Search results for: Monte Carlo methods

Authors: Thomas Fiedler, Irina V. Belova, Graeme E. Murch

Abstract:

Lattice Monte Carlo methods are an excellent choice for the simulation of non-linear thermal diffusion problems. In this paper, and for the first time, Lattice Monte Carlo analysis is performed on thermal diffusion combined with convective heat transfer. Laminar flow of water modeled as an incompressible fluid inside a copper pipe with a constant surface temperature is considered. For the simulation of thermal conduction, the temperature dependence of the thermal conductivity of the water is accounted for. Using the novel Lattice Monte Carlo approach, temperature distributions and energy fluxes are obtained.

Keywords: Coupled Analysis, Laminar Flow, Lattice MonteCarlo, Thermal Diffusion

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Authors: Edlira Donefski, Tina Donefski, Lorenc Ekonomi

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Edgeworth Approximation, Bootstrap and Monte Carlo Simulations have a considerable impact on the achieving certain results related to different problems taken into study. In our paper, we have treated a financial case related to the effect that have the components of a Cash-Flow of one of the most successful businesses in the world, as the financial activity, operational activity and investing activity to the cash and cash equivalents at the end of the three-months period. To have a better view of this case we have created a Vector Autoregression model, and after that we have generated the impulse responses in the terms of Asymptotic Analysis (Edgeworth Approximation), Monte Carlo Simulations and Residual Bootstrap based on the standard errors of every series created. The generated results consisted of the common tendencies for the three methods applied, that consequently verified the advantage of the three methods in the optimization of the model that contains many variants.

Keywords: Autoregression, Bootstrap, Edgeworth Expansion, Monte Carlo Method.

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Authors: Nabeel A. Qazi, Absaar ul Jabbar, Khalid Parvez

Abstract:

A code has been developed in Mathematica using Direct Simulation Monte Carlo (DSMC) technique. The code was tested for 2-D air flow around a circular cylinder. Same geometry and flow properties were used in FLUENT 6.2 for comparison. The results obtained from Mathematica simulation indicated significant agreement with FLUENT calculations, hence providing insight into particle nature of fluid flows.

Keywords: DSMC algorithm, non continuum gas flows, Monte Carlo methods

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Authors: Y. Shpungin

Abstract:

Estimating the lifetime distribution of computer networks in which nodes and links exist in time and are bound for failure is very useful in various applications. This problem is known to be NP-hard. In this paper we present efficient combinatorial approaches to Monte Carlo estimation of network lifetime distribution. We also present some simulation results.

Keywords: Combinatorial spectrum, Monte Carlo, Networklifetime, Unreliable nodes and edges.

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Authors: Ioannis Neokosmidis, Nikos Gkekas, Thomas Kamalakis, Thomas Sphicopoulos

Abstract:

In high powered dense wavelength division multiplexed (WDM) systems with low chromatic dispersion, four-wave mixing (FWM) can prove to be a major source of noise. The MultiCanonical Monte Carlo Method (MCMC) and the Split Step Fourier Method (SSFM) are combined to accurately evaluate the probability density function of the decision variable of a receiver, limited by FWM. The combination of the two methods leads to more accurate results, and offers the possibility of adding other optical noises such as the Amplified Spontaneous Emission (ASE) noise.

Keywords: Monte Carlo, Nonlinear optics, optical crosstalk, Wavelength-division Multiplexing (WDM).

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Authors: E. Al Daoud

Abstract:

In many cases, theoretical treatments are available for models for which there is no perfect physical realization. In this situation, the only possible test for an approximate theoretical solution is to compare with data generated from a computer simulation. In this paper, Monte Carlo tools are used to study and compare the elementary particles models. All the experiments are implemented using 10000 events, and the simulated energy is 13 TeV. The mean and the curves of several variables are calculated for each model using MadAnalysis 5. Anomalies in the results can be seen in the muons masses of the minimal supersymmetric standard model and the two Higgs doublet model.

Keywords: Feynman rules, hadrons, Lagrangian, Monte Carlo, simulation.

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Authors: Atamas N. A., Atamas A. A.

