles of size ranging from 8 to 20 nm, with Gaussian size distribution. The prediction of the present model has shown a reasonable agreement with the experimental data available in literature.

Keywords: brownian dynamics, molecular dynamics, nanofluid, thermal conductivity

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Authors: Rebecca Owusu Coffie, Atakelty Hailu

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Variants of production frontier models have emerged, however, only a limited number of them are applied in empirical research. Hence the effects of these alternative frontier models are not well understood, particularly within sub-Saharan Africa. In this paper, we apply recent advances in the production frontier to examine levels of technical efficiency and efficiency drivers. Specifically, we compare the heteroscedastic parametric and the semiparametric stochastic smooth coefficient (SPSC) models. Using rice production data from Ghana, our empirical estimates reveal that alternative specification of efficiency estimators results in either downward or upward bias in the technical efficiency estimates. Methodologically, we find that the SPSC model is more suitable and generates high-efficiency estimates. Within the parametric framework, we find that parameterization of both the mean and variance of the pre-truncated function is the best model. For the drivers of technical efficiency, we observed that longer farm distances increase inefficiency through a reduction in labor productivity. High soil quality, however, increases productivity through increased land productivity.

Keywords: pre-truncated, rice production, smooth coefficient, technical efficiency

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Authors: Miljan B. Petrović, Dušan B. Petrović, Goran S. Nikolić

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This paper describes a method for AWGN (Additive White Gaussian Noise) variance estimation in noisy stochastic signals, referred to as Multiplicative-Noising Variance Estimation (MNVE). The aim was to develop an estimation algorithm with minimal number of assumptions on the original signal structure. The provided MATLAB simulation and results analysis of the method applied on speech signals showed more accuracy than standardized AR (autoregressive) modeling noise estimation technique. In addition, great performance was observed on very low signal-to-noise ratios, which in general represents the worst case scenario for signal denoising methods. High execution time appears to be the only disadvantage of MNVE. After close examination of all the observed features of the proposed algorithm, it was concluded it is worth of exploring and that with some further adjustments and improvements can be enviably powerful.

Keywords: noise, signal-to-noise ratio, stochastic signals, variance estimation

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Authors: Francis Mugabi, Kevin Duffy, Joseph J. Y. T Mugisha, Obiora Collins

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Bluetongue virus (BTV) has 27 serotypes, with some of them coexisting in patchy (different) environments, which make its control difficult. Wind-aided midge movement is a known mechanism in the spread of BTV. However, its effects on the probability of coexistence of multiple BTV serotypes are not clear. Deterministic and stochastic models for r BTV serotypes in n discrete patches connected by midge and/or cattle movement are formulated and analyzed. For the deterministic model without midge and cattle movement, using the comparison principle, it is shown that if the patch reproduction number R0 < 1, i=1,2,...,n, j=1,2,...,r, all serotypes go extinct. If R^j_i0>1, competitive exclusion takes place. Using numerical simulations, it is shown that when the n patches are connected by midge movement, coexistence takes place. To account for demographic and movement variability, the deterministic model is transformed into a continuous-time Markov chain stochastic model. Utilizing a multitype branching process, it is shown that the midge movement can have a large effect on the probability of coexistence of multiple BTV serotypes. The probability of coexistence can be brought to zero when the control interventions that directly kill the adult midges are applied. These results indicate the significance of wind-aided midge movement and vector control interventions on the coexistence and control of multiple BTV serotypes in patchy environments.

Keywords: bluetongue virus, coexistence, multiple serotypes, midge movement, branching process

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Authors: Samuel Oluwafemi Oyamakin, Angela Unna Chukwu

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Richrads growth equation being a generalized logistic growth equation was improved upon by introducing an allometric parameter using the hyperbolic sine function. The integral solution to this was called hyperbolic Richards growth model having transformed the solution from deterministic to a stochastic growth model. Its ability in model prediction was compared with the classical Richards growth model an approach which mimicked the natural variability of heights/diameter increment with respect to age and therefore provides a more realistic height/diameter predictions using the coefficient of determination (R2), Mean Absolute Error (MAE) and Mean Square Error (MSE) results. The Kolmogorov-Smirnov test and Shapiro-Wilk test was also used to test the behavior of the error term for possible violations. The mean function of top height/Dbh over age using the two models under study predicted closely the observed values of top height/Dbh in the hyperbolic Richards nonlinear growth models better than the classical Richards growth model.

