Based on theWorld Health Organization(WHO),Meningitis is a severe infection of the meninges,the membranes covering the brain and spinal cord.It is a devastating disease and remains a significant public health challeng...Based on theWorld Health Organization(WHO),Meningitis is a severe infection of the meninges,the membranes covering the brain and spinal cord.It is a devastating disease and remains a significant public health challenge.This study investigates a bacterial meningitis model through deterministic and stochastic versions.Four-compartment population dynamics explain the concept,particularly the susceptible population,carrier,infected,and recovered.The model predicts the nonnegative equilibrium points and reproduction number,i.e.,the Meningitis-Free Equilibrium(MFE),and Meningitis-Existing Equilibrium(MEE).For the stochastic version of the existing deterministicmodel,the twomethodologies studied are transition probabilities and non-parametric perturbations.Also,positivity,boundedness,extinction,and disease persistence are studiedrigorouslywiththe helpofwell-known theorems.Standard and nonstandard techniques such as EulerMaruyama,stochastic Euler,stochastic Runge Kutta,and stochastic nonstandard finite difference in the sense of delay have been presented for computational analysis of the stochastic model.Unfortunately,standard methods fail to restore the biological properties of the model,so the stochastic nonstandard finite difference approximation is offered as an efficient,low-cost,and independent of time step size.In addition,the convergence,local,and global stability around the equilibria of the nonstandard computational method is studied by assuming the perturbation effect is zero.The simulations and comparison of the methods are presented to support the theoretical results and for the best visualization of results.展开更多
Highly turbulent water flows,often encountered near human constructions like bridge piers,spillways,and weirs,display intricate dynamics characterized by the formation of eddies and vortices.These formations,varying i...Highly turbulent water flows,often encountered near human constructions like bridge piers,spillways,and weirs,display intricate dynamics characterized by the formation of eddies and vortices.These formations,varying in sizes and lifespans,significantly influence the distribution of fluid velocities within the flow.Subsequently,the rapid velocity fluctuations in highly turbulent flows lead to elevated shear and normal stress levels.For this reason,to meticulously study these dynamics,more often than not,physical modeling is employed for studying the impact of turbulent flows on the stability and longevity of nearby structures.Despite the effectiveness of physical modeling,various monitoring challenges arise,including flow disruption,the necessity for concurrent gauging at multiple locations,and the duration of measurements.Addressing these challenges,image velocimetry emerges as an ideal method in fluid mechanics,particularly for studying turbulent flows.To account for measurement duration,a probabilistic approach utilizing a probability density function(PDF)is suggested to mitigate uncertainty in estimated average and maximum values.However,it becomes evident that deriving the PDF is not straightforward for all turbulence-induced stresses.In response,this study proposes a novel approach by combining image velocimetry with a stochastic model to provide a generic yet accurate description of flow dynamics in such applications.This integration enables an approach based on the probability of failure,facilitating a more comprehensive analysis of turbulent flows.Such an approach is essential for estimating both short-and long-term stresses on hydraulic constructions under assessment.展开更多
In the nonparametric data envelopment analysis literature,scale elasticity is evaluated in two alternative ways:using either the technical efficiency model or the cost efficiency model.This evaluation becomes problema...In the nonparametric data envelopment analysis literature,scale elasticity is evaluated in two alternative ways:using either the technical efficiency model or the cost efficiency model.This evaluation becomes problematic in several situations,for example(a)when input proportions change in the long run,(b)when inputs are heterogeneous,and(c)when firms face ex-ante price uncertainty in making their production decisions.To address these situations,a scale elasticity evaluation was performed using a value-based cost efficiency model.However,this alternative value-based scale elasticity evaluation is sensitive to the uncertainty and variability underlying input and output data.Therefore,in this study,we introduce a stochastic cost-efficiency model based on chance-constrained programming to develop a value-based measure of the scale elasticity of firms facing data uncertainty.An illustrative empirical application to the Indian banking industry comprising 71 banks for eight years(1998–2005)was made to compare inferences about their efficiency and scale properties.The key findings are as follows:First,both the deterministic model and our proposed stochastic model yield distinctly different results concerning the efficiency and scale elasticity scores at various tolerance levels of chance constraints.However,both models yield the same results at a tolerance level of 0.5,implying that the deterministic model is a special case of the stochastic model in that it reveals the same efficiency and returns to scale characterizations of banks.Second,the stochastic model generates higher efficiency scores for inefficient banks than its deterministic counterpart.Third,public banks exhibit higher efficiency than private and foreign banks.Finally,public and old private banks mostly exhibit either decreasing or constant returns to scale,whereas foreign and new private banks experience either increasing or decreasing returns to scale.Although the application of our proposed stochastic model is illustrative,it can be potentially applied to all firms in the information and distribution-intensive industry with high fixed costs,which have ample potential for reaping scale and scope benefits.展开更多
We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing therma...We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the stochastic volatility model.We derive a three-dimensional Fast Fourier Transform(“FFT”)lower bound approximation to value the inherent real optionality and for robustness check,we compare the semi-analytical pricing accuracy with the Monte Carlo simulation.Model parameters are estimated from the historical monthly data,and stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic volatility process which is assumed to follow Cox–Ingersoll–Ross(“CIR”)model.展开更多
