A hybrid modeling approach for option pricing

Science.gov (United States)

Hajizadeh, Ehsan; Seifi, Abbas

2011-11-01

The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.

Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations

Science.gov (United States)

Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani

2004-03-01

The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved.

Simulation-Based Internal Models for Safer Robots

Directory of Open Access Journals (Sweden)

Christian Blum

2018-01-01

Full Text Available In this paper, we explore the potential of mobile robots with simulation-based internal models for safety in highly dynamic environments. We propose a robot with a simulation of itself, other dynamic actors and its environment, inside itself. Operating in real time, this simulation-based internal model is able to look ahead and predict the consequences of both the robot’s own actions and those of the other dynamic actors in its vicinity. Hence, the robot continuously modifies its own actions in order to actively maintain its own safety while also achieving its goal. Inspired by the problem of how mobile robots could move quickly and safely through crowds of moving humans, we present experimental results which compare the performance of our internal simulation-based controller with a purely reactive approach as a proof-of-concept study for the practical use of simulation-based internal models.

Computer Based Modelling and Simulation

Indian Academy of Sciences (India)

Home; Journals; Resonance – Journal of Science Education; Volume 6; Issue 3. Computer Based Modelling and Simulation - Modelling Deterministic Systems. N K Srinivasan. General Article Volume 6 Issue 3 March 2001 pp 46-54. Fulltext. Click here to view fulltext PDF. Permanent link:

User guide for the Air Force Base Automotive Transportation Simulation Model - BATS. Volume 2. Documentation. Final report Jun 78-Sep 79

Energy Technology Data Exchange (ETDEWEB)

Sandys, R.

1979-09-01

The Base Automotive Transportation Simulation (BATS) Model is a transportation planning and traffic flow model designed to simulate traffic volumes and flows on an air base. The principal model inputs are a road network, land use zones, demographic varibles, and gate counts. The land use zones and demographic variables are used to assign volumes to the road network, and these volumes are calibrated using the gate counts. The flow characteristics on each road in the network are simulated using the volumes assigned. Average speed and volumes are the results of the model and these may be directly input to the Air Quality Assessment Model (AQAM) to estimate pollutant emissions and dispersion from traffic sources. A volume flow plot of the network is an optional output of the model.

A PC-based software package for modeling DOE mixed-waste management options

International Nuclear Information System (INIS)

Abashian, M.S.; Carney, C.; Schum, K.

1995-02-01

The U.S. Department of Energy (DOE) Headquarters and associated contractors have developed an IBM PC-based software package that estimates costs, schedules, and public and occupational health risks for a range of mixed-waste management options. A key application of the software package is the comparison of various waste-treatment options documented in the draft Site Treatment Plans prepared in accordance with the requirements of the Federal Facility Compliance Act of 1992. This automated Systems Analysis Methodology consists of a user interface for configuring complexwide or site-specific waste-management options; calculational algorithms for cost, schedule and risk; and user-selected graphical or tabular output of results. The mixed-waste management activities modeled in the automated Systems Analysis Methodology include waste storage, characterization, handling, transportation, treatment, and disposal. Analyses of treatment options identified in the draft Site Treatment Plans suggest potential cost and schedule savings from consolidation of proposed treatment facilities. This paper presents an overview of the automated Systems Analysis Methodology

A tree-based method to price American options in the Heston model

NARCIS (Netherlands)

Vellekoop, M.; Nieuwenhuis, H.

2009-01-01

We develop an algorithm to price American options on assets that follow the stochastic volatility model defined by Heston. We use an approach which is based on a modification of a combined tree for stock prices and volatilities, where the number of nodes grows quadratically in the number of time

Evidence-based quantification of uncertainties induced via simulation-based modeling

International Nuclear Information System (INIS)

Riley, Matthew E.

2015-01-01

The quantification of uncertainties in simulation-based modeling traditionally focuses upon quantifying uncertainties in the parameters input into the model, referred to as parametric uncertainties. Often neglected in such an approach are the uncertainties induced by the modeling process itself. This deficiency is often due to a lack of information regarding the problem or the models considered, which could theoretically be reduced through the introduction of additional data. Because of the nature of this epistemic uncertainty, traditional probabilistic frameworks utilized for the quantification of uncertainties are not necessarily applicable to quantify the uncertainties induced in the modeling process itself. This work develops and utilizes a methodology – incorporating aspects of Dempster–Shafer Theory and Bayesian model averaging – to quantify uncertainties of all forms for simulation-based modeling problems. The approach expands upon classical parametric uncertainty approaches, allowing for the quantification of modeling-induced uncertainties as well, ultimately providing bounds on classical probability without the loss of epistemic generality. The approach is demonstrated on two different simulation-based modeling problems: the computation of the natural frequency of a simple two degree of freedom non-linear spring mass system and the calculation of the flutter velocity coefficient for the AGARD 445.6 wing given a subset of commercially available modeling choices. - Highlights: • Modeling-induced uncertainties are often mishandled or ignored in the literature. • Modeling-induced uncertainties are epistemic in nature. • Probabilistic representations of modeling-induced uncertainties are restrictive. • Evidence theory and Bayesian model averaging are integrated. • Developed approach is applicable for simulation-based modeling problems

A real option-based model for promoting sustainable energy projects under the clean development mechanism

International Nuclear Information System (INIS)

Lee, Hyounkyu; Park, Taeil; Kim, Byungil; Kim, Kyeongseok; Kim, Hyoungkwan

2013-01-01

The clean development mechanism (CDM) provides a way of assisting sustainable development in developing countries for developed countries to reduce greenhouse gas (GHG) emissions. Despite its intended benefits, the primary CDM market decreased from US$5.8 billion in 2006 to US$1.5 billion in 2010. One of the primary reasons for the reduction of market size is that developed countries as investors have a high level of risks caused by the volatility of the market price for certified emission reductions (CERs). Another issue to be resolved is that developing countries as host countries cannot claim any right to the CERs produced on their own land. This paper presents a real option-based model for both parties (developed and developing countries) to have their fair share of profits and risks by controlling the uncertainty associated with the future value of CERs. A case study illustrated that the proposed model can effectively attract investors to CDM projects leading to mitigation of climate change. - Highlights: ► This study focused on the risks associated with the uncertainty of future CER value in CDM projects. ► A real option-based model was developed for both parties in CDM to have fair share of profit and risk. ► Key variables and boundary conditions were identified for application of real option to CDM. ► The model allowed both parties to own options, which have an identical value. ► Hydropower plant projects in Indonesia were used to illustrate the implementation of the model

Evaluating adaptation options for urban flooding based on new high-end emission scenario regional climate model simulations

DEFF Research Database (Denmark)

Arnbjerg-Nielsen, Karsten; Leonardsen, L.; Madsen, Henrik

2015-01-01

Climate change adaptation studies on urban flooding are often based on a model chain approach from climate forcing scenarios to analysis of adaptation measures. Previous analyses of climate change impacts in Copenhagen, Denmark, were supplemented by 2 high-end scenario simulations. These include...... a regional climate model projection forced to a global temperature increase of 6 degrees C in 2100 as well as a projection based on a high radiative forcing scenario (RCP8.5). With these scenarios, projected impacts of extreme precipitation increase significantly. For extreme sea surges, the impacts do...... by almost 4 and 8 times the current EAD for the RCP8.5 and 6 degrees C scenario, respectively. For both hazards, business-as-usual is not a possible scenario, since even in the absence of policy-driven changes, significant autonomous adaptation is likely to occur. Copenhagen has developed an adaptation plan...

Evaluating State Options for Reducing Medicaid Churning

Science.gov (United States)

Swartz, Katherine; Short, Pamela Farley; Graefe, Deborah R.; Uberoi, Namrata

2015-01-01

Medicaid churning - the constant exit and re-entry of beneficiaries as their eligibility changes - has long been a problem for both Medicaid administrators and recipients. Churning will continue under the Affordable Care Act, because despite new federal rules, Medicaid eligibility will continue to be based on current monthly income. We developed a longitudinal simulation model to evaluate four policy options for modifying or extending Medicaid eligibility to reduce churning. The simulations suggest that two options, extending Medicaid eligibility either to the end of a calendar year or for twelve months after enrollment, would be far more effective in reducing churning than the other options of a three-month extension or eligibility based on projected annual income. States should consider implementation of the option that best balances costs, including both administration and services, with improved health of Medicaid enrollees. PMID:26153313

Simulation-based cutaneous surgical-skill training on a chicken-skin bench model in a medical undergraduate program.

Science.gov (United States)

Denadai, Rafael; Saad-Hossne, Rogério; Martinhão Souto, Luís Ricardo

2013-05-01

Because of ethical and medico-legal aspects involved in the training of cutaneous surgical skills on living patients, human cadavers and living animals, it is necessary the search for alternative and effective forms of training simulation. To propose and describe an alternative methodology for teaching and learning the principles of cutaneous surgery in a medical undergraduate program by using a chicken-skin bench model. One instructor for every four students, teaching materials on cutaneous surgical skills, chicken trunks, wings, or thighs, a rigid platform support, needled threads, needle holders, surgical blades with scalpel handles, rat-tooth tweezers, scissors, and marking pens were necessary for training simulation. A proposal for simulation-based training on incision, suture, biopsy, and on reconstruction techniques using a chicken-skin bench model distributed in several sessions and with increasing levels of difficultywas structured. Both feedback and objective evaluations always directed to individual students were also outlined. The teaching of a methodology for the principles of cutaneous surgery using a chicken-skin bench model versatile, portable, easy to assemble, and inexpensive is an alternative and complementary option to the armamentarium of methods based on other bench models described.

Comparative cost-effectiveness of Option B+ for prevention of mother to child transmission of HIV in Malawi: Mathematical modelling study

Science.gov (United States)

Tweya, Hannock; Keiser, Olivia; Haas, Andreas D.; Tenthani, Lyson; Phiri, Sam; Egger, Matthias; Estill, Janne

2016-01-01

Objective To estimate the cost-effectiveness of prevention of mother to child transmission (MTCT) of HIV with lifelong antiretroviral therapy (ART) for pregnant and breastfeeding women (‘Option B+’) compared to ART during pregnancy or breastfeeding only unless clinically indicated (‘Option B’). Design Mathematical modelling study of first and second pregnancy, informed by data from the Malawi Option B+ programme. Methods Individual-based simulation model. We simulated cohorts of 10,000 women and their infants during two subsequent pregnancies, including the breastfeeding period, with either Option B+ or B. We parameterised the model with data from the literature and by analysing programmatic data. We compared total costs of ante-natal and post-natal care, and lifetime costs and disability-adjusted life-years (DALYs) of the infected infants between Option B+ and Option B. Results During the first pregnancy, 15% of the infants born to HIV-infected mothers acquired the infection. With Option B+, 39% of the women were on ART at the beginning of the second pregnancy, compared to 18% with Option B. For second pregnancies, the rates MTCT were 11.3% with Option B+ and 12.3% with Option B. The incremental cost-effectiveness ratio comparing the two options ranged between about US$ 500 and US$ 1300 per DALY averted. Conclusion Option B+ prevents more vertical transmissions of HIV than Option B, mainly because more women are already on ART at the beginning of the next pregnancy. Option B+ is a cost-effective strategy for PMTCT if the total future costs and lost lifetime of the infected infants are taken into account. PMID:26691682

A naturalistic decision making model for simulated human combatants

International Nuclear Information System (INIS)

HUNTER, KEITH O.; HART, WILLIAM E.; FORSYTHE, JAMES C.

2000-01-01

The authors describe a naturalistic behavioral model for the simulation of small unit combat. This model, Klein's recognition-primed decision making (RPD) model, is driven by situational awareness rather than a rational process of selecting from a set of action options. They argue that simulated combatants modeled with RPD will have more flexible and realistic responses to a broad range of small-scale combat scenarios. Furthermore, they note that the predictability of a simulation using an RPD framework can be easily controlled to provide multiple evaluations of a given combat scenario. Finally, they discuss computational issues for building an RPD-based behavior engine for fully automated combatants in small conflict scenarios, which are being investigated within Sandia's Next Generation Site Security project

MASADA: A MODELING AND SIMULATION AUTOMATED DATA ANALYSIS FRAMEWORK FOR CONTINUOUS DATA-INTENSIVE VALIDATION OF SIMULATION MODELS

CERN Document Server

Foguelman, Daniel Jacob; The ATLAS collaboration

2016-01-01

Complex networked computer systems are usually subjected to upgrades and enhancements on a continuous basis. Modeling and simulation of such systems helps with guiding their engineering processes, in particular when testing candi- date design alternatives directly on the real system is not an option. Models are built and simulation exercises are run guided by specific research and/or design questions. A vast amount of operational conditions for the real system need to be assumed in order to focus on the relevant questions at hand. A typical boundary condition for computer systems is the exogenously imposed workload. Meanwhile, in typical projects huge amounts of monitoring information are logged and stored with the purpose of studying the system’s performance in search for improvements. Also research questions change as systems’ operational conditions vary throughout its lifetime. This context poses many challenges to determine the validity of simulation models. As the behavioral empirical base of the sys...

MASADA: A Modeling and Simulation Automated Data Analysis framework for continuous data-intensive validation of simulation models

CERN Document Server

Foguelman, Daniel Jacob; The ATLAS collaboration

2016-01-01

Complex networked computer systems are usually subjected to upgrades and enhancements on a continuous basis. Modeling and simulation of such systems helps with guiding their engineering processes, in particular when testing candi- date design alternatives directly on the real system is not an option. Models are built and simulation exercises are run guided by specific research and/or design questions. A vast amount of operational conditions for the real system need to be assumed in order to focus on the relevant questions at hand. A typical boundary condition for computer systems is the exogenously imposed workload. Meanwhile, in typical projects huge amounts of monitoring information are logged and stored with the purpose of studying the system’s performance in search for improvements. Also research questions change as systems’ operational conditions vary throughout its lifetime. This context poses many challenges to determine the validity of simulation models. As the behavioral empirical base of the sys...

Nuclear fuel cycle system simulation tool based on high-fidelity component modeling

Energy Technology Data Exchange (ETDEWEB)

Ames, David E.,

2014-02-01

The DOE is currently directing extensive research into developing fuel cycle technologies that will enable the safe, secure, economic, and sustainable expansion of nuclear energy. The task is formidable considering the numerous fuel cycle options, the large dynamic systems that each represent, and the necessity to accurately predict their behavior. The path to successfully develop and implement an advanced fuel cycle is highly dependent on the modeling capabilities and simulation tools available for performing useful relevant analysis to assist stakeholders in decision making. Therefore a high-fidelity fuel cycle simulation tool that performs system analysis, including uncertainty quantification and optimization was developed. The resulting simulator also includes the capability to calculate environmental impact measures for individual components and the system. An integrated system method and analysis approach that provides consistent and comprehensive evaluations of advanced fuel cycles was developed. A general approach was utilized allowing for the system to be modified in order to provide analysis for other systems with similar attributes. By utilizing this approach, the framework for simulating many different fuel cycle options is provided. Two example fuel cycle configurations were developed to take advantage of used fuel recycling and transmutation capabilities in waste management scenarios leading to minimized waste inventories.

Simulation-based cutaneous surgical-skill training on a chicken-skin bench model in a medical undergraduate program

Directory of Open Access Journals (Sweden)

Rafael Denadai

2013-01-01

Full Text Available Background: Because of ethical and medico-legal aspects involved in the training of cutaneous surgical skills on living patients, human cadavers and living animals, it is necessary the search for alternative and effective forms of training simulation. Aims: To propose and describe an alternative methodology for teaching and learning the principles of cutaneous surgery in a medical undergraduate program by using a chicken-skin bench model. Materials and Methods: One instructor for every four students, teaching materials on cutaneous surgical skills, chicken trunks, wings, or thighs, a rigid platform support, needled threads, needle holders, surgical blades with scalpel handles, rat-tooth tweezers, scissors, and marking pens were necessary for training simulation. Results: A proposal for simulation-based training on incision, suture, biopsy, and on reconstruction techniques using a chicken-skin bench model distributed in several sessions and with increasing levels of difficultywas structured. Both feedback and objective evaluations always directed to individual students were also outlined. Conclusion: The teaching of a methodology for the principles of cutaneous surgery using a chicken-skin bench model versatile, portable, easy to assemble, and inexpensive is an alternative and complementary option to the armamentarium of methods based on other bench models described.

Documentation of a restart option for the U.S. Geological Survey coupled Groundwater and Surface-Water Flow (GSFLOW) model

Science.gov (United States)

Regan, R. Steve; Niswonger, Richard G.; Markstrom, Steven L.; Barlow, Paul M.

2015-10-02

A new option to write and read antecedent conditions (also referred to as initial conditions) has been developed for the U.S. Geological Survey (USGS) Groundwater and Surface-Water Flow (GSFLOW) numerical, hydrologic simulation code. GSFLOW is an integration of the USGS Precipitation-Runoff Modeling System (PRMS) and USGS Modular Groundwater-Flow Model (MODFLOW), and provides three simulation modes: MODFLOW-only, PRMS-only, and GSFLOW (or coupled). The new capability, referred to as the restart option, can be used for all three simulation modes, such that the results from a pair (or set) of spin-up and restart simulations are nearly identical to results produced from a continuous simulation for the same time period. The restart option writes all results to files at the end of a spin-up simulation that are required to initialize a subsequent restart simulation. Previous versions of GSFLOW have had some capability to save model results for use as antecedent condiitions in subsequent simulations; however, the existing capabilities were not comprehensive or easy to use. The new restart option supersedes the previous methods. The restart option was developed in collaboration with the National Oceanic and Atmospheric Administration, National Weather Service as part of the Integrated Water Resources Science and Services Partnership. The primary focus for the development of the restart option was to support medium-range (7- to 14-day) forecasts of low streamflow conditions made by the National Weather Service for critical water-supply basins in which groundwater plays an important role.

Simulation-based modeling of building complexes construction management

Science.gov (United States)

Shepelev, Aleksandr; Severova, Galina; Potashova, Irina

2018-03-01

The study reported here examines the experience in the development and implementation of business simulation games based on network planning and management of high-rise construction. Appropriate network models of different types and levels of detail have been developed; a simulation model including 51 blocks (11 stages combined in 4 units) is proposed.

Cognitive Modeling for Agent-Based Simulation of Child Maltreatment

Science.gov (United States)

Hu, Xiaolin; Puddy, Richard

This paper extends previous work to develop cognitive modeling for agent-based simulation of child maltreatment (CM). The developed model is inspired from parental efficacy, parenting stress, and the theory of planned behavior. It provides an explanatory, process-oriented model of CM and incorporates causality relationship and feedback loops from different factors in the social ecology in order for simulating the dynamics of CM. We describe the model and present simulation results to demonstrate the features of this model.

An Individual-based Probabilistic Model for Fish Stock Simulation

Directory of Open Access Journals (Sweden)

Federico Buti

2010-08-01

Full Text Available We define an individual-based probabilistic model of a sole (Solea solea behaviour. The individual model is given in terms of an Extended Probabilistic Discrete Timed Automaton (EPDTA, a new formalism that is introduced in the paper and that is shown to be interpretable as a Markov decision process. A given EPDTA model can be probabilistically model-checked by giving a suitable translation into syntax accepted by existing model-checkers. In order to simulate the dynamics of a given population of soles in different environmental scenarios, an agent-based simulation environment is defined in which each agent implements the behaviour of the given EPDTA model. By varying the probabilities and the characteristic functions embedded in the EPDTA model it is possible to represent different scenarios and to tune the model itself by comparing the results of the simulations with real data about the sole stock in the North Adriatic sea, available from the recent project SoleMon. The simulator is presented and made available for its adaptation to other species.

iCrowd: agent-based behavior modeling and crowd simulator

Science.gov (United States)

Kountouriotis, Vassilios I.; Paterakis, Manolis; Thomopoulos, Stelios C. A.

2016-05-01

Initially designed in the context of the TASS (Total Airport Security System) FP-7 project, the Crowd Simulation platform developed by the Integrated Systems Lab of the Institute of Informatics and Telecommunications at N.C.S.R. Demokritos, has evolved into a complete domain-independent agent-based behavior simulator with an emphasis on crowd behavior and building evacuation simulation. Under continuous development, it reflects an effort to implement a modern, multithreaded, data-oriented simulation engine employing latest state-of-the-art programming technologies and paradigms. It is based on an extensible architecture that separates core services from the individual layers of agent behavior, offering a concrete simulation kernel designed for high-performance and stability. Its primary goal is to deliver an abstract platform to facilitate implementation of several Agent-Based Simulation solutions with applicability in several domains of knowledge, such as: (i) Crowd behavior simulation during [in/out] door evacuation. (ii) Non-Player Character AI for Game-oriented applications and Gamification activities. (iii) Vessel traffic modeling and simulation for Maritime Security and Surveillance applications. (iv) Urban and Highway Traffic and Transportation Simulations. (v) Social Behavior Simulation and Modeling.

Towards a standard model for research in agent-based modeling and simulation

Directory of Open Access Journals (Sweden)

Nuno Fachada

2015-11-01

Full Text Available Agent-based modeling (ABM is a bottom-up modeling approach, where each entity of the system being modeled is uniquely represented as an independent decision-making agent. ABMs are very sensitive to implementation details. Thus, it is very easy to inadvertently introduce changes which modify model dynamics. Such problems usually arise due to the lack of transparency in model descriptions, which constrains how models are assessed, implemented and replicated. In this paper, we present PPHPC, a model which aims to serve as a standard in agent based modeling research, namely, but not limited to, conceptual model specification, statistical analysis of simulation output, model comparison and parallelization studies. This paper focuses on the first two aspects (conceptual model specification and statistical analysis of simulation output, also providing a canonical implementation of PPHPC. The paper serves as a complete reference to the presented model, and can be used as a tutorial for simulation practitioners who wish to improve the way they communicate their ABMs.

