Search results for: stochastic process
5585 The Non-Uniqueness of Partial Differential Equations Options Price Valuation Formula for Heston Stochastic Volatility Model
Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma
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An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.
Keywords: Option price valuation, Partial Differential Equations, Black-Scholes PDEs, Ito process.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 4955584 Profit Optimization for Solar Plant Electricity Production
Authors: Fl. Loury, P. Sablonière
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In this paper a stochastic scenario-based model predictive control applied to molten salt storage systems in concentrated solar tower power plant is presented. The main goal of this study is to build up a tool to analyze current and expected future resources for evaluating the weekly power to be advertised on electricity secondary market. This tool will allow plant operator to maximize profits while hedging the impact on the system of stochastic variables such as resources or sunlight shortage.
Solving the problem first requires a mixed logic dynamic modeling of the plant. The two stochastic variables, respectively the sunlight incoming energy and electricity demands from secondary market, are modeled by least square regression. Robustness is achieved by drawing a certain number of random variables realizations and applying the most restrictive one to the system. This scenario approach control technique provides the plant operator a confidence interval containing a given percentage of possible stochastic variable realizations in such a way that robust control is always achieved within its bounds. The results obtained from many trajectory simulations show the existence of a ‘’reliable’’ interval, which experimentally confirms the algorithm robustness.
Keywords: Molten Salt Storage System, Concentrated Solar Tower Power Plant, Robust Stochastic Model Predictive Control.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19165583 Robust Adaptive ELS-QR Algorithm for Linear Discrete Time Stochastic Systems Identification
Authors: Ginalber L. O. Serra
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This work proposes a recursive weighted ELS algorithm for system identification by applying numerically robust orthogonal Householder transformations. The properties of the proposed algorithm show it obtains acceptable results in a noisy environment: fast convergence and asymptotically unbiased estimates. Comparative analysis with others robust methods well known from literature are also presented.Keywords: Stochastic Systems, Robust Identification, Parameter Estimation, Systems Identification.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14795582 Using Gaussian Process in Wind Power Forecasting
Authors: Hacene Benkhoula, Mohamed Badreddine Benabdella, Hamid Bouzeboudja, Abderrahmane Asraoui
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The wind is a random variable difficult to master, for this, we developed a mathematical and statistical methods enable to modeling and forecast wind power. Gaussian Processes (GP) is one of the most widely used families of stochastic processes for modeling dependent data observed over time, or space or time and space. GP is an underlying process formed by unrecognized operator’s uses to solve a problem. The purpose of this paper is to present how to forecast wind power by using the GP. The Gaussian process method for forecasting are presented. To validate the presented approach, a simulation under the MATLAB environment has been given.Keywords: Forecasting, Gaussian process, modeling, wind power.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17715581 Dynamic-Stochastic Influence Diagrams: Integrating Time-Slices IDs and Discrete Event Systems Modeling
Authors: Xin Zhao, Yin-fan Zhu, Wei-ping Wang, Qun Li
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The Influence Diagrams (IDs) is a kind of Probabilistic Belief Networks for graphic modeling. The usage of IDs can improve the communication among field experts, modelers, and decision makers, by showing the issue frame discussed from a high-level point of view. This paper enhances the Time-Sliced Influence Diagrams (TSIDs, or called Dynamic IDs) based formalism from a Discrete Event Systems Modeling and Simulation (DES M&S) perspective, for Exploring Analysis (EA) modeling. The enhancements enable a modeler to specify times occurred of endogenous events dynamically with stochastic sampling as model running and to describe the inter- influences among them with variable nodes in a dynamic situation that the existing TSIDs fails to capture. The new class of model is named Dynamic-Stochastic Influence Diagrams (DSIDs). The paper includes a description of the modeling formalism and the hiberarchy simulators implementing its simulation algorithm, and shows a case study to illustrate its enhancements.