The nonlinear mixed-effects model with stochastic differential equations （SDEs） is used to model the population pharmacokinetic （PPK） data that are extended from ordinary differential equations （ODEs） by adding ...The nonlinear mixed-effects model with stochastic differential equations （SDEs） is used to model the population pharmacokinetic （PPK） data that are extended from ordinary differential equations （ODEs） by adding a stochastic term to the state equation. Compared with the ODEs, the SDEs can model correlated residuals which are ubiquitous in actual pharmacokinetic problems. The Bayesian estimation is provided for nonlinear mixed-effects models based on stochastic differential equations. Combining the Gibbs and the Metropolis-Hastings algorithms, the population and individual parameter values are given through the parameter posterior predictive distributions. The analysis and simulation results show that the performance of the Bayesian estimation for mixed-effects SDEs model and analysis of population pharmacokinetic data is reliable. The results suggest that the proposed method is feasible for population pharmacokinetic data.展开更多
This paper puts forward a rigorous approach for a sensitivity analysis of stochastic user equilibrium with the elastic demand （SUEED） model. First, proof is given for the existence of derivatives of output variables...This paper puts forward a rigorous approach for a sensitivity analysis of stochastic user equilibrium with the elastic demand （SUEED） model. First, proof is given for the existence of derivatives of output variables with respect to the perturbation parameters for the SUEED model. Then by taking advantage of the gradient-based method for sensitivity analysis of a general nonlinear program, detailed formulae are developed for calculating the derivatives of designed variables with respect to perturbation parameters at the equilibrium state of the SUEED model. This method is not only applicable for a sensitivity analysis of the logit-type SUEED problem, but also for the probit-type SUEED problem. The application of the proposed method in a numerical example shows that the proposed method can be used to approximate the equilibrium link flow solutions for both logit-type SUEED and probit-type SUEED problems when small perturbations are introduced in the input parameters.展开更多
This paper aims to perform a comparison of deterministic and stochastic models.The stochastic modelling is a more realistic way to study the dynamics of gonorrhoea infection as compared to its corresponding determinis...This paper aims to perform a comparison of deterministic and stochastic models.The stochastic modelling is a more realistic way to study the dynamics of gonorrhoea infection as compared to its corresponding deterministic model.Also,the deterministic solution is itself mean of the stochastic solution of the model.For numerical analysis,first,we developed some explicit stochastic methods,but unfortunately,they do not remain consistent in certain situations.Then we proposed an implicitly driven explicit method for stochastic heavy alcohol epidemic model.The proposed method is independent of the choice of parameters and behaves well in all scenarios.So,some theorems and simulations are presented in support of the article.展开更多
The dynamic response of offshore platforms is more serious in hostile sea environment than in shallow sea. In this paper, a hybrid solution combined with analytical and numerical method is proposed to compute the stoc...The dynamic response of offshore platforms is more serious in hostile sea environment than in shallow sea. In this paper, a hybrid solution combined with analytical and numerical method is proposed to compute the stochastic response of fixed offshore platforms to random waves, considering wave-structure interaction and non-linear drag force. The simulation program includes two steps: the first step is the eigenanalysis aspects associated the structure and the second step is response estimation based on spectral equations. The eigenanalysis could be done through conventional finite element method conveniently and its natural frequency and mode shapes obtained. In the second part of the process, the solution of the offshore structural response is obtained by iteration of a series of coupled spectral equations. Considering the third-order term in the drag force, the evaluation of the three-fold convolution should be demanded for nonlinear stochastic response analysis. To demonstrate this method, a numerical analysis is carried out for both linear and non-linear platform motions. The final response spectra have the typical two peaks in agreement with reality, indicating that the hybrid method is effective and can be applied to offshore engineering.展开更多
Buckling-restrained braces （BRBs） have recently become popular in the United States for use as primary members of seismic lateral-force-resisting systems. A BRB is a steel brace that does not buckle in compression b...Buckling-restrained braces （BRBs） have recently become popular in the United States for use as primary members of seismic lateral-force-resisting systems. A BRB is a steel brace that does not buckle in compression but instead yields in both tension and compression. Although design guidelines for BRB applications have been developed, systematic procedures for assessing performance and quantifying reliability are still needed. This paper presents an analytical framework for assessing buckling-restrained braced frame （BRBF） reliability when subjected to seismic loads. This framework efficiently quantifies the risk of BRB failure due to low-cycle fatigue fracture of the BRB core. The procedure includes a series of components that： （1） quantify BRB demand in terms of BRB core deformation histories generated through stochastic dynamic analyses; （2） quantify the limit-state of a BRB in terms of its remaining cumulative plastic ductility capacity based on an experimental database; and （3） evaluate the probability of BRB failure, given the quantified demand and capacity, through structural reliability analyses. Parametric studies were conducted to investigate the effects of the seismic load, and characteristics of the BRB and BRBF on the probability of brace failure. In addition, fragility curves （i.e., conditional probabilities of brace failure given ground shaking intensity parameters） were created by the proposed framework. While the framework presented in this paper is applied to the assessment of BRBFs, the modular nature of the framework components allows for application to other structural components and systems.展开更多