Integrated model of Korean spent fuel and high level waste disposal options - 16091

International Nuclear Information System (INIS)

Hwang, Yongsoo; Miller, Ian

2009-01-01

This paper describes an integrated model developed by the Korean Atomic Energy Research Institute (KAERI) to simulate options for disposal of spent nuclear fuel (SNF) and reprocessing products in South Korea. A companion paper (Hwang and Miller, 2009) describes a systems-level model of Korean options for spent nuclear fuel (SNF) management in the 21. century. The model addresses alternative design concepts for disposal of SNF of different types (Candu, PWR), high level waste, and fission products arising from a variety of alternative fuel cycle back ends. It uses the GoldSim software to simulate the engineered system, near-field and far-field geosphere, and biosphere, resulting in long-term dose predictions for a variety of receptor groups. The model's results allow direct comparison of alternative repository design concepts, and identification of key parameter uncertainties and contributors to receptor doses. (authors)

Simulating individual-based models of epidemics in hierarchical networks

NARCIS (Netherlands)

Quax, R.; Bader, D.A.; Sloot, P.M.A.

2009-01-01

Current mathematical modeling methods for the spreading of infectious diseases are too simplified and do not scale well. We present the Simulator of Epidemic Evolution in Complex Networks (SEECN), an efficient simulator of detailed individual-based models by parameterizing separate dynamics

Modeling ground-based timber harvesting systems using computer simulation

Science.gov (United States)

Jingxin Wang; Chris B. LeDoux

2001-01-01

Modeling ground-based timber harvesting systems with an object-oriented methodology was investigated. Object-oriented modeling and design promote a better understanding of requirements, cleaner designs, and better maintainability of the harvesting simulation system. The model developed simulates chainsaw felling, drive-to-tree feller-buncher, swing-to-tree single-grip...

DFSIM with economics: A financial analysis option for the DFSIM Douglas-fir simulator.

Science.gov (United States)

Roger O. Fight; Judith M. Chittester; Gary W. Clendenen

1984-01-01

A modified version of the DFSIM Douglas-fir (Pseudotsuga menziesii (Mirb.) Franco var. menziesii) growth and yield simulator, DFSIM WITH ECONOMICS, now has an economics option that allows the user to estimate present net worth at the same time a silvicultural regime is simulated. If desired, the economics option will apply a...

SIMULATION MODEL FOR DESIGN SUPPORT OF INFOCOMM REDUNDANT SYSTEMS

Directory of Open Access Journals (Sweden)

V. A. Bogatyrev

2016-09-01

Full Text Available Subject of Research. The paper deals with the effectiveness of multipath transfer of request copies through the network and their redundant service without the use of laborious analytical modeling. The model and support tools for the design of highly reliable distributed systems based on simulation modeling have been created. Method. The effectiveness of many variants of service organization and delivery through the network to the query servers is formed and analyzed. Options for providing redundant service and delivery via the network to the servers of request copies are also considered. The choice of variants for the distribution and service of requests is carried out taking into account the criticality of queries to the time of their stay in the system. The request is considered successful if at least one of its copies is accurately delivered to the working server, ready to service the request received through a network, if it is fulfilled in the set time. Efficiency analysis of the redundant transmission and service of requests is based on the model built in AnyLogic 7 simulation environment. Main Results. Simulation experiments based on the proposed models have shown the effectiveness of redundant transmission of copies of queries (packets to the servers in the cluster through multiple paths with redundant service of request copies by a group of servers in the cluster. It is shown that this solution allows increasing the probability of exact execution of at least one copy of the request within the required time. We have carried out efficiency evaluation of destruction of outdated request copies in the queues of network nodes and the cluster. We have analyzed options for network implementation of multipath transfer of request copies to the servers in the cluster over disjoint paths, possibly different according to the number of their constituent nodes. Practical Relevance. The proposed simulation models can be used when selecting the optimal

Agent Based Modelling for Social Simulation

NARCIS (Netherlands)

Smit, S.K.; Ubink, E.M.; Vecht, B. van der; Langley, D.J.

2013-01-01

This document is the result of an exploratory project looking into the status of, and opportunities for Agent Based Modelling (ABM) at TNO. The project focussed on ABM applications containing social interactions and human factors, which we termed ABM for social simulation (ABM4SS). During the course

Modelling the carbon budget of intensive forest monitoring sites in Germany using the simulation model BIOME-BGC

OpenAIRE

Jochheim, H.; Puhlmann, M.; Beese, F.; Berthold, D.; Einert, P.; Kallweit, R.; Konopatzky, A.; Meesenburg, H.; Meiwes, K.-J.; Raspe, S.; Schulte-Bisping, H.; Schulz, C.

2008-01-01

It is shown that by calibrating the simulation model BIOME-BGC with mandatory and optional Level II data, within the ICP Forest programme, a well-founded calculation of the carbon budget of forest stands is achievable and, based on succeeded calibration, the modified BIOME-BGC model is a useful tool to assess the effect of climate change on forest ecosystems. peerReviewed

Modelling and simulation-based acquisition decision support: present & future

CSIR Research Space (South Africa)

Naidoo, S

2009-10-01

Full Text Available stream_source_info Naidoo1_2009.pdf.txt stream_content_type text/plain stream_size 24551 Content-Encoding UTF-8 stream_name Naidoo1_2009.pdf.txt Content-Type text/plain; charset=UTF-8 1 Modelling & Simulation...-Based Acquisition Decision Support: Present & Future Shahen Naidoo Abstract The Ground Based Air Defence System (GBADS) Programme, of the South African Army has been applying modelling and simulation (M&S) to provide acquisition decision and doctrine...

Simulation study of a magnetocardiogram based on a virtual heart model: effect of a cardiac equivalent source and a volume conductor

International Nuclear Information System (INIS)

Shou Guo-Fa; Xia Ling; Dai Ling; Ma Ping; Tang Fa-Kuan

2011-01-01

In this paper, we present a magnetocardiogram (MCG) simulation study using the boundary element method (BEM) and based on the virtual heart model and the realistic human volume conductor model. The different contributions of cardiac equivalent source models and volume conductor models to the MCG are deeply and comprehensively investigated. The single dipole source model, the multiple dipoles source model and the equivalent double layer (EDL) source model are analysed and compared with the cardiac equivalent source models. Meanwhile, the effect of the volume conductor model on the MCG combined with these cardiac equivalent sources is investigated. The simulation results demonstrate that the cardiac electrophysiological information will be partly missed when only the single dipole source is taken, while the EDL source is a good option for MCG simulation and the effect of the volume conductor is smallest for the EDL source. Therefore, the EDL source is suitable for the study of MCG forward and inverse problems, and more attention should be paid to it in future MCG studies. (general)

Modelling Callable Annuity Bonds with Interest-Only Optionality

OpenAIRE

Holst, Anders; Nalholm, Morten

2004-01-01

In this paper an investigation of the pricing of callable annuities with interest-only (I-O) optionality is conducted. First the I-O optionality feature of callable annuities is introduced. Next an algorithm for pricing callable annuities with I-O optionality using the finite difference methodology, is formulated. This is then used to investigate optimal strategies of I-O bonds and impacts on prices from the I-O optionality. It is found that the I-O feature necessitates a simul...

Ion transfer from an atmospheric pressure ion funnel into a mass spectrometer with different interface options: Simulation-based optimization of ion transmission efficiency.

Science.gov (United States)

Mayer, Thomas; Borsdorf, Helko

2016-02-15

We optimized an atmospheric pressure ion funnel (APIF) including different interface options (pinhole, capillary, and nozzle) regarding a maximal ion transmission. Previous computer simulations consider the ion funnel itself and do not include the geometry of the following components which can considerably influence the ion transmission into the vacuum stage. Initially, a three-dimensional computer-aided design (CAD) model of our setup was created using Autodesk Inventor. This model was imported to the Autodesk Simulation CFD program where the computational fluid dynamics (CFD) were calculated. The flow field was transferred to SIMION 8.1. Investigations of ion trajectories were carried out using the SDS (statistical diffusion simulation) tool of SIMION, which allowed us to evaluate the flow regime, pressure, and temperature values that we obtained. The simulation-based optimization of different interfaces between an atmospheric pressure ion funnel and the first vacuum stage of a mass spectrometer require the consideration of fluid dynamics. The use of a Venturi nozzle ensures the highest level of transmission efficiency in comparison to capillaries or pinholes. However, the application of radiofrequency (RF) voltage and an appropriate direct current (DC) field leads to process optimization and maximum ion transfer. The nozzle does not hinder the transfer of small ions. Our high-resolution SIMION model (0.01 mm grid unit(-1) ) under consideration of fluid dynamics is generally suitable for predicting the ion transmission through an atmospheric-vacuum system for mass spectrometry and enables the optimization of operational parameters. A Venturi nozzle inserted between the ion funnel and the mass spectrometer permits maximal ion transmission. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.

Options for rural electrification in Arua District, Uganda

International Nuclear Information System (INIS)

Onzia, Joseph; Núñez Bosch, Osvaldo Manuel

2015-01-01

This study proposed a power generation system suitable for rural area application. The electrification options were proposed for secondary schools, health centres, households and trading centre loads using solar PV system, diesel fired generators, biogas co-fired diesel generators and grid extension. The study is based on simulation, modeling and optimization of renewable energy system. Designs for the options considered were based on the electricity demand and environmental conditions of Arua district. From the designs, capital costs for each option were determined. This was used in carrying out simulations in HOMER computer program to come up with the most cost effective options. Sensitivity analysis was carried out to determine the effects of variation in costs such as diesel price and capital cost of solar PV system.Based on simulation results, it has been found that the trading centre, with 500 kW of electrical demand, must be electrified using the grid extension. The breakeven grid distance is 75.1 km. Grid extension become cost effective compared to diesel generators and solar PV system within this distance. The load at household level ranges from as low as 16 W to 5 kW. For 103 W peak load, the most cost effective option was solar PV system. The second best option was biogas co-fired diesel generator. For schools and health centres with load of up to 15 kW, biogas co-fired generator is the best compared to the total cost of 18 kW diesel fired generator which is higher. Therefore, where biogas cannot be generated, diesel generators should be used. Based on the amount of pollutants produced, a biogas co-fired diesel generator is the best option. (full text)

A pedagogical model for simulation-based learning in healthcare

Directory of Open Access Journals (Sweden)

Tuulikki Keskitalo

2015-11-01

Full Text Available The aim of this study was to design a pedagogical model for a simulation-based learning environment (SBLE in healthcare. Currently, simulation and virtual reality are a major focus in healthcare education. However, when and how these learning environments should be applied is not well-known. The present study tries to fill that gap. We pose the following research question: What kind of pedagogical model supports and facilitates students’ meaningful learning in SBLEs? The study used design-based research (DBR and case study approaches. We report the results from our second case study and how the pedagogical model was developed based on the lessons learned. The study involved nine facilitators and 25 students. Data were collected and analysed using mixed methods. The main result of this study is the refined pedagogical model. The model is based on the socio-cultural theory of learning and characteristics of meaningful learning as well as previous pedagogical models. The model will provide a more holistic and meaningful approach to teaching and learning in SBLEs. However, the model requires evidence and further development.

Gstat: a program for geostatistical modelling, prediction and simulation

Science.gov (United States)

Pebesma, Edzer J.; Wesseling, Cees G.

1998-01-01

Gstat is a computer program for variogram modelling, and geostatistical prediction and simulation. It provides a generic implementation of the multivariable linear model with trends modelled as a linear function of coordinate polynomials or of user-defined base functions, and independent or dependent, geostatistically modelled, residuals. Simulation in gstat comprises conditional or unconditional (multi-) Gaussian sequential simulation of point values or block averages, or (multi-) indicator sequential simulation. Besides many of the popular options found in other geostatistical software packages, gstat offers the unique combination of (i) an interactive user interface for modelling variograms and generalized covariances (residual variograms), that uses the device-independent plotting program gnuplot for graphical display, (ii) support for several ascii and binary data and map file formats for input and output, (iii) a concise, intuitive and flexible command language, (iv) user customization of program defaults, (v) no built-in limits, and (vi) free, portable ANSI-C source code. This paper describes the class of problems gstat can solve, and addresses aspects of efficiency and implementation, managing geostatistical projects, and relevant technical details.

Modeling and simulation of gamma camera

International Nuclear Information System (INIS)

Singh, B.; Kataria, S.K.; Samuel, A.M.

2002-08-01

Simulation techniques play a vital role in designing of sophisticated instruments and also for the training of operating and maintenance staff. Gamma camera systems have been used for functional imaging in nuclear medicine. Functional images are derived from the external counting of the gamma emitting radioactive tracer that after introduction in to the body mimics the behavior of native biochemical compound. The position sensitive detector yield the coordinates of the gamma ray interaction with the detector and are used to estimate the point of gamma ray emission within the tracer distribution space. This advanced imaging device is thus dependent on the performance of algorithm for coordinate computing, estimation of point of emission, generation of image and display of the image data. Contemporary systems also have protocols for quality control and clinical evaluation of imaging studies. Simulation of this processing leads to understanding of the basic camera design problems. This report describes a PC based package for design and simulation of gamma camera along with the options of simulating data acquisition and quality control of imaging studies. Image display and data processing the other options implemented in SIMCAM will be described in separate reports (under preparation). Gamma camera modeling and simulation in SIMCAM has preset configuration of the design parameters for various sizes of crystal detector with the option to pack the PMT on hexagon or square lattice. Different algorithm for computation of coordinates and spatial distortion removal are allowed in addition to the simulation of energy correction circuit. The user can simulate different static, dynamic, MUGA and SPECT studies. The acquired/ simulated data is processed for quality control and clinical evaluation of the imaging studies. Results show that the program can be used to assess these performances. Also the variations in performance parameters can be assessed due to the induced

Cost Effective Community Based Dementia Screening: A Markov Model Simulation

Directory of Open Access Journals (Sweden)

Erin Saito

2014-01-01

Full Text Available Background. Given the dementia epidemic and the increasing cost of healthcare, there is a need to assess the economic benefit of community based dementia screening programs. Materials and Methods. Markov model simulations were generated using data obtained from a community based dementia screening program over a one-year period. The models simulated yearly costs of caring for patients based on clinical transitions beginning in pre dementia and extending for 10 years. Results. A total of 93 individuals (74 female, 19 male were screened for dementia and 12 meeting clinical criteria for either mild cognitive impairment (n=7 or dementia (n=5 were identified. Assuming early therapeutic intervention beginning during the year of dementia detection, Markov model simulations demonstrated 9.8% reduction in cost of dementia care over a ten-year simulation period, primarily through increased duration in mild stages and reduced time in more costly moderate and severe stages. Discussion. Community based dementia screening can reduce healthcare costs associated with caring for demented individuals through earlier detection and treatment, resulting in proportionately reduced time in more costly advanced stages.

Density forecasts of crude-oil prices using option-implied and ARCH-type models

DEFF Research Database (Denmark)

Høg, Esben; Tsiaras, Leonicas

2011-01-01

of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well...... obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark...

Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

Directory of Open Access Journals (Sweden)

Aimin Heng

2014-01-01

Full Text Available Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson-Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black-Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples.

Monte Carlo simulation of grating-based neutron phase contrast imaging at CPHS

International Nuclear Information System (INIS)

Zhang Ran; Chen Zhiqiang; Huang Zhifeng; Xiao Yongshun; Wang Xuewu; Wie Jie; Loong, C.-K.

2011-01-01

Since the launching of the Compact Pulsed Hadron Source (CPHS) project of Tsinghua University in 2009, works have begun on the design and engineering of an imaging/radiography instrument for the neutron source provided by CPHS. The instrument will perform basic tasks such as transmission imaging and computerized tomography. Additionally, we include in the design the utilization of coded-aperture and grating-based phase contrast methodology, as well as the options of prompt gamma-ray analysis and neutron-energy selective imaging. Previously, we had implemented the hardware and data-analysis software for grating-based X-ray phase contrast imaging. Here, we investigate Geant4-based Monte Carlo simulations of neutron refraction phenomena and then model the grating-based neutron phase contrast imaging system according to the classic-optics-based method. The simulated experimental results of the retrieving phase shift gradient information by five-step phase-stepping approach indicate the feasibility of grating-based neutron phase contrast imaging as an option for the cold neutron imaging instrument at the CPHS.

45 CFR 1306.33 - Home-based program option.

Science.gov (United States)

2010-10-01

... 45 Public Welfare 4 2010-10-01 2010-10-01 false Home-based program option. 1306.33 Section 1306.33... PROGRAM HEAD START STAFFING REQUIREMENTS AND PROGRAM OPTIONS Head Start Program Options § 1306.33 Home-based program option. (a) Grantees implementing a home-based program option must: (1) Provide one home...

Development of real options model for nuclear power plants

International Nuclear Information System (INIS)

Ono, Kenji

2004-01-01

As the Japanese electricity market is deregulated, it becomes more important for electric utilities to recognize their financial risks and to adopt strategic and scientific decision making methodology. We have developed two models for valuation of Japanese nuclear power plants to support utilities' decision making. One is a net present value (NPV) model using discounted cash flow analysis method. Another is a real options model. This model is based on strict financial technology theory and can calculate value of early retirement, life extension and new unit addition options of nuclear units under electricity price uncertainty. This can also derive an optimal period for retirement, life extension and new unit addition. (author)

Simulation-Based Dynamic Passenger Flow Assignment Modelling for a Schedule-Based Transit Network

Directory of Open Access Journals (Sweden)

Xiangming Yao

2017-01-01

Full Text Available The online operation management and the offline policy evaluation in complex transit networks require an effective dynamic traffic assignment (DTA method that can capture the temporal-spatial nature of traffic flows. The objective of this work is to propose a simulation-based dynamic passenger assignment framework and models for such applications in the context of schedule-based rail transit systems. In the simulation framework, travellers are regarded as individual agents who are able to obtain complete information on the current traffic conditions. A combined route selection model integrated with pretrip route selection and entrip route switch is established for achieving the dynamic network flow equilibrium status. The train agent is operated strictly with the timetable and its capacity limitation is considered. A continuous time-driven simulator based on the proposed framework and models is developed, whose performance is illustrated through a large-scale network of Beijing subway. The results indicate that more than 0.8 million individual passengers and thousands of trains can be simulated simultaneously at a speed ten times faster than real time. This study provides an efficient approach to analyze the dynamic demand-supply relationship for large schedule-based transit networks.

Event-based Simulation Model for Quantum Optics Experiments

NARCIS (Netherlands)

De Raedt, H.; Michielsen, K.; Jaeger, G; Khrennikov, A; Schlosshauer, M; Weihs, G

2011-01-01

We present a corpuscular simulation model of optical phenomena that does not require the knowledge of the solution of a wave equation of the whole system and reproduces the results of Maxwell's theory by generating detection events one-by-one. The event-based corpuscular model gives a unified

The option to expand a project: its assessment with the binomial options pricing model

Directory of Open Access Journals (Sweden)

Salvador Cruz Rambaud

Full Text Available Traditional methods of investment appraisal, like the Net Present Value, are not able to include the value of the operational flexibility of the project. In this paper, real options, and more specifically the option to expand, are assumed to be included in the project information in addition to the expected cash flows. Thus, to calculate the total value of the project, we are going to apply the methodology of the Net Present Value to the different scenarios derived from the existence of the real option to expand. Taking into account the analogy between real and financial options, the value of including an option to expand is explored by using the binomial options pricing model. In this way, estimating the value of the option to expand is a tool which facilitates the control of the uncertainty element implicit in the project. Keywords: Real options, Option to expand, Binomial options pricing model, Investment project appraisal

A real options-based CCS investment evaluation model: Case study of China's power generation sector

International Nuclear Information System (INIS)

Zhu, Lei; Fan, Ying

2011-01-01

Highlights: → This paper establishes a carbon captures and storage (CCS) investment evaluation model. → The model is based on real options theory and solved by the Least Squares Monte Carlo (LSM) method. → China is taken as a case study to evaluate the effects of regulations on CCS investment. → The findings show that the current investment risk of CCS is high, climate policy having the greatest impact on CCS development. -- Abstract: This paper establishes a carbon capture and storage (CCS) investment evaluation model based on real options theory considering uncertainties from the existing thermal power generating cost, carbon price, thermal power with CCS generating cost, and investment in CCS technology deployment. The model aims to evaluate the value of the cost saving effect and amount of CO 2 emission reduction through investing in newly-built thermal power with CCS technology to replace existing thermal power in a given period from the perspective of power generation enterprises. The model is solved by the Least Squares Monte Carlo (LSM) method. Since the model could be used as a policy analysis tool, China is taken as a case study to evaluate the effects of regulations on CCS investment through scenario analysis. The findings show that the current investment risk of CCS is high, climate policy having the greatest impact on CCS development. Thus, there is an important trade off for policy makers between reducing greenhouse gas emissions and protecting the interests of power generation enterprises. The research presented would be useful for CCS technology evaluation and related policy-making.

The research for flexible product family manufacturing based on real options

Directory of Open Access Journals (Sweden)

Maozhu Jin

2015-01-01

Full Text Available Purpose: The goal of this paper is to find the best production strategy for product mix, which means the largest value of the options. And finally, give a case and find the solution of the optimal production strategy for product mix. Design/methodology/approach: This article, based on the production with characteristics of a call option and 0-1 integer programming model, build new-products mix strategy, and through case demonstrate that traditional method underestimates the value of the products mix. Finding: According to market being volatility and uncertainty and the production can being delayed, firms can flexibly arrange the best time for products to manufacture. Use real options theory to analyze product decision and the best production timing decision. Find the total options value is higher than the traditional methods. Research limitations/implications: We are not applied to real option pricing theory in modular flexible production system. We just applied real option pricing theory to the product platform. The basic model needs to improve. While the thinking of this paper provides some research ideas for flexible production systems based on real option in further research. Practical Implications: The introduction of the real option make the company can achieve dynamic planning and flexible management for production of products mix and get the better benefit. Originality/value: The central contribution of this paper is to introduce the option mechanism in the production timing for the product mix.