Keywords: Time-sliced influence diagrams, discrete event systems, dynamic-stochastic influence diagrams, modeling formalism, simulation algorithm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14245580 Measurement Scheme Improving for State Estimation Using Stochastic Tabu Search
Authors: T. Kerdchuen
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This paper proposes the stochastic tabu search (STS) for improving the measurement scheme for power system state estimation. If the original measured scheme is not observable, the additional measurements with minimum number of measurements are added into the system by STS so that there is no critical measurement pair. The random bit flipping and bit exchanging perturbations are used for generating the neighborhood solutions in STS. The Pδ observable concept is used to determine the network observability. Test results of 10 bus, IEEE 14 and 30 bus systems are shown that STS can improve the original measured scheme to be observable without critical measurement pair. Moreover, the results of STS are superior to deterministic tabu search (DTS) in terms of the best solution hit.Keywords: Measurement Scheme, Power System StateEstimation, Network Observability, Stochastic Tabu Search (STS).
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 12645579 Solving Stochastic Eigenvalue Problem of Wick Type
Authors: Hassan Manouzi, Taous-Meriem Laleg-Kirati
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In this paper we study mathematically the eigenvalue problem for stochastic elliptic partial differential equation of Wick type. Using the Wick-product and the Wiener-Itô chaos expansion, the stochastic eigenvalue problem is reformulated as a system of an eigenvalue problem for a deterministic partial differential equation and elliptic partial differential equations by using the Fredholm alternative. To reduce the computational complexity of this system, we shall use a decomposition method using the Wiener-Itô chaos expansion. Once the approximation of the solution is performed using the finite element method for example, the statistics of the numerical solution can be easily evaluated.
Keywords: Eigenvalue problem, Wick product, SPDEs, finite element, Wiener-Itô chaos expansion.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20065578 Simulation of Sample Paths of Non Gaussian Stationary Random Fields
Authors: Fabrice Poirion, Benedicte Puig
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Mathematical justifications are given for a simulation technique of multivariate nonGaussian random processes and fields based on Rosenblatt-s transformation of Gaussian processes. Different types of convergences are given for the approaching sequence. Moreover an original numerical method is proposed in order to solve the functional equation yielding the underlying Gaussian process autocorrelation function.
Keywords: Simulation, nonGaussian, random field, multivariate, stochastic process.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18255577 Computational Simulations on Stability of Model Predictive Control for Linear Discrete-time Stochastic Systems
Authors: Tomoaki Hashimoto
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Model predictive control is a kind of optimal feedback control in which control performance over a finite future is optimized with a performance index that has a moving initial time and a moving terminal time. This paper examines the stability of model predictive control for linear discrete-time systems with additive stochastic disturbances. A sufficient condition for the stability of the closed-loop system with model predictive control is derived by means of a linear matrix inequality. The objective of this paper is to show the results of computational simulations in order to verify the effectiveness of the obtained stability condition.Keywords: Computational simulations, optimal control, predictive control, stochastic systems, discrete-time systems.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18375576 Stochastic Impact Analysis of COVID-19 on Karachi Stock Exchange
Authors: Syeda Maria Ali Shah, Asif Mansoor, Talat Sharafat Rehmani, Safia Mirza
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The stock market of any country acts as a predictor of the economy. The spread of the COVID-19 pandemic has severely impacted the global financial markets. Besides, it has also critically affected the economy of Pakistan. In this study, we consider the role of the Karachi Stock Exchange (KSE) with regard to the Pakistan Stock Exchange and quantify the impact on macroeconomic variables in presence of COVID-19. The suitable macroeconomic variables are used to quantify the impact of COVID-19 by developing the stochastic model. The sufficiency of the computed model is attained by means of available techniques in the literature. The estimated equations are used to forecast the impact of pandemic on macroeconomic variables. The constructed model can help the policymakers take counteractive measures for restricting the influence of viruses on the Karachi Stock Market.
