Strength degradation is a stochastic and irreversible process.Gamma process is an independent nonnegative increment process which can be used to describe the characteristics of strength degradation.It is unreasonable ...Strength degradation is a stochastic and irreversible process.Gamma process is an independent nonnegative increment process which can be used to describe the characteristics of strength degradation.It is unreasonable to choose a linear function to describe the strength degradation trend considering that the degradation rate may change over time.So,a non-linear power law is proposed to describe the strength degradation trend based on preliminary work.It is more general compared with the linear one and the inadequacy of strict linear assumption is overcome.Then,the model parameters of non-stationary Gamma process are estimated based on the maximum likelihood method.Finally,it is proved that the non-stationary Gamma process can accurately reflect the strength degradation law through comparative analysis of a real example.展开更多
Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynami...Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynamics follow the GBM. Modeling the asset price dynamics by using the GBM implies that the log return of assets at particular time is normally distributed. Many studies on real data in the markets showed that the GBM fails to capture the characteristic features of asset price dynamics that exhibit heavy tails and excess kurtosis. In our study, a class of Levy process, which is called a variance gamma (VG) process, performs much better than GBM model for modeling the dynamics of those stock indices. However, valuation of financial instruments, e.g. options, under the VG process has not been well developed. Here, we propose a new approach to the valuation of European option. It is based on the conditional distribution of the VG process. We also apply the path simulation model to value American options by assuming the underlying asset log return follow the VG process. Such a model is similar with that proposed by Tiley [1]. Simulation study shows that the proposed method performs well in term of the option price.展开更多
With the further development of service-oriented,performance-based contracting(PBC)has been widely adopted in industry and manufacturing.However,maintenance optimization problems under PBC have not received enough att...With the further development of service-oriented,performance-based contracting(PBC)has been widely adopted in industry and manufacturing.However,maintenance optimization problems under PBC have not received enough attention.To further extend the scope of PBC’s application in the field of maintenance optimization,we investigate the condition-based maintenance(CBM)optimization for gamma deteriorating systems under PBC.Considering the repairable single-component system subject to the gamma degradation process,this paper proposes a CBM optimization model to maximize the profit and improve system performance at a relatively low cost under PBC.In the proposed CBM model,the first inspection interval has been considered in order to reduce the inspection frequency and the cost rate.Then,a particle swarm algorithm(PSO)and related solution procedure are presented to solve the multiple decision variables in our proposed model.In the end,a numerical example is provided so as to demonstrate the superiority of the presented model.By comparing the proposed policy with the conventional ones,the superiority of our proposed policy is proved,which can bring more profits to providers and improve performance.Sensitivity analysis is conducted in order to research the effect of corrective maintenance cost and time required for corrective maintenance on optimization policy.A comparative study is given to illustrate the necessity of distinguishing the first inspection interval or not.展开更多
针对滚动轴承的磨损这一时变随机退化过程,采用Gamma过程进行建模,开展了多组定时递进的加速寿命试验,按照标准GB T 25769—2010测量得到了对应不同试验时长轴承的游隙数据,通过极大似然法与遗传算法对该过程的尺度参数与形状参数进行...针对滚动轴承的磨损这一时变随机退化过程,采用Gamma过程进行建模,开展了多组定时递进的加速寿命试验,按照标准GB T 25769—2010测量得到了对应不同试验时长轴承的游隙数据,通过极大似然法与遗传算法对该过程的尺度参数与形状参数进行了最优估计,参数估计的结果验证了Gamma过程的非齐次性质。最后,将建立的退化过程模型与原始数据进行对比,模型拟合一致性较好。展开更多
The environmental or anthropogenic factors, to which the in-service bridges are subjected,are responsible for the reduction of bridge performance, and finally lead to great service risk for bridges and increase the pr...The environmental or anthropogenic factors, to which the in-service bridges are subjected,are responsible for the reduction of bridge performance, and finally lead to great service risk for bridges and increase the probability of substantial economic losses. Probabilitybased estimate of bridge resistance is an essential indicator for the bridge condition evaluation and for optimization of bridge maintenance/repair decisions. It places an emphasis on the proper probabilistic models of structural properties and assessment methods. Making full use of historical service load information may improve the accuracy of bridge performance assessment with reduced epistemic uncertainty for existing aging bridges. In to-date analyses to update the