Keywords: height, diameter at breast height, DBH, hyperbolic sine function, Pinus caribaea, Richards' growth model

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Authors: Augustine Okolie, Johannes Müller, Mirjam Kretzchmar

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We adopt a maximum-likelihood framework to estimate parameters of a stochastic susceptible-infected-recovered (SIR) model with contact tracing on a rooted random tree. Given the number of detectees per index case, our estimator allows to determine the degree distribution of the random tree as well as the tracing probability. Since we do not discover all infectees via contact tracing, this estimation is non-trivial. To keep things simple and stable, we develop an approximation suited for realistic situations (contract tracing probability small, or the probability for the detection of index cases small). In this approximation, the only epidemiological parameter entering the estimator is the basic reproduction number R0. The estimator is tested in a simulation study and applied to covid-19 contact tracing data from India. The simulation study underlines the efficiency of the method. For the empirical covid-19 data, we are able to compare different degree distributions and perform a sensitivity analysis. We find that particularly a power-law and a negative binomial degree distribution meet the data well and that the tracing probability is rather large. The sensitivity analysis shows no strong dependency on the reproduction number.

Keywords: stochastic SIR model on graph, contact tracing, branching process, parameter inference

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Authors: Liang Liu, Xiaopeng Luo

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In this paper, we propose an accelerated stochastic gradient method with momentum. The momentum term is the weighted average of generated gradients, and the weights decay inverse proportionally with the iteration times. Stochastic gradient descent with momentum (SGDM) uses weights that decay exponentially with the iteration times to generate the momentum term. Using exponential decay weights, variants of SGDM with inexplicable and complicated formats have been proposed to achieve better performance. However, the momentum update rules of our method are as simple as that of SGDM. We provide theoretical convergence analyses, which show both the exponential decay weights and our inverse proportional decay weights can limit the variance of the parameter moving directly to a region. Experimental results show that our method works well with many practical problems and outperforms SGDM.

Keywords: exponential decay rate weight, gradient descent, inverse proportional decay rate weight, momentum

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Authors: S. Rozhkova, O. Rozhkova, A. Harlova, V. Lasukov

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We have conducted the optimal synthesis of root-mean-squared objective filter to estimate the state vector in the case if within the observation channel with memory the anomalous noises with unknown mathematical expectation are complement in the function of the regular noises. The synthesis has been carried out for linear stochastic systems of continuous-time.

Keywords: mathematical expectation, filtration, anomalous noise, memory

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Authors: Jessemyn Modiini, Timothy Lynar, Elena Sitnikova

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We present a novel enhanced compartmental model for malware spread analysis in cyber security. This paper applies cyber security data features to epidemiological compartmental models to model the infectious potential of malware. Compartmental models are most efficient for calculating the infectious potential of a disease. In this paper, we discuss and profile epidemiologically relevant data features from a Domain Name System (DNS) dataset. We then apply these features to epidemiological compartmental models to network traffic features. This paper demonstrates how epidemiological principles can be applied to the novel analysis of key cybersecurity behaviours and trends and provides insight into threat modelling above that of kill-chain analysis. In applying deterministic compartmental models to a cyber security use case, the authors analyse the deficiencies and provide an enhanced stochastic model for cyber epidemiology. This enhanced compartmental model (SUEICRN model) is contrasted with the traditional SEIR model to demonstrate its efficacy.

