Search results for: stochastic analysis

Authors: Y. Wu

Abstract:

Today-s business has inevitably been set in the global supply chain management environment. International transportation has never played such an important role in the global supply chain network, because movement of shipments from one country to another tends to be more frequent than ever before. This paper studies international transportation problems experienced by an international transportation company. Because of the limited fleet capacity, the transportation company has to hire additional trucks from two countries in advance. However, customer-s shipment information is uncertain, and decisions have to be made before accurate information can be obtained. This paper proposes a stochastic mixed 0-1 programming model to solve the international transportation problems under uncertain demand. A series of experiments demonstrate the effectiveness of the proposed stochastic model.

Keywords: Global supply chain management, international transportation, stochastic programming.

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Authors: Nilar Win Kyaw

Abstract:

In cryptography, confusion and diffusion are very important to get confidentiality and privacy of message in block ciphers and stream ciphers. There are two types of network to provide confusion and diffusion properties of message in block ciphers. They are Substitution- Permutation network (S-P network), and Feistel network. NLFS (Non-Linear feedback stream cipher) is a fast and secure stream cipher for software application. NLFS have two modes basic mode that is synchronous mode and self synchronous mode. Real random numbers are non-deterministic. R-box (random box) based on the dynamic properties and it performs the stochastic transformation of data that can be used effectively meet the challenges of information is protected from international destructive impacts. In this paper, a new implementation of stochastic transformation will be proposed.

Keywords: S-P network, Feistel network, R-block, stochastic transformation

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Authors: Tomoaki Hashimoto

Abstract:

Recent technological advance has prompted significant interest in developing the control theory of quantum systems. Following the increasing interest in the control of quantum dynamics, this paper examines the control problem of Schrödinger equation because quantum dynamics is basically governed by Schrödinger equation. From the practical point of view, stochastic disturbances cannot be avoided in the implementation of control method for quantum systems. Thus, we consider here the robust stabilization problem of Schrödinger equation against stochastic disturbances. In this paper, we adopt model predictive control method in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. The objective of this study is to derive the stability criterion for model predictive control of Schrödinger equation under stochastic disturbances.

Keywords: Optimal control, stochastic systems, quantum systems, stabilization.

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Authors: S. Chadsuthi, W. Triampo, C. Modchang, P. Kanthang, D. Triampo, N. Nuttavut

Abstract:

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 spreading

Keywords: spatial pattern epidemics, aggregation index, fractaldimension, stochastic, long-rang epidemics

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Authors: Leila Jafari, Viliam Makis

Abstract:

In this paper, the joint optimization of the economic manufacturing quantity (EMQ), safety stock level, and condition-based maintenance (CBM) is presented for a partially observable, deteriorating system subject to random failure. The demand is stochastic and it is described by a Poisson process. The stochastic model is developed and the optimization problem is formulated in the semi-Markov decision process framework. A modification of the policy iteration algorithm is developed to find the optimal policy. A numerical example is presented to compare the optimal policy with the policy considering zero safety stock.

Keywords: Condition-based maintenance, economic manufacturing quantity, safety stock, stochastic demand.

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Authors: Xin Zhao, Yin-fan Zhu, Wei-ping Wang, Qun Li

Abstract:

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.

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Authors: Zixin Liu, Huawei Yang, Fangwei Chen

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In this paper, the issue of pth moment stability of a class of stochastic neural networks with mixed delays is investigated. By establishing two integro-differential inequalities, some new sufficient conditions ensuring pth moment exponential stability are obtained. Compared with some previous publications, our results generalize some earlier works reported in the literature, and remove some strict constraints of time delays and kernel functions. Two numerical examples are presented to illustrate the validity of the main results.

Keywords: Neural networks, stochastic, PTH moment stable, time varying delays, distributed delays.

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Authors: Mao Wei

Abstract:

The main aim of this paper is to investigate the exponential stability of the Euler method for a stochastic age-dependent population equations with Poisson random measures. It is proved that the Euler scheme is exponentially stable in mean square sense. An example is given for illustration.

Keywords: Stochastic age-dependent population equations, poisson random measures, numerical solutions, exponential stability.