Keywords: COVID-19, Karachi Stock Market, macroeconomic variables, stochastic model, forecasting.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 7195575 Modeling and Simulating Reaction-Diffusion Systems with State-Dependent Diffusion Coefficients
Authors: Paola Lecca, Lorenzo Dematte, Corrado Priami
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The present models and simulation algorithms of intracellular stochastic kinetics are usually based on the premise that diffusion is so fast that the concentrations of all the involved species are homogeneous in space. However, recents experimental measurements of intracellular diffusion constants indicate that the assumption of a homogeneous well-stirred cytosol is not necessarily valid even for small prokaryotic cells. In this work a mathematical treatment of diffusion that can be incorporated in a stochastic algorithm simulating the dynamics of a reaction-diffusion system is presented. The movement of a molecule A from a region i to a region j of the space is represented as a first order reaction Ai k- ! Aj , where the rate constant k depends on the diffusion coefficient. The diffusion coefficients are modeled as function of the local concentration of the solutes, their intrinsic viscosities, their frictional coefficients and the temperature of the system. The stochastic time evolution of the system is given by the occurrence of diffusion events and chemical reaction events. At each time step an event (reaction or diffusion) is selected from a probability distribution of waiting times determined by the intrinsic reaction kinetics and diffusion dynamics. To demonstrate the method the simulation results of the reaction-diffusion system of chaperoneassisted protein folding in cytoplasm are shown.
Keywords: Reaction-diffusion systems, diffusion coefficient, stochastic simulation algorithm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15155574 Stochastic Modeling for Parameters of Modified Car-Following Model in Area-Based Traffic Flow
Authors: N. C. Sarkar, A. Bhaskar, Z. Zheng
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The driving behavior in area-based (i.e., non-lane based) traffic is induced by the presence of other individuals in the choice space from the driver’s visual perception area. The driving behavior of a subject vehicle is constrained by the potential leaders and leaders are frequently changed over time. This paper is to determine a stochastic model for a parameter of modified intelligent driver model (MIDM) in area-based traffic (as in developing countries). The parametric and non-parametric distributions are presented to fit the parameters of MIDM. The goodness of fit for each parameter is measured in two different ways such as graphically and statistically. The quantile-quantile (Q-Q) plot is used for a graphical representation of a theoretical distribution to model a parameter and the Kolmogorov-Smirnov (K-S) test is used for a statistical measure of fitness for a parameter with a theoretical distribution. The distributions are performed on a set of estimated parameters of MIDM. The parameters are estimated on the real vehicle trajectory data from India. The fitness of each parameter with a stochastic model is well represented. The results support the applicability of the proposed modeling for parameters of MIDM in area-based traffic flow simulation.
Keywords: Area-based traffic, car-following model, micro-simulation, stochastic modeling.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 7615573 Stochastic Control of Decentralized Singularly Perturbed Systems
Authors: Walid S. Alfuhaid, Saud A. Alghamdi, John M. Watkins, M. Edwin Sawan
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Designing a controller for stochastic decentralized interconnected large scale systems usually involves a high degree of complexity and computation ability. Noise, observability, and controllability of all system states, connectivity, and channel bandwidth are other constraints to design procedures for distributed large scale systems. The quasi-steady state model investigated in this paper is a reduced order model of the original system using singular perturbation techniques. This paper results in an optimal control synthesis to design an observer based feedback controller by standard stochastic control theory techniques using Linear Quadratic Gaussian (LQG) approach and Kalman filter design with less complexity and computation requirements. Numerical example is given at the end to demonstrate the efficiency of the proposed method.