Improving the Aircraft Design Process Using Web-based Modeling and Simulation

Science.gov (United States)

Reed, John A.; Follen, Gregory J.; Afjeh, Abdollah A.

2003-01-01

Designing and developing new aircraft systems is time-consuming and expensive. Computational simulation is a promising means for reducing design cycle times, but requires a flexible software environment capable of integrating advanced multidisciplinary and muitifidelity analysis methods, dynamically managing data across heterogeneous computing platforms, and distributing computationally complex tasks. Web-based simulation, with its emphasis on collaborative composition of simulation models, distributed heterogeneous execution, and dynamic multimedia documentation, has the potential to meet these requirements. This paper outlines the current aircraft design process, highlighting its problems and complexities, and presents our vision of an aircraft design process using Web-based modeling and simulation.

The community Noah land surface model with multiparameterization options (Noah-MP): 1. Model description and evaluation with local-scale measurements

KAUST Repository

Niu, Guo-Yue

2011-06-24

This first paper of the two-part series describes the objectives of the community efforts in improving the Noah land surface model (LSM), documents, through mathematical formulations, the augmented conceptual realism in biophysical and hydrological processes, and introduces a framework for multiple options to parameterize selected processes (Noah-MP). The Noah-MP\\'s performance is evaluated at various local sites using high temporal frequency data sets, and results show the advantages of using multiple optional schemes to interpret the differences in modeling simulations. The second paper focuses on ensemble evaluations with long-term regional (basin) and global scale data sets. The enhanced conceptual realism includes (1) the vegetation canopy energy balance, (2) the layered snowpack, (3) frozen soil and infiltration, (4) soil moisture-groundwater interaction and related runoff production, and (5) vegetation phenology. Sample local-scale validations are conducted over the First International Satellite Land Surface Climatology Project (ISLSCP) Field Experiment (FIFE) site, the W3 catchment of Sleepers River, Vermont, and a French snow observation site. Noah-MP shows apparent improvements in reproducing surface fluxes, skin temperature over dry periods, snow water equivalent (SWE), snow depth, and runoff over Noah LSM version 3.0. Noah-MP improves the SWE simulations due to more accurate simulations of the diurnal variations of the snow skin temperature, which is critical for computing available energy for melting. Noah-MP also improves the simulation of runoff peaks and timing by introducing a more permeable frozen soil and more accurate simulation of snowmelt. We also demonstrate that Noah-MP is an effective research tool by which modeling results for a given process can be interpreted through multiple optional parameterization schemes in the same model framework. Copyright © 2011 by the American Geophysical Union.

Probabilistic Cash Flow-Based Optimal Investment Timing Using Two-Color Rainbow Options Valuation for Economic Sustainability Appraisement

Directory of Open Access Journals (Sweden)

Yonggu Kim

2017-10-01

Full Text Available This research determines the optimal investment timing using real options valuation to support decision-making for economic sustainability assessment. This paper illustrates an option pricing model using the Black-Scholes model applied to a case project to understand the model performance. Applicability of the project to the model requires two Monte Carlo simulations to satisfy a Markov process and a Wiener process. The position of project developers is not only the seller of products, but it is also the buyer of raw materials. Real options valuation can be influenced by the volatility of cash outflow, as well as the volatility of cash inflow. This study suggests two-color rainbow options valuation to overcome this issue, which is demonstrated for a steel plant project. The asymmetric results of the case study show that cash outflow (put option influences the value of the steel plant project more than cash inflow (call option does of which the discussion of the results is referred to a sensitivity analysis. The real options valuation method proposed in this study contributes to the literature on applying the new model, taking into consideration that investors maximize project profitability for economic sustainable development.

Heston Model Calibration in the Brazilian Foreign Exchange (FX Options Market

Directory of Open Access Journals (Sweden)

Joe Akira Yoshino

2004-06-01

Full Text Available Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976 or Garman and Kohlhagen (1983. This widespread practice hides very important quantitative effects that could be better explored by using alternative pricing models such as the one that incorporates the stochastic volatility features. Understanding and calibrating this type of pricing model represents a challenge in the current state of art in financial engineering, specially in emerging markets that are characterized by strong volatilities, periodic changing regimes and in most case suffering of liquidity, specially during the crisis. In this sense, this paper shows how to implement the Hestons Model for the Brazilian FX option market. This approach uses the volatility matrix provided by a pool of domestic market players. Although the Hestons Model presents a formal analytical solution it does not require simulation-, the closed form solutions show a mathematical complexity. Thus, the main objective of this work is to implement this model in the Brazilian FX market.

Design-based research in designing the model for educating simulation facilitators.

Science.gov (United States)

Koivisto, Jaana-Maija; Hannula, Leena; Bøje, Rikke Buus; Prescott, Stephen; Bland, Andrew; Rekola, Leena; Haho, Päivi

2018-03-01

The purpose of this article is to introduce the concept of design-based research, its appropriateness in creating education-based models, and to describe the process of developing such a model. The model was designed as part of the Nurse Educator Simulation based learning project, funded by the EU's Lifelong Learning program (2013-1-DK1-LEO05-07053). The project partners were VIA University College, Denmark, the University of Huddersfield, UK and Metropolia University of Applied Sciences, Finland. As an outcome of the development process, "the NESTLED model for educating simulation facilitators" (NESTLED model) was generated. This article also illustrates five design principles that could be applied to other pedagogies. Copyright © 2018 Elsevier Ltd. All rights reserved.

A sEMG model with experimentally based simulation parameters.

Science.gov (United States)

Wheeler, Katherine A; Shimada, Hiroshima; Kumar, Dinesh K; Arjunan, Sridhar P

2010-01-01

A differential, time-invariant, surface electromyogram (sEMG) model has been implemented. While it is based on existing EMG models, the novelty of this implementation is that it assigns more accurate distributions of variables to create realistic motor unit (MU) characteristics. Variables such as muscle fibre conduction velocity, jitter (the change in the interpulse interval between subsequent action potential firings) and motor unit size have been considered to follow normal distributions about an experimentally obtained mean. In addition, motor unit firing frequencies have been considered to have non-linear and type based distributions that are in accordance with experimental results. Motor unit recruitment thresholds have been considered to be related to the MU type. The model has been used to simulate single channel differential sEMG signals from voluntary, isometric contractions of the biceps brachii muscle. The model has been experimentally verified by conducting experiments on three subjects. Comparison between simulated signals and experimental recordings shows that the Root Mean Square (RMS) increases linearly with force in both cases. The simulated signals also show similar values and rates of change of RMS to the experimental signals.

Using Computer Simulations for Promoting Model-based Reasoning. Epistemological and Educational Dimensions

Science.gov (United States)

Develaki, Maria

2017-11-01

Scientific reasoning is particularly pertinent to science education since it is closely related to the content and methodologies of science and contributes to scientific literacy. Much of the research in science education investigates the appropriate framework and teaching methods and tools needed to promote students' ability to reason and evaluate in a scientific way. This paper aims (a) to contribute to an extended understanding of the nature and pedagogical importance of model-based reasoning and (b) to exemplify how using computer simulations can support students' model-based reasoning. We provide first a background for both scientific reasoning and computer simulations, based on the relevant philosophical views and the related educational discussion. This background suggests that the model-based framework provides an epistemologically valid and pedagogically appropriate basis for teaching scientific reasoning and for helping students develop sounder reasoning and decision-taking abilities and explains how using computer simulations can foster these abilities. We then provide some examples illustrating the use of computer simulations to support model-based reasoning and evaluation activities in the classroom. The examples reflect the procedure and criteria for evaluating models in science and demonstrate the educational advantages of their application in classroom reasoning activities.

Global options for biofuels from plantations according to IMAGE simulations

International Nuclear Information System (INIS)

Battjes, J.J.

1994-07-01

In this report the contribution of biofuels to the renewable energy supply and the transition towards it are discussed for the energy crops miscanthus, eucalyptus, poplar, wheat and sugar cane. Bio-electricity appears to be the most suitable option regarding energetic and financial aspects and in terms of avoided CO 2 emissions. The IMAGE 2.0 model is a multi-disciplinary, integrated model designed to simulate the dynamics of the global society-biosphere-climate system, and mainly used here for making more realistic estimates. Dynamic calculations are performed to the year 2100. An IMAGE 2.0-based Conventional Wisdom scenario simulates, among other things, future energy demand and supply, future food production, future land cover patterns and future greenhouse gas emissions. Two biofuel scenarios are described in this report. The first consists of growing energy crops on set asides. According to a 'Conventional Wisdom' scenario, Canada, the U.S. and Europe and to a lesser extent Latin America will experience set asides due to a declining demand in agricultural area. The second biofuel scenario consists of growing energy crops on set asides and on 10% of the agricultural area in the developing countries. Growing energy crops on all of the areas listed above leads to an energy production that consists of about 12% of the total non-renewable energy use in 2050, according to the 'Conventional Wisdom' scenario. Furthermore, the energy related CO 2 emissions are reduced with about 15% in 2050, compared to the Conventional Wisdom scenario. Financial aspects will have great influence on the success of growing energy crops. However, energy generated from biomass derived from plantations is currently more expensive than generating it from traditional fuels. Levying taxes on CO 2 emissions and giving subsidies to biofuels will reduce the cost price difference between fossil fuels and biofuels

45 CFR 1306.32 - Center-based program option.

Science.gov (United States)

2010-10-01

... 45 Public Welfare 4 2010-10-01 2010-10-01 false Center-based program option. 1306.32 Section 1306... START PROGRAM HEAD START STAFFING REQUIREMENTS AND PROGRAM OPTIONS Head Start Program Options § 1306.32 Center-based program option. (a) Class size. (1) Head Start classes must be staffed by a teacher and an...

Meta-stochastic simulation of biochemical models for systems and synthetic biology.

Science.gov (United States)

Sanassy, Daven; Widera, Paweł; Krasnogor, Natalio

2015-01-16

Stochastic simulation algorithms (SSAs) are used to trace realistic trajectories of biochemical systems at low species concentrations. As the complexity of modeled biosystems increases, it is important to select the best performing SSA. Numerous improvements to SSAs have been introduced but they each only tend to apply to a certain class of models. This makes it difficult for a systems or synthetic biologist to decide which algorithm to employ when confronted with a new model that requires simulation. In this paper, we demonstrate that it is possible to determine which algorithm is best suited to simulate a particular model and that this can be predicted a priori to algorithm execution. We present a Web based tool ssapredict that allows scientists to upload a biochemical model and obtain a prediction of the best performing SSA. Furthermore, ssapredict gives the user the option to download our high performance simulator ngss preconfigured to perform the simulation of the queried biochemical model with the predicted fastest algorithm as the simulation engine. The ssapredict Web application is available at http://ssapredict.ico2s.org. It is free software and its source code is distributed under the terms of the GNU Affero General Public License.

A particle based simulation model for glacier dynamics

Directory of Open Access Journals (Sweden)

J. A. Åström

2013-10-01

Full Text Available A particle-based computer simulation model was developed for investigating the dynamics of glaciers. In the model, large ice bodies are made of discrete elastic particles which are bound together by massless elastic beams. These beams can break, which induces brittle behaviour. At loads below fracture, beams may also break and reform with small probabilities to incorporate slowly deforming viscous behaviour in the model. This model has the advantage that it can simulate important physical processes such as ice calving and fracturing in a more realistic way than traditional continuum models. For benchmarking purposes the deformation of an ice block on a slip-free surface was compared to that of a similar block simulated with a Finite Element full-Stokes continuum model. Two simulations were performed: (1 calving of an ice block partially supported in water, similar to a grounded marine glacier terminus, and (2 fracturing of an ice block on an inclined plane of varying basal friction, which could represent transition to fast flow or surging. Despite several approximations, including restriction to two-dimensions and simplified water-ice interaction, the model was able to reproduce the size distributions of the debris observed in calving, which may be approximated by universal scaling laws. On a moderate slope, a large ice block was stable and quiescent as long as there was enough of friction against the substrate. For a critical length of frictional contact, global sliding began, and the model block disintegrated in a manner suggestive of a surging glacier. In this case the fragment size distribution produced was typical of a grinding process.

Agent Based Modelling for Social Simulation

OpenAIRE

Smit, S.K.; Ubink, E.M.; Vecht, B. van der; Langley, D.J.

2013-01-01

This document is the result of an exploratory project looking into the status of, and opportunities for Agent Based Modelling (ABM) at TNO. The project focussed on ABM applications containing social interactions and human factors, which we termed ABM for social simulation (ABM4SS). During the course of this project two workshops were organized. At these workshops, a wide range of experts, both ABM experts and domain experts, worked on several potential applications of ABM. The results and ins...

A web-based, collaborative modeling, simulation, and parallel computing environment for electromechanical systems

Directory of Open Access Journals (Sweden)

Xiaoliang Yin

2015-03-01

Full Text Available Complex electromechanical system is usually composed of multiple components from different domains, including mechanical, electronic, hydraulic, control, and so on. Modeling and simulation for electromechanical system on a unified platform is one of the research hotspots in system engineering at present. It is also the development trend of the design for complex electromechanical system. The unified modeling techniques and tools based on Modelica language provide a satisfactory solution. To meet with the requirements of collaborative modeling, simulation, and parallel computing for complex electromechanical systems based on Modelica, a general web-based modeling and simulation prototype environment, namely, WebMWorks, is designed and implemented. Based on the rich Internet application technologies, an interactive graphic user interface for modeling and post-processing on web browser was implemented; with the collaborative design module, the environment supports top-down, concurrent modeling and team cooperation; additionally, service-oriented architecture–based architecture was applied to supply compiling and solving services which run on cloud-like servers, so the environment can manage and dispatch large-scale simulation tasks in parallel on multiple computing servers simultaneously. An engineering application about pure electric vehicle is tested on WebMWorks. The results of simulation and parametric experiment demonstrate that the tested web-based environment can effectively shorten the design cycle of the complex electromechanical system.

Simulating an elastic bipedal robot based on musculoskeletal modeling

NARCIS (Netherlands)

Bortoletto, Roberto; Sartori, Massimo; He, Fuben; Pagello, Enrico

2012-01-01

Many of the processes involved into the synthesis of human motion have much in common with problems found in robotics research. This paper describes the modeling and the simulation of a novel bipedal robot based on series elastic actuators [1]. The robot model takes in- spiration from the human

Flat Knitting Loop Deformation Simulation Based on Interlacing Point Model

Directory of Open Access Journals (Sweden)

Jiang Gaoming

2017-12-01

Full Text Available In order to create realistic loop primitives suitable for the faster CAD of the flat-knitted fabric, we have performed research on the model of the loop as well as the variation of the loop surface. This paper proposes an interlacing point-based model for the loop center curve, and uses the cubic Bezier curve to fit the central curve of the regular loop, elongated loop, transfer loop, and irregular deformed loop. In this way, a general model for the central curve of the deformed loop is obtained. The obtained model is then utilized to perform texture mapping, texture interpolation, and brightness processing, simulating a clearly structured and lifelike deformed loop. The computer program LOOP is developed by using the algorithm. The deformed loop is simulated with different yarns, and the deformed loop is applied to design of a cable stitch, demonstrating feasibility of the proposed algorithm. This paper provides a loop primitive simulation method characterized by lifelikeness, yarn material variability, and deformation flexibility, and facilitates the loop-based fast computer-aided design (CAD of the knitted fabric.

SIMULATING AN EVOLUTIONARY MULTI-AGENT BASED MODEL OF THE STOCK MARKET

Directory of Open Access Journals (Sweden)

Diana MARICA

2015-08-01

Full Text Available The paper focuses on artificial stock market simulations using a multi-agent model incorporating 2,000 heterogeneous agents interacting on the artificial market. The agents interaction is due to trading activity on the market through a call auction trading mechanism. The multi-agent model uses evolutionary techniques such as genetic programming in order to generate an adaptive and evolving population of agents. Each artificial agent is endowed with wealth and a genetic programming induced trading strategy. The trading strategy evolves and adapts to the new market conditions through a process called breeding, which implies that at each simulation step, new agents with better trading strategies are generated by the model, from recombining the best performing trading strategies and replacing the agents which have the worst performing trading strategies. The simulation model was build with the help of the simulation software Altreva Adaptive Modeler which offers a suitable platform for financial market simulations of evolutionary agent based models, the S&P500 composite index being used as a benchmark for the simulation results.

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars Peter

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...... moments of the risk neutral distribution. Parameter inference using Gibbs sampling is explained and we detail how to compute risk neutral predictive densities taking into account parameter uncertainty. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared...

Transport simulations TFTR: Theoretically-based transport models and current scaling

International Nuclear Information System (INIS)

Redi, M.H.; Cummings, J.C.; Bush, C.E.; Fredrickson, E.; Grek, B.; Hahm, T.S.; Hill, K.W.; Johnson, D.W.; Mansfield, D.K.; Park, H.; Scott, S.D.; Stratton, B.C.; Synakowski, E.J.; Tang, W.M.; Taylor, G.

1991-12-01

In order to study the microscopic physics underlying observed L-mode current scaling, 1-1/2-d BALDUR has been used to simulate density and temperature profiles for high and low current, neutral beam heated discharges on TFTR with several semi-empirical, theoretically-based models previously compared for TFTR, including several versions of trapped electron drift wave driven transport. Experiments at TFTR, JET and D3-D show that I p scaling of τ E does not arise from edge modes as previously thought, and is most likely to arise from nonlocal processes or from the I p -dependence of local plasma core transport. Consistent with this, it is found that strong current scaling does not arise from any of several edge models of resistive ballooning. Simulations with the profile consistent drift wave model and with a new model for toroidal collisionless trapped electron mode core transport in a multimode formalism, lead to strong current scaling of τ E for the L-mode cases on TFTR. None of the theoretically-based models succeeded in simulating the measured temperature and density profiles for both high and low current experiments

Modeling and simulation for micro DC motor based on simulink

Science.gov (United States)

Shen, Hanxin; Lei, Qiao; Chen, Wenxiang

2017-09-01

The micro DC motor has a large market demand but there is a lack of theoretical research for it. Through detailed analysis of the commutation process of micro DC motor commutator, based on micro DC motor electromagnetic torque equation and mechanical torque equation, with the help of Simulink toolkit, a triangle connection micro DC motor simulation model is established. By using the model, a sample micro DC motor are simulated, and an experimental measurements has been carried on the sample micro DC motor. It is found that the simulation results are consistent with theoretical analysis and experimental results.

What do you do when the binomial cannot value real options? The LSM model

Directory of Open Access Journals (Sweden)

S. Alonso

2014-12-01

Full Text Available The Least-Squares Monte Carlo model (LSM model has emerged as the derivative valuation technique with the greatest impact in current practice. As with other options valuation models, the LSM algorithm was initially posited in the field of financial derivatives and its extension to the realm of real options requires considering certain questions which might hinder understanding of the algorithm and which the present paper seeks to address. The implementation of the LSM model combines Monte Carlo simulation, dynamic programming and statistical regression in a flexible procedure suitable for application to valuing nearly all types of corporate investments. The goal of this paper is to show how the LSM algorithm is applied in the context of a corporate investment, thus contributing to the understanding of the principles of its operation.

An open, object-based modeling approach for simulating subsurface heterogeneity

Science.gov (United States)

Bennett, J.; Ross, M.; Haslauer, C. P.; Cirpka, O. A.

2017-12-01

Characterization of subsurface heterogeneity with respect to hydraulic and geochemical properties is critical in hydrogeology as their spatial distribution controls groundwater flow and solute transport. Many approaches of characterizing subsurface heterogeneity do not account for well-established geological concepts about the deposition of the aquifer materials; those that do (i.e. process-based methods) often require forcing parameters that are difficult to derive from site observations. We have developed a new method for simulating subsurface heterogeneity that honors concepts of sequence stratigraphy, resolves fine-scale heterogeneity and anisotropy of distributed parameters, and resembles observed sedimentary deposits. The method implements a multi-scale hierarchical facies modeling framework based on architectural element analysis, with larger features composed of smaller sub-units. The Hydrogeological Virtual Reality simulator (HYVR) simulates distributed parameter models using an object-based approach. Input parameters are derived from observations of stratigraphic morphology in sequence type-sections. Simulation outputs can be used for generic simulations of groundwater flow and solute transport, and for the generation of three-dimensional training images needed in applications of multiple-point geostatistics. The HYVR algorithm is flexible and easy to customize. The algorithm was written in the open-source programming language Python, and is intended to form a code base for hydrogeological researchers, as well as a platform that can be further developed to suit investigators' individual needs. This presentation will encompass the conceptual background and computational methods of the HYVR algorithm, the derivation of input parameters from site characterization, and the results of groundwater flow and solute transport simulations in different depositional settings.

An electromechanical based deformable model for soft tissue simulation.

Science.gov (United States)

Zhong, Yongmin; Shirinzadeh, Bijan; Smith, Julian; Gu, Chengfan

2009-11-01

Soft tissue deformation is of great importance to surgery simulation. Although a significant amount of research efforts have been dedicated to simulating the behaviours of soft tissues, modelling of soft tissue deformation is still a challenging problem. This paper presents a new deformable model for simulation of soft tissue deformation from the electromechanical viewpoint of soft tissues. Soft tissue deformation is formulated as a reaction-diffusion process coupled with a mechanical load. The mechanical load applied to a soft tissue to cause a deformation is incorporated into the reaction-diffusion system, and consequently distributed among mass points of the soft tissue. Reaction-diffusion of mechanical load and non-rigid mechanics of motion are combined to govern the simulation dynamics of soft tissue deformation. An improved reaction-diffusion model is developed to describe the distribution of the mechanical load in soft tissues. A three-layer artificial cellular neural network is constructed to solve the reaction-diffusion model for real-time simulation of soft tissue deformation. A gradient based method is established to derive internal forces from the distribution of the mechanical load. Integration with a haptic device has also been achieved to simulate soft tissue deformation with haptic feedback. The proposed methodology does not only predict the typical behaviours of living tissues, but it also accepts both local and large-range deformations. It also accommodates isotropic, anisotropic and inhomogeneous deformations by simple modification of diffusion coefficients.

Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

Directory of Open Access Journals (Sweden)

Xinfeng Ruan

2013-01-01

Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

Optimization Model for Web Based Multimodal Interactive Simulations.

Science.gov (United States)

Halic, Tansel; Ahn, Woojin; De, Suvranu

2015-07-15

This paper presents a technique for optimizing the performance of web based multimodal interactive simulations. For such applications where visual quality and the performance of simulations directly influence user experience, overloading of hardware resources may result in unsatisfactory reduction in the quality of the simulation and user satisfaction. However, optimization of simulation performance on individual hardware platforms is not practical. Hence, we present a mixed integer programming model to optimize the performance of graphical rendering and simulation performance while satisfying application specific constraints. Our approach includes three distinct phases: identification, optimization and update . In the identification phase, the computing and rendering capabilities of the client device are evaluated using an exploratory proxy code. This data is utilized in conjunction with user specified design requirements in the optimization phase to ensure best possible computational resource allocation. The optimum solution is used for rendering (e.g. texture size, canvas resolution) and simulation parameters (e.g. simulation domain) in the update phase. Test results are presented on multiple hardware platforms with diverse computing and graphics capabilities to demonstrate the effectiveness of our approach.

Integrating the simulation of domestic water demand behaviour to an urban water model using agent based modelling

Science.gov (United States)

Koutiva, Ifigeneia; Makropoulos, Christos

2015-04-01

The urban water system's sustainable evolution requires tools that can analyse and simulate the complete cycle including both physical and cultural environments. One of the main challenges, in this regard, is the design and development of tools that are able to simulate the society's water demand behaviour and the way policy measures affect it. The effects of these policy measures are a function of personal opinions that subsequently lead to the formation of people's attitudes. These attitudes will eventually form behaviours. This work presents the design of an ABM tool for addressing the social dimension of the urban water system. The created tool, called Urban Water Agents' Behaviour (UWAB) model, was implemented, using the NetLogo agent programming language. The main aim of the UWAB model is to capture the effects of policies and environmental pressures to water conservation behaviour of urban households. The model consists of agents representing urban households that are linked to each other creating a social network that influences the water conservation behaviour of its members. Household agents are influenced as well by policies and environmental pressures, such as drought. The UWAB model simulates behaviour resulting in the evolution of water conservation within an urban population. The final outcome of the model is the evolution of the distribution of different conservation levels (no, low, high) to the selected urban population. In addition, UWAB is implemented in combination with an existing urban water management simulation tool, the Urban Water Optioneering Tool (UWOT) in order to create a modelling platform aiming to facilitate an adaptive approach of water resources management. For the purposes of this proposed modelling platform, UWOT is used in a twofold manner: (1) to simulate domestic water demand evolution and (2) to simulate the response of the water system to the domestic water demand evolution. The main advantage of the UWAB - UWOT model

Urban flood simulation based on the SWMM model

Directory of Open Access Journals (Sweden)

L. Jiang

2015-05-01

Full Text Available China is the nation with the fastest urbanization in the past decades which has caused serious urban flooding. Flood forecasting is regarded as one of the important flood mitigation methods, and is widely used in catchment flood mitigation, but is not widely used in urban flooding mitigation. This paper, employing the SWMM model, one of the widely used urban flood planning and management models, simulates the urban flooding of Dongguan City in the rapidly urbanized southern China. SWMM is first set up based on the DEM, digital map and underground pipeline network, then parameters are derived based on the properties of the subcatchment and the storm sewer conduits; the parameter sensitivity analysis shows the parameter robustness. The simulated results show that with the 1-year return period precipitation, the studied area will have no flooding, but for the 2-, 5-, 10- and 20-year return period precipitation, the studied area will be inundated. The results show the SWMM model is promising for urban flood forecasting, but as it has no surface runoff routing, the urban flooding could not be forecast precisely.

A scenario analysis of future energy systems based on an energy flow model represented as functionals of technology options

International Nuclear Information System (INIS)

Kikuchi, Yasunori; Kimura, Seiichiro; Okamoto, Yoshitaka; Koyama, Michihisa

2014-01-01

Highlights: • Energy flow model was represented as the functionals of technology options. • Relationships among available technologies can be visualized by developed model. • Technology roadmapping can be incorporated into the model as technical scenario. • Combination of technologies can increase their contribution to the environment. - Abstract: The design of energy systems has become an issue all over the world. A single optimal system cannot be suggested because the availability of infrastructure and resources and the acceptability of the system should be discussed locally, involving all related stakeholders in the energy system. In particular, researchers and engineers of technologies related to energy systems should be able to perform the forecasting and roadmapping of future energy systems and indicate quantitative results of scenario analyses. We report an energy flow model developed for analysing scenarios of future Japanese energy systems implementing a variety of feasible technology options. The model was modularized and represented as functionals of appropriate technology options, which enables the aggregation and disaggregation of energy systems by defining functionals for single technologies, packages integrating multi-technologies, and mini-systems such as regions implementing industrial symbiosis. Based on the model, the combinations of technologies on both energy supply and demand sides can be addressed considering not only the societal scenarios such as resource prices, economic growth and population change but also the technical scenarios including the development and penetration of energy-related technologies such as distributed solid oxide fuel cells in residential sectors and new-generation vehicles, and the replacement and shift of current technologies such as heat pumps for air conditioning and centralized power generation. The developed model consists of two main modules; namely, a power generation dispatching module for the

GARCH Option Valuation: Theory and Evidence

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat

We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of functional forms available for the volatility dynamic, multifactor models, nonnormal shock distributions as well as style of pricing kernels typically used. Various strategies...... for empirical implementation are laid out and we also discuss the links between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte Carlo simulation for nonaffine models as well as Fourier inversion for affine models....

Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model

Directory of Open Access Journals (Sweden)

Petra Posedel

2006-12-01

Full Text Available The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is also expected. However, contrary to the assumptions of the Black-Scholes model, research in the field of option markets worldwide suggests that the volatility of the time-series returns is not constant over time. The present study analyzes the implications of volatility that changes over time for option pricing. The nonlinear-in-mean asymmetric GARCH model that reflects asymmetry in the distribution of returns and the correlation between returns and variance is recommended. For the purpose of illustration, we use the NGARCH model for the pricing of foreign currency options. Possible prices for such options having different strikes and maturities are then determined using Monte Carlo simulations. The improvement provided by the NGARCH model is that the option price is a function of the risk premium embedded in the underlying asset. This contrasts with the standard preference-free option pricing result that is obtained in the Black-Scholes model.

Physics-based statistical model and simulation method of RF propagation in urban environments

Science.gov (United States)

Pao, Hsueh-Yuan; Dvorak, Steven L.

2010-09-14

A physics-based statistical model and simulation/modeling method and system of electromagnetic wave propagation (wireless communication) in urban environments. In particular, the model is a computationally efficient close-formed parametric model of RF propagation in an urban environment which is extracted from a physics-based statistical wireless channel simulation method and system. The simulation divides the complex urban environment into a network of interconnected urban canyon waveguides which can be analyzed individually; calculates spectral coefficients of modal fields in the waveguides excited by the propagation using a database of statistical impedance boundary conditions which incorporates the complexity of building walls in the propagation model; determines statistical parameters of the calculated modal fields; and determines a parametric propagation model based on the statistical parameters of the calculated modal fields from which predictions of communications capability may be made.

Agent-Based Modeling of Taxi Behavior Simulation with Probe Vehicle Data

Directory of Open Access Journals (Sweden)

Saurav Ranjit

2018-05-01

Full Text Available Taxi behavior is a spatial–temporal dynamic process involving discrete time dependent events, such as customer pick-up, customer drop-off, cruising, and parking. Simulation models, which are a simplification of a real-world system, can help understand the effects of change of such dynamic behavior. In this paper, agent-based modeling and simulation is proposed, that describes the dynamic action of an agent, i.e., taxi, governed by behavior rules and properties, which emulate the taxi behavior. Taxi behavior simulations are fundamentally done for optimizing the service level for both taxi drivers as well as passengers. Moreover, simulation techniques, as such, could be applied to another field of application as well, where obtaining real raw data are somewhat difficult due to privacy issues, such as human mobility data or call detail record data. This paper describes the development of an agent-based simulation model which is based on multiple input parameters (taxi stay point cluster; trip information (origin and destination; taxi demand information; free taxi movement; and network travel time that were derived from taxi probe GPS data. As such, agent’s parameters were mapped into grid network, and the road network, for which the grid network was used as a base for query/search/retrieval of taxi agent’s parameters, while the actual movement of taxi agents was on the road network with routing and interpolation. The results obtained from the simulated taxi agent data and real taxi data showed a significant level of similarity of different taxi behavior, such as trip generation; trip time; trip distance as well as trip occupancy, based on its distribution. As for efficient data handling, a distributed computing platform for large-scale data was used for extracting taxi agent parameter from the probe data by utilizing both spatial and non-spatial indexing technique.

The Amnesiac Lookback Option: Selectively Monitored Lookback Options and Cryptocurrencies

Directory of Open Access Journals (Sweden)

Ho-Chun Herbert Chang

2018-05-01

Full Text Available This study proposes a strategy to make the lookback option cheaper and more practical, and suggests the use of its properties to reduce risk exposure in cryptocurrency markets through blockchain enforced smart contracts and correct for informational inefficiencies surrounding prices and volatility. This paper generalizes partial, discretely-monitored lookback options that dilute premiums by selecting a subset of specified periods to determine payoff, which we call amnesiac lookback options. Prior literature on discretely-monitored lookback options considers the number of periods and assumes equidistant lookback periods in pricing partial lookback options. This study by contrast considers random sampling of lookback periods and compares resulting payoff of the call, put and spread options under floating and fixed strikes. Amnesiac lookbacks are priced with Monte Carlo simulations of Gaussian random walks under equidistant and random periods. Results are compared to analytic and binomial pricing models for the same derivatives. Simulations show diminishing marginal increases to the fair price as the number of selected periods is increased. The returns correspond to a Hill curve whose parameters are set by interest rate and volatility. We demonstrate over-pricing under equidistant monitoring assumptions with error increasing as the lookback periods decrease. An example of a direct implication for event trading is when shock is forecasted but its timing uncertain, equidistant sampling produces a lower error on the true maximum than random choice. We conclude that the instrument provides an ideal space for investors to balance their risk, and as a prime candidate to hedge extreme volatility. We discuss the application of the amnesiac lookback option and path-dependent options to cryptocurrencies and blockchain commodities in the context of smart contracts.

Renewable and low-carbon energies as mitigation options of climate change for China

NARCIS (Netherlands)

Urban, F.; Benders, R. M. J.; Moll, H. C.

This article discusses how renewable and low-carbon energies can serve as mitigation options of climate change in China's power sector. Our study is based on scenarios developed in PowerPlan, a bottom-up model simulating a countries' power sector and its emissions. We first adjusted the model to

Impact of reactive settler models on simulated WWTP performance

DEFF Research Database (Denmark)

Gernaey, Krist; Jeppsson, Ulf; Batstone, Damien J.

2006-01-01

for an ASM1 case study. Simulations with a whole plant model including the non-reactive Takacs settler model are used as a reference, and are compared to simulation results considering two reactive settler models. The first is a return sludge model block removing oxygen and a user-defined fraction of nitrate......, combined with a non-reactive Takacs settler. The second is a fully reactive ASM1 Takacs settler model. Simulations with the ASM1 reactive settler model predicted a 15.3% and 7.4% improvement of the simulated N removal performance, for constant (steady-state) and dynamic influent conditions respectively....... The oxygen/nitrate return sludge model block predicts a 10% improvement of N removal performance under dynamic conditions, and might be the better modelling option for ASM1 plants: it is computationally more efficient and it will not overrate the importance of decay processes in the settler....

Agent-based model of angiogenesis simulates capillary sprout initiation in multicellular networks.

Science.gov (United States)

Walpole, J; Chappell, J C; Cluceru, J G; Mac Gabhann, F; Bautch, V L; Peirce, S M

2015-09-01

Many biological processes are controlled by both deterministic and stochastic influences. However, efforts to model these systems often rely on either purely stochastic or purely rule-based methods. To better understand the balance between stochasticity and determinism in biological processes a computational approach that incorporates both influences may afford additional insight into underlying biological mechanisms that give rise to emergent system properties. We apply a combined approach to the simulation and study of angiogenesis, the growth of new blood vessels from existing networks. This complex multicellular process begins with selection of an initiating endothelial cell, or tip cell, which sprouts from the parent vessels in response to stimulation by exogenous cues. We have constructed an agent-based model of sprouting angiogenesis to evaluate endothelial cell sprout initiation frequency and location, and we have experimentally validated it using high-resolution time-lapse confocal microscopy. ABM simulations were then compared to a Monte Carlo model, revealing that purely stochastic simulations could not generate sprout locations as accurately as the rule-informed agent-based model. These findings support the use of rule-based approaches for modeling the complex mechanisms underlying sprouting angiogenesis over purely stochastic methods.

Nuclear Versus Coal plus CCS. A Comparison of Two Competitive Base-Load Climate Control Options

Energy Technology Data Exchange (ETDEWEB)

Tavoni, F. [Fondazione Eni Enrico Mattei, Sustainable Development, Milan (Italy); Van der Zwaan, B.C.C. [ECN Policy Studies, Petten (Netherlands)

2011-10-15

In this paper, we analyze the relative importance and mutual behavior of two competing base-load electricity generation options that each are capable of contributing significantly to the abatement of global CO2 emissions: nuclear energy and coal-based power production complemented with CO2 capture and storage (CCS). We also investigate how, in scenarios developed with an integrated assessment model that simulates the economics of a climate-constrained world, the prospects for nuclear energy would change if exogenous limitations on the spread of nuclear technology were relaxed. Using the climate change economics model World Induced Technical Change Hybrid, we find that until 2050 the growth rates of nuclear electricity generation capacity would become comparable to historical rates observed during the 1980s. Given that nuclear energy continues to face serious challenges and contention, we inspect how extensive the improvements of coal-based power equipped with CCS technology would need to be if our economic optimization model is to significantly scale down the construction of new nuclear power plants.

Nuclear Versus Coal plus CCS. A Comparison of Two Competitive Base-Load Climate Control Options

International Nuclear Information System (INIS)

Tavoni, F.; Van der Zwaan, B.C.C.

2011-01-01

In this paper, we analyze the relative importance and mutual behavior of two competing base-load electricity generation options that each are capable of contributing significantly to the abatement of global CO2 emissions: nuclear energy and coal-based power production complemented with CO2 capture and storage (CCS). We also investigate how, in scenarios developed with an integrated assessment model that simulates the economics of a climate-constrained world, the prospects for nuclear energy would change if exogenous limitations on the spread of nuclear technology were relaxed. Using the climate change economics model World Induced Technical Change Hybrid, we find that until 2050 the growth rates of nuclear electricity generation capacity would become comparable to historical rates observed during the 1980s. Given that nuclear energy continues to face serious challenges and contention, we inspect how extensive the improvements of coal-based power equipped with CCS technology would need to be if our economic optimization model is to significantly scale down the construction of new nuclear power plants.

Nonlinear Model Predictive Control of a Cable-Robot-Based Motion Simulator

DEFF Research Database (Denmark)

Katliar, Mikhail; Fischer, Joerg; Frison, Gianluca

2017-01-01

In this paper we present the implementation of a model-predictive controller (MPC) for real-time control of a cable-robot-based motion simulator. The controller computes control inputs such that a desired acceleration and angular velocity at a defined point in simulator's cabin are tracked while...... satisfying constraints imposed by working space and allowed cable forces of the robot. In order to fully use the simulator capabilities, we propose an approach that includes the motion platform actuation in the MPC model. The tracking performance and computation time of the algorithm are investigated...

Option valuation with the simplified component GARCH model

DEFF Research Database (Denmark)

Dziubinski, Matt P.

We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for non-negativity of the conditional variance, apply it to low-frequency and high-frequency financial data, and consider the option valuation, comparing the model performance...

Research on Francis Turbine Modeling for Large Disturbance Hydropower Station Transient Process Simulation

Directory of Open Access Journals (Sweden)

Guangtao Zhang

2015-01-01

Full Text Available In the field of hydropower station transient process simulation (HSTPS, characteristic graph-based iterative hydroturbine model (CGIHM has been widely used when large disturbance hydroturbine modeling is involved. However, by this model, iteration should be used to calculate speed and pressure, and slow convergence or no convergence problems may be encountered for some reasons like special characteristic graph profile, inappropriate iterative algorithm, or inappropriate interpolation algorithm, and so forth. Also, other conventional large disturbance hydroturbine models are of some disadvantages and difficult to be used widely in HSTPS. Therefore, to obtain an accurate simulation result, a simple method for hydroturbine modeling is proposed. By this method, both the initial operating point and the transfer coefficients of linear hydroturbine model keep changing during simulation. Hence, it can reflect the nonlinearity of the hydroturbine and be used for Francis turbine simulation under large disturbance condition. To validate the proposed method, both large disturbance and small disturbance simulations of a single hydrounit supplying a resistive, isolated load were conducted. It was shown that the simulation result is consistent with that of field test. Consequently, the proposed method is an attractive option for HSTPS involving Francis turbine modeling under large disturbance condition.

Coastal aquifer management under parameter uncertainty: Ensemble surrogate modeling based simulation-optimization

Science.gov (United States)

Janardhanan, S.; Datta, B.

2011-12-01

Surrogate models are widely used to develop computationally efficient simulation-optimization models to solve complex groundwater management problems. Artificial intelligence based models are most often used for this purpose where they are trained using predictor-predictand data obtained from a numerical simulation model. Most often this is implemented with the assumption that the parameters and boundary conditions used in the numerical simulation model are perfectly known. However, in most practical situations these values are uncertain. Under these circumstances the application of such approximation surrogates becomes limited. In our study we develop a surrogate model based coupled simulation optimization methodology for determining optimal pumping strategies for coastal aquifers considering parameter uncertainty. An ensemble surrogate modeling approach is used along with multiple realization optimization. The methodology is used to solve a multi-objective coastal aquifer management problem considering two conflicting objectives. Hydraulic conductivity and the aquifer recharge are considered as uncertain values. Three dimensional coupled flow and transport simulation model FEMWATER is used to simulate the aquifer responses for a number of scenarios corresponding to Latin hypercube samples of pumping and uncertain parameters to generate input-output patterns for training the surrogate models. Non-parametric bootstrap sampling of this original data set is used to generate multiple data sets which belong to different regions in the multi-dimensional decision and parameter space. These data sets are used to train and test multiple surrogate models based on genetic programming. The ensemble of surrogate models is then linked to a multi-objective genetic algorithm to solve the pumping optimization problem. Two conflicting objectives, viz, maximizing total pumping from beneficial wells and minimizing the total pumping from barrier wells for hydraulic control of

Renewable energy policy evaluation using real option model. The case of Taiwan

International Nuclear Information System (INIS)

Lee, Shun-Chung; Shih, Li-Hsing

2010-01-01

This study presents a policy benefit evaluation model that integrates cost efficiency curve information on renewable power generation technologies into real options analysis (ROA) methods. The proposed model evaluates quantitatively the policy value provided by developing renewable energy (RE) in the face of uncertain fossil fuel prices and RE policy-related factors. The economic intuition underlying the policy-making process is elucidated, while empirical analysis illustrates the option value embedded in the current development policy in Taiwan for wind power. In addition to revealing the benefits that RE development provides when considering real options, analytical results indicate that ROA is a highly effective means of quantifying how policy planning uncertainty including managerial flexibility influences RE development. In addition to assessing the policy value of current RE development policy, this study also compares policy values in terms of internalized external costs and varying feed-in tariff (FIT). Simulation results demonstrate that the RE development policy with internalized CO 2 emission costs is appropriate policy planning from sustainability point of view. Furthermore, relationship between varying FIT and policy values can be shown quantitatively and appropriate FIT level could be determined accordingly. (author)

An individual-based probabilistic model for simulating fisheries population dynamics

Directory of Open Access Journals (Sweden)

Jie Cao

2016-12-01

Full Text Available The purpose of stock assessment is to support managers to provide intelligent decisions regarding removal from fish populations. Errors in assessment models may have devastating impacts on the population fitness and negative impacts on the economy of the resource users. Thus, accuracte estimations of population size, growth rates are critical for success. Evaluating and testing the behavior and performance of stock assessment models and assessing the consequences of model mis-specification and the impact of management strategies requires an operating model that accurately describe the dynamics of the target species, and can resolve spatial and seasonal changes. In addition, the most thorough evaluations of assessment models use an operating model that takes a different form than the assessment model. This paper presents an individual-based probabilistic model used to simulate the complex dynamics of populations and their associated fisheries. Various components of population dynamics are expressed as random Bernoulli trials in the model and detailed life and fishery histories of each individual are tracked over their life span. The simulation model is designed to be flexible so it can be used for different species and fisheries. It can simulate mixing among multiple stocks and link stock-recruit relationships to environmental factors. Furthermore, the model allows for flexibility in sub-models (e.g., growth and recruitment and model assumptions (e.g., age- or size-dependent selectivity. This model enables the user to conduct various simulation studies, including testing the performance of assessment models under different assumptions, assessing the impacts of model mis-specification and evaluating management strategies.