Keywords: cybersecurity, epidemiology, cyber epidemiology, malware

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Authors: Ali Ben Abbes, ImedRiadh Farah, Vincent Barra

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Remotely sensed data are a significant source for monitoring and updating databases for land use/cover. Nowadays, changes detection of urban area has been a subject of intensive researches. Timely and accurate data on spatio-temporal changes of urban areas are therefore required. The data extracted from multi-temporal satellite images are usually non-stationary. In fact, the changes evolve in time and space. This paper is an attempt to propose a methodology for changes detection in urban area by combining a non-stationary decomposition method and stochastic modeling. We consider as input of our methodology a sequence of satellite images I₁, I₂, … I_n at different periods (t = 1, 2, ..., n). Firstly, a preprocessing of multi-temporal satellite images is applied. (e.g. radiometric, atmospheric and geometric). The systematic study of global urban expansion in our methodology can be approached in two ways: The first considers the urban area as one same object as opposed to non-urban areas (e.g. vegetation, bare soil and water). The objective is to extract the urban mask. The second one aims to obtain a more knowledge of urban area, distinguishing different types of tissue within the urban area. In order to validate our approach, we used a database of Tres Cantos-Madrid in Spain, which is derived from Landsat for a period (from January 2004 to July 2013) by collecting two frames per year at a spatial resolution of 25 meters. The obtained results show the effectiveness of our method.

Keywords: multi-temporal satellite image, urban growth, non-stationary, stochastic model

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Authors: Arnold Missiame

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In Ghana, rural dwellers who depend primarily on agriculture for their livelihood constitute about 60% of the country’s population. This shows the critical role and potentials of the agricultural sector in helping to achieve Ghana’s vision 2030. With the current threat of climate change and advancements in technology, agricultural extension is not just about technology transfer and improvements in productivity, but it is also about improving the managerial and technical skills of farmers. In Ghana, the government of Ghana as well as other players in the sector like; non-governmental organizations, NGOs, local and international funding agencies, for decades now, have made capacity-building-investments in smallholder farmers by way of extension services delivery. This study sought to compare the technical efficiency of farmers who have access to agricultural extension and farmers who do not in Ghana. The study employed the stochastic meta-frontier model to analyze household survey data comprising 300 smallholder cassava farmers from the Fanteakwa district of Ghana. The farmers were selected through a two-stage sampling technique where 5 communities were purposively selected in the first stage and then 60 smallholder cassava farmers were randomly selected from each of the 5 communities. Semi-structured questionnaires were used to collect data on farmers’ socioeconomic and farm-level characteristics. The results showed that farmers who have access to agricultural extensions services have higher technical efficiencies (TE) and produce much closer to their meta-production frontiers (higher technology gap ratios (TGR) than farmers who do not have access to such extension services. Furthermore, experience in cassava cultivation and formal education significantly improves the technical efficiencies of farmers. The study recommends that the mode and scope of agricultural extension service delivery in the country should be enhanced to ensure that smallholder farmers have easy access to extension agents.

Keywords: agricultural extension, Ghana, smallholder farmers, stochastic meta-frontier model, technical efficiency

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Authors: Joelle Fong

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Older persons are at greatest risk of becoming frail. As survival to the age of 80 and beyond continues to increase, the health and frailty of older Americans has garnered much recent attention among policy makers and healthcare administrators. This paper examines patterns in old-age frailty within a multistate actuarial model that characterizes the stochastic process of biological ageing. Using aggregate population-level U.S. mortality data, we implement a stochastic aging model to examine cohort trends and gender differences in frailty distributions for older Americans born 1865 – 1894. The stochastic ageing model, which draws from the fields of actuarial science and gerontology, is well-established in the literature. The implications for public health insurance programs are also discussed. Our results suggest that, on average, women tend to be frailer than men at older ages and reveal useful insights about the magnitude of the male-female differential at critical age points. Specifically, we note that the frailty statuses of males and females are actually quite comparable from ages 65 to 80. Beyond age 80, however, the frailty levels start to diverge considerably implying that women are moving quicker into worse states of health than men. Tracking average frailty by gender over 30 successive birth cohorts, we also find that frailty levels for both genders follow a distinct peak-and-trough pattern. For instance, frailty among 85-year old American survivors increased in years 1954-1963, decreased in years 1964-1971, and again started to increase in years 1972-1979. A number of factors may have accounted for these cohort differences including differences in cohort life histories, differences in disease prevalence, differences in lifestyle and behavior, differential access to medical advances, as well as changes in environmental risk factors over time. We conclude with a discussion on the implications of our findings on spending for long-term care programs within the broader health insurance system.