This study explores how parametric uncertainties in the production affect failure tensile loads of reinforced thermoplastic pipes(RTPs)under combined loading conditions.The stress distributions in RTPs are examined wi...This study explores how parametric uncertainties in the production affect failure tensile loads of reinforced thermoplastic pipes(RTPs)under combined loading conditions.The stress distributions in RTPs are examined with three-dimensional(3D)elasticity theory,and the analytical micromechanics of composites are evaluated.To evaluate the failure mechanisms for RTPs,3D Hashin–Yeh failure criteria are combined with the damage evolution model to establish a progressive failure model.The theoretical model has been validated through numerical simulations and axial tensile tests data.To analyze how randomness of relevant parameters affects the first-ply failure(FPF)tensile load and final failure(FF)tensile load in RTPs,many samples are produced with the Monte–Carlo approach.The stochastic analysis results are statistically evaluated through the Weibull probability density distribution function.For the randomness of production parameters,the failure tensile load of RTPs fluctuates near the mean value.As the ply number at the reinforced layer increases,the dispersion of failure tensile load increases,with a high probability that the FPF tensile load of RTPs is lower than the mean value.展开更多
This study aims to measure the impact of liberalization on the efficiency of electricity production in Japan using Stochastic Frontier Analysis (SFA). In addition, this study also aims to examine whether or not econom...This study aims to measure the impact of liberalization on the efficiency of electricity production in Japan using Stochastic Frontier Analysis (SFA). In addition, this study also aims to examine whether or not economies of scale exist in the electricity generation sector and the transmission sector, and whether or not economies of scope exist between electricity generation and transmission. Since 1995, liberalization of the electricity market in Japan has been phased in and regulations on entry have been relaxed three times. One motivation for these regularity changes has been to improve the efficiency of electricity production by introducing competition. Using a panel data set on the nine main power companies in Japan over the period 1970-2010, estimates of fixed-effects and stochastic frontier models of the cost function are obtained and compared. Estimates of the cost function show that liberalization has improved cost efficiency when both frontier models and non-frontier models are estimated. Estimates of the fixed-effects model are used to calculate economies of scale and economies scope because the data support the fixed-effects model. Economies of scope are found to exist for all nine power companies, while overall economies of scope declined in the 1970s and have improved little by little since the 1980s.展开更多
In this paper, using the theory of stochastic analysis of the response to earthquake load, a stochastic analysis method of the response of piled platforms to earthquake load has been established. In the method, the st...In this paper, using the theory of stochastic analysis of the response to earthquake load, a stochastic analysis method of the response of piled platforms to earthquake load has been established. In the method, the strong ground motion is considered as three dimensional stationary white noise process and the pile-soil interaction and water-structure interaction are considered. The stochastic response of a typical platform to earthquake load has been computed with this method and the results compared with those obtained with the response spectrum analysis method. The comparison shows that the stochastic analysis method of the response of piled platforms to earthquake load is suitable for this kind of analysis.展开更多
This paper proposes a non-intrusive uncertainty analysis method for artillery dynamics involving hybrid uncertainty using polynomial chaos expansion(PCE).The uncertainty parameters with sufficient information are rega...This paper proposes a non-intrusive uncertainty analysis method for artillery dynamics involving hybrid uncertainty using polynomial chaos expansion(PCE).The uncertainty parameters with sufficient information are regarded as stochastic variables,whereas the interval variables are used to treat the uncertainty parameters with limited stochastic knowledge.In this method,the PCE model is constructed through the Galerkin projection method,in which the sparse grid strategy is used to generate the integral points and the corresponding integral weights.Through the sampling in PCE,the original dynamic systems with hybrid stochastic and interval parameters can be transformed into deterministic dynamic systems,without changing their expressions.The yielded PCE model is utilized as a computationally efficient,surrogate model,and the supremum and infimum of the dynamic responses over all time iteration steps can be easily approximated through Monte Carlo simulation and percentile difference.A numerical example and an artillery exterior ballistic dynamics model are used to illustrate the feasibility and efficiency of this approach.The numerical results indicate that the dynamic response bounds obtained by the PCE approach almost match the results of the direct Monte Carlo simulation,but the computational efficiency of the PCE approach is much higher than direct Monte Carlo simulation.Moreover,the proposed method also exhibits fine precision even in high-dimensional uncertainty analysis problems.展开更多
In order to analyze the failure data from repairable systems, the homogeneous Poisson process (HPP) is usually used. In general, HPP cannot be applied to analyze the entire life cycle of a complex, re-pairable system ...In order to analyze the failure data from repairable systems, the homogeneous Poisson process (HPP) is usually used. In general, HPP cannot be applied to analyze the entire life cycle of a complex, re-pairable system because the rate of occurrence of failures (ROCOF) of the system changes over time rather than remains stable. However, from a practical point of view, it is always preferred to apply the simplest method to address problems and to obtain useful practical results. Therefore, we attempted to use the HPP model to analyze the failure data from real repairable systems. A graphic method and the Laplace test were also used in the analysis. Results of numerical applications show that the HPP model may be a useful tool for the entire life cycle of repairable systems.展开更多
This paper investigates the uplink throughput of Cognitive Radio Cellular Networks(CRCNs).As oppose to traditional performance evaluation schemes which mainly adopt complex system level simulations,we use the theoreti...This paper investigates the uplink throughput of Cognitive Radio Cellular Networks(CRCNs).As oppose to traditional performance evaluation schemes which mainly adopt complex system level simulations,we use the theoretical framework of stochastic geometry to provide a tractable and accurate analysis of the uplink throughput in the CRCN.By modelling the positions of User Equipments(UEs)and Base Stations(BSs)as Poisson Point Processes(PPPs),we analyse and derive expressions for the link rate and the cell throughput in the Primary(PR)and Secondary(SR)networks.The expressions show that the throughput of the CRCN is mainly affected by the density ratios between the UEs and the BSs in both the PR and SR networks.Besides,a comparative analysis of the link rate between random and regular BS deployments is concluded,and the results confirm the accuracy of our analysis.Furthermore,we define the cognitive throughput gain and derive an expression which is dominated by the traffic load in the PR network.展开更多