Keywords: Decentralized, optimal control, output, singular perturb.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15625572 Supplier Selection in a Scenario Based Stochastic Model with Uncertain Defectiveness and Delivery Lateness Rates
Authors: Abeer Amayri, Akif A. Bulgak
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Due to today’s globalization as well as outsourcing practices of the companies, the Supply Chain (SC) performances have become more dependent on the efficient movement of material among places that are geographically dispersed, where there is more chance for disruptions. One such disruption is the quality and delivery uncertainties of outsourcing. These uncertainties could lead the products to be unsafe and, as is the case in a number of recent examples, companies may have to end up in recalling their products. As a result of these problems, there is a need to develop a methodology for selecting suppliers globally in view of risks associated with low quality and late delivery. Accordingly, we developed a two-stage stochastic model that captures the risks associated with uncertainty in quality and delivery as well as a solution procedure for the model. The stochastic model developed simultaneously optimizes supplier selection and purchase quantities under price discounts over a time horizon. In particular, our target is the study of global organizations with multiple sites and multiple overseas suppliers, where the pricing is offered in suppliers’ local currencies. Our proposed methodology is applied to a case study for a US automotive company having two assembly plants and four potential global suppliers to illustrate how the proposed model works in practice.Keywords: Global supply chains, quality, stochastic programming, supplier selection.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15595571 Sensitivity of Small Disturbance Angle Stability to the System Parameters of Future Power Networks
Authors: Nima Farkhondeh Jahromi, George Papaefthymiou, Lou van der Sluis
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The incorporation of renewable energy sources for the sustainable electricity production is undertaking a more prominent role in electric power systems. Thus, it will be an indispensable incident that the characteristics of future power networks, their prospective stability for instance, get influenced by the imposed features of sustainable energy sources. One of the distinctive attributes of the sustainable energy sources is exhibiting the stochastic behavior. This paper investigates the impacts of this stochastic behavior on the small disturbance rotor angle stability in the upcoming electric power networks. Considering the various types of renewable energy sources and the vast variety of system configurations, the sensitivity analysis can be an efficient breakthrough towards generalizing the effects of new energy sources on the concept of stability. In this paper, the definition of small disturbance angle stability for future power systems and the iterative-stochastic way of its analysis are presented. Also, the effects of system parameters on this type of stability are described by performing a sensitivity analysis for an electric power test system.
Keywords: Power systems stability, Renewable energy sources, Stochastic behavior, Small disturbance rotor angle stability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20715570 An Approach to Noise Variance Estimation in Very Low Signal-to-Noise Ratio Stochastic Signals
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.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 22465569 Stochastic Edge Based Anomaly Detection for Supervisory Control and Data Acquisitions Systems: Considering the Zambian Power Grid
Authors: Lukumba Phiri, Simon Tembo, Kumbuso Joshua Nyoni
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In Zambia, recent initiatives by various power operators like ZESCO, CEC, and consumers like the mines, to upgrade power systems into smart grids, target an even tighter integration with information technologies to enable the integration of renewable energy sources, local and bulk generation, and demand response. Thus, for the reliable operation of smart grids, its information infrastructure must be secure and reliable in the face of both failures and cyberattacks. Due to the nature of the systems, ICS/SCADA cybersecurity and governance face additional challenges compared to the corporate networks, and critical systems may be left exposed. There exist control frameworks internationally such as the NIST framework, however, they are generic and do not meet the domain-specific needs of the SCADA systems. Zambia is also lagging in cybersecurity awareness and adoption, and therefore there is a concern about securing ICS controlling key infrastructure critical to the Zambian economy as there are few known facts about the true posture. In this paper, we present a stochastic Edged-based Anomaly Detection for SCADA systems (SEADS) framework for threat modeling and risk assessment. SEADS enables the calculation of steady-steady probabilities that are further applied to establish metrics like system availability, maintainability, and reliability.
Keywords: Anomaly detection, SmartGrid, edge, maintainability, reliability, stochastic process.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2985568 Synthesis of Filtering in Stochastic Systems on Continuous-Time Memory Observations in the Presence of Anomalous Noises
Authors: S. Rozhkova, O. Rozhkova, A. Harlova, V. Lasukov
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We have conducted the optimal synthesis of rootmean- 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.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19585567 Multimode Dynamics of the Beijing Road Traffic System