Keywords: actuarial modeling, cohort analysis, frail elderly, health

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Authors: Jihad S. Daba, J. P. Dubois

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Understanding the statistics of non-isotropic scattering multipath channels that fade randomly with respect to time, frequency, and space in a mobile environment is very crucial for the accurate detection of received signals in wireless and cellular communication systems. In this paper, we derive stochastic models for the probability density function (PDF) of the shift in the carrier frequency caused by the Doppler Effect on the received illuminating signal in the presence of a dominant line of sight. Our derivation is based on a generalized Clarke’s and a two-wave partially developed scattering models, where the statistical distribution of the frequency shift is shown to be consistent with the power spectral density of the Doppler shifted signal.

Keywords: Doppler shift, filtered Poisson process, generalized Clark’s model, non-isotropic scattering, partially developed scattering, Rician distribution

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Authors: Md. Jahoor Alam

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Recent studies suggest that Glucose controls several lifesaving pathways. Glucose molecule is reported to be responsible for the production of ROS (reactive oxygen species). In the present work, a p53-MDM2-Glucose model is developed in order to study spatiotemporal properties of the p53 pathway. The systematic model is mathematically described. The model is numerically simulated using high computational facility. It is observed that the variation in glucose concentration level triggers the system at different states, namely, oscillation death (stabilized), sustain and damped oscillations which correspond to various cellular states. The transition of these states induced by glucose is phase transition-like behaviour. Further, the amplitude of p53 dynamics with the variation of glucose concentration level follows power law behaviour, As(k) ~ kϒ, where, ϒ is a constant. Further Stochastic approach is needed for understanding of realistic behaviour of the model. The present model predicts the variation of p53 states under the influence of glucose molecule which is also supported by experimental facts reported by various research articles.

Keywords: oscillation, temporal behavior, p53, glucose

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Authors: Amin Karimi, Lele Zhang, Mark Fackrell

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Rural-to-urban population migrations are a global phenomenon, with projections indicating that by 2050, 68% of the world's population will inhabit densely populated urban centers. Concurrently, the popularity of e-commerce shopping has surged, evidenced by a 51% increase in total e-commerce sales from 2017 to 2021. Consequently, distribution and logistics systems, integral to effective supply chain management, confront escalating hurdles in efficiently delivering and distributing products within bustling urban environments. Additionally, events like environmental challenges and the COVID-19 pandemic have indicated that decision-makers are facing numerous sources of uncertainty. Therefore, to design an efficient and reliable logistics system, uncertainty must be considered. In this study, it examine fleet sizing and routing while considering uncertainty in demand rate. Fleet sizing is typically a strategic-level decision, while routing is an operational-level one. In this study, a carrier must make two types of decisions: strategic-level decisions regarding the number and types of drones to be purchased, and operational-level decisions regarding planning routes based on available fleet and realized demand. If the available fleets are insufficient to serve some customers, the carrier must outsource that delivery at a relatively high cost, calculated per order. With this hierarchy of decisions, it can model the problem using two-stage stochastic programming. The first-stage decisions involve planning the number and type of drones to be purchased, while the second-stage decisions involve planning routes. To solve this model, it employ logic-based benders decomposition, which decomposes the problem into a master problem and a set of sub-problems. The master problem becomes a mixed integer programming model to find the best fleet sizing decisions, and the sub-problems become capacitated vehicle routing problems considering battery status. Additionally, it assume a heterogeneous fleet based on load and battery capacity, and it consider that battery health deteriorates over time as it plan for multiple periods.