Abstract:

Energetic and structural results for ethanol-water mixtures as a function of the mole fraction were calculated using Monte Carlo methodology. Energy partitioning results obtained for equimolar water-ethanol mixture and ether organic liquids are compared. It has been shown that at xet=0.22 the RDFs for waterethanol and ethanol-ethanol interactions indicated strong hydrophobic interactions between ethanol molecules and the local structure of solution is less structured at this concentration as at ether ones. Results obtained for ethanol-water mixture as a function of concentration are in good agreement with the experimental data.

Keywords: Ethanol, molecular liquids, Monte Carlo, water, thermodynamics.

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Authors: Autcha Araveeporn

Abstract:

This paper is to compare the parameter estimation of the mean in normal distribution by Maximum Likelihood (ML), Bayes, and Markov Chain Monte Carlo (MCMC) methods. The ML estimator is estimated by the average of data, the Bayes method is considered from the prior distribution to estimate Bayes estimator, and MCMC estimator is approximated by Gibbs sampling from posterior distribution. These methods are also to estimate a parameter then the hypothesis testing is used to check a robustness of the estimators. Data are simulated from normal distribution with the true parameter of mean 2, and variance 4, 9, and 16 when the sample sizes is set as 10, 20, 30, and 50. From the results, it can be seen that the estimation of MLE, and MCMC are perceivably different from the true parameter when the sample size is 10 and 20 with variance 16. Furthermore, the Bayes estimator is estimated from the prior distribution when mean is 1, and variance is 12 which showed the significant difference in mean with variance 9 at the sample size 10 and 20.

Keywords: Bayes method, Markov Chain Monte Carlo method, Maximum Likelihood method, normal distribution.

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Authors: N. Dahbi, M. Daoudi, A.Belghachi

Abstract:

The present work deals with the calculation of transport properties of Hg0.8Cd0.2Te (MCT) semiconductor in degenerate case. Due to their energy-band structure, this material becomes degenerate at moderate doping densities, which are around 1015 cm-3, so that the usual Maxwell-Boltzmann approximation is inaccurate in the determination of transport parameters. This problem is faced by using Fermi-Dirac (F-D) statistics, and the non-parabolic behavior of the bands may be approximated by the Kane model. The Monte Carlo (MC) simulation is used here to determinate transport parameters: drift velocity, mean energy and drift mobility versus electric field and the doped densities. The obtained results are in good agreement with those extracted from literature.

Keywords: degeneracy case, Hg0.8Cd0.2Te semiconductor, Monte Carlo simulation, transport parameters.

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Authors: Miika Toivanen, Jouko Lampinen

Abstract:

This paper presents an online method that learns the corresponding points of an object from un-annotated grayscale images containing instances of the object. In the first image being processed, an ensemble of node points is automatically selected which is matched in the subsequent images. A Bayesian posterior distribution for the locations of the nodes in the images is formed. The likelihood is formed from Gabor responses and the prior assumes the mean shape of the node ensemble to be similar in a translation and scale free space. An association model is applied for separating the object nodes and background nodes. The posterior distribution is sampled with Sequential Monte Carlo method. The matched object nodes are inferred to be the corresponding points of the object instances. The results show that our system matches the object nodes as accurately as other methods that train the model with annotated training images.

Keywords: Bayesian modeling, Gabor filters, Online learning, Sequential Monte Carlo.

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Authors: N. Massoum, B. Bouazza, H. Tahir, C. Sayah, A. Guen Bouazza

Abstract:

to simulate the phenomenon of electronic transport in semiconductors, we try to adapt a numerical method, often and most frequently it’s that of Monte Carlo. In our work, we applied this method in the case of a ternary alloy semiconductor GaInP in its cubic form; The Calculations are made using a non-parabolic effective-mass energy band model. We consider a band of conduction to three valleys (ΓLX), major of the scattering mechanisms are taken into account in this modeling, as the interactions with the acoustic phonons (elastic collisions) and optics (inelastic collisions). The polar optical phonons cause anisotropic collisions, intra-valleys, very probable in the III-V semiconductors. Other optical phonons, no polar, allow transitions inter-valleys. Initially, we present the full results obtained by the simulation of Monte Carlo in GaInP in stationary regime. We consider thereafter the effects related to the application of an electric field varying according to time, we thus study the transient phenomenon which make their appearance in ternary material

Keywords: Monte Carlo simulation, steady-state electron transport, transient electron transport, alloy scattering.