Typically, dual-frequency geodetic grade GNSS receivers are utilized for positioning applications that require high accuracy. Single-frequency high grade receivers can be used to minimize the expenses of such dual-fre...Typically, dual-frequency geodetic grade GNSS receivers are utilized for positioning applications that require high accuracy. Single-frequency high grade receivers can be used to minimize the expenses of such dual-frequency receivers. However, user has to consider the resultant positioning accuracy. Since the evolution of low-cost single-frequency (LCSF) receivers is typically cheaper than single-frequency high grade receivers, it is possible to obtain comparable positioning accuracy if the corresponding observables are accurately modelled. In this paper, two LCSF GPS receivers are used to form short baseline. Raw GPS measurements are recorded for several consecutive days. The collected data are used to develop the stochastic model of GPS observables from such receivers. Different functions are tested to determine the best fitting model which is found to be 3 parameters exponential decay function. The new developed model is used to process different data sets and the results are compared against the traditional model. Both results from the newly developed and the traditional models are compared with the reference solution obtained from dual-frequency receiver. It is shown that the newly developed model improves the root-mean-square of the estimated horizontal coordinates by about 10% and improves the root-mean-square of the up component by about 39%.展开更多
Owing to the fact that the conventional deterministic back analysis of the permeability coefficient cannot reflect the uncertainties of parameters, including the hydraulic head at the boundary, the permeability coeffi...Owing to the fact that the conventional deterministic back analysis of the permeability coefficient cannot reflect the uncertainties of parameters, including the hydraulic head at the boundary, the permeability coefficient and measured hydraulic head, a stochastic back analysis taking consideration of uncertainties of parameters was performed using the generalized Bayesian method. Based on the stochastic finite element method （SFEM） for a seepage field, the variable metric algorithm and the generalized Bayesian method, formulas for stochastic back analysis of the permeability coefficient were derived. A case study of seepage analysis of a sluice foundation was performed to illustrate the proposed method. The results indicate that, with the generalized Bayesian method that considers the uncertainties of measured hydraulic head, the permeability coefficient and the hydraulic head at the boundary, both the mean and standard deviation of the permeability coefficient can be obtained and the standard deviation is less than that obtained by the conventional Bayesian method. Therefore, the present method is valid and applicable.展开更多
Real-time electricity price( RTEP) influence factor extraction is essential to forecasting accurate power system electricity prices. At present,new electricity price forecasting models have been studied to improve pre...Real-time electricity price( RTEP) influence factor extraction is essential to forecasting accurate power system electricity prices. At present,new electricity price forecasting models have been studied to improve predictive accuracy,ignoring the extraction and analysis of RTEP influence factors. In this study,a correlation analysis method is proposed based on stochastic matrix theory.Firstly, an augmented matrix is formulated, including RTEP influence factor data and RTEP state data. Secondly, data correlation analysis results are obtained given the statistical characteristics of source data based on stochastic matrix theory.Mean spectral radius( MSR) is used as the measure of correlativity.Finally,the proposed method is evaluated in New England electricity markets and compared with the BP neural network forecasting method. Experimental results show that the extracted index system comprehensively generalizes RTEP influence factors,which play a significant role in improving RTEP forecasting accuracy.展开更多
In this paper a stochastic boundary element method (SEEM) is developed to analyze moderately thick plates with random material parameters and random thickness. Based on the Taylor series expansion, the boundary integr...In this paper a stochastic boundary element method (SEEM) is developed to analyze moderately thick plates with random material parameters and random thickness. Based on the Taylor series expansion, the boundary integration equations concerning the mean and deviation of the generalized displacements are derived, respectively. It is found that the randomness of material parameters is equivalent to a random load, so the mean and covariance matrices of unknown generalized boundary displacements and tractions can be obtained. Furthermore, the mean and covariance of generalized displacements and forces at internal points can also be obtained. A numerical example has been worked out with the method proposed and necessary analysis is made for the results.展开更多
This paper intends to develop suitable methods to provide likely scenarios in order to support decision making for slow dynamic processes such as the underlying of agribusiness. A new method to analyze the short- and ...This paper intends to develop suitable methods to provide likely scenarios in order to support decision making for slow dynamic processes such as the underlying of agribusiness. A new method to analyze the short- and long-term time series forecast and to model the behavior of the underlying process using nonlinear artificial neural networks (ANN) is presented. The algorithm can effectively forecast the time-series data by stochastic analysis (Monte Carlo) of its future behavior using fractional Gaussian noise (fGn). The algorithm was used to forecast country risk time series for several countries, both for short term that is 30 days ahead and long term 350 days ahead scenarios.展开更多
基金Deanship of Research and Graduate Studies at King Khalid University for funding this work through large Research Project under Grant Number RGP2/302/45supported by the Deanship of Scientific Research,Vice Presidency forGraduate Studies and Scientific Research,King Faisal University,Saudi Arabia(Grant Number A426).