Assessing the Option to Abandon an Investment Project by the Binomial Options Pricing Model

Directory of Open Access Journals (Sweden)

Salvador Cruz Rambaud

2016-01-01

Full Text Available Usually, traditional methods for investment project appraisal such as the net present value (hereinafter NPV do not incorporate in their values the operational flexibility offered by including a real option included in the project. In this paper, real options, and more specifically the option to abandon, are analysed as a complement to cash flow sequence which quantifies the project. In this way, by considering the existing analogy with financial options, a mathematical expression is derived by using the binomial options pricing model. This methodology provides the value of the option to abandon the project within one, two, and in general n periods. Therefore, this paper aims to be a useful tool in determining the value of the option to abandon according to its residual value, thus making easier the control of the uncertainty element within the project.

Decisions on Energy Demand Response Option Contracts in Smart Grids Based on Activity-Based Costing and Stochastic Programming

Directory of Open Access Journals (Sweden)

Alfred J. Hildreth

2013-01-01

Full Text Available Smart grids enable a two-way energy demand response capability through which a utility company offers its industrial customers various call options for energy load curtailment. If a customer has the capability to accurately determine whether to accept an offer or not, then in the case of accepting an offer, the customer can earn both an option premium to participate, and a strike price for load curtailments if requested. However, today most manufacturing companies lack the capability to make the correct contract decisions for given offers. This paper proposes a novel decision model based on activity-based costing (ABC and stochastic programming, developed to accurately evaluate the impact of load curtailments and determine as to whether or not to accept an energy load curtailment offer. The proposed model specifically targets state-transition flexible and Quality-of-Service (QoS flexible energy use activities to reduce the peak energy demand rate. An illustrative example with the proposed decision model under a call-option based energy demand response scenario is presented. As shown from the example results, the proposed decision model can be used with emerging smart grid opportunities to provide a competitive advantage to the manufacturing industry.

Agent-based modeling and simulation Part 3 : desktop ABMS.

Energy Technology Data Exchange (ETDEWEB)

Macal, C. M.; North, M. J.; Decision and Information Sciences

2007-01-01

Agent-based modeling and simulation (ABMS) is a new approach to modeling systems comprised of autonomous, interacting agents. ABMS promises to have far-reaching effects on the way that businesses use computers to support decision-making and researchers use electronic laboratories to support their research. Some have gone so far as to contend that ABMS 'is a third way of doing science,' in addition to traditional deductive and inductive reasoning (Axelrod 1997b). Computational advances have made possible a growing number of agent-based models across a variety of application domains. Applications range from modeling agent behavior in the stock market, supply chains, and consumer markets, to predicting the spread of epidemics, the threat of bio-warfare, and the factors responsible for the fall of ancient civilizations. This tutorial describes the theoretical and practical foundations of ABMS, identifies toolkits and methods for developing agent models, and illustrates the development of a simple agent-based model of shopper behavior using spreadsheets.

Simulation model for centrifugal pump in flow networks based on internal characteristics

International Nuclear Information System (INIS)

Sun, Ji-Lin; Xue, Ruo-Jun; Peng, Min-Jun

2018-01-01

For the simulation of centrifugal pump in flow network system, in general three approaches can be used, the fitting model, the numerical method and the internal characteristics model. The fitting model is simple and rapid thus widely used. The numerical method can provide more detailed information in comparison with the fitting model, but increases implementation complexity and computational cost. In real-time simulations of flow networks, to simulate the condition out of the rated condition, especially for the volume flow rate, which the accuracy of fitting model is incredible, a new method for simulating centrifugal pumps was proposed in this research. The method based on the theory head and hydraulic loss in centrifugal pumps, and cavitation is also to be considered. The simulation results are verified with experimental benchmark data from an actual pump. The comparison confirms that the proposed method could fit the flow-head curves well, and the responses of main parameters in dynamic-state operations are consistent with theoretical analyses.

A Simulation-Based Dynamic Stochastic Route Choice Model for Evacuation

Directory of Open Access Journals (Sweden)

Xing Zhao

2012-01-01

Full Text Available This paper establishes a dynamic stochastic route choice model for evacuation to simulate the propagation process of traffic flow and estimate the stochastic route choice under evacuation situations. The model contains a lane-group-based cell transmission model (CTM which sets different traffic capacities for links with different turning movements to flow out in an evacuation situation, an actual impedance model which is to obtain the impedance of each route in time units at each time interval and a stochastic route choice model according to the probit-based stochastic user equilibrium. In this model, vehicles loading at each origin at each time interval are assumed to choose an evacuation route under determinate road network, signal design, and OD demand. As a case study, the proposed model is validated on the network nearby Nanjing Olympic Center after the opening ceremony of the 10th National Games of the People's Republic of China. The traffic volumes and clearing time at five exit points of the evacuation zone are calculated by the model to compare with survey data. The results show that this model can appropriately simulate the dynamic route choice and evolution process of the traffic flow on the network in an evacuation situation.

Validation techniques of agent based modelling for geospatial simulations

Directory of Open Access Journals (Sweden)

M. Darvishi

2014-10-01

Full Text Available One of the most interesting aspects of modelling and simulation study is to describe the real world phenomena that have specific properties; especially those that are in large scales and have dynamic and complex behaviours. Studying these phenomena in the laboratory is costly and in most cases it is impossible. Therefore, Miniaturization of world phenomena in the framework of a model in order to simulate the real phenomena is a reasonable and scientific approach to understand the world. Agent-based modelling and simulation (ABMS is a new modelling method comprising of multiple interacting agent. They have been used in the different areas; for instance, geographic information system (GIS, biology, economics, social science and computer science. The emergence of ABM toolkits in GIS software libraries (e.g. ESRI’s ArcGIS, OpenMap, GeoTools, etc for geospatial modelling is an indication of the growing interest of users to use of special capabilities of ABMS. Since ABMS is inherently similar to human cognition, therefore it could be built easily and applicable to wide range applications than a traditional simulation. But a key challenge about ABMS is difficulty in their validation and verification. Because of frequent emergence patterns, strong dynamics in the system and the complex nature of ABMS, it is hard to validate and verify ABMS by conventional validation methods. Therefore, attempt to find appropriate validation techniques for ABM seems to be necessary. In this paper, after reviewing on Principles and Concepts of ABM for and its applications, the validation techniques and challenges of ABM validation are discussed.

Validation techniques of agent based modelling for geospatial simulations

Science.gov (United States)

Darvishi, M.; Ahmadi, G.

2014-10-01

One of the most interesting aspects of modelling and simulation study is to describe the real world phenomena that have specific properties; especially those that are in large scales and have dynamic and complex behaviours. Studying these phenomena in the laboratory is costly and in most cases it is impossible. Therefore, Miniaturization of world phenomena in the framework of a model in order to simulate the real phenomena is a reasonable and scientific approach to understand the world. Agent-based modelling and simulation (ABMS) is a new modelling method comprising of multiple interacting agent. They have been used in the different areas; for instance, geographic information system (GIS), biology, economics, social science and computer science. The emergence of ABM toolkits in GIS software libraries (e.g. ESRI's ArcGIS, OpenMap, GeoTools, etc) for geospatial modelling is an indication of the growing interest of users to use of special capabilities of ABMS. Since ABMS is inherently similar to human cognition, therefore it could be built easily and applicable to wide range applications than a traditional simulation. But a key challenge about ABMS is difficulty in their validation and verification. Because of frequent emergence patterns, strong dynamics in the system and the complex nature of ABMS, it is hard to validate and verify ABMS by conventional validation methods. Therefore, attempt to find appropriate validation techniques for ABM seems to be necessary. In this paper, after reviewing on Principles and Concepts of ABM for and its applications, the validation techniques and challenges of ABM validation are discussed.

Discrete Event System Based Pyroprocessing Modeling and Simulation: Oxide Reduction

International Nuclear Information System (INIS)

Lee, H. J.; Ko, W. I.; Choi, S. Y.; Kim, S. K.; Hur, J. M.; Choi, E. Y.; Im, H. S.; Park, K. I.; Kim, I. T.

2014-01-01

Dynamic changes according to the batch operation cannot be predicted in an equilibrium material flow. This study began to build a dynamic material balance model based on the previously developed pyroprocessing flowsheet. As a mid- and long-term research, an integrated pyroprocessing simulator is being developed at the Korea Atomic Energy Research Institute (KAERI) to cope with a review on the technical feasibility, safeguards assessment, conceptual design of facility, and economic feasibility evaluation. The most fundamental thing in such a simulator development is to establish the dynamic material flow framework. This study focused on the operation modeling of pyroprocessing to implement a dynamic material flow. As a case study, oxide reduction was investigated in terms of a dynamic material flow. DES based modeling was applied to build a pyroprocessing operation model. A dynamic material flow as the basic framework for an integrated pyroprocessing was successfully implemented through ExtendSim's internal database and item blocks. Complex operation logic behavior was verified, for example, an oxide reduction process in terms of dynamic material flow. Compared to the equilibrium material flow, a model-based dynamic material flow provides such detailed information that a careful analysis of every batch is necessary to confirm the dynamic material balance results. With the default scenario of oxide reduction, the batch mass balance was verified in comparison with a one-year equilibrium mass balance. This study is still under progress with a mid-and long-term goal, the development of a multi-purpose pyroprocessing simulator that is able to cope with safeguards assessment, economic feasibility, technical evaluation, conceptual design, and support of licensing for a future pyroprocessing facility

A CDO option market model on standardized CDS index tranches

DEFF Research Database (Denmark)

Dorn, Jochen

We provide a market model which implies a dynamic for standardized CDS index tranche spreads. This model is useful for pricing options on tranches with future Issue Dates as well as for modeling emerging options on struc- tured credit derivatives. With the upcoming regulation of the CDS market...... in perspective, the model presented here is also an attempt to face the e ects on pricing approaches provoked by an eventual Clearing Chamber . It becomes also possible to calibrate Index Tranche Options with bespoke tenors/tranche subordination to market data obtained by more liquid Index Tranche Options...

Fuzzy delay model based fault simulator for crosstalk delay fault test ...

Indian Academy of Sciences (India)

In this paper, a fuzzy delay model based crosstalk delay fault simulator is proposed. As design trends move towards nanometer technologies, more number of new parameters affects the delay of the component. Fuzzy delay models are ideal for modelling the uncertainty found in the design and manufacturing steps.

Pedestrian simulation model based on principles of bounded rationality: results of validation tests

NARCIS (Netherlands)

Zhu, W.; Timmermans, H.J.P.; Lo, H.P.; Leung, Stephen C.H.; Tan, Susanna M.L.

2009-01-01

Over the years, different modelling approaches to simulating pedestrian movement have been suggested. The majority of pedestrian decision models are based on the concept of utility maximization. To explore alternatives, we developed the heterogeneous heuristic model (HHM), based on principles of

Flexibility and Project Value: Interactions and Multiple Real Options

Science.gov (United States)

Čulík, Miroslav

2010-06-01

This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is based on the criterion of Net Present Value on the simulation basis. Portfolio includes selected types of European-type real options: option to expand, contract, abandon and temporarily shut down and restart a project. Due to the fact, that in reality most of the managerial flexibility takes the form of portfolio of real options, selected types of options are valued not only individually, but also in combination. The paper is structured as follows: first, diffusion models for forecasting of output prices and variable costs are derived. Second, project value is estimated on the assumption, that no real options are present. Next, project value is calculated with the presence of selected European-type options; these options and their impact on project value are valued first in isolation and consequently in different combinations. Moreover, intrinsic value evolution of given real options with respect to the time of exercising is analysed. In the end, results are presented graphically; selected statistics and risk measures (Value at Risk, Expected Shortfall) of the NPV's distributions are calculated and commented.

Policy options and their potential effects on Moroccan small farmers and the poor facing increased world food prices: A general equilibrium model analysis

OpenAIRE

Diao, Xinshen; Doukkali, Rachid; Yu, Bingxin

2008-01-01

"This study evaluates the potential impact of the recent rise in world food prices on the Moroccan economy and possible policy options to respond to it. The study focuses mainly on the poverty effects of such an external shock and the possible policy responses to it. A new social accounting matrix (SAM) and a computable general equilibrium (CGE) model have been developed for this study based on micro-level data in combination with sectoral and economywide data. The CGE model simulations show ...

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...... for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared...

Real options valuation of fusion energy R and D programme

International Nuclear Information System (INIS)

Bednyagin, Denis; Gnansounou, Edgard

2011-01-01

This paper aims to perform a real options valuation of fusion energy R and D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real options value arising due to managerial flexibility and the underlying uncertainty. First, a basic investment option model of Black-Scholes type is being considered. Then, a fuzzy compound real R and D option model is elaborated, which reflects in a better way the multi-stage nature of the programme and takes into account the imprecision of information as one of the components of the overall programme uncertainty. Two different strategies are compared: 'Baseline' corresponding to a relatively moderate pace of fusion research, development, demonstration and deployment activities vs. 'Accelerated' strategy, which assumes a rapid demonstration and massive deployment of fusion. The conclusions are drawn from the model calculations regarding the strategic value of fusion energy R and D and the advantages of accelerated development path. - Research highlights: → Real options analysis of fusion R and D, demonstration and deployment (RDDD) programme. → ENPV of fusion RDDD programme is calculated using stochastic probabilistic simulation. → Fusion RDDD programme exhibits substantial positive real options value: Euro 245 billion. → Fuzzy compound real option valuation method provides more robust results.

Comparative cost-effectiveness of Option B+ for prevention of mother-to-child transmission of HIV in Malawi.

Science.gov (United States)

Tweya, Hannock; Keiser, Olivia; Haas, Andreas D; Tenthani, Lyson; Phiri, Sam; Egger, Matthias; Estill, Janne

2016-03-27

To estimate the cost-effectiveness of prevention of mother-to-child transmission (MTCT) of HIV with lifelong antiretroviral therapy (ART) for pregnant and breastfeeding women ('Option B+') compared with ART during pregnancy or breastfeeding only unless clinically indicated ('Option B'). Mathematical modelling study of first and second pregnancy, informed by data from the Malawi Option B+ programme. Individual-based simulation model. We simulated cohorts of 10 000 women and their infants during two subsequent pregnancies, including the breastfeeding period, with either Option B+ or B. We parameterized the model with data from the literature and by analysing programmatic data. We compared total costs of antenatal and postnatal care, and lifetime costs and disability-adjusted life-years of the infected infants between Option B+ and Option B. During the first pregnancy, 15% of the infants born to HIV-infected mothers acquired the infection. With Option B+, 39% of the women were on ART at the beginning of the second pregnancy, compared with 18% with Option B. For second pregnancies, the rates MTCT were 11.3% with Option B+ and 12.3% with Option B. The incremental cost-effectiveness ratio comparing the two options ranged between about US$ 500 and US$ 1300 per DALY averted. Option B+ prevents more vertical transmissions of HIV than Option B, mainly because more women are already on ART at the beginning of the next pregnancy. Option B+ is a cost-effective strategy for PMTCT if the total future costs and lost lifetime of the infected infants are taken into account.

Simulation of off-grid generation options for remote villages in Cameroon

International Nuclear Information System (INIS)

Nfah, E.M.; Ngundam, J.M.; Vandenbergh, M.; Schmid, J.

2008-01-01

Off-grid generation options have been simulated for remote villages in Cameroon using a load of 110 kWh/day and 12 kWp. The energy costs of proposed options were simulated using HOMER, a typical village load profile, the solar resource of Garoua and the flow of river Mungo. For a 40% increase in the cost of imported power system components, the cost of energy was found to be 0.296 EUR/kWh for a micro-hydro hybrid system comprising a 14 kW micro-hydro generator, a 15 kW LPG generator and 36 kWh of battery storage. The cost of energy for photovoltaic (PV) hybrid systems made up of an 18 kWp PV generator, a 15 kW LPG generator and 72 kWh of battery storage was also found to be 0.576 EUR/kWh for remote petrol price of 1 EUR/l and LPG price of 0.70 EUR/m 3 . The micro-hydro hybrid system proved to be the cheapest option for villages located in the southern parts of Cameroon with a flow rate of at least 200l/s, while the PV hybrid system was the cheapest option for villages in the northern parts of Cameroon with an insolation level of at least 5.55 kWh/m 2 /day. For a single-wire grid extension cost of 5000 EUR/km, operation and maintenance costs of 125 EUR/yr/km and a local grid power price of 0.1 EUR/kWh, the breakeven grid extension distances were found to be 15.4 km for micro-hydro/LPG generator systems and 37.4 km for PV/LPG generator systems respectively. These results could be used in Cameroon's National Energy Action Plan for the provision of energy services in the key sectors involved in the fight against poverty. (author)

Report on farm scale eco-efficiency of mitigation and adaption options. D10.3

DEFF Research Database (Denmark)

Kristensen, Ib Sillebak; Olesen, Jørgen Eivind; Hutchings, Nicholas John

2015-01-01

This deliverable collates the information on simulated effects of mitigation and adaptation options at the farm scale in Europe, primarily using the FarmAC model for the mitigation options, and applying semi quantitative modelling for the adaptation options....

Improving Simulations of Extreme Flows by Coupling a Physically-based Hydrologic Model with a Machine Learning Model

Science.gov (United States)

Mohammed, K.; Islam, A. S.; Khan, M. J. U.; Das, M. K.

2017-12-01

With the large number of hydrologic models presently available along with the global weather and geographic datasets, streamflows of almost any river in the world can be easily modeled. And if a reasonable amount of observed data from that river is available, then simulations of high accuracy can sometimes be performed after calibrating the model parameters against those observed data through inverse modeling. Although such calibrated models can succeed in simulating the general trend or mean of the observed flows very well, more often than not they fail to adequately simulate the extreme flows. This causes difficulty in tasks such as generating reliable projections of future changes in extreme flows due to climate change, which is obviously an important task due to floods and droughts being closely connected to people's lives and livelihoods. We propose an approach where the outputs of a physically-based hydrologic model are used as an input to a machine learning model to try and better simulate the extreme flows. To demonstrate this offline-coupling approach, the Soil and Water Assessment Tool (SWAT) was selected as the physically-based hydrologic model, the Artificial Neural Network (ANN) as the machine learning model and the Ganges-Brahmaputra-Meghna (GBM) river system as the study area. The GBM river system, located in South Asia, is the third largest in the world in terms of freshwater generated and forms the largest delta in the world. The flows of the GBM rivers were simulated separately in order to test the performance of this proposed approach in accurately simulating the extreme flows generated by different basins that vary in size, climate, hydrology and anthropogenic intervention on stream networks. Results show that by post-processing the simulated flows of the SWAT models with ANN models, simulations of extreme flows can be significantly improved. The mean absolute errors in simulating annual maximum/minimum daily flows were minimized from 4967

Simulation and Non-Simulation Based Human Reliability Analysis Approaches

Energy Technology Data Exchange (ETDEWEB)

Boring, Ronald Laurids [Idaho National Lab. (INL), Idaho Falls, ID (United States); Shirley, Rachel Elizabeth [Idaho National Lab. (INL), Idaho Falls, ID (United States); Joe, Jeffrey Clark [Idaho National Lab. (INL), Idaho Falls, ID (United States); Mandelli, Diego [Idaho National Lab. (INL), Idaho Falls, ID (United States)

2014-12-01

Part of the U.S. Department of Energy’s Light Water Reactor Sustainability (LWRS) Program, the Risk-Informed Safety Margin Characterization (RISMC) Pathway develops approaches to estimating and managing safety margins. RISMC simulations pair deterministic plant physics models with probabilistic risk models. As human interactions are an essential element of plant risk, it is necessary to integrate human actions into the RISMC risk model. In this report, we review simulation-based and non-simulation-based human reliability assessment (HRA) methods. Chapter 2 surveys non-simulation-based HRA methods. Conventional HRA methods target static Probabilistic Risk Assessments for Level 1 events. These methods would require significant modification for use in dynamic simulation of Level 2 and Level 3 events. Chapter 3 is a review of human performance models. A variety of methods and models simulate dynamic human performance; however, most of these human performance models were developed outside the risk domain and have not been used for HRA. The exception is the ADS-IDAC model, which can be thought of as a virtual operator program. This model is resource-intensive but provides a detailed model of every operator action in a given scenario, along with models of numerous factors that can influence operator performance. Finally, Chapter 4 reviews the treatment of timing of operator actions in HRA methods. This chapter is an example of one of the critical gaps between existing HRA methods and the needs of dynamic HRA. This report summarizes the foundational information needed to develop a feasible approach to modeling human interactions in the RISMC simulations.

Knowledge representation requirements for model sharing between model-based reasoning and simulation in process flow domains

Science.gov (United States)

Throop, David R.

1992-01-01

The paper examines the requirements for the reuse of computational models employed in model-based reasoning (MBR) to support automated inference about mechanisms. Areas in which the theory of MBR is not yet completely adequate for using the information that simulations can yield are identified, and recent work in these areas is reviewed. It is argued that using MBR along with simulations forces the use of specific fault models. Fault models are used so that a particular fault can be instantiated into the model and run. This in turn implies that the component specification language needs to be capable of encoding any fault that might need to be sensed or diagnosed. It also means that the simulation code must anticipate all these faults at the component level.