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Authors: Namal A. Senanayake, A. Beg, Withana C. Prasad

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This paper analyzes the patterns of the Monte Carlo data for a large number of variables and minterms, in order to characterize the circuit path length behavior. We propose models that are determined by training process of shortest path length derived from a wide range of binary decision diagram (BDD) simulations. The creation of the model was done use of feed forward neural network (NN) modeling methodology. Experimental results for ISCAS benchmark circuits show an RMS error of 0.102 for the shortest path length complexity estimation predicted by the NN model (NNM). Use of such a model can help reduce the time complexity of very large scale integrated (VLSI) circuitries and related computer-aided design (CAD) tools that use BDDs.

Keywords: Monte Carlo data, Binary decision diagrams, Neural network modeling, Shortest path length estimation.

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Authors: Encarnación Álvarez, Rosa M. García-Fernández, Juan F. Muñoz

Abstract:

Estimation of a proportion has many applications in economics and social studies. A common application is the estimation of the low income proportion, which gives the proportion of people classified as poor into a population. In this paper, we present this poverty indicator and propose to use the logistic regression estimator for the problem of estimating the low income proportion. Various sampling designs are presented. Assuming a real data set obtained from the European Survey on Income and Living Conditions, Monte Carlo simulation studies are carried out to analyze the empirical performance of the logistic regression estimator under the various sampling designs considered in this paper. Results derived from Monte Carlo simulation studies indicate that the logistic regression estimator can be more accurate than the customary estimator under the various sampling designs considered in this paper. The stratified sampling design can also provide more accurate results.

Keywords:

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Authors: Md Abdullah Al Mashud, M. Tariquzzaman, M. Jahangir Alam, Tapan Kumar Godder, M. Mahbubur Rahman

Abstract:

This paper presents a Monte Carlo (MC) method-based dose distributions on lung tumor for 6 MV photon beam to improve the dosimetric accuracy for cancer treatment. The polystyrene which is tissue equivalent material to the lung tumor density is used in this research. In the empirical calculations, TRS-398 formalism of IAEA has been used, and the setup was made according to the ICRU recommendations. The research outcomes were compared with the state-of-the-art experimental results. From the experimental results, it is observed that the proposed based approach provides more accurate results and improves the accuracy than the existing approaches. The average %variation between measured and TPS simulated values was obtained 1.337±0.531, which shows a substantial improvement comparing with the state-of-the-art technology.

Keywords: Lung tumor, Monte Carlo, polystyrene, elekta synergy, Monaco Planning System.

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Authors: Engy A. Mohamed, Yasser G. Hegazy

Abstract:

This paper presents a novel algorithm for modeling photovoltaic based distributed generators for the purpose of optimal planning of distribution networks. The proposed algorithm utilizes sequential Monte Carlo method in order to accurately consider the stochastic nature of photovoltaic based distributed generators. The proposed algorithm is implemented in MATLAB environment and the results obtained are presented and discussed.

Keywords: Comulative distribution function, distributed generation, Monte Carlo.

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Authors: Azam Beg, P. W. Chandana Prasad, S.M.N.A Senenayake

Abstract:

When binary decision diagrams are formed from uniformly distributed Monte Carlo data for a large number of variables, the complexity of the decision diagrams exhibits a predictable relationship to the number of variables and minterms. In the present work, a neural network model has been used to analyze the pattern of shortest path length for larger number of Monte Carlo data points. The neural model shows a strong descriptive power for the ISCAS benchmark data with an RMS error of 0.102 for the shortest path length complexity. Therefore, the model can be considered as a method of predicting path length complexities; this is expected to lead to minimum time complexity of very large-scale integrated circuitries and related computer-aided design tools that use binary decision diagrams.

Keywords: Monte Carlo circuit simulation data, binary decision diagrams, neural network modeling, shortest path length estimation

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Authors: Fares Innal, Yves Dutuit, Mourad Chebila

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The object of this work is the probabilistic performance evaluation of safety instrumented systems (SIS), i.e. the average probability of dangerous failure on demand (PFD_avg) and the average frequency of failure (PFH), taking into account the uncertainties related to the different parameters that come into play: failure rate (λ), common cause failure proportion (β), diagnostic coverage (DC)... This leads to an accurate and safe assessment of the safety integrity level (SIL) inherent to the safety function performed by such systems. This aim is in keeping with the requirement of the IEC 61508 standard with respect to handling uncertainty. To do this, we propose an approach that combines (1) Monte Carlo simulation and (2) fuzzy sets. Indeed, the first method is appropriate where representative statistical data are available (using pdf of the relating parameters), while the latter applies in the case characterized by vague and subjective information (using membership function). The proposed approach is fully supported with a suitable computer code.