文摘Based on theWorld Health Organization(WHO),Meningitis is a severe infection of the meninges,the membranes covering the brain and spinal cord.It is a devastating disease and remains a significant public health challenge.This study investigates a bacterial meningitis model through deterministic and stochastic versions.Four-compartment population dynamics explain the concept,particularly the susceptible population,carrier,infected,and recovered.The model predicts the nonnegative equilibrium points and reproduction number,i.e.,the Meningitis-Free Equilibrium(MFE),and Meningitis-Existing Equilibrium(MEE).For the stochastic version of the existing deterministicmodel,the twomethodologies studied are transition probabilities and non-parametric perturbations.Also,positivity,boundedness,extinction,and disease persistence are studiedrigorouslywiththe helpofwell-known theorems.Standard and nonstandard techniques such as EulerMaruyama,stochastic Euler,stochastic Runge Kutta,and stochastic nonstandard finite difference in the sense of delay have been presented for computational analysis of the stochastic model.Unfortunately,standard methods fail to restore the biological properties of the model,so the stochastic nonstandard finite difference approximation is offered as an efficient,low-cost,and independent of time step size.In addition,the convergence,local,and global stability around the equilibria of the nonstandard computational method is studied by assuming the perturbation effect is zero.The simulations and comparison of the methods are presented to support the theoretical results and for the best visualization of results.
文摘Highly turbulent water flows,often encountered near human constructions like bridge piers,spillways,and weirs,display intricate dynamics characterized by the formation of eddies and vortices.These formations,varying in sizes and lifespans,significantly influence the distribution of fluid velocities within the flow.Subsequently,the rapid velocity fluctuations in highly turbulent flows lead to elevated shear and normal stress levels.For this reason,to meticulously study these dynamics,more often than not,physical modeling is employed for studying the impact of turbulent flows on the stability and longevity of nearby structures.Despite the effectiveness of physical modeling,various monitoring challenges arise,including flow disruption,the necessity for concurrent gauging at multiple locations,and the duration of measurements.Addressing these challenges,image velocimetry emerges as an ideal method in fluid mechanics,particularly for studying turbulent flows.To account for measurement duration,a probabilistic approach utilizing a probability density function(PDF)is suggested to mitigate uncertainty in estimated average and maximum values.However,it becomes evident that deriving the PDF is not straightforward for all turbulence-induced stresses.In response,this study proposes a novel approach by combining image velocimetry with a stochastic model to provide a generic yet accurate description of flow dynamics in such applications.This integration enables an approach based on the probability of failure,facilitating a more comprehensive analysis of turbulent flows.Such an approach is essential for estimating both short-and long-term stresses on hydraulic constructions under assessment.
文摘In the nonparametric data envelopment analysis literature,scale elasticity is evaluated in two alternative ways:using either the technical efficiency model or the cost efficiency model.This evaluation becomes problematic in several situations,for example(a)when input proportions change in the long run,(b)when inputs are heterogeneous,and(c)when firms face ex-ante price uncertainty in making their production decisions.To address these situations,a scale elasticity evaluation was performed using a value-based cost efficiency model.However,this alternative value-based scale elasticity evaluation is sensitive to the uncertainty and variability underlying input and output data.Therefore,in this study,we introduce a stochastic cost-efficiency model based on chance-constrained programming to develop a value-based measure of the scale elasticity of firms facing data uncertainty.An illustrative empirical application to the Indian banking industry comprising 71 banks for eight years(1998–2005)was made to compare inferences about their efficiency and scale properties.The key findings are as follows:First,both the deterministic model and our proposed stochastic model yield distinctly different results concerning the efficiency and scale elasticity scores at various tolerance levels of chance constraints.However,both models yield the same results at a tolerance level of 0.5,implying that the deterministic model is a special case of the stochastic model in that it reveals the same efficiency and returns to scale characterizations of banks.Second,the stochastic model generates higher efficiency scores for inefficient banks than its deterministic counterpart.Third,public banks exhibit higher efficiency than private and foreign banks.Finally,public and old private banks mostly exhibit either decreasing or constant returns to scale,whereas foreign and new private banks experience either increasing or decreasing returns to scale.Although the application of our proposed stochastic model is illustrative,it can be potentially applied to all firms in the information and distribution-intensive industry with high fixed costs,which have ample potential for reaping scale and scope benefits.