National energy planning with nuclear option

International Nuclear Information System (INIS)

Soetrisnanto, Arnold Y.; Hastowo, Hudi; Soentono, Soedyartomo

2002-01-01

National energy planning with nuclear option. Energy planning development is a part of the sustainable development that supports the attainment of national development goals. The objective of the study is to support the national planning and decision-making process in the energy and electric sector in Indonesia with nuclear option for period of 1998-2027. This study performs the provision of detailed economic sector and regional energy demand projection by MAED simulation model based on the economic and population scenarios. The optimization of the future energy supply such as electricity supply taking all known Indonesian energy sources and all relevant technologies into consideration by MARKAL Model. The results shows that Indonesia's need for final energy is forecasted to increase two times, from 4028,4 PJ at the beginning of study become 8145,6 PJ at the end of study. Performing the sensitivity study, it is predicted that nuclear energy could be introduced in the Java-Bali electricity grid about year 2016

American option pricing with stochastic volatility processes

Directory of Open Access Journals (Sweden)

Ping LI

2017-12-01

Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Cont, Rama; Kokholm, Thomas

observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...

A Monte Carlo-based model for simulation of digital chest tomo-synthesis

International Nuclear Information System (INIS)

Ullman, G.; Dance, D. R.; Sandborg, M.; Carlsson, G. A.; Svalkvist, A.; Baath, M.

2010-01-01

The aim of this work was to calculate synthetic digital chest tomo-synthesis projections using a computer simulation model based on the Monte Carlo method. An anthropomorphic chest phantom was scanned in a computed tomography scanner, segmented and included in the computer model to allow for simulation of realistic high-resolution X-ray images. The input parameters to the model were adapted to correspond to the VolumeRAD chest tomo-synthesis system from GE Healthcare. Sixty tomo-synthesis projections were calculated with projection angles ranging from + 15 to -15 deg. The images from primary photons were calculated using an analytical model of the anti-scatter grid and a pre-calculated detector response function. The contributions from scattered photons were calculated using an in-house Monte Carlo-based model employing a number of variance reduction techniques such as the collision density estimator. Tomographic section images were reconstructed by transferring the simulated projections into the VolumeRAD system. The reconstruction was performed for three types of images using: (i) noise-free primary projections, (ii) primary projections including contributions from scattered photons and (iii) projections as in (ii) with added correlated noise. The simulated section images were compared with corresponding section images from projections taken with the real, anthropomorphic phantom from which the digital voxel phantom was originally created. The present article describes a work in progress aiming towards developing a model intended for optimisation of chest tomo-synthesis, allowing for simulation of both existing and future chest tomo-synthesis systems. (authors)

Biologically based modelling and simulation of carcinogenesis at low doses

International Nuclear Information System (INIS)

Ouchi, Noriyuki B.

2003-01-01

The process of the carcinogenesis is studied by computer simulation. In general, we need a large number of experimental samples to detect mutations at low doses, but in practice it is difficult to get such a large number of data. To satisfy the requirements of the situation at low doses, it is good to study the process of carcinogenesis using biologically based mathematical model. We have mainly studied it by using as known as 'multi-stage model'; the model seems to get complicated, as we adopt the recent new findings of molecular biological experiments. Moreover, the basic idea of the multi-stage model is based on the epidemiologic data of log-log variation of cancer incidence with age, it seems to be difficult to compare with experimental data of irradiated cell culture system, which has been increasing in recent years. Taking above into consideration, we concluded that we had better make new model with following features: 1) a unit of the target system is a cell, 2) the new information of the molecular biology can be easily introduced, 3) having spatial coordinates for checking a colony formation or tumorigenesis. In this presentation, we will show the detail of the model and some simulation results about the carcinogenesis. (author)

An agent-based simulation model to study accountable care organizations.

Science.gov (United States)

Liu, Pai; Wu, Shinyi

2016-03-01

Creating accountable care organizations (ACOs) has been widely discussed as a strategy to control rapidly rising healthcare costs and improve quality of care; however, building an effective ACO is a complex process involving multiple stakeholders (payers, providers, patients) with their own interests. Also, implementation of an ACO is costly in terms of time and money. Immature design could cause safety hazards. Therefore, there is a need for analytical model-based decision-support tools that can predict the outcomes of different strategies to facilitate ACO design and implementation. In this study, an agent-based simulation model was developed to study ACOs that considers payers, healthcare providers, and patients as agents under the shared saving payment model of care for congestive heart failure (CHF), one of the most expensive causes of sometimes preventable hospitalizations. The agent-based simulation model has identified the critical determinants for the payment model design that can motivate provider behavior changes to achieve maximum financial and quality outcomes of an ACO. The results show nonlinear provider behavior change patterns corresponding to changes in payment model designs. The outcomes vary by providers with different quality or financial priorities, and are most sensitive to the cost-effectiveness of CHF interventions that an ACO implements. This study demonstrates an increasingly important method to construct a healthcare system analytics model that can help inform health policy and healthcare management decisions. The study also points out that the likely success of an ACO is interdependent with payment model design, provider characteristics, and cost and effectiveness of healthcare interventions.

Extending simulation modeling to activity-based costing for clinical procedures.

Science.gov (United States)

Glick, N D; Blackmore, C C; Zelman, W N

2000-04-01

A simulation model was developed to measure costs in an Emergency Department setting for patients presenting with possible cervical-spine injury who needed radiological imaging. Simulation, a tool widely used to account for process variability but typically focused on utilization and throughput analysis, is being introduced here as a realistic means to perform an activity-based-costing (ABC) analysis, because traditional ABC methods have difficulty coping with process variation in healthcare. Though the study model has a very specific application, it can be generalized to other settings simply by changing the input parameters. In essence, simulation was found to be an accurate and viable means to conduct an ABC analysis; in fact, the output provides more complete information than could be achieved through other conventional analyses, which gives management more leverage with which to negotiate contractual reimbursements.

SPATKIN: a simulator for rule-based modeling of biomolecular site dynamics on surfaces.

Science.gov (United States)

Kochanczyk, Marek; Hlavacek, William S; Lipniacki, Tomasz

2017-11-15

Rule-based modeling is a powerful approach for studying biomolecular site dynamics. Here, we present SPATKIN, a general-purpose simulator for rule-based modeling in two spatial dimensions. The simulation algorithm is a lattice-based method that tracks Brownian motion of individual molecules and the stochastic firing of rule-defined reaction events. Because rules are used as event generators, the algorithm is network-free, meaning that it does not require to generate the complete reaction network implied by rules prior to simulation. In a simulation, each molecule (or complex of molecules) is taken to occupy a single lattice site that cannot be shared with another molecule (or complex). SPATKIN is capable of simulating a wide array of membrane-associated processes, including adsorption, desorption and crowding. Models are specified using an extension of the BioNetGen language, which allows to account for spatial features of the simulated process. The C ++ source code for SPATKIN is distributed freely under the terms of the GNU GPLv3 license. The source code can be compiled for execution on popular platforms (Windows, Mac and Linux). An installer for 64-bit Windows and a macOS app are available. The source code and precompiled binaries are available at the SPATKIN Web site (http://pmbm.ippt.pan.pl/software/spatkin). spatkin.simulator@gmail.com. Supplementary data are available at Bioinformatics online. © The Author 2017. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com

Hybrid2 - The hybrid power system simulation model

Energy Technology Data Exchange (ETDEWEB)

Baring-Gould, E.I.; Green, H.J.; Dijk, V.A.P. van [National Renewable Energy Lab., Golden, CO (United States); Manwell, J.F. [Univ. of Massachusetts, Amherst, MA (United States)

1996-12-31

There is a large-scale need and desire for energy in remote communities, especially in the developing world; however the lack of a user friendly, flexible performance prediction model for hybrid power systems incorporating renewables hindered the analysis of hybrids as options to conventional solutions. A user friendly model was needed with the versatility to simulate the many system locations, widely varying hardware configurations, and differing control options for potential hybrid power systems. To meet these ends, researchers from the National Renewable Energy Laboratory (NREL) and the University of Massachusetts (UMass) developed the Hybrid2 software. This paper provides an overview of the capabilities, features, and functionality of the Hybrid2 code, discusses its validation and future plans. Model availability and technical support provided to Hybrid2 users are also discussed. 12 refs., 3 figs., 4 tabs.

A Coupled Simulation Architecture for Agent-Based/Geohydrological Modelling

Science.gov (United States)

Jaxa-Rozen, M.

2016-12-01

The quantitative modelling of social-ecological systems can provide useful insights into the interplay between social and environmental processes, and their impact on emergent system dynamics. However, such models should acknowledge the complexity and uncertainty of both of the underlying subsystems. For instance, the agent-based models which are increasingly popular for groundwater management studies can be made more useful by directly accounting for the hydrological processes which drive environmental outcomes. Conversely, conventional environmental models can benefit from an agent-based depiction of the feedbacks and heuristics which influence the decisions of groundwater users. From this perspective, this work describes a Python-based software architecture which couples the popular NetLogo agent-based platform with the MODFLOW/SEAWAT geohydrological modelling environment. This approach enables users to implement agent-based models in NetLogo's user-friendly platform, while benefiting from the full capabilities of MODFLOW/SEAWAT packages or reusing existing geohydrological models. The software architecture is based on the pyNetLogo connector, which provides an interface between the NetLogo agent-based modelling software and the Python programming language. This functionality is then extended and combined with Python's object-oriented features, to design a simulation architecture which couples NetLogo with MODFLOW/SEAWAT through the FloPy library (Bakker et al., 2016). The Python programming language also provides access to a range of external packages which can be used for testing and analysing the coupled models, which is illustrated for an application of Aquifer Thermal Energy Storage (ATES).

Agent-based modeling and simulation of clean heating system adoption in Norway

Energy Technology Data Exchange (ETDEWEB)

Sopha, Bertha Maya

2011-03-15

A sound climate policy encouraging clean energy investment is important to mitigate global warming. Previous research has demonstrated that consumer choice indeed plays an important role in adoption of sustainable technologies. This thesis strives to gain a better understanding of consumers' decision-making on heating systems and to explore the potential application of agent-based modeling (ABM) in exploring mechanism underlying adoption in which heating system adoption by Norwegian households is taken up as a case study. An interdisciplinary approach, applying various established theories including those of psychology, is applied to create a model for consumer behavior and implement this behavior in an Agent-Based Model (ABM) to simulate heating technology diffusion. A mail-survey, carried out in autumn 2008, is a means to collect information for parameterizing the agent-based model, for gaining empirical facts, and for validating the developed model at micro-level. Survey sample consisted of 1500 Norwegian households drawn from population register and 1500 wood pellet users in Norway. The response rates were 10.3% and 34.6% for population sample and wood pellet sample respectively. This study is divided into two parts; empirical analysis and agent-based simulation. The empirical analysis aims at fully understanding the important aspects of adoption decision and their implications, in order to assist simulation. The analysis particularly contributes to the identification of differences/similarities between adopters and non adopters of wood pellet heating with respects to some key points of adoption derived from different theories, psychological factors underlying the adoption-decision of wood pellet heating, and the rationales underlying Norwegian households' decisions regarding their future heating system. The simulation study aims at exploring the mechanism of heterogeneous household decision-making giving rise to the diffusion of heating systems, and

Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models

DEFF Research Database (Denmark)

Rombouts, Jeroen; Stentoft, Lars

2014-01-01

Option pricing using mixed normal heteroscedasticity models is considered. It is explained how to perform inference and price options in a Bayesian framework. The approach allows to easily compute risk neutral predictive price densities which take into account parameter uncertainty....... In an application to the S&P 500 index, classical and Bayesian inference is performed on the mixture model using the available return data. Comparing the ML estimates and posterior moments small differences are found. When pricing a rich sample of options on the index, both methods yield similar pricing errors...... measured in dollar and implied standard deviation losses, and it turns out that the impact of parameter uncertainty is minor. Therefore, when it comes to option pricing where large amounts of data are available, the choice of the inference method is unimportant. The results are robust to different...

An Example-Based Brain MRI Simulation Framework.

Science.gov (United States)

He, Qing; Roy, Snehashis; Jog, Amod; Pham, Dzung L

2015-02-21

The simulation of magnetic resonance (MR) images plays an important role in the validation of image analysis algorithms such as image segmentation, due to lack of sufficient ground truth in real MR images. Previous work on MRI simulation has focused on explicitly modeling the MR image formation process. However, because of the overwhelming complexity of MR acquisition these simulations must involve simplifications and approximations that can result in visually unrealistic simulated images. In this work, we describe an example-based simulation framework, which uses an "atlas" consisting of an MR image and its anatomical models derived from the hard segmentation. The relationships between the MR image intensities and its anatomical models are learned using a patch-based regression that implicitly models the physics of the MR image formation. Given the anatomical models of a new brain, a new MR image can be simulated using the learned regression. This approach has been extended to also simulate intensity inhomogeneity artifacts based on the statistical model of training data. Results show that the example based MRI simulation method is capable of simulating different image contrasts and is robust to different choices of atlas. The simulated images resemble real MR images more than simulations produced by a physics-based model.

Analysis of Options Contract, Option Pricing in Agricultural Products

Directory of Open Access Journals (Sweden)

H. Tamidy

2016-03-01

of standardizing the underlying asset 4- Impossibility of creating cross supply of the underlying asset In addition, after the introduction of the model parameters, we offers method calculating of the volatility (standard deviation price with using historical data (time series. Parameters of Blk- Scholes model are introduced and option contract of selected product will pricing. After effect of the rise and fall agreement prices (in the form of 9-defined scenario on the price of put option and sales option are studied. In this study, after forming the hypothetical option market for the Canola, option pricing is done. In this section, the criteria for selecting an appropriate asset base is expressed for option contract. The Black–Scholes model is introduced for the valuation of call option and European put option contract. After introducing the model parameters, the calculation of volatility (standard deviation of price using historical data (time series is presented .To achieve this aim, the Black – Scholes model was used under 9 strike price scenario of 5, 10, 15, 20 percent above; 5, 10, 15, and 20 percent lower and finally equal to current prices. This model was run in Excel 2010 and Derivea gem 1.5. Results and Discussion: The results showed 43% price volatility for canola that reflects uncertainty in its price. In the next stage of pricing, the purchase and sale of the selected product was done under the nine price scenarios. The results showed that the highest authority to purchase option was for scenario K1 and the highest buy option was for the K9 scenario. The least expensive buy option is K9 and the least expensive sell option is K1. Conclusion: The results show that the increase of strike price under these scenarios leads to a decrease of call option price and decrease of put option price. In addition, the farmers, businesspersons and agricultural products transforming factories with a different degree of risk disclosure can participate in these markets

UNRES server for physics-based coarse-grained simulations and prediction of protein structure, dynamics and thermodynamics.

Science.gov (United States)

Czaplewski, Cezary; Karczynska, Agnieszka; Sieradzan, Adam K; Liwo, Adam

2018-04-30

A server implementation of the UNRES package (http://www.unres.pl) for coarse-grained simulations of protein structures with the physics-based UNRES model, coined a name UNRES server, is presented. In contrast to most of the protein coarse-grained models, owing to its physics-based origin, the UNRES force field can be used in simulations, including those aimed at protein-structure prediction, without ancillary information from structural databases; however, the implementation includes the possibility of using restraints. Local energy minimization, canonical molecular dynamics simulations, replica exchange and multiplexed replica exchange molecular dynamics simulations can be run with the current UNRES server; the latter are suitable for protein-structure prediction. The user-supplied input includes protein sequence and, optionally, restraints from secondary-structure prediction or small x-ray scattering data, and simulation type and parameters which are selected or typed in. Oligomeric proteins, as well as those containing D-amino-acid residues and disulfide links can be treated. The output is displayed graphically (minimized structures, trajectories, final models, analysis of trajectory/ensembles); however, all output files can be downloaded by the user. The UNRES server can be freely accessed at http://unres-server.chem.ug.edu.pl.

Volcano Modelling and Simulation gateway (VMSg): A new web-based framework for collaborative research in physical modelling and simulation of volcanic phenomena

Science.gov (United States)

Esposti Ongaro, T.; Barsotti, S.; de'Michieli Vitturi, M.; Favalli, M.; Longo, A.; Nannipieri, L.; Neri, A.; Papale, P.; Saccorotti, G.

2009-12-01

Physical and numerical modelling is becoming of increasing importance in volcanology and volcanic hazard assessment. However, new interdisciplinary problems arise when dealing with complex mathematical formulations, numerical algorithms and their implementations on modern computer architectures. Therefore new frameworks are needed for sharing knowledge, software codes, and datasets among scientists. Here we present the Volcano Modelling and Simulation gateway (VMSg, accessible at http://vmsg.pi.ingv.it), a new electronic infrastructure for promoting knowledge growth and transfer in the field of volcanological modelling and numerical simulation. The new web portal, developed in the framework of former and ongoing national and European projects, is based on a dynamic Content Manager System (CMS) and was developed to host and present numerical models of the main volcanic processes and relationships including magma properties, magma chamber dynamics, conduit flow, plume dynamics, pyroclastic flows, lava flows, etc. Model applications, numerical code documentation, simulation datasets as well as model validation and calibration test-cases are also part of the gateway material.

Option Pricing using Realized Volatility

DEFF Research Database (Denmark)

Stentoft, Lars Peter

dynamics to be used for option pricing purposes in this framework, and we show that our model explains some of the mispricings found when using traditional option pricing models based on interdaily data. We then show explicitly that a Generalized Autoregressive Conditional Heteroskedastic model with Normal...... Inverse Gaussian distributed innovations is the corresponding benchmark model when only daily data is used. Finally, we perform an empirical analysis using stock options for three large American companies, and we show that in all cases our model performs significantly better than the corresponding...... benchmark model estimated on return data alone. Hence the paper provides evidence on the value of using high frequency data for option pricing purposes....

[Simulation and data analysis of stereological modeling based on virtual slices].

Science.gov (United States)

Wang, Hao; Shen, Hong; Bai, Xiao-yan

2008-05-01

To establish a computer-assisted stereological model for simulating the process of slice section and evaluate the relationship between section surface and estimated three-dimensional structure. The model was designed by mathematic method as a win32 software based on the MFC using Microsoft visual studio as IDE for simulating the infinite process of sections and analysis of the data derived from the model. The linearity of the fitting of the model was evaluated by comparison with the traditional formula. The win32 software based on this algorithm allowed random sectioning of the particles distributed randomly in an ideal virtual cube. The stereological parameters showed very high throughput (>94.5% and 92%) in homogeneity and independence tests. The data of density, shape and size of the section were tested to conform to normal distribution. The output of the model and that from the image analysis system showed statistical correlation and consistency. The algorithm we described can be used for evaluating the stereologic parameters of the structure of tissue slices.

An IBM PC-based math model for space station solar array simulation

Science.gov (United States)

Emanuel, E. M.

1986-01-01

This report discusses and documents the design, development, and verification of a microcomputer-based solar cell math model for simulating the Space Station's solar array Initial Operational Capability (IOC) reference configuration. The array model is developed utilizing a linear solar cell dc math model requiring only five input parameters: short circuit current, open circuit voltage, maximum power voltage, maximum power current, and orbit inclination. The accuracy of this model is investigated using actual solar array on orbit electrical data derived from the Solar Array Flight Experiment/Dynamic Augmentation Experiment (SAFE/DAE), conducted during the STS-41D mission. This simulator provides real-time simulated performance data during the steady state portion of the Space Station orbit (i.e., array fully exposed to sunlight). Eclipse to sunlight transients and shadowing effects are not included in the analysis, but are discussed briefly. Integrating the Solar Array Simulator (SAS) into the Power Management and Distribution (PMAD) subsystem is also discussed.

Model Calibration in Option Pricing

Directory of Open Access Journals (Sweden)

Andre Loerx

2012-04-01

Full Text Available We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametrization for the model parameters play an important role.

Sensitivity analysis for CORSOR models simulating fission product release in LOFT-LP-FP-2 severe accident experiment

Energy Technology Data Exchange (ETDEWEB)

Hoseyni, Seyed Mohsen [Islamic Azad Univ., Tehran (Iran, Islamic Republic of). Dept. of Basic Sciences; Islamic Azad Univ., Tehran (Iran, Islamic Republic of). Young Researchers and Elite Club; Pourgol-Mohammad, Mohammad [Sahand Univ. of Technology, Tabriz (Iran, Islamic Republic of). Dept. of Mechanical Engineering; Yousefpour, Faramarz [Nuclear Science and Technology Research Institute, Tehran (Iran, Islamic Republic of)

2017-03-15

This paper deals with simulation, sensitivity and uncertainty analysis of LP-FP-2 experiment of LOFT test facility. The test facility simulates the major components and system response of a pressurized water reactor during a LOCA. MELCOR code is used for predicting the fission product release from the core fuel elements in LOFT LP-FP-2 experiment. Moreover, sensitivity and uncertainty analysis is performed for different CORSOR models simulating release of fission products in severe accident calculations for nuclear power plants. The calculated values for the fission product release are compared under different modeling options to the experimental data available from the experiment. In conclusion, the performance of 8 CORSOR modeling options is assessed for available modeling alternatives in the code structure.

An assessment of the potentials of nuclear power and carbon capture and storage in the long-term global warming mitigation options based on Asian Modeling Exercise scenarios

International Nuclear Information System (INIS)

Mori, Shunsuke

2012-01-01

This paper presents an evaluation of global warming mitigation options based on scenarios from the Asian Modeling Exercise. Using an extended version of the integrated assessment model MARIA-23 (Multiregional Approach for Resource and Industry Allocation), we analyze nuclear fuel recycling options, carbon capture and storage technologies (CCS), and biomass utilization. To assess the potential implications of decreased social acceptance of nuclear power in the wake of the Fukushima nuclear accident, additional scenarios including a nuclear power expansion limitation, are analyzed. We also evaluate MARIA-23 model simulation estimates of long-term contributions and interrelationships among nuclear power, biomass, and CCS. Finally, potential costs of nuclear limitation under carbon control policies are assessed. The simulation results in this paper suggest the following: (1) under the reference scenario, global GDP losses in climate limitation scenarios range from 1.3% per year to 3.9% per year in 2060, rising to between 3.5% per year and 4.5% per year in 2100; (2) the use of nuclear fuel reprocessing technologies increase rapidly in all carbon control policy scenarios; (3) under a scenario where the price of CO 2 is $30 and nuclear power expansion is strictly limited, GDP losses increase significantly—from 4.5% per year to 6.4% per year by 2100; (4) nuclear power and CCS are substitute mitigation technologies. With nuclear power technology available CCS deployment reaches approximately 15,000 Mt-CO 2 per year by 2010; without a nuclear power option, CCS deployment rises to more than 80,000 Mt-CO 2 per year; and (5) biomass utilization cannot fully compensate for limitations to nuclear power expansion in policy scenarios. In addition to examining the role of these three technologies on global scales, we report results for several major Asian regions, namely Japan, China, and India. China tends to deploy nuclear power (if available) in response to rapidly growing

An Open-Source Simulation Environment for Model-Based Engineering, Phase I

Data.gov (United States)

National Aeronautics and Space Administration — The proposed work is a new spacecraft simulation environment for model-based engineering of flight algorithms and software. The goal is to provide a much faster way...