Keywords: drone-delivery, stochastic demand, VRP, fleet sizing

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Authors: Shabnam Najafi, Metin Turkay

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Network design problem (NDP) is used to determine the set of optimal values for certain pre-specified decision variables such as capacity expansion of nodes and links by optimizing various system performance measures including safety, congestion, and accessibility. The designed transportation network should improve objective functions defined for the system by considering the route choice behaviors of network users at the same time. The NDP studies mostly investigated the random demand and route selection constraints separately due to computational challenges. In this work, we consider both random demand and route selection constraints simultaneously. This work presents a nonlinear stochastic model for land use and road network design problem to address the development of different functional zones in urban areas by considering both cost function and air pollution. This model minimizes cost function and air pollution simultaneously with random demand and stochastic route selection constraint that aims to optimize network performance via road capacity expansion. The Bureau of Public Roads (BPR) link impedance function is used to determine the travel time function in each link. We consider a city with origin and destination nodes which can be residential or employment or both. There are set of existing paths between origin-destination (O-D) pairs. Case of increasing employed population is analyzed to determine amount of roads and origin zones simultaneously. Minimizing travel and expansion cost of routes and origin zones in one side and minimizing CO emission in the other side is considered in this analysis at the same time. In this work demand between O-D pairs is random and also the network flow pattern is subject to stochastic user equilibrium, specifically logit route choice model. Considering both demand and route choice, random is more applicable to design urban network programs. Epsilon-constraint is one of the methods to solve both linear and nonlinear multi-objective problems. In this work epsilon-constraint method is used to solve the problem. The problem was solved by keeping first objective (cost function) as the objective function of the problem and second objective as a constraint that should be less than an epsilon, where epsilon is an upper bound of the emission function. The value of epsilon should change from the worst to the best value of the emission function to generate the family of solutions representing Pareto set. A numerical example with 2 origin zones and 2 destination zones and 7 links is solved by GAMS and the set of Pareto points is obtained. There are 15 efficient solutions. According to these solutions as cost function value increases, emission function value decreases and vice versa.

Keywords: epsilon-constraint, multi-objective, network design, stochastic

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Authors: Yen-Po Wang, Ming-Chih Huang, Ming-Lian Chang

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A scheme integrated with deterministic–stochastic subspace system identification and the method of damage localization vector is proposed in this study for damage detection of structures based on seismic response data. A series of shaking table tests using a five-storey steel frame has been conducted in National Center for Research on Earthquake Engineering (NCREE), Taiwan. Damage condition is simulated by reducing the cross-sectional area of some of the columns at the bottom. Both single and combinations of multiple damage conditions at various locations have been considered. In the system identification analysis, either full or partial observation conditions have been taken into account. It has been shown that the damaged stories can be identified from global responses of the structure to earthquakes if sufficiently observed. In addition to detecting damage(s) with respect to the intact structure, identification of new or extended damages of the as-damaged (ill-conditioned) counterpart has also been studied. The proposed scheme proves to be effective.

Keywords: damage locating vectors, deterministic-stochastic subspace system, shaking table tests, system identification

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Authors: Pirom Thangchitpianpol, Suttipong Jumroonrut

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This research investigates the distribution of food demand for animal food and the optimum amount of that food production at minimum cost. The data consist of customer purchase orders for the food of laying hens, price of food for laying hens, cost per unit for the food inventory, cost related to food of laying hens in which the food is out of stock, such as fine, overtime, urgent purchase for material. They were collected from January, 1990 to December, 2013 from a factory in Nakhonratchasima province. The collected data are analyzed in order to explore the distribution of the monthly food demand for the laying hens and to see the rate of inventory per unit. The results are used in a stochastic linear programming model for aggregate planning in which the optimum production or minimum cost could be obtained. Programming algorithms in MATLAB and tools in Linprog software are used to get the solution. The distribution of the food demand for laying hens and the random numbers are used in the model. The study shows that the distribution of monthly food demand for laying has a normal distribution, the monthly average amount (unit: 30 kg) of production from January to December. The minimum total cost average for 12 months is Baht 62,329,181.77. Therefore, the production planning can reduce the cost by 14.64% from real cost.