Keywords: Fuzzy sets, Monte Carlo simulation, Safety instrumented system, Safety integrity level.

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Authors: Amer M. Momani, Abdulaziz A. Ahmed

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The many feasible alternatives and conflicting objectives make equipment selection in materials handling a complicated task. This paper presents utilizing Monte Carlo (MC) simulation combined with the Analytic Hierarchy Process (AHP) to evaluate and select the most appropriate Material Handling Equipment (MHE). The proposed hybrid model was built on the base of material handling equation to identify main and sub criteria critical to MHE selection. The criteria illustrate the properties of the material to be moved, characteristics of the move, and the means by which the materials will be moved. The use of MC simulation beside the AHP is very powerful where it allows the decision maker to represent his/her possible preference judgments as random variables. This will reduce the uncertainty of single point judgment at conventional AHP, and provide more confidence in the decision problem results. A small business pharmaceutical company is used as an example to illustrate the development and application of the proposed model.

Keywords: Analytic Hierarchy Process (AHP), Materialhandling equipment selection, Monte Carlo simulation, Multi-criteriadecision making

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Authors: M. Habchi, S.M. Mesli, M. Kotbi

Abstract:

The Reverse Monte Carlo (RMC) simulation is applied in the study of an aqueous electrolyte LiCl6H2O. On the basis of the available experimental neutron scattering data, RMC computes pair radial distribution functions in order to explore the structural features of the system. The obtained results include some unrealistic features. To overcome this problem, we use the Hybrid Reverse Monte Carlo (HRMC), incorporating an energy constraint in addition to the commonly used constraints derived from experimental data. Our results show a good agreement between experimental and computed partial distribution functions (PDFs) as well as a significant improvement in pair partial distribution curves. This kind of study can be considered as a useful test for a defined interaction model for conventional simulation techniques.

Keywords: RMC simulation, HRMC simulation, energy constraint, screened potential, glassy state, liquid state, partial distribution function, pair partial distribution function.

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Authors: Jan-Tore H. Horn, Jørgen Juncher Jensen

Abstract:

Uncertainties related to fatigue damage estimation of non-linear systems are highly dependent on the tail behaviour and extreme values of the stress range distribution. By using a combination of the First Order Reliability Method (FORM) and Monte Carlo simulations (MCS), the accuracy of the fatigue estimations may be improved for the same computational efforts. The method is applied to a bottom-fixed, monopile-supported large offshore wind turbine, which is a non-linear and dynamically sensitive system. Different curve fitting techniques to the fatigue damage distribution have been used depending on the sea-state dependent response characteristics, and the effect of a bi-linear S-N curve is discussed. Finally, analyses are performed on several environmental conditions to investigate the long-term applicability of this multistep method. Wave loads are calculated using state-of-the-art theory, while wind loads are applied with a simplified model based on rotor thrust coefficients.

Keywords: Fatigue damage, FORM, monopile, monte carlo simulation, reliability, wind turbine.

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Authors: Kittisak Kerdprasop, Nittaya Kerdprasop, Pairote Sattayatham

Abstract:

Data stream analysis is the process of computing various summaries and derived values from large amounts of data which are continuously generated at a rapid rate. The nature of a stream does not allow a revisit on each data element. Furthermore, data processing must be fast to produce timely analysis results. These requirements impose constraints on the design of the algorithms to balance correctness against timely responses. Several techniques have been proposed over the past few years to address these challenges. These techniques can be categorized as either dataoriented or task-oriented. The data-oriented approach analyzes a subset of data or a smaller transformed representation, whereas taskoriented scheme solves the problem directly via approximation techniques. We propose a hybrid approach to tackle the data stream analysis problem. The data stream has been both statistically transformed to a smaller size and computationally approximated its characteristics. We adopt a Monte Carlo method in the approximation step. The data reduction has been performed horizontally and vertically through our EMR sampling method. The proposed method is analyzed by a series of experiments. We apply our algorithm on clustering and classification tasks to evaluate the utility of our approach.