Modelling remediation options for urban contamination situations

DEFF Research Database (Denmark)

Thiessen, K.M.; Andersson, Kasper Grann; Charnock, T.W.

2009-01-01

and remedial options enables the evaluation of a variety of situations or alternative recovery strategies in contexts of preparedness or decision-making. At present a number of models and modelling approaches are available for different purposes. This paper summarizes the available modelling approaches...

Population PK modelling and simulation based on fluoxetine and norfluoxetine concentrations in milk: a milk concentration-based prediction model.

Science.gov (United States)

Tanoshima, Reo; Bournissen, Facundo Garcia; Tanigawara, Yusuke; Kristensen, Judith H; Taddio, Anna; Ilett, Kenneth F; Begg, Evan J; Wallach, Izhar; Ito, Shinya

2014-10-01

Population pharmacokinetic (pop PK) modelling can be used for PK assessment of drugs in breast milk. However, complex mechanistic modelling of a parent and an active metabolite using both blood and milk samples is challenging. We aimed to develop a simple predictive pop PK model for milk concentration-time profiles of a parent and a metabolite, using data on fluoxetine (FX) and its active metabolite, norfluoxetine (NFX), in milk. Using a previously published data set of drug concentrations in milk from 25 women treated with FX, a pop PK model predictive of milk concentration-time profiles of FX and NFX was developed. Simulation was performed with the model to generate FX and NFX concentration-time profiles in milk of 1000 mothers. This milk concentration-based pop PK model was compared with the previously validated plasma/milk concentration-based pop PK model of FX. Milk FX and NFX concentration-time profiles were described reasonably well by a one compartment model with a FX-to-NFX conversion coefficient. Median values of the simulated relative infant dose on a weight basis (sRID: weight-adjusted daily doses of FX and NFX through breastmilk to the infant, expressed as a fraction of therapeutic FX daily dose per body weight) were 0.028 for FX and 0.029 for NFX. The FX sRID estimates were consistent with those of the plasma/milk-based pop PK model. A predictive pop PK model based on only milk concentrations can be developed for simultaneous estimation of milk concentration-time profiles of a parent (FX) and an active metabolite (NFX). © 2014 The British Pharmacological Society.

Exploring the options for carbon dioxide mitigation in Turkish electric power industry: System dynamics approach

International Nuclear Information System (INIS)

Saysel, Ali Kerem; Hekimoğlu, Mustafa

2013-01-01

Electric power industry has a huge carbon mitigation potential, fundamentally because there are large carbon-free, renewable resource options. In Turkey, with growing demand in electricity consumption and incentives offered for natural gas fired electricity generation, CO 2 emissions sourced from electric power industry had tripled over the last two decades. Current governmental strategy focuses on energy security and resource diversity in a growing economy and does not articulate sufficient mitigation targets and appropriate regulations. In this research, an original dynamic simulation model is built, validated and analyzed to explore the options for carbon mitigation in Turkish electric power industry. Model structure represents the investment, dispatch and pricing heuristics as well as the natural resource base of electricity generation in Turkey. It operates on annual basis over 30 years to simulate installed capacities and generations of power plants with alternative resources and their resulting CO 2 emissions. The analysis presented in this paper reveals that there are mitigation options below 50% of business as usual growth, with common policy options such as feed-in-tariffs, investment subsidies and carbon taxes. The model can serve as an experimental platform for further analysis of problems related to carbon mitigation in Turkish electricity sector. - Highlights: • An original computer model is created to investigate carbon mitigation. • It is holistic and comprises investment, generation, dispatch, and resources. • The model's structure, information base and foresights are specific to Turkey. • Direct and indirect strategies are explored and integrated. • Dramatic reductions are possible only with supply side strategies

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...... varying higher order moments of the risk neutral distribution. When forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to several benchmark models in terms of dollar losses and the ability to explain the smirk in implied volatilities...

Method of construction of rational corporate network using the simulation model

Directory of Open Access Journals (Sweden)

V.N. Pakhomovа

2013-06-01

Full Text Available Purpose. Search for new options of the transition from Ethernet technology. Methodology. Physical structuring of the Fast Ethernet network based on hubs and logical structuring of Fast Ethernet network using commutators. Organization of VLAN based on ports grouping and in accordance with the standard IEEE 802 .1Q. Findings. The options for improving of the Ethernet network are proposed. According to the Fast Ethernet and VLAN technologies on the simulation models in packages NetCraker and Cisco Packet Traker respectively. Origiality. The technique of designing of local area network using the VLAN technology is proposed. Practical value.Each of the options of "Dniprozaliznychproekt" network improving has its advantages. Transition from the Ethernet to Fast Ethernet technology is simple and economical, it requires only one commutator, when the VLAN organization requires at least two. VLAN technology, however, has the following advantages: reducing the load on the network, isolation of the broadcast traffic, change of the logical network structure without changing its physical structure, improving the network security. The transition from Ethernet to the VLAN technology allows you to separate the physical topology from the logical one, and the format of the ÌEEE 802.1Q standard frames allows you to simplify the process of virtual networks implementation to enterprises.

On a Generalized Squared Gaussian Diffusion Model for Option Valuation

Directory of Open Access Journals (Sweden)

Edeki S.O.

2017-01-01

Full Text Available In financial mathematics, option pricing models are vital tools whose usefulness cannot be overemphasized. Modern approaches and modelling of financial derivatives are therefore required in option pricing and valuation settings. In this paper, we derive via the application of Ito lemma, a pricing model referred to as Generalized Squared Gaussian Diffusion Model (GSGDM for option pricing and valuation. Same approach can be considered via Stratonovich stochastic dynamics. We also show that the classical Black-Scholes, and the square root constant elasticity of variance models are special cases of the GSGDM. In addition, general solution of the GSGDM is obtained using modified variational iterative method (MVIM.

A simulation-based analytic model of radio galaxies

Science.gov (United States)

Hardcastle, M. J.

2018-04-01

I derive and discuss a simple semi-analytical model of the evolution of powerful radio galaxies which is not based on assumptions of self-similar growth, but rather implements some insights about the dynamics and energetics of these systems derived from numerical simulations, and can be applied to arbitrary pressure/density profiles of the host environment. The model can qualitatively and quantitatively reproduce the source dynamics and synchrotron light curves derived from numerical modelling. Approximate corrections for radiative and adiabatic losses allow it to predict the evolution of radio spectral index and of inverse-Compton emission both for active and `remnant' sources after the jet has turned off. Code to implement the model is publicly available. Using a standard model with a light relativistic (electron-positron) jet, subequipartition magnetic fields, and a range of realistic group/cluster environments, I simulate populations of sources and show that the model can reproduce the range of properties of powerful radio sources as well as observed trends in the relationship between jet power and radio luminosity, and predicts their dependence on redshift and environment. I show that the distribution of source lifetimes has a significant effect on both the source length distribution and the fraction of remnant sources expected in observations, and so can in principle be constrained by observations. The remnant fraction is expected to be low even at low redshift and low observing frequency due to the rapid luminosity evolution of remnants, and to tend rapidly to zero at high redshift due to inverse-Compton losses.

Discrete event model-based simulation for train movement on a single-line railway

International Nuclear Information System (INIS)

Xu Xiao-Ming; Li Ke-Ping; Yang Li-Xing

2014-01-01

The aim of this paper is to present a discrete event model-based approach to simulate train movement with the considered energy-saving factor. We conduct extensive case studies to show the dynamic characteristics of the traffic flow and demonstrate the effectiveness of the proposed approach. The simulation results indicate that the proposed discrete event model-based simulation approach is suitable for characterizing the movements of a group of trains on a single railway line with less iterations and CPU time. Additionally, some other qualitative and quantitative characteristics are investigated. In particular, because of the cumulative influence from the previous trains, the following trains should be accelerated or braked frequently to control the headway distance, leading to more energy consumption. (general)

DAE Tools: equation-based object-oriented modelling, simulation and optimisation software

Directory of Open Access Journals (Sweden)

Dragan D. Nikolić

2016-04-01

Full Text Available In this work, DAE Tools modelling, simulation and optimisation software, its programming paradigms and main features are presented. The current approaches to mathematical modelling such as the use of modelling languages and general-purpose programming languages are analysed. The common set of capabilities required by the typical simulation software are discussed, and the shortcomings of the current approaches recognised. A new hybrid approach is introduced, and the modelling languages and the hybrid approach are compared in terms of the grammar, compiler, parser and interpreter requirements, maintainability and portability. The most important characteristics of the new approach are discussed, such as: (1 support for the runtime model generation; (2 support for the runtime simulation set-up; (3 support for complex runtime operating procedures; (4 interoperability with the third party software packages (i.e. NumPy/SciPy; (5 suitability for embedding and use as a web application or software as a service; and (6 code-generation, model exchange and co-simulation capabilities. The benefits of an equation-based approach to modelling, implemented in a fourth generation object-oriented general purpose programming language such as Python are discussed. The architecture and the software implementation details as well as the type of problems that can be solved using DAE Tools software are described. Finally, some applications of the software at different levels of abstraction are presented, and its embedding capabilities and suitability for use as a software as a service is demonstrated.

Documentation of the dynamic parameter, water-use, stream and lake flow routing, and two summary output modules and updates to surface-depression storage simulation and initial conditions specification options with the Precipitation-Runoff Modeling System (PRMS)

Science.gov (United States)

Regan, R. Steve; LaFontaine, Jacob H.

2017-10-05

This report documents seven enhancements to the U.S. Geological Survey (USGS) Precipitation-Runoff Modeling System (PRMS) hydrologic simulation code: two time-series input options, two new output options, and three updates of existing capabilities. The enhancements are (1) new dynamic parameter module, (2) new water-use module, (3) new Hydrologic Response Unit (HRU) summary output module, (4) new basin variables summary output module, (5) new stream and lake flow routing module, (6) update to surface-depression storage and flow simulation, and (7) update to the initial-conditions specification. This report relies heavily upon U.S. Geological Survey Techniques and Methods, book 6, chapter B7, which documents PRMS version 4 (PRMS-IV). A brief description of PRMS is included in this report.

Robust Trajectory Option Set planning in CTOP based on Bayesian game model

KAUST Repository

Li, Lichun; Clarke, John-Paul; Feron, Eric; Shamma, Jeff S.

2017-01-01

The Federal Aviation Administration (FAA) rations capacity to reduce en route delay, especially those caused by bad weather. This is accomplished via Collaborative Trajectory Options Program (CTOP) which has been recently developed to provide a mechanism for flight operators to communicate their route preferences for each flight via a Trajectory Option Set (TOS), as well as a mechanism for the FAA to assign the best possible route within the set of trajectories in the TOS for a given flight, i.e. the route with the lowest adjusted cost after consideration of system constraints and the requirements of all flights. The routes assigned to an airline depend not only on the TOS's for its own flights but also on the TOS's of all other flights in the CTOP, which are unknown. This paper aims to provide a detailed algorithm for the airline to design its TOS plan which is robust to the uncertainties of its competitors' TOS's. To this purpose, we model the CTOP problem as a Bayesian game, and use Linear Program (LP) to compute the security strategy in the Bayesian game model. This security strategy guarantees the airline an upper bound on the sum of the assigned times. The numerical results demonstrate the robustness of the strategy, which is not achieved by any other tested strategy.

Robust Trajectory Option Set planning in CTOP based on Bayesian game model

KAUST Repository

Li, Lichun

2017-07-10

The Federal Aviation Administration (FAA) rations capacity to reduce en route delay, especially those caused by bad weather. This is accomplished via Collaborative Trajectory Options Program (CTOP) which has been recently developed to provide a mechanism for flight operators to communicate their route preferences for each flight via a Trajectory Option Set (TOS), as well as a mechanism for the FAA to assign the best possible route within the set of trajectories in the TOS for a given flight, i.e. the route with the lowest adjusted cost after consideration of system constraints and the requirements of all flights. The routes assigned to an airline depend not only on the TOS\\'s for its own flights but also on the TOS\\'s of all other flights in the CTOP, which are unknown. This paper aims to provide a detailed algorithm for the airline to design its TOS plan which is robust to the uncertainties of its competitors\\' TOS\\'s. To this purpose, we model the CTOP problem as a Bayesian game, and use Linear Program (LP) to compute the security strategy in the Bayesian game model. This security strategy guarantees the airline an upper bound on the sum of the assigned times. The numerical results demonstrate the robustness of the strategy, which is not achieved by any other tested strategy.

A real option-based model to valuate CDM projects under uncertain energy policies for emission trading

International Nuclear Information System (INIS)

Park, Taeil; Kim, Changyoon; Kim, Hyoungkwan

2014-01-01

Highlights: • A real option-based model for the valuation of CDM projects is proposed. • This study investigates the impact of energy policies on the value of CDM projects. • Level of target emission and its schedule should be carefully designed. • Government subsidy facilitates the implementation of CDM projects. • Period for free emission allowance prevents promoting CDM projects. - Abstract: Emission trading has been considered a primary policy tool for emission reduction. Governments establish national targets for emission reduction and assign emission reduction goals to private entities to accomplish the targets. To attain the goal, private entities should perform offset projects that can produce emission credits or buy emission credits from the market. However, it is not easy for private entities to decide to implement the projects because energy policies associated with emission trading keep changing; thus, the future benefits of the offset projects are quite uncertain. This study presents a real option-based model to investigate how uncertain energy policies affect the financial viability of an offset project. A case study showed that the establishment of a target emission was attractive to the government because it could make the CDM project financially viable with a small amount of government subsidy. In addition, the level of the government subsidy could determine the investment timing for the CDM project. In this context, governments should be cautious in designing energy policies, because even the same energy policies could have different impacts on private entities. Overall, this study is expected to assist private entities in establishing proper investment strategies for CDM projects under uncertain energy policies

Component-based framework for subsurface simulations

International Nuclear Information System (INIS)

Palmer, B J; Fang, Yilin; Hammond, Glenn; Gurumoorthi, Vidhya

2007-01-01

Simulations in the subsurface environment represent a broad range of phenomena covering an equally broad range of scales. Developing modelling capabilities that can integrate models representing different phenomena acting at different scales present formidable challenges both from the algorithmic and computer science perspective. This paper will describe the development of an integrated framework that will be used to combine different models into a single simulation. Initial work has focused on creating two frameworks, one for performing smooth particle hydrodynamics (SPH) simulations of fluid systems, the other for performing grid-based continuum simulations of reactive subsurface flow. The SPH framework is based on a parallel code developed for doing pore scale simulations, the continuum grid-based framework is based on the STOMP (Subsurface Transport Over Multiple Phases) code developed at PNNL Future work will focus on combining the frameworks together to perform multiscale, multiphysics simulations of reactive subsurface flow

Advances in Intelligent Modelling and Simulation Simulation Tools and Applications

CERN Document Server

Oplatková, Zuzana; Carvalho, Marco; Kisiel-Dorohinicki, Marek

2012-01-01

The human capacity to abstract complex systems and phenomena into simplified models has played a critical role in the rapid evolution of our modern industrial processes and scientific research. As a science and an art, Modelling and Simulation have been one of the core enablers of this remarkable human trace, and have become a topic of great importance for researchers and practitioners. This book was created to compile some of the most recent concepts, advances, challenges and ideas associated with Intelligent Modelling and Simulation frameworks, tools and applications. The first chapter discusses the important aspects of a human interaction and the correct interpretation of results during simulations. The second chapter gets to the heart of the analysis of entrepreneurship by means of agent-based modelling and simulations. The following three chapters bring together the central theme of simulation frameworks, first describing an agent-based simulation framework, then a simulator for electrical machines, and...

Alternative ways of using field-based estimates to calibrate ecosystem models and their implications for carbon cycle studies

Science.gov (United States)

He, Yujie; Zhuang, Qianlai; McGuire, David; Liu, Yaling; Chen, Min

2013-01-01

Model-data fusion is a process in which field observations are used to constrain model parameters. How observations are used to constrain parameters has a direct impact on the carbon cycle dynamics simulated by ecosystem models. In this study, we present an evaluation of several options for the use of observations in modeling regional carbon dynamics and explore the implications of those options. We calibrated the Terrestrial Ecosystem Model on a hierarchy of three vegetation classification levels for the Alaskan boreal forest: species level, plant-functional-type level (PFT level), and biome level, and we examined the differences in simulated carbon dynamics. Species-specific field-based estimates were directly used to parameterize the model for species-level simulations, while weighted averages based on species percent cover were used to generate estimates for PFT- and biome-level model parameterization. We found that calibrated key ecosystem process parameters differed substantially among species and overlapped for species that are categorized into different PFTs. Our analysis of parameter sets suggests that the PFT-level parameterizations primarily reflected the dominant species and that functional information of some species were lost from the PFT-level parameterizations. The biome-level parameterization was primarily representative of the needleleaf PFT and lost information on broadleaf species or PFT function. Our results indicate that PFT-level simulations may be potentially representative of the performance of species-level simulations while biome-level simulations may result in biased estimates. Improved theoretical and empirical justifications for grouping species into PFTs or biomes are needed to adequately represent the dynamics of ecosystem functioning and structure.

A model ecosystem experiment and its computational simulation studies

International Nuclear Information System (INIS)

Doi, M.

2002-01-01

Simplified microbial model ecosystem and its computer simulation model are introduced as eco-toxicity test for the assessment of environmental responses from the effects of environmental impacts. To take the effects on the interactions between species and environment into account, one option is to select the keystone species on the basis of ecological knowledge, and to put it in the single-species toxicity test. Another option proposed is to put the eco-toxicity tests as experimental micro ecosystem study and a theoretical model ecosystem analysis. With these tests, the stressors which are more harmful to the ecosystems should be replace with less harmful ones on the basis of unified measures. Management of radioactive materials, chemicals, hyper-eutrophic, and other artificial disturbances of ecosystem should be discussed consistently from the unified view point of environmental protection. (N.C.)

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

DEFF Research Database (Denmark)

Rombouts, Jeroen V. K; Stentoft, Lars

2015-01-01

We propose an asymmetric GARCH in mean mixture model and provide a feasible method for option pricing within this general framework by deriving the appropriate risk neutral dynamics. We forecast the out-of-sample prices of a large sample of options on the S&P 500 index from January 2006 to December...

Computer simulation modeling of recreation use: Current status, case studies, and future directions

Science.gov (United States)

David N. Cole

2005-01-01

This report compiles information about recent progress in the application of computer simulation modeling to planning and management of recreation use, particularly in parks and wilderness. Early modeling efforts are described in a chapter that provides an historical perspective. Another chapter provides an overview of modeling options, common data input requirements,...

Fuzzy delay model based fault simulator for crosstalk delay fault test ...

Indian Academy of Sciences (India)

In this paper, a fuzzy delay model based crosstalk delay fault simulator is proposed. As design .... To find the quality of non-robust tests, a fuzzy delay ..... Dubois D and Prade H 1989 Processing Fuzzy temporal knowledge. IEEE Transactions ...

A comparison of multiple behavior models in a simulation of the aftermath of an improvised nuclear detonation.

Science.gov (United States)

Parikh, Nidhi; Hayatnagarkar, Harshal G; Beckman, Richard J; Marathe, Madhav V; Swarup, Samarth

2016-11-01

We describe a large-scale simulation of the aftermath of a hypothetical 10kT improvised nuclear detonation at ground level, near the White House in Washington DC. We take a synthetic information approach, where multiple data sets are combined to construct a synthesized representation of the population of the region with accurate demographics, as well as four infrastructures: transportation, healthcare, communication, and power. In this article, we focus on the model of agents and their behavior, which is represented using the options framework. Six different behavioral options are modeled: household reconstitution, evacuation, healthcare-seeking, worry, shelter-seeking, and aiding & assisting others. Agent decision-making takes into account their health status, information about family members, information about the event, and their local environment. We combine these behavioral options into five different behavior models of increasing complexity and do a number of simulations to compare the models.

Modelling of scintillator based flat-panel detectors with Monte-Carlo simulations

International Nuclear Information System (INIS)

Reims, N; Sukowski, F; Uhlmann, N

2011-01-01

Scintillator based flat panel detectors are state of the art in the field of industrial X-ray imaging applications. Choosing the proper system and setup parameters for the vast range of different applications can be a time consuming task, especially when developing new detector systems. Since the system behaviour cannot always be foreseen easily, Monte-Carlo (MC) simulations are keys to gain further knowledge of system components and their behaviour for different imaging conditions. In this work we used two Monte-Carlo based models to examine an indirect converting flat panel detector, specifically the Hamamatsu C9312SK. We focused on the signal generation in the scintillation layer and its influence on the spatial resolution of the whole system. The models differ significantly in their level of complexity. The first model gives a global description of the detector based on different parameters characterizing the spatial resolution. With relatively small effort a simulation model can be developed which equates the real detector regarding signal transfer. The second model allows a more detailed insight of the system. It is based on the well established cascade theory, i.e. describing the detector as a cascade of elemental gain and scattering stages, which represent the built in components and their signal transfer behaviour. In comparison to the first model the influence of single components especially the important light spread behaviour in the scintillator can be analysed in a more differentiated way. Although the implementation of the second model is more time consuming both models have in common that a relatively small amount of system manufacturer parameters are needed. The results of both models were in good agreement with the measured parameters of the real system.