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Authors: M. Reni Sagayaraj, S. Anand Gnana Selvam, R. Reynald Susainathan

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We analyze stochastic integrals associated with a mutation process. To be specific, we describe the cell population process and derive the differential equations for the joint generating functions for the number of mutants and their integrals in generating functions and their applications. We obtain first-order moments of the processes of the two-way mutation process in first-order moment structure of X (t) and Y (t) and the second-order moments of a one-way mutation process. In this paper, we obtain the limiting behaviour of the integrals in limiting distributions of X (t) and Y (t).

Keywords: Stochastic integrals, single–server queue model, catastrophes, busy period.

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Authors: Edikan E. Akpanibah, Okwigbedi Oghen’Oro

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In this paper, we studied the optimal portfolio selection in a defined contribution (DC) pension scheme with multiple contributors under constant elasticity of variance (CEV) model and the impact of stochastic additional voluntary contribution on the investment strategies. We assume that the voluntary contributions are stochastic and also consider investments in a risk free asset and a risky asset to increase the expected returns of the contributing members. We derived a stochastic differential equation which consists of the members’ monthly contributions and the invested fund and obtained an optimized problem with the help of Hamilton Jacobi Bellman equation. Furthermore, we find an explicit solution for the optimal investment strategy with stochastic voluntary contribution using power transformation and change of variables method and the corresponding optimal fund size was obtained. We discussed the impact of the voluntary contribution on the optimal investment strategy with numerical simulations and observed that the voluntary contribution reduces the optimal investment strategy of the risky asset.

Keywords: DC pension fund, Hamilton-Jacobi-Bellman, optimal investment strategies, power transformation method, stochastic, voluntary contribution.

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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.

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Authors: Fang Shu, Li Lihua, Zhang Ping

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A general stochastic spatial MIMO channel model is proposed for evaluating various MIMO techniques in this paper. It can generate MIMO channels complying with various MIMO configurations such as smart antenna, spatial diversity and spatial multiplexing. The modeling method produces the stochastic fading involving delay spread, Doppler spread, DOA (direction of arrival), AS (angle spread), PAS (power azimuth Spectrum) of the scatterers, antenna spacing and the wavelength. It can be applied in various MIMO technique researches flexibly with low computing complexity.

Keywords: MIMO channel, Spatial Correlation, DOA, AS, PAS.

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Authors: Karim Hamidi Machekposhti, Hossein Sedghi

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

Keywords: Stochastic models, ARIMA, extreme streamflow, Karkheh River.

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

Abstract:

A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic.

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

Abstract:

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: Mikhail Vladimirovich Deryabin, Morten Willatzen

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In this work, we address theoretically the influence of red and white Gaussian noise for electronic energies and eigenstates of cylindrically shaped quantum dots. The stochastic effect can be imagined as resulting from crystal-growth statistical fluctuations in the quantum-dot material composition. In particular we obtain analytical expressions for the eigenvalue shifts and electronic envelope functions in the k . p formalism due to stochastic variations in the confining band-edge potential. It is shown that white noise in the band-edge potential leaves electronic properties almost unaffected while red noise may lead to changes in state energies and envelopefunction amplitudes of several percentages. In the latter case, the ensemble-averaged envelope function decays as a function of distance. It is also shown that, in a stochastic system, constant ensembleaveraged envelope functions are the only bounded solutions for the infinite quantum-wire problem and the energy spectrum is completely discrete. In other words, the infinite stochastic quantum wire behaves, ensemble-averaged, as an atom.

Keywords: cylindrical quantum dots, electronic eigen energies, red and white Gaussian noise, ensemble averaging effects.

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Authors: Xianqing Liu, Shouming Zhong, Fuli Zhong, Zijian Liu

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In this paper, a stochastic predator-prey system with Holling II functional response is studied. First, we show that there is a unique positive solution to the system for any given positive initial value. Then, stochastically bounded of the positive solution to the stochastic system is derived. Moreover, sufficient conditions for global asymptotic stability are also established. In the end, some simulation figures are carried out to support the analytical findings.

Keywords: stochastically bounded, global stability, Holling II functional response, white noise, Markovian switching.