Authors: Zundong Zhang, Limin Jia, Xiaoliang Sun
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The Beijing road traffic system, as a typical huge urban traffic system, provides a platform for analyzing the complex characteristics and the evolving mechanisms of urban traffic systems. Based on dynamic network theory, we construct the dynamic model of the Beijing road traffic system in which the dynamical properties are described completely. Furthermore, we come into the conclusion that urban traffic systems can be viewed as static networks, stochastic networks and complex networks at different system phases by analyzing the structural randomness. As well as, we demonstrate the evolving process of the Beijing road traffic network based on real traffic data, validate the stochastic characteristics and the scale-free property of the network at different phasesKeywords: Dynamic Network Models, Structural Randomness, Scale-free Property, Multi-mode character
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15225566 Statistical Modeling of Mobile Fading Channels Based on Triply Stochastic Filtered Marked Poisson Point Processes
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.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 8245565 Ground Motion Modelling in Bangladesh Using Stochastic Method
Authors: Mizan Ahmed, Srikanth Venkatesan
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Geological and tectonic framework indicates that Bangladesh is one of the most seismically active regions in the world. The Bengal Basin is at the junction of three major interacting plates: the Indian, Eurasian, and Burma Plates. Besides there are many active faults within the region, e.g. the large Dauki fault in the north. The country has experienced a number of destructive earthquakes due to the movement of these active faults. Current seismic provisions of Bangladesh are mostly based on earthquake data prior to the 1990. Given the record of earthquakes post 1990, there is a need to revisit the design provisions of the code. This paper compares the base shear demand of three major cities in Bangladesh: Dhaka (the capital city), Sylhet, and Chittagong for earthquake scenarios of magnitudes 7.0MW, 7.5MW, 8.0MW, and 8.5MW using a stochastic model. In particular, the stochastic model allows the flexibility to input region specific parameters such as shear wave velocity profile (that were developed from Global Crustal Model CRUST2.0) and include the effects of attenuation as individual components. Effects of soil amplification were analysed using the Extended Component Attenuation Model (ECAM). Results show that the estimated base shear demand is higher in comparison with code provisions leading to the suggestion of additional seismic design consideration in the study regions.Keywords: Attenuation, earthquake, ground motion, stochastic, seismic hazard.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20285564 A New Approach to Feedback Shift Registers
Authors: Myat Su Mon Win
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The pseudorandom number generators based on linear feedback shift registers (LFSRs), are very quick, easy and secure in the implementation of hardware and software. Thus they are very popular and widely used. But LFSRs lead to fairly easy cryptanalysis due to their completely linearity properties. In this paper, we propose a stochastic generator, which is called Random Feedback Shift Register (RFSR), using stochastic transformation (Random block) with one-way and non-linearity properties.Keywords: Linear Feedback Shift Register, Non Linearity, R_Block, Random Feedback Shift Register
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18005563 Non-equilibrium Statistical Mechanics of a Driven Lattice Gas Model: Probability Function, FDT-violation, and Monte Carlo Simulations
Authors: K. Sudprasert, M. Precharattana, N. Nuttavut, D. Triampo, B. Pattanasiri, Y. Lenbury, W. Triampo
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The study of non-equilibrium systems has attracted increasing interest in recent years, mainly due to the lack of theoretical frameworks, unlike their equilibrium counterparts. Studying the steady state and/or simple systems is thus one of the main interests. Hence in this work we have focused our attention on the driven lattice gas model (DLG model) consisting of interacting particles subject to an external field E. The dynamics of the system are given by hopping of particles to nearby empty sites with rates biased for jumps in the direction of E. Having used small two dimensional systems of DLG model, the stochastic properties at nonequilibrium steady state were analytically studied. To understand the non-equilibrium phenomena, we have applied the analytic approach via master equation to calculate probability function and analyze violation of detailed balance in term of the fluctuation-dissipation theorem. Monte Carlo simulations have been performed to validate the analytic results.Keywords: Non-equilibrium, lattice gas, stochastic process
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17225562 An Evaluation of Algorithms for Single-Echo Biosonar Target Classification
Authors: Turgay Temel, John Hallam
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A recent neurospiking coding scheme for feature extraction from biosonar echoes of various plants is examined with avariety of stochastic classifiers. Feature vectors derived are employedin well-known stochastic classifiers, including nearest-neighborhood,single Gaussian and a Gaussian mixture with EM optimization.Classifiers' performances are evaluated by using cross-validation and bootstrapping techniques. It is shown that the various classifers perform equivalently and that the modified preprocessing configuration yields considerably improved results.