文摘We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory.The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the stochastic volatility model.We derive a three-dimensional Fast Fourier Transform(“FFT”)lower bound approximation to value the inherent real optionality and for robustness check,we compare the semi-analytical pricing accuracy with the Monte Carlo simulation.Model parameters are estimated from the historical monthly data,and stochastic volatility parameters are obtained by matching the Kurtosis of the low-ash diff data to the Kurtosis of the stochastic volatility process which is assumed to follow Cox–Ingersoll–Ross(“CIR”)model.
基金The National Natural Science Foundation of China(No.11171065,81130068)the Natural Science Foundation of Jiangsu Province(No.BK2011058)the Fundamental Research Funds for the Central Universities(No.JKPZ2013015)
文摘The nonlinear mixed-effects model with stochastic differential equations （SDEs） is used to model the population pharmacokinetic （PPK） data that are extended from ordinary differential equations （ODEs） by adding a stochastic term to the state equation. Compared with the ODEs, the SDEs can model correlated residuals which are ubiquitous in actual pharmacokinetic problems. The Bayesian estimation is provided for nonlinear mixed-effects models based on stochastic differential equations. Combining the Gibbs and the Metropolis-Hastings algorithms, the population and individual parameter values are given through the parameter posterior predictive distributions. The analysis and simulation results show that the performance of the Bayesian estimation for mixed-effects SDEs model and analysis of population pharmacokinetic data is reliable. The results suggest that the proposed method is feasible for population pharmacokinetic data.
基金The Scientific Innovation Research of College Graduates in Jiangsu Province(No.CXLX13_110)the Young Scientists Fund of National Natural Science Foundation of China(No.51408253)the Young Scientists Fund of Huaiyin Institute of Technology(No.491713328)
文摘This paper puts forward a rigorous approach for a sensitivity analysis of stochastic user equilibrium with the elastic demand （SUEED） model. First, proof is given for the existence of derivatives of output variables with respect to the perturbation parameters for the SUEED model. Then by taking advantage of the gradient-based method for sensitivity analysis of a general nonlinear program, detailed formulae are developed for calculating the derivatives of designed variables with respect to perturbation parameters at the equilibrium state of the SUEED model. This method is not only applicable for a sensitivity analysis of the logit-type SUEED problem, but also for the probit-type SUEED problem. The application of the proposed method in a numerical example shows that the proposed method can be used to approximate the equilibrium link flow solutions for both logit-type SUEED and probit-type SUEED problems when small perturbations are introduced in the input parameters.
基金The first author also thanks Prince Sultan University for funding this work through research-group number RG-DES2017-01-17.
文摘This paper aims to perform a comparison of deterministic and stochastic models.The stochastic modelling is a more realistic way to study the dynamics of gonorrhoea infection as compared to its corresponding deterministic model.Also,the deterministic solution is itself mean of the stochastic solution of the model.For numerical analysis,first,we developed some explicit stochastic methods,but unfortunately,they do not remain consistent in certain situations.Then we proposed an implicitly driven explicit method for stochastic heavy alcohol epidemic model.The proposed method is independent of the choice of parameters and behaves well in all scenarios.So,some theorems and simulations are presented in support of the article.
基金National Natural Science Foundation of China(Grant No.59895410,59779002)
文摘The dynamic response of offshore platforms is more serious in hostile sea environment than in shallow sea. In this paper, a hybrid solution combined with analytical and numerical method is proposed to compute the stochastic response of fixed offshore platforms to random waves, considering wave-structure interaction and non-linear drag force. The simulation program includes two steps: the first step is the eigenanalysis aspects associated the structure and the second step is response estimation based on spectral equations. The eigenanalysis could be done through conventional finite element method conveniently and its natural frequency and mode shapes obtained. In the second part of the process, the solution of the offshore structural response is obtained by iteration of a series of coupled spectral equations. Considering the third-order term in the drag force, the evaluation of the three-fold convolution should be demanded for nonlinear stochastic response analysis. To demonstrate this method, a numerical analysis is carried out for both linear and non-linear platform motions. The final response spectra have the typical two peaks in agreement with reality, indicating that the hybrid method is effective and can be applied to offshore engineering.
基金Federal Highway Administration Under Grant No. DDEGRD-06-X-00408
文摘Buckling-restrained braces （BRBs） have recently become popular in the United States for use as primary members of seismic lateral-force-resisting systems. A BRB is a steel brace that does not buckle in compression but instead yields in both tension and compression. Although design guidelines for BRB applications have been developed, systematic procedures for assessing performance and quantifying reliability are still needed. This paper presents an analytical framework for assessing buckling-restrained braced frame （BRBF） reliability when subjected to seismic loads. This framework efficiently quantifies the risk of BRB failure due to low-cycle fatigue fracture of the BRB core. The procedure includes a series of components that： （1） quantify BRB demand in terms of BRB core deformation histories generated through stochastic dynamic analyses; （2） quantify the limit-state of a BRB in terms of its remaining cumulative plastic ductility capacity based on an experimental database; and （3） evaluate the probability of BRB failure, given the quantified demand and capacity, through structural reliability analyses. Parametric studies were conducted to investigate the effects of the seismic load, and characteristics of the BRB and BRBF on the probability of brace failure. In addition, fragility curves （i.e., conditional probabilities of brace failure given ground shaking intensity parameters） were created by the proposed framework. While the framework presented in this paper is applied to the assessment of BRBFs, the modular nature of the framework components allows for application to other structural components and systems.