bridge resistance with past service information,the models of resistance deterioration have been assumed as either deterministic or fully correlated, which may differ significantly from the realistic case. With this regard, this paper proposes a novel method for updating the resistance of service-proven bridges with a realistic deterioration model. The Gamma stochastic process has been suggested in the literature to describe the probabilistic behavior of structural time-dependent resistance and thus is adopted in this paper. An illustrative bridge is presented to demonstrate the applicability of the proposed method. Parametric examples are conducted to investigate the role of resistance deterioration model in the updated estimate of bridge resistance with historical service information.展开更多
Research for detecting or obtaining radionuclide by gamma energy spectrum data acquisition and process system is one of the key issues about intelligent measurement of gamma-ray spectrum. For this reason, a software a...Research for detecting or obtaining radionuclide by gamma energy spectrum data acquisition and process system is one of the key issues about intelligent measurement of gamma-ray spectrum. For this reason, a software and hardware implementation schematic design based on ARM ( Advanced RISC Machines) + DSP ( Digital Signal Processor) architecture for gamma energy spectrum data acquisition and processing system is proposed. The paper discusses in detail some key technologies such as communication interface design between microcontroller ARM and digital signal processor DSP,distribution scheduling under multi-task in the ARM-Linux,DSP handling procedures for multi-channel A / D high-speed sample. At the same time,because the traditional Gaussian fitting to determine the boundary of peak is not ideal,it puts forward a weighting factor of Gaussian function least squares fitting realize boundary determined. Finally gamma-spectrum data from sodium iodide NaI( TI) scintillation detector is tested and processed in the new system. The results show that gamma energy spectrum data acquisition and process system is perfect functionality, stable and convergence in unimodal. Compared with data from conventional energy spectrometers,the system can keep better energy resolution in a wide range of pulse pass rate.展开更多
由于动车组车轮受加工装配及工况载荷等不确定因素的影响,车轮退化过程复杂,存在显著的个体差异及多个性能退化特征量,且多个退化特征量间相互耦合,仅考虑单个性能特征量难以全面反映其退化过程。因此,以轮缘和轮径作为车轮退化特征量,...由于动车组车轮受加工装配及工况载荷等不确定因素的影响,车轮退化过程复杂,存在显著的个体差异及多个性能退化特征量,且多个退化特征量间相互耦合,仅考虑单个性能特征量难以全面反映其退化过程。因此,以轮缘和轮径作为车轮退化特征量,通过随机化尺度参数表征车轮个体差异,采用Gamma过程和Copula函数建立二元相关退化模型,并根据赤池信息准则(Akaike Information Criterion, AIC)筛选Copula函数,得到可靠度解析式。基于某型动车组车轮实测磨耗数据,对车轮进行可靠性分析,同时通过车辆动力学模型进行仿真验证。结果显示:考虑二元相关时的可靠性结果比仅考虑一元退化更贴近车辆实际运行情况;根据动力学仿真结果体现了考虑个体差异的必要性,表明所提模型能够更准确地表征车轮退化过程,可为可靠性分析以及维修决策优化提供理论支撑。展开更多
为了提高剩余寿命预测的可信度,针对进行过加速老化试验的产品,提出利用Gamma过程参数的非共轭先验分布进行Bayesian统计推断的剩余寿命预测方法.将加速老化数据作为先验信息,利用Gamma过程进行老化建模,通过加速因子获得形状参数在工...为了提高剩余寿命预测的可信度,针对进行过加速老化试验的产品,提出利用Gamma过程参数的非共轭先验分布进行Bayesian统计推断的剩余寿命预测方法.将加速老化数据作为先验信息,利用Gamma过程进行老化建模,通过加速因子获得形状参数在工作应力下的折算值,使用Anderson-Darling统计量确定随机参数的先验分布.将产品工作中的少量实测数据作为现场信息,利用基于Gibbs抽样的Markov Chain Monte Carlo(MCMC)仿真得到参数的后验均值.以某型导弹电连接器为例说明了该方法的研究意义和工程应用价值.展开更多
A condition-based maintenance model for gamma deteriorating system under continuous inspection is studied. This methodology uses a gamma distribution to model the material degradation, and the impact of imperfect main...A condition-based maintenance model for gamma deteriorating system under continuous inspection is studied. This methodology uses a gamma distribution to model the material degradation, and the impact of imperfect maintenance actions on the system reliability is investigated. The state of a degrading system immediately after the imperfect maintenance action is assumed as a random variable and the maintenance time follows a geometric process. Furthermore, the explicit expressions for the long-run average cost and availability per unit time of the system are evaluated, an optimal policy （ε^＊） could be determined numeri- cally or analytically according to the optimization model. At last, a numerical example for a degrading system modeled by a gamma process is presented to demonstrate the use of this policy in practical applications.展开更多
基金National Natural Science Foundation of China(No.51265025)
文摘Strength degradation is a stochastic and irreversible process.Gamma process is an independent nonnegative increment process which can be used to describe the characteristics of strength degradation.It is unreasonable to choose a linear function to describe the strength degradation trend considering that the degradation rate may change over time.So,a non-linear power law is proposed to describe the strength degradation trend based on preliminary work.It is more general compared with the linear one and the inadequacy of strict linear assumption is overcome.Then,the model parameters of non-stationary Gamma process are estimated based on the maximum likelihood method.Finally,it is proved that the non-stationary Gamma process can accurately reflect the strength degradation law through comparative analysis of a real example.