Keywords: Classification, neuro-spike coding, non-parametricmodel, parametric model, Gaussian mixture, EM algorithm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16565561 Stochastic Modeling and Combined Spatial Pattern Analysis of Epidemic Spreading
Authors: S. Chadsuthi, W. Triampo, C. Modchang, P. Kanthang, D. Triampo, N. Nuttavut
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We present analysis of spatial patterns of generic disease spread simulated by a stochastic long-range correlation SIR model, where individuals can be infected at long distance in a power law distribution. We integrated various tools, namely perimeter, circularity, fractal dimension, and aggregation index to characterize and investigate spatial pattern formations. Our primary goal was to understand for a given model of interest which tool has an advantage over the other and to what extent. We found that perimeter and circularity give information only for a case of strong correlation– while the fractal dimension and aggregation index exhibit the growth rule of pattern formation, depending on the degree of the correlation exponent (β). The aggregation index method used as an alternative method to describe the degree of pathogenic ratio (α). This study may provide a useful approach to characterize and analyze the pattern formation of epidemic spreadingKeywords: spatial pattern epidemics, aggregation index, fractaldimension, stochastic, long-rang epidemics
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16695560 Damage Localization of Deterministic-Stochastic Systems
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.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16895559 Asymptotic Properties of a Stochastic Predator-Prey Model with Bedding-DeAngelis Functional Response
Authors: Xianqing Liu, Shouming Zhong, Lijiang Xiang
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In this paper, a stochastic predator-prey system with Bedding-DeAngelis functional response is studied. By constructing a suitable Lyapunov founction, sufficient conditions for species to be stochastically permanent is established. Meanwhile, we show that the species will become extinct with probability one if the noise is sufficiently large.
Keywords: Stochastically permanent, extinct, white noise, Bedding-DeAngelis functional response.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14535558 European and International Bond Markets Integration
Authors: Dimitris Georgoutsos, Petros M. Migiakis
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The concurrent era is characterised by strengthened interactions among financial markets and increased capital mobility globally. In this frames we examine the effects the international financial integration process has on the European bond markets. We perform a comparative study of the interactions of the European and international bond markets and exploit Cointegration analysis results on the elimination of stochastic trends and the decomposition of the underlying long run equilibria and short run causal relations. Our investigation provides evidence on the relation between the European integration process and that of globalisation, viewed through the bond markets- sector. Additionally the structural formulation applied, offers significant implications of the findings. All in all our analysis offers a number of answers on crucial queries towards the European bond markets integration process.
Keywords: financial integration, bond markets, cointegration
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18155557 A Stochastic Approach of Mitochondrial Dynamics
Authors: Athanasios T. Alexiou, Maria M. Psiha, John A. Rekkas, Panayiotis M. Vlamos
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Mitochondria are dynamic organelles, capable to interact with each other. While the number of mitochondria in a cell varies, their quality and functionality depends on the operation of fusion, fission, motility and mitophagy. Nowadays, several researches declare as an important factor in neurogenerative diseases the disruptions in the regulation of mitochondrial dynamics. In this paper a stochastic model in BioAmbients calculus is presented, concerning mitochondrial fusion and its distribution in the renewal of mitochondrial population in a cell. This model describes the successive and dependent stages of protein synthesis, protein-s activation and merging of two independent mitochondria.Keywords: Mitochondrial Dynamics, P-Calculus, StochasticModeling.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14695556 Underwater Wireless Sensor Network Layer Design for Reef Restoration
Authors: T. T. Manikandan, Rajeev Sukumaran
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Coral Reefs are very important for the majority of marine ecosystems. But, such vital species are under major threat due to the factors such as ocean acidification, overfishing, and coral bleaching. To conserve the coral reefs, reef restoration activities are carried out across the world. After reef restoration, various parameters have to be monitored in order to ensure the overall effectiveness of the reef restoration. Underwater Wireless Sensor Network (UWSN) based monitoring is widely adopted for such long monitoring activities. Since monitoring of coral reef restoration activities is time sensitive, the QoS guarantee offered by the network with respect to delay is vital. So this research focuses on the analytical modeling of network layer delay using Stochastic Network Calculus (SNC). The core focus of the proposed model will be on the analysis of stochastic dependencies between the network flow and deriving the stochastic delay bounds for the flows that traverse in tandem in UWSNs. The derived analytical bounds are evaluated for their effectiveness using discrete event simulations.
Keywords: Coral Reef Restoration, SNC, SFA, PMOO, Tandem of Queues, Delay Bound.
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