基金financially supported by the National Natural Science Foundation of China(Grant No.U2006226]the National Key Research and Development Program of China(Grant No.2016YFC0303800)。
文摘This study explores how parametric uncertainties in the production affect failure tensile loads of reinforced thermoplastic pipes(RTPs)under combined loading conditions.The stress distributions in RTPs are examined with three-dimensional(3D)elasticity theory,and the analytical micromechanics of composites are evaluated.To evaluate the failure mechanisms for RTPs,3D Hashin–Yeh failure criteria are combined with the damage evolution model to establish a progressive failure model.The theoretical model has been validated through numerical simulations and axial tensile tests data.To analyze how randomness of relevant parameters affects the first-ply failure(FPF)tensile load and final failure(FF)tensile load in RTPs,many samples are produced with the Monte–Carlo approach.The stochastic analysis results are statistically evaluated through the Weibull probability density distribution function.For the randomness of production parameters,the failure tensile load of RTPs fluctuates near the mean value.As the ply number at the reinforced layer increases,the dispersion of failure tensile load increases,with a high probability that the FPF tensile load of RTPs is lower than the mean value.
文摘This study aims to measure the impact of liberalization on the efficiency of electricity production in Japan using Stochastic Frontier Analysis (SFA). In addition, this study also aims to examine whether or not economies of scale exist in the electricity generation sector and the transmission sector, and whether or not economies of scope exist between electricity generation and transmission. Since 1995, liberalization of the electricity market in Japan has been phased in and regulations on entry have been relaxed three times. One motivation for these regularity changes has been to improve the efficiency of electricity production by introducing competition. Using a panel data set on the nine main power companies in Japan over the period 1970-2010, estimates of fixed-effects and stochastic frontier models of the cost function are obtained and compared. Estimates of the cost function show that liberalization has improved cost efficiency when both frontier models and non-frontier models are estimated. Estimates of the fixed-effects model are used to calculate economies of scale and economies scope because the data support the fixed-effects model. Economies of scope are found to exist for all nine power companies, while overall economies of scope declined in the 1970s and have improved little by little since the 1980s.
文摘In this paper, using the theory of stochastic analysis of the response to earthquake load, a stochastic analysis method of the response of piled platforms to earthquake load has been established. In the method, the strong ground motion is considered as three dimensional stationary white noise process and the pile-soil interaction and water-structure interaction are considered. The stochastic response of a typical platform to earthquake load has been computed with this method and the results compared with those obtained with the response spectrum analysis method. The comparison shows that the stochastic analysis method of the response of piled platforms to earthquake load is suitable for this kind of analysis.
基金financially supported by the National Natural Science Foun-dation of China[Grant Nos.301070603,11572158]。
文摘This paper proposes a non-intrusive uncertainty analysis method for artillery dynamics involving hybrid uncertainty using polynomial chaos expansion(PCE).The uncertainty parameters with sufficient information are regarded as stochastic variables,whereas the interval variables are used to treat the uncertainty parameters with limited stochastic knowledge.In this method,the PCE model is constructed through the Galerkin projection method,in which the sparse grid strategy is used to generate the integral points and the corresponding integral weights.Through the sampling in PCE,the original dynamic systems with hybrid stochastic and interval parameters can be transformed into deterministic dynamic systems,without changing their expressions.The yielded PCE model is utilized as a computationally efficient,surrogate model,and the supremum and infimum of the dynamic responses over all time iteration steps can be easily approximated through Monte Carlo simulation and percentile difference.A numerical example and an artillery exterior ballistic dynamics model are used to illustrate the feasibility and efficiency of this approach.The numerical results indicate that the dynamic response bounds obtained by the PCE approach almost match the results of the direct Monte Carlo simulation,but the computational efficiency of the PCE approach is much higher than direct Monte Carlo simulation.Moreover,the proposed method also exhibits fine precision even in high-dimensional uncertainty analysis problems.
文摘In order to analyze the failure data from repairable systems, the homogeneous Poisson process (HPP) is usually used. In general, HPP cannot be applied to analyze the entire life cycle of a complex, re-pairable system because the rate of occurrence of failures (ROCOF) of the system changes over time rather than remains stable. However, from a practical point of view, it is always preferred to apply the simplest method to address problems and to obtain useful practical results. Therefore, we attempted to use the HPP model to analyze the failure data from real repairable systems. A graphic method and the Laplace test were also used in the analysis. Results of numerical applications show that the HPP model may be a useful tool for the entire life cycle of repairable systems.