文摘Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynamics follow the GBM. Modeling the asset price dynamics by using the GBM implies that the log return of assets at particular time is normally distributed. Many studies on real data in the markets showed that the GBM fails to capture the characteristic features of asset price dynamics that exhibit heavy tails and excess kurtosis. In our study, a class of Levy process, which is called a variance gamma (VG) process, performs much better than GBM model for modeling the dynamics of those stock indices. However, valuation of financial instruments, e.g. options, under the VG process has not been well developed. Here, we propose a new approach to the valuation of European option. It is based on the conditional distribution of the VG process. We also apply the path simulation model to value American options by assuming the underlying asset log return follow the VG process. Such a model is similar with that proposed by Tiley [1]. Simulation study shows that the proposed method performs well in term of the option price.
文摘With the further development of service-oriented,performance-based contracting(PBC)has been widely adopted in industry and manufacturing.However,maintenance optimization problems under PBC have not received enough attention.To further extend the scope of PBC’s application in the field of maintenance optimization,we investigate the condition-based maintenance(CBM)optimization for gamma deteriorating systems under PBC.Considering the repairable single-component system subject to the gamma degradation process,this paper proposes a CBM optimization model to maximize the profit and improve system performance at a relatively low cost under PBC.In the proposed CBM model,the first inspection interval has been considered in order to reduce the inspection frequency and the cost rate.Then,a particle swarm algorithm(PSO)and related solution procedure are presented to solve the multiple decision variables in our proposed model.In the end,a numerical example is provided so as to demonstrate the superiority of the presented model.By comparing the proposed policy with the conventional ones,the superiority of our proposed policy is proved,which can bring more profits to providers and improve performance.Sensitivity analysis is conducted in order to research the effect of corrective maintenance cost and time required for corrective maintenance on optimization policy.A comparative study is given to illustrate the necessity of distinguishing the first inspection interval or not.
文摘针对滚动轴承的磨损这一时变随机退化过程,采用Gamma过程进行建模,开展了多组定时递进的加速寿命试验,按照标准GB T 25769—2010测量得到了对应不同试验时长轴承的游隙数据,通过极大似然法与遗传算法对该过程的尺度参数与形状参数进行了最优估计,参数估计的结果验证了Gamma过程的非齐次性质。最后,将建立的退化过程模型与原始数据进行对比,模型拟合一致性较好。
基金supported by the National Natural Science Foundation of China (Grant Nos. 51578315, 51778337)the National Key Research and Development Program of China (Grant No. 2016YFC0701404)the Faculty of Engineering and IT PhD Research Scholarship (SC1911) from the University of Sydney
文摘The environmental or anthropogenic factors, to which the in-service bridges are subjected,are responsible for the reduction of bridge performance, and finally lead to great service risk for bridges and increase the probability of substantial economic losses. Probabilitybased estimate of bridge resistance is an essential indicator for the bridge condition evaluation and for optimization of bridge maintenance/repair decisions. It places an emphasis on the proper probabilistic models of structural properties and assessment methods. Making full use of historical service load information may improve the accuracy of bridge performance assessment with reduced epistemic uncertainty for existing aging bridges. In to-date analyses to update the bridge resistance with past service information,the models of resistance deterioration have been assumed as either deterministic or fully correlated, which may differ significantly from the realistic case. With this regard, this paper proposes a novel method for updating the resistance of service-proven bridges with a realistic deterioration model. The Gamma stochastic process has been suggested in the literature to describe the probabilistic behavior of structural time-dependent resistance and thus is adopted in this paper. An illustrative bridge is presented to demonstrate the applicability of the proposed method. Parametric examples are conducted to investigate the role of resistance deterioration model in the updated estimate of bridge resistance with historical service information.