Keywords: Data Stream, Monte Carlo, Sampling, DensityEstimation.

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Authors: Isabela Moreira Queiroz

Abstract:

Slope stability analyses are largely carried out by deterministic methods and evaluated through a single security factor. Although it is known that the geotechnical parameters can present great dispersal, such analyses are considered fixed and known. The probabilistic methods, in turn, incorporate the variability of input key parameters (random variables), resulting in a range of values of safety factors, thus enabling the determination of the probability of failure, which is an essential parameter in the calculation of the risk (probability multiplied by the consequence of the event). Among the probabilistic methods, there are three frequently used methods in geotechnical society: FOSM (First-Order, Second-Moment), Rosenblueth (Point Estimates) and Monte Carlo. This paper presents a comparison between the results from deterministic and probabilistic analyses (FOSM method, Monte Carlo and Rosenblueth) applied to a hypothetical slope. The end was held to evaluate the behavior of the slope and consequent risk analysis, which is used to calculate the risk and analyze their mitigation and control solutions. It can be observed that the results obtained by the three probabilistic methods were quite close. It should be noticed that the calculation of the risk makes it possible to list the priority to the implementation of mitigation measures. Therefore, it is recommended to do a good assessment of the geological-geotechnical model incorporating the uncertainty in viability, design, construction, operation and closure by means of risk management. 

Keywords: Probabilistic methods, risk assessment, risk management, slope stability.

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Authors: R. Ashok Bakkiyaraj, N. Kumarappan

Abstract:

This paper investigates the suitability of Latin Hypercube sampling (LHS) for composite electric power system reliability analysis. Each sample generated in LHS is mapped into an equivalent system state and used for evaluating the annualized system and load point indices. DC loadflow based state evaluation model is solved for each sampled contingency state. The indices evaluated are loss of load probability, loss of load expectation, expected demand not served and expected energy not supplied. The application of the LHS is illustrated through case studies carried out using RBTS and IEEE-RTS test systems. Results obtained are compared with non-sequential Monte Carlo simulation and state enumeration analytical approaches. An error analysis is also carried out to check the LHS method’s ability to capture the distributions of the reliability indices. It is found that LHS approach estimates indices nearer to actual value and gives tighter bounds of indices than non-sequential Monte Carlo simulation.

Keywords: Composite power system, Latin Hypercube sampling, Monte Carlo simulation, Reliability evaluation, Variance analysis.

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Authors: A. Esmaili Torshabi, A. Terakawa, K. Ishii, H. Yamazaki, S. Matsuyama, Y. Kikuchi, M. Nakhostin, H. Sabet, A. Ishizaki, W. Yamashita, T. Togashi, J. Arikawa, H. Akiyama, K. Koyata

Abstract:

The purpose of this study is to introduce a new interface program to calculate a dose distribution with Monte Carlo method in complex heterogeneous systems such as organs or tissues in proton therapy. This interface program was developed under MATLAB software and includes a friendly graphical user interface with several tools such as image properties adjustment or results display. Quadtree decomposition technique was used as an image segmentation algorithm to create optimum geometries from Computed Tomography (CT) images for dose calculations of proton beam. The result of the mentioned technique is a number of nonoverlapped squares with different sizes in every image. By this way the resolution of image segmentation is high enough in and near heterogeneous areas to preserve the precision of dose calculations and is low enough in homogeneous areas to reduce the number of cells directly. Furthermore a cell reduction algorithm can be used to combine neighboring cells with the same material. The validation of this method has been done in two ways; first, in comparison with experimental data obtained with 80 MeV proton beam in Cyclotron and Radioisotope Center (CYRIC) in Tohoku University and second, in comparison with data based on polybinary tissue calibration method, performed in CYRIC. These results are presented in this paper. This program can read the output file of Monte Carlo code while region of interest is selected manually, and give a plot of dose distribution of proton beam superimposed onto the CT images.