基金supported by the National Key Basic Research Program of China (973 Program)under Grant No. 2009CB320401the National Natural Science Foundation of China under Grants No. 61171099, No. 61101117+1 种基金the National Key Scientific and Technological Project of China under Grants No. 2012ZX03004005-002, No. 2012ZX03003-007the Fundamental Research Funds for the Central Universities under Grant No. BUPT2012RC0112
文摘This paper investigates the uplink throughput of Cognitive Radio Cellular Networks(CRCNs).As oppose to traditional performance evaluation schemes which mainly adopt complex system level simulations,we use the theoretical framework of stochastic geometry to provide a tractable and accurate analysis of the uplink throughput in the CRCN.By modelling the positions of User Equipments(UEs)and Base Stations(BSs)as Poisson Point Processes(PPPs),we analyse and derive expressions for the link rate and the cell throughput in the Primary(PR)and Secondary(SR)networks.The expressions show that the throughput of the CRCN is mainly affected by the density ratios between the UEs and the BSs in both the PR and SR networks.Besides,a comparative analysis of the link rate between random and regular BS deployments is concluded,and the results confirm the accuracy of our analysis.Furthermore,we define the cognitive throughput gain and derive an expression which is dominated by the traffic load in the PR network.
文摘Typically, dual-frequency geodetic grade GNSS receivers are utilized for positioning applications that require high accuracy. Single-frequency high grade receivers can be used to minimize the expenses of such dual-frequency receivers. However, user has to consider the resultant positioning accuracy. Since the evolution of low-cost single-frequency (LCSF) receivers is typically cheaper than single-frequency high grade receivers, it is possible to obtain comparable positioning accuracy if the corresponding observables are accurately modelled. In this paper, two LCSF GPS receivers are used to form short baseline. Raw GPS measurements are recorded for several consecutive days. The collected data are used to develop the stochastic model of GPS observables from such receivers. Different functions are tested to determine the best fitting model which is found to be 3 parameters exponential decay function. The new developed model is used to process different data sets and the results are compared against the traditional model. Both results from the newly developed and the traditional models are compared with the reference solution obtained from dual-frequency receiver. It is shown that the newly developed model improves the root-mean-square of the estimated horizontal coordinates by about 10% and improves the root-mean-square of the up component by about 39%.
基金supported by the National Natural Science Foundation of China (Grant No. 50579090)the National Basic Research Program of China (973 Program, Grant No. 2007CB714102)National Science and Technology Support Program of China (Program for the Eleventh Five-Year Plan, Grant No. 2006BAB04A06)
文摘Owing to the fact that the conventional deterministic back analysis of the permeability coefficient cannot reflect the uncertainties of parameters, including the hydraulic head at the boundary, the permeability coefficient and measured hydraulic head, a stochastic back analysis taking consideration of uncertainties of parameters was performed using the generalized Bayesian method. Based on the stochastic finite element method （SFEM） for a seepage field, the variable metric algorithm and the generalized Bayesian method, formulas for stochastic back analysis of the permeability coefficient were derived. A case study of seepage analysis of a sluice foundation was performed to illustrate the proposed method. The results indicate that, with the generalized Bayesian method that considers the uncertainties of measured hydraulic head, the permeability coefficient and the hydraulic head at the boundary, both the mean and standard deviation of the permeability coefficient can be obtained and the standard deviation is less than that obtained by the conventional Bayesian method. Therefore, the present method is valid and applicable.
基金National Natural Science Foundation of China(No.61701104)the “13th Five Year Plan” Research Foundation of Jilin Provincial Department of Education,China(No.JJKH2017018KJ)
文摘Real-time electricity price( RTEP) influence factor extraction is essential to forecasting accurate power system electricity prices. At present,new electricity price forecasting models have been studied to improve predictive accuracy,ignoring the extraction and analysis of RTEP influence factors. In this study,a correlation analysis method is proposed based on stochastic matrix theory.Firstly, an augmented matrix is formulated, including RTEP influence factor data and RTEP state data. Secondly, data correlation analysis results are obtained given the statistical characteristics of source data based on stochastic matrix theory.Mean spectral radius( MSR) is used as the measure of correlativity.Finally,the proposed method is evaluated in New England electricity markets and compared with the BP neural network forecasting method. Experimental results show that the extracted index system comprehensively generalizes RTEP influence factors,which play a significant role in improving RTEP forecasting accuracy.
文摘In this paper a stochastic boundary element method (SEEM) is developed to analyze moderately thick plates with random material parameters and random thickness. Based on the Taylor series expansion, the boundary integration equations concerning the mean and deviation of the generalized displacements are derived, respectively. It is found that the randomness of material parameters is equivalent to a random load, so the mean and covariance matrices of unknown generalized boundary displacements and tractions can be obtained. Furthermore, the mean and covariance of generalized displacements and forces at internal points can also be obtained. A numerical example has been worked out with the method proposed and necessary analysis is made for the results.
文摘This paper intends to develop suitable methods to provide likely scenarios in order to support decision making for slow dynamic processes such as the underlying of agribusiness. A new method to analyze the short- and long-term time series forecast and to model the behavior of the underlying process using nonlinear artificial neural networks (ANN) is presented. The algorithm can effectively forecast the time-series data by stochastic analysis (Monte Carlo) of its future behavior using fractional Gaussian noise (fGn). The algorithm was used to forecast country risk time series for several countries, both for short term that is 30 days ahead and long term 350 days ahead scenarios.