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Authors: J. Levendovszky, I. Koncz, P. Boros

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The paper is concerned with developing stochastic delay mechanisms for efficient multicast protocols and for smooth mobile handover processes which are capable of preserving a given Quality of Service (QoS). In both applications the participating entities (receiver nodes or subscribers) sample a stochastic timer and generate load after a random delay. In this way, the load on the networking resources is evenly distributed which helps to maintain QoS communication. The optimal timer distributions have been sought in different p.d.f. families (e.g. exponential, power law and radial basis function) and the optimal parameter have been found in a recursive manner. Detailed simulations have demonstrated the improvement in performance both in the case of multicast and mobile handover applications.

Keywords: Multicast communication, stochactic delay mechanisms.

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Authors: Eugene Grichuk, Margarita Kuzmina, Eduard Manykin

Abstract:

A network of coupled stochastic oscillators is proposed for modeling of a cluster of entangled qubits that is exploited as a computation resource in one-way quantum computation schemes. A qubit model has been designed as a stochastic oscillator formed by a pair of coupled limit cycle oscillators with chaotically modulated limit cycle radii and frequencies. The qubit simulates the behavior of electric field of polarized light beam and adequately imitates the states of two-level quantum system. A cluster of entangled qubits can be associated with a beam of polarized light, light polarization degree being directly related to cluster entanglement degree. Oscillatory network, imitating qubit cluster, is designed, and system of equations for network dynamics has been written. The constructions of one-qubit gates are suggested. Changing of cluster entanglement degree caused by measurements can be exactly calculated.

Keywords: network of stochastic oscillators, one-way quantumcomputations, a beam of polarized light.

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Authors: Xiang Zhang, David Rey, S. Travis Waller

Abstract:

Stochastic User Equilibrium (SUE) model is a widely used traffic assignment model in transportation planning, which is regarded more advanced than Deterministic User Equilibrium (DUE) model. However, a problem exists that the performance of the SUE model depends on its error term parameter. The objective of this paper is to propose a systematic method of determining the appropriate error term parameter value for the SUE model. First, the significance of the parameter is explored through a numerical example. Second, the parameter calibration method is developed based on the Logit-based route choice model. The calibration process is realized through multiple nonlinear regression, using sequential quadratic programming combined with least square method. Finally, case analysis is conducted to demonstrate the application of the calibration process and validate the better performance of the SUE model calibrated by the proposed method compared to the SUE models under other parameter values and the DUE model.

Keywords: Parameter calibration, sequential quadratic programming, Stochastic User Equilibrium, traffic assignment, transportation planning.

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Authors: J. P. Dubois

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Stochastic modeling of network traffic is an area of significant research activity for current and future broadband communication networks. Multimedia traffic is statistically characterized by a bursty variable bit rate (VBR) profile. In this paper, we develop an improved model for uniform activity level video sources in ATM using a doubly stochastic autoregressive model driven by an underlying spatial point process. We then examine a number of burstiness metrics such as the peak-to-average ratio (PAR), the temporal autocovariance function (ACF) and the traffic measurements histogram. We found that the former measure is most suitable for capturing the burstiness of single scene video traffic. In the last phase of this work, we analyse statistical multiplexing of several constant scene video sources. This proved, expectedly, to be advantageous with respect to reducing the burstiness of the traffic, as long as the sources are statistically independent. We observed that the burstiness was rapidly diminishing, with the largest gain occuring when only around 5 sources are multiplexed. The novel model used in this paper for characterizing uniform activity video was thus found to be an accurate model.

Keywords: AR, ATM, burstiness, doubly stochastic, statisticalmultiplexing.

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Authors: Youguo Wang, Lenan Wu

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Stochastic resonance (SR) is a phenomenon whereby the signal transmission or signal processing through certain nonlinear systems can be improved by adding noise. This paper discusses SR in nonlinear signal detection by a simple test statistic, which can be computed from multiple noisy data in a binary decision problem based on a maximum a posteriori probability criterion. The performance of detection is assessed by the probability of detection error Per . When the input signal is subthreshold signal, we establish that benefit from noise can be gained for different noises and confirm further that the subthreshold SR exists in nonlinear signal detection. The efficacy of SR is significantly improved and the minimum of Per can dramatically approach to zero as the sample number increases. These results show the robustness of SR in signal detection and extend the applicability of SR in signal processing.