Keywords: Monte Carlo, CT images, Quadtree decomposition, Interface program, Proton beam

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Authors: Encarnación Álvarez, Rosa M. García-Fernández, Juan F. Muñoz, Francisco J. Blanco-Encomienda

Abstract:

The problem of estimating a proportion has important applications in the field of economics, and in general, in many areas such as social sciences. A common application in economics is the estimation of the headcount index. In this paper, we define the general headcount index as a proportion. Furthermore, we introduce a new quantitative method for estimating the headcount index. In particular, we suggest to use the logistic regression estimator for the problem of estimating the headcount index. Assuming a real data set, results derived from Monte Carlo simulation studies indicate that the logistic regression estimator can be more accurate than the traditional estimator of the headcount index.

Keywords: Poverty line, poor, risk of poverty, sample, Monte Carlo simulations.

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Authors: Y. Shpungin

Abstract:

Estimating the reliability of a computer network has been a subject of great interest. It is a well known fact that this problem is NP-hard. In this paper we present a very efficient combinatorial approach for Monte Carlo reliability estimation of a network with unreliable nodes and unreliable edges. Its core is the computation of some network combinatorial invariants. These invariants, once computed, directly provide pure and simple framework for computation of network reliability. As a specific case of this approach we obtain tight lower and upper bounds for distributed network reliability (the so called residual connectedness reliability). We also present some simulation results.

Keywords: Combinatorial invariants, Monte Carlo simulation, reliability, unreliable nodes and unreliable edges.

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Authors: András Király, Tamás Varga, János Abonyi

Abstract:

Since supply chains highly impact the financial performance of companies, it is important to optimize and analyze their Key Performance Indicators (KPI). The synergistic combination of Particle Swarm Optimization (PSO) and Monte Carlo simulation is applied to determine the optimal reorder point of warehouses in supply chains. The goal of the optimization is the minimization of the objective function calculated as the linear combination of holding and order costs. The required values of service levels of the warehouses represent non-linear constraints in the PSO. The results illustrate that the developed stochastic simulator and optimization tool is flexible enough to handle complex situations.

Keywords: stochastic processes, empirical distributions, Monte Carlo simulation, PSO, supply chain management

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Authors: L. Mahdavian, M. Raouf

Abstract:

Three dimensional nanostructure materials have attracted the attention of many researches because the possibility to apply them for near future devices in sensors, catalysis and energy related. Tin dioxide is the most used material for gas sensing because its three-dimensional nanostructures and properties are related to the large surface exposed to gas adsorption. We propose the use of branch SnO2 nanowhiskers in interaction with ethanol. All Sn atoms are symmetric. The total energy, potential energy and Kinetic energy calculated for interaction between SnO2 and ethanol in different distances and temperatures. The calculations achieved by methods of Langevin Dynamic and Mont Carlo simulation. The total energy increased with addition ethanol molecules and temperature so interactions between them are endothermic.

Keywords: Tin dioxide, nanowhisker, Ethanol, Langevin Dynamic and Mont Carlo Simulation.

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Authors: Abdullah Y. Al-Hossain

Abstract:

This paper considers inference under progressive type II censoring with a compound Rayleigh failure time distribution. The maximum likelihood (ML), and Bayes methods are used for estimating the unknown parameters as well as some lifetime parameters, namely reliability and hazard functions. We obtained Bayes estimators using the conjugate priors for two shape and scale parameters. When the two parameters are unknown, the closed-form expressions of the Bayes estimators cannot be obtained. We use Lindley.s approximation to compute the Bayes estimates. Another Bayes estimator has been obtained based on continuous-discrete joint prior for the unknown parameters. An example with the real data is discussed to illustrate the proposed method. Finally, we made comparisons between these estimators and the maximum likelihood estimators using a Monte Carlo simulation study.

Keywords: Progressive type II censoring, compound Rayleigh failure time distribution, maximum likelihood estimation, Bayes estimation, Lindley's approximation method, Monte Carlo simulation.

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Authors: Viriyavudh Sim, WooYoung Jung

Abstract:

Damage due to high wind is not limited to load resistance components such as beam and column. The majority of damage is due to breach in the building envelope such as broken roof, window, and door. In this paper, wind fragility of window glass in residential apartment was determined to compare the difference between two window configuration models. Monte Carlo Simulation method had been used to derive damage data and analytical fragilities were constructed. Fragility of window system showed that window located in leeward wall had higher probability of failure, especially those close to the edge of structure. Between the two window models, Model 2 had higher probability of failure, this was due to the number of panel in this configuration.

Keywords: Wind fragility, glass window, high rise apartment, Monte Carlo Simulation method.

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