基金Sponsored by the Natural Science Fundation of Jiangxi Province(Grant No.20114BAB211026 and No.20122BA-B201028)Open Science Fund from Key Laboratory of Radioactive Geology and Exploration Technology Fundamental Science for National Defense,East China Institute of Technology(Grant No.2010RGET11)
文摘Research for detecting or obtaining radionuclide by gamma energy spectrum data acquisition and process system is one of the key issues about intelligent measurement of gamma-ray spectrum. For this reason, a software and hardware implementation schematic design based on ARM ( Advanced RISC Machines) + DSP ( Digital Signal Processor) architecture for gamma energy spectrum data acquisition and processing system is proposed. The paper discusses in detail some key technologies such as communication interface design between microcontroller ARM and digital signal processor DSP,distribution scheduling under multi-task in the ARM-Linux,DSP handling procedures for multi-channel A / D high-speed sample. At the same time,because the traditional Gaussian fitting to determine the boundary of peak is not ideal,it puts forward a weighting factor of Gaussian function least squares fitting realize boundary determined. Finally gamma-spectrum data from sodium iodide NaI( TI) scintillation detector is tested and processed in the new system. The results show that gamma energy spectrum data acquisition and process system is perfect functionality, stable and convergence in unimodal. Compared with data from conventional energy spectrometers,the system can keep better energy resolution in a wide range of pulse pass rate.
文摘由于动车组车轮受加工装配及工况载荷等不确定因素的影响,车轮退化过程复杂,存在显著的个体差异及多个性能退化特征量,且多个退化特征量间相互耦合,仅考虑单个性能特征量难以全面反映其退化过程。因此,以轮缘和轮径作为车轮退化特征量,通过随机化尺度参数表征车轮个体差异,采用Gamma过程和Copula函数建立二元相关退化模型,并根据赤池信息准则(Akaike Information Criterion, AIC)筛选Copula函数,得到可靠度解析式。基于某型动车组车轮实测磨耗数据,对车轮进行可靠性分析,同时通过车辆动力学模型进行仿真验证。结果显示:考虑二元相关时的可靠性结果比仅考虑一元退化更贴近车辆实际运行情况;根据动力学仿真结果体现了考虑个体差异的必要性,表明所提模型能够更准确地表征车轮退化过程,可为可靠性分析以及维修决策优化提供理论支撑。
文摘为了提高剩余寿命预测的可信度,针对进行过加速老化试验的产品,提出利用Gamma过程参数的非共轭先验分布进行Bayesian统计推断的剩余寿命预测方法.将加速老化数据作为先验信息,利用Gamma过程进行老化建模,通过加速因子获得形状参数在工作应力下的折算值,使用Anderson-Darling统计量确定随机参数的先验分布.将产品工作中的少量实测数据作为现场信息,利用基于Gibbs抽样的Markov Chain Monte Carlo(MCMC)仿真得到参数的后验均值.以某型导弹电连接器为例说明了该方法的研究意义和工程应用价值.
基金supported by the National watural Science Foundation of China (60904002)
文摘A condition-based maintenance model for gamma deteriorating system under continuous inspection is studied. This methodology uses a gamma distribution to model the material degradation, and the impact of imperfect maintenance actions on the system reliability is investigated. The state of a degrading system immediately after the imperfect maintenance action is assumed as a random variable and the maintenance time follows a geometric process. Furthermore, the explicit expressions for the long-run average cost and availability per unit time of the system are evaluated, an optimal policy （ε^＊） could be determined numeri- cally or analytically according to the optimization model. At last, a numerical example for a degrading system modeled by a gamma process is presented to demonstrate the use of this policy in practical applications.