Keywords: Probability of detection error, signal detection, stochastic resonance.

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Authors: Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Hector G. Huizar

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This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.

Keywords: Augmented Dickey Fuller Test, geophysical time series, maximum likelihood estimation, stochastic volatility model.

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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: Yilun Shang

Abstract:

We consider a heterogeneously mixing SIR stochastic epidemic process in populations described by a general graph. Likelihood theory is developed to facilitate statistic inference for the parameters of the model under complete observation. We show that these estimators are asymptotically Gaussian unbiased estimates by using a martingale central limit theorem.

Keywords: statistic inference, maximum likelihood, epidemicmodel, heterogeneous mixing.

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Authors: Jonathan H. Perez, Fumihiko Tanaka, Daisuke Hamanaka, Toshitaka Uchino

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A finite element analysis was conducted to determine the effect of moisture diffusion and hygroscopic swelling in rice. A parallel simple stochastic modeling was performed to predict the number of grains cracked as a result of moisture absorption and hygroscopic swelling. Rice grains were soaked in thermally (25 oC) controlled water and then tested for compressive stress. The destructive compressive stress tests revealed through compressive stress calculation that the peak force required to cause cracking in grains soaked in water reduced with time as soaking duration was extended. Results of the experiment showed that several grains had their value of the predicted compressive stress below the von Mises stress and were interpreted as grains which become cracked and/or broke during soaking. The technique developed in this experiment will facilitate the approximation of the number of grains which will crack during soaking.

Keywords: Cracking, Finite element analysis, hygroscopic swelling, moisture diffusion, von Mises stress.

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Authors: Taiki Baba, Tomoaki Hashimoto

Abstract:

The random dither quantization method enables us to achieve much better performance than the simple uniform quantization method for the design of quantized control systems. Motivated by this fact, the stochastic model predictive control method in which a performance index is minimized subject to probabilistic constraints imposed on the state variables of systems has been proposed for linear feedback control systems with random dither quantization. In other words, a method for solving optimal control problems subject to probabilistic state constraints for linear discrete-time control systems with random dither quantization has been already established. To our best knowledge, however, the feasibility of such a kind of optimal control problems has not yet been studied. Our objective in this paper is to investigate the feasibility of stochastic model predictive control problems for linear discrete-time control systems with random dither quantization. To this end, we provide the results of numerical simulations that verify the feasibility of stochastic model predictive control problems for linear discrete-time control systems with random dither quantization.

Keywords: Model predictive control, stochastic systems, probabilistic constraints, random dither quantization.

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Authors: T. T. Manikandan, Rajeev Sukumaran

Abstract:

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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Authors: Shu Lü, Shouming Zhong, Zixin Liu

Abstract:

In this paper, the robust exponential stability problem of discrete-time uncertain stochastic neural networks with timevarying delays is investigated. By introducing a new augmented Lyapunov function, some delay-dependent stable results are obtained in terms of linear matrix inequality (LMI) technique. Compared with some existing results in the literature, the conservatism of the new criteria is reduced notably. Three numerical examples are provided to demonstrate the less conservatism and effectiveness of the proposed method.

Keywords: Robust exponential stability, delay-dependent stability, discrete-time neural networks, stochastic, time-varying delays.

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Authors: F. Alborzi, H. Vafaei, M.H. Gholami, M.M. S. Esfahani

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In this article, the design of a Supply Chain Network (SCN) consisting of several suppliers, production plants, distribution centers and retailers, is considered. Demands of retailers are considered stochastic parameters, so we generate amounts of data via simulation to extract a few demand scenarios. Then a mixed integer two-stage programming model is developed to optimize simultaneously two objectives: (1) minimization the fixed and variable cost, (2) maximization the service level. A weighting method is utilized to solve this two objective problem and a numerical example is made to show the performance of the model.

Keywords: Mixed Integer Programming, Multi-objective Optimization, Stochastic Demand, Supply Chain Design, Two Stage Programming

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