Keywords: animal food, stochastic linear programming, aggregate planning, production planning, demand uncertainty

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Authors: Iacopo Carnacina, Mohammad Keshtpoor, Richard Yablonsky

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Non-structural protection measures against flooding are becoming increasingly popular flood risk mitigation strategies. In particular, coastal flood insurance impacts not only private citizens but also insurance and reinsurance companies, who may require it to retain solvency and better understand the risks they face from a catastrophic coastal flood event. In this context, a framework is presented here to assess the risk for coastal flooding across the UK. The area has a long history of catastrophic flood events, including the Great Flood of 1953 and the 2013 Cyclone Xaver storm, both of which led to significant loss of life and property. The current framework will leverage a technology based on a hydrodynamic model (Delft3D Flexible Mesh). This flexible mesh technology, coupled with a calibration technique, allows for better utilisation of computational resources, leading to higher resolution and more detailed results. The generation of a stochastic set of extra tropical cyclone (ETC) events supports the evaluation of the financial losses for the whole area, also accounting for correlations between different locations in different scenarios. Finally, the solution shows a detailed analysis for the Thames River, leveraging the information available on flood barriers and levees. Two realistic disaster scenarios for the Greater London area are simulated: In the first scenario, the storm surge intensity is not high enough to fail London’s flood defences, but in the second scenario, London’s flood defences fail, highlighting the potential losses from a catastrophic coastal flood event.

Keywords: storm surge, stochastic model, levee failure, Thames River

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Authors: Kannapha Amaruchkul

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We formulate a dynamic overbooking model for a tour operator, in which most reservations contain at least two people. The cancellation rate and the timing of the cancellation may depend on the group size. We propose two overbooking policies, namely economic- and service-based. In an economic-based policy, we want to minimize the expected oversold and underused cost, whereas, in a service-based policy, we ensure that the probability of an oversold situation does not exceed the pre-specified threshold. To illustrate the applicability of our approach, we use tour package data in 2016-2018 from a tour operator in Thailand to build a data-driven robust optimization model, and we tested the proposed overbooking policy in 2019. We also compare the data-driven approach to the conventional approach of fitting data into a probability distribution.

Keywords: applied stochastic model, data-driven robust optimization, overbooking, revenue management, tour operator

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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: Ali Nadi, Ali Edrissi

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Relief demand and transportation links availability is the essential information that is needed for every natural disaster operation. This information is not in hand once a disaster strikes. Relief demand and network condition has been evaluated based on prediction method in related works. Nevertheless, prediction seems to be over or under estimated due to uncertainties and may lead to a failure operation. Therefore, in this paper a stochastic programming model is proposed to evaluate real-time relief demand and network condition at the onset of a natural disaster. To address the time sensitivity of the emergency response, the proposed model uses reinforcement learning for optimization of the total relief assessment time. The proposed model is tested on a real size network problem. The simulation results indicate that the proposed model performs well in the case of collecting real-time information.

Keywords: disaster management, real-time demand, reinforcement learning, relief demand

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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: G. Shahzadi, A. Soulaimani

Abstract:

This research work aims to identify the physical parameters of the constitutive soil model in the design of a rockfill dam by inverse analysis. The best parameters of the constitutive soil model, are those that minimize the objective function, defined as the difference between the measured and numerical results. The Finite Element code (Plaxis) has been utilized for numerical simulation. Polynomial and neural network-based response surfaces have been generated to analyze the relationship between soil parameters and displacements. The performance of surrogate models has been analyzed and compared by evaluating the root mean square error. A comparative study has been done based on objective functions and optimization techniques. Objective functions are categorized by considering measured data with and without uncertainty in instruments, defined by the least square method, which estimates the norm between the predicted displacements and the measured values. Hydro Quebec provided data sets for the measured values of the Romaine-2 dam. Stochastic optimization, an approach that can overcome local minima, and solve non-convex and non-differentiable problems with ease, is used to obtain an optimum value. Genetic Algorithm (GA), Particle Swarm Optimization (PSO) and Differential Evolution (DE) are compared for the minimization problem, although all these techniques take time to converge to an optimum value; however, PSO provided the better convergence and best soil parameters. Overall, parameter identification analysis could be effectively used for the rockfill dam application and has the potential to become a valuable tool for geotechnical engineers for assessing dam performance and dam safety.

Keywords: Rockfill dam, parameter identification, stochastic analysis, regression, PLAXIS

Procedia PDF Downloads 107

Authors: Naragain Phumchusri, Kittitach Pongpairoj

Abstract:

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

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

Procedia PDF Downloads 146

Authors: Karolína Vozková, Matěj Kuc

Abstract:

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

Procedia PDF Downloads 180