Model-Based GN and C Simulation and Flight Software Development for Orion Missions beyond LEO

Science.gov (United States)

Odegard, Ryan; Milenkovic, Zoran; Henry, Joel; Buttacoli, Michael

2014-01-01

For Orion missions beyond low Earth orbit (LEO), the Guidance, Navigation, and Control (GN&C) system is being developed using a model-based approach for simulation and flight software. Lessons learned from the development of GN&C algorithms and flight software for the Orion Exploration Flight Test One (EFT-1) vehicle have been applied to the development of further capabilities for Orion GN&C beyond EFT-1. Continuing the use of a Model-Based Development (MBD) approach with the Matlab®/Simulink® tool suite, the process for GN&C development and analysis has been largely improved. Furthermore, a model-based simulation environment in Simulink, rather than an external C-based simulation, greatly eases the process for development of flight algorithms. The benefits seen by employing lessons learned from EFT-1 are described, as well as the approach for implementing additional MBD techniques. Also detailed are the key enablers for improvements to the MBD process, including enhanced configuration management techniques for model-based software systems, automated code and artifact generation, and automated testing and integration.

Simulation of counter-current imbibition in water-wet fractured reservoirs based on discrete-fracture model

Directory of Open Access Journals (Sweden)

Wang Yueying

2017-08-01

Full Text Available Isolated fractures usually exist in fractured media systems, where the capillary pressure in the fracture is lower than that of the matrix, causing the discrepancy in oil recoveries between fractured and non-fractured porous media. Experiments, analytical solutions and conventional simulation methods based on the continuum model approach are incompetent or insufficient in describing media containing isolated fractures. In this paper, the simulation of the counter-current imbibition in fractured media is based on the discrete-fracture model (DFM. The interlocking or arrangement of matrix and fracture system within the model resembles the traditional discrete fracture network model and the hybrid-mixed-finite-element method is employed to solve the associated equations. The Behbahani experimental data validates our simulation solution for consistency. The simulation results of the fractured media show that the isolated-fractures affect the imbibition in the matrix block. Moreover, the isolated fracture parameters such as fracture length and fracture location influence the trend of the recovery curves. Thus, the counter-current imbibition behavior of media with isolated fractures can be predicted using this method based on the discrete-fracture model.

Developing an agent-based model on how different individuals solve complex problems

Directory of Open Access Journals (Sweden)

Ipek Bozkurt

2015-01-01

Full Text Available Purpose: Research that focuses on the emotional, mental, behavioral and cognitive capabilities of individuals has been abundant within disciplines such as psychology, sociology, and anthropology, among others. However, when facing complex problems, a new perspective to understand individuals is necessary. The main purpose of this paper is to develop an agent-based model and simulation to gain understanding on the decision-making and problem-solving abilities of individuals. Design/Methodology/approach: The micro-level analysis modeling and simulation paradigm Agent-Based Modeling Through the use of Agent-Based Modeling, insight is gained on how different individuals with different profiles deal with complex problems. Using previous literature from different bodies of knowledge, established theories and certain assumptions as input parameters, a model is built and executed through a computer simulation. Findings: The results indicate that individuals with certain profiles have better capabilities to deal with complex problems. Moderate profiles could solve the entire complex problem, whereas profiles within extreme conditions could not. This indicates that having a strong predisposition is not the ideal way when approaching complex problems, and there should always be a component from the other perspective. The probability that an individual may use these capabilities provided by the opposite predisposition provides to be a useful option. Originality/value: The originality of the present research stems from how individuals are profiled, and the model and simulation that is built to understand how they solve complex problems. The development of the agent-based model adds value to the existing body of knowledge within both social sciences, and modeling and simulation.

A study for production simulation model generation system based on data model at a shipyard

Directory of Open Access Journals (Sweden)

Myung-Gi Back

2016-09-01

Full Text Available Simulation technology is a type of shipbuilding product lifecycle management solution used to support production planning or decision-making. Normally, most shipbuilding processes are consisted of job shop production, and the modeling and simulation require professional skills and experience on shipbuilding. For these reasons, many shipbuilding companies have difficulties adapting simulation systems, regardless of the necessity for the technology. In this paper, the data model for shipyard production simulation model generation was defined by analyzing the iterative simulation modeling procedure. The shipyard production simulation data model defined in this study contains the information necessary for the conventional simulation modeling procedure and can serve as a basis for simulation model generation. The efficacy of the developed system was validated by applying it to the simulation model generation of the panel block production line. By implementing the initial simulation model generation process, which was performed in the past with a simulation modeler, the proposed system substantially reduced the modeling time. In addition, by reducing the difficulties posed by different modeler-dependent generation methods, the proposed system makes the standardization of the simulation model quality possible.

Agent-based Modeling Simulation Analysis on the Regulation of Institutional Investor's Encroachment Behavior in Stock Market

Directory of Open Access Journals (Sweden)

Yang Li

2014-05-01

Full Text Available Purpose: This study explores the effective regulation of institutional investor's encroachment behavior in stock market. Given the theoretical and practical importance, the present study examines the effect of the self-adaptive regulation strategy (adjusting the regulation factors such as punishment and the probability of investigating successfully in time for the sake of the small & medium-sized investor protection.Design/methodology/approach: This study was carried out through game theory and agent-based modeling simulation. Firstly, a dynamic game model was built to search the core factors of regulation and the equilibrium paths. Secondly, an agent-based modeling simulation model was built in Swarm to extend the game model. Finally, a simulation experiment (using virtual parameter values was performed to examine the effect of regulation strategy obtained form game model.Findings: The results of this study showed that the core factors of avoiding the institutional investor's encroachment behavior are the punishment and the probability of investigating successfully of the regulator. The core factors embody as the self-adaptability and the capability of regulator. If the regulator can adjust the regulation factors in time, the illegal behaviors will be avoided effectively.Research limitations/implications: The simulation experiment in this paper was performed with virtual parameter values. Although the results of experiment showed the effect of self-adaptive regulation, there are still some differences between simulation experiment and real market situation.Originality/value: The purpose of this study is to investigate an effective regulation strategy of institutional investor's encroachment behavior in stock market in order to maintain market order and protect the benefits of investors. Base on the game model and simulation model, a simulation experiment was preformed and the result showed that the self-adaptive regulation would be effective

Conceptual modeling for simulation-based serious gaming

NARCIS (Netherlands)

van der Zee, D.J.; Holkenborg, Bart; Robinson, Stewart

2012-01-01

In recent years many simulation-based serious games have been developed for supporting (future) managers in operations management decision making. They illustrate the high potential of using discrete event simulation for pedagogical purposes. Unfortunately, this potential does not seem to go

Modeling and simulation challenges pursued by the Consortium for Advanced Simulation of Light Water Reactors (CASL)

Science.gov (United States)

Turinsky, Paul J.; Kothe, Douglas B.

2016-05-01

The Consortium for the Advanced Simulation of Light Water Reactors (CASL), the first Energy Innovation Hub of the Department of Energy, was established in 2010 with the goal of providing modeling and simulation (M&S) capabilities that support and accelerate the improvement of nuclear energy's economic competitiveness and the reduction of spent nuclear fuel volume per unit energy, and all while assuring nuclear safety. To accomplish this requires advances in M&S capabilities in radiation transport, thermal-hydraulics, fuel performance and corrosion chemistry. To focus CASL's R&D, industry challenge problems have been defined, which equate with long standing issues of the nuclear power industry that M&S can assist in addressing. To date CASL has developed a multi-physics ;core simulator; based upon pin-resolved radiation transport and subchannel (within fuel assembly) thermal-hydraulics, capitalizing on the capabilities of high performance computing. CASL's fuel performance M&S capability can also be optionally integrated into the core simulator, yielding a coupled multi-physics capability with untapped predictive potential. Material models have been developed to enhance predictive capabilities of fuel clad creep and growth, along with deeper understanding of zirconium alloy clad oxidation and hydrogen pickup. Understanding of corrosion chemistry (e.g., CRUD formation) has evolved at all scales: micro, meso and macro. CFD R&D has focused on improvement in closure models for subcooled boiling and bubbly flow, and the formulation of robust numerical solution algorithms. For multiphysics integration, several iterative acceleration methods have been assessed, illuminating areas where further research is needed. Finally, uncertainty quantification and data assimilation techniques, based upon sampling approaches, have been made more feasible for practicing nuclear engineers via R&D on dimensional reduction and biased sampling. Industry adoption of CASL's evolving M

Bounds for perpetual American option prices in a jump diffusion model

OpenAIRE

Ekström, Erik

2006-01-01

We provide bounds for perpetual American option prices in a jump diffusion model in terms of American option prices in the standard Black-Scholes model. We also investigate the dependence of the bounds on different parameters of the model.

Simulation models in population breast cancer screening: A systematic review.

Science.gov (United States)

Koleva-Kolarova, Rositsa G; Zhan, Zhuozhao; Greuter, Marcel J W; Feenstra, Talitha L; De Bock, Geertruida H

2015-08-01

The aim of this review was to critically evaluate published simulation models for breast cancer screening of the general population and provide a direction for future modeling. A systematic literature search was performed to identify simulation models with more than one application. A framework for qualitative assessment which incorporated model type; input parameters; modeling approach, transparency of input data sources/assumptions, sensitivity analyses and risk of bias; validation, and outcomes was developed. Predicted mortality reduction (MR) and cost-effectiveness (CE) were compared to estimates from meta-analyses of randomized control trials (RCTs) and acceptability thresholds. Seven original simulation models were distinguished, all sharing common input parameters. The modeling approach was based on tumor progression (except one model) with internal and cross validation of the resulting models, but without any external validation. Differences in lead times for invasive or non-invasive tumors, and the option for cancers not to progress were not explicitly modeled. The models tended to overestimate the MR (11-24%) due to screening as compared to optimal RCTs 10% (95% CI - 2-21%) MR. Only recently, potential harms due to regular breast cancer screening were reported. Most scenarios resulted in acceptable cost-effectiveness estimates given current thresholds. The selected models have been repeatedly applied in various settings to inform decision making and the critical analysis revealed high risk of bias in their outcomes. Given the importance of the models, there is a need for externally validated models which use systematical evidence for input data to allow for more critical evaluation of breast cancer screening. Copyright © 2015 Elsevier Ltd. All rights reserved.

A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

Science.gov (United States)

Hozman, J.; Tichý, T.

2017-12-01

Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

A Jump-Diffusion Model for Option Pricing

OpenAIRE

S. G. Kou

2002-01-01

Brownian motion and normal distribution have been widely used in the Black--Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called "volatility smile" in option markets. To incorporate both of them and to strike a balance between ...

Asymptotic approach to the pricing of geometric asian options under the CEV model

International Nuclear Information System (INIS)

Lee, Min-Ku

2016-01-01

This paper studies the pricing of Asian options whose payoffs depend on the average value of an underlying asset during the period to a maturity. Since the Asian option is not so sensitive to the value of underlying asset, the possibility of manipulation is relatively small than the other options such as European vanilla and barrier options. We derive the pricing formula of geometric Asian options under the constant elasticity of variance (CEV) model that is one of local volatility models, and investigate the implication of the CEV model for geometric Asian options.

Dependence of stratocumulus-topped boundary-layer entrainment on cloud-water sedimentation: Impact on global aerosol indirect effect in GISS ModelE3 single column model and global simulations

Science.gov (United States)

Ackerman, A. S.; Kelley, M.; Cheng, Y.; Fridlind, A. M.; Del Genio, A. D.; Bauer, S.

2017-12-01

Reduction in cloud-water sedimentation induced by increasing droplet concentrations has been shown in large-eddy simulations (LES) and direct numerical simulation (DNS) to enhance boundary-layer entrainment, thereby reducing cloud liquid water path and offsetting the Twomey effect when the overlying air is sufficiently dry, which is typical. Among recent upgrades to ModelE3, the latest version of the NASA Goddard Institute for Space Studies (GISS) general circulation model (GCM), are a two-moment stratiform cloud microphysics treatment with prognostic precipitation and a moist turbulence scheme that includes an option in its entrainment closure of a simple parameterization for the effect of cloud-water sedimentation. Single column model (SCM) simulations are compared to LES results for a stratocumulus case study and show that invoking the sedimentation-entrainment parameterization option indeed reduces the dependence of cloud liquid water path on increasing aerosol concentrations. Impacts of variations of the SCM configuration and the sedimentation-entrainment parameterization will be explored. Its impact on global aerosol indirect forcing in the framework of idealized atmospheric GCM simulations will also be assessed.

Designing Citizen Business Loan Model to Reduce Non-Performing Loan: An Agent-based Modeling and Simulation Approach in Regional Development

Directory of Open Access Journals (Sweden)

Moses L Singgih

2015-09-01

Full Text Available Citizen Business Loan (CBL constitutes a program poverty alleviation based on economic empowerment of small and medium enterprise. This study focuses on implementation of CBL at Regional Development Bank branch X. The problem is the existing of interdependencies between CBL’s implements (Bank and the uncertainty of debtor’s capability in returning the credit. The impact of this circumstance is non-performing loan (NPL becomes relatively high (22%. The ultimate objective is to minimize NPL by designing the model based on the agent that can represent the problem through a simulation using agent-based modeling and simulation (ABMS. The model is considered by managing the probability of the debtor to pay or not based on 5 C categories, they are: character, capacity, capital, condition, and collateral that inherent to each debtor. There are two improvement scenarios proposed in this model. The first scenario only involves the first category of debtor in simulation. The result of this scenario is NPL value as 0%. The second scenario includes the first and second of debtor’s category in simulation and resulting NPL value between 4.6% and 11.4%.

COEL: A Cloud-based Reaction Network Simulator

Directory of Open Access Journals (Sweden)

Peter eBanda

2016-04-01

Full Text Available Chemical Reaction Networks (CRNs are a formalism to describe the macroscopic behavior of chemical systems. We introduce COEL, a web- and cloud-based CRN simulation framework that does not require a local installation, runs simulations on a large computational grid, provides reliable database storage, and offers a visually pleasing and intuitive user interface. We present an overview of the underlying software, the technologies, and the main architectural approaches employed. Some of COEL's key features include ODE-based simulations of CRNs and multicompartment reaction networks with rich interaction options, a built-in plotting engine, automatic DNA-strand displacement transformation and visualization, SBML/Octave/Matlab export, and a built-in genetic-algorithm-based optimization toolbox for rate constants.COEL is an open-source project hosted on GitHub (http://dx.doi.org/10.5281/zenodo.46544, which allows interested research groups to deploy it on their own sever. Regular users can simply use the web instance at no cost at http://coel-sim.org. The framework is ideally suited for a collaborative use in both research and education.

Simulation modelling of a patient surge in an emergency department under disaster conditions

Directory of Open Access Journals (Sweden)

Muhammet Gul

2015-10-01

Full Text Available The efficiency of emergency departments (EDs in handling patient surges during disaster times using the available resources is very important. Many EDs require additional resources to overcome the bottlenecks in emergency systems. The assumption is that EDs consider the option of temporary staff dispatching, among other options, in order to respond to an increased demand or even the hiring temporarily non-hospital medical staff. Discrete event simulation (DES, a well-known simulation method and based on the idea of process modeling, is used for establishing ED operations and management related models. In this study, a DES model is developed to investigate and analyze an ED under normal conditions and an ED in a disaster scenario which takes into consideration an increased influx of disaster victims-patients. This will allow early preparedness of emergency departments in terms of physical and human resources. The studied ED is located in an earthquake zone in Istanbul. The report on Istanbul’s disaster preparedness presented by the Japan International Cooperation Agency (JICA and Istanbul Metropolitan Municipality (IMM, asserts that the district where the ED is located is estimated to have the highest injury rate. Based on real case study information, the study aims to suggest a model on pre-planning of ED resources for disasters. The results indicate that in times of a possible disaster, when the percentage of red patient arrivals exceeds 20% of total patient arrivals, the number of red area nurses and the available space for red area patients will be insufficient for the department to operate effectively. A methodological improvement presented a different distribution function that was tested for service time of the treatment areas. The conclusion is that the Weibull distribution function used in service process of injection room fits the model better than the Gamma distribution function.

A SIMULATION OF CONTRACT FARMING USING AGENT BASED MODELING

Directory of Open Access Journals (Sweden)

Yuanita Handayati

2016-12-01

Full Text Available This study aims to simulate the effects of contract farming and farmer commitment to contract farming on supply chain performance by using agent based modeling as a methodology. Supply chain performance is represented by profits and service levels. The simulation results indicate that farmers should pay attention to customer requirements and plan their agricultural activities in order to fulfill these requirements. Contract farming helps farmers deal with demand and price uncertainties. We also find that farmer commitment is crucial to fulfilling contract requirements. This study contributes to this field from a conceptual as well as a practical point of view. From the conceptual point of view, our simulation results show that different levels of farmer commitment have an impact on farmer performance when implementing contract farming. From a practical point of view, the uncertainty faced by farmers and the market can be managed by implementing cultivation and harvesting scheduling, information sharing, and collective learning as ways of committing to contract farming.

A nuclear fuel cycle system dynamic model for spent fuel storage options

International Nuclear Information System (INIS)

Brinton, Samuel; Kazimi, Mujid

2013-01-01

Highlights: • Used nuclear fuel management requires a dynamic system analysis study due to its socio-technical complexity. • Economic comparison of local, regional, and national storage options is limited due to the public financial information. • Local and regional options of used nuclear fuel management are found to be the most economic means of storage. - Abstract: The options for used nuclear fuel storage location and affected parameters such as economic liabilities are currently a focus of several high level studies. A variety of nuclear fuel cycle system analysis models are available for such a task. The application of nuclear fuel cycle system dynamics models for waste management options is important to life-cycle impact assessment. The recommendations of the Blue Ribbon Committee on America’s Nuclear Future led to increased focus on long periods of spent fuel storage [1]. This motivated further investigation of the location dependency of used nuclear fuel in the parameters of economics, environmental impact, and proliferation risk. Through a review of available literature and interactions with each of the programs available, comparisons of post-reactor fuel storage and handling options will be evaluated based on the aforementioned parameters and a consensus of preferred system metrics and boundary conditions will be provided. Specifically, three options of local, regional, and national storage were studied. The preliminary product of this research is the creation of a system dynamics tool known as the Waste Management Module (WMM) which provides an easy to use interface for education on fuel cycle waste management economic impacts. Initial results of baseline cases point to positive benefits of regional storage locations with local regional storage options continuing to offer the lowest cost

Large-watershed flood simulation and forecasting based on different-resolution distributed hydrological model

Science.gov (United States)

Li, J.

2017-12-01

Large-watershed flood simulation and forecasting is very important for a distributed hydrological model in the application. There are some challenges including the model's spatial resolution effect, model performance and accuracy and so on. To cope with the challenge of the model's spatial resolution effect, different model resolution including 1000m*1000m, 600m*600m, 500m*500m, 400m*400m, 200m*200m were used to build the distributed hydrological model—Liuxihe model respectively. The purpose is to find which one is the best resolution for Liuxihe model in Large-watershed flood simulation and forecasting. This study sets up a physically based distributed hydrological model for flood forecasting of the Liujiang River basin in south China. Terrain data digital elevation model (DEM), soil type and land use type are downloaded from the website freely. The model parameters are optimized by using an improved Particle Swarm Optimization(PSO) algorithm; And parameter optimization could reduce the parameter uncertainty that exists for physically deriving model parameters. The different model resolution (200m*200m—1000m*1000m ) are proposed for modeling the Liujiang River basin flood with the Liuxihe model in this study. The best model's spatial resolution effect for flood simulation and forecasting is 200m*200m.And with the model's spatial resolution reduction, the model performance and accuracy also become worse and worse. When the model resolution is 1000m*1000m, the flood simulation and forecasting result is the worst, also the river channel divided based on this resolution is differs from the actual one. To keep the model with an acceptable performance, minimum model spatial resolution is needed. The suggested threshold model spatial resolution for modeling the Liujiang River basin flood is a 500m*500m grid cell, but the model spatial resolution with a 200m*200m grid cell is recommended in this study to keep the model at a best performance.

Comparison of nonstationary generalized logistic models based on Monte Carlo simulation

Directory of Open Access Journals (Sweden)

S. Kim

2015-06-01

Full Text Available Recently, the evidences of climate change have been observed in hydrologic data such as rainfall and flow data. The time-dependent characteristics of statistics in hydrologic data are widely defined as nonstationarity. Therefore, various nonstationary GEV and generalized Pareto models have been suggested for frequency analysis of nonstationary annual maximum and POT (peak-over-threshold data, respectively. However, the alternative models are required for nonstatinoary frequency analysis because of analyzing the complex characteristics of nonstationary data based on climate change. This study proposed the nonstationary generalized logistic model including time-dependent parameters. The parameters of proposed model are estimated using the method of maximum likelihood based on the Newton-Raphson method. In addition, the proposed model is compared by Monte Carlo simulation to investigate the characteristics of models and applicability.

A Simulation Model for Tensile Fracture Procedure Analysis of Graphite Material based on Damage Evolution

International Nuclear Information System (INIS)

Zhao Erqiang; Ma Shaopeng; Wang Hongtao

2014-01-01

Graphite material is generally easy to be damaged by the widely distributed micro-cracks when subjects to load. For numerically analyzing of the structure made of graphite material, the influences of the degradation of the material in damaged areas need to be considered. In this paper, an axial tension test method is proposed to obtain the dynamic damage evolution rule of the material. Using the degradation rule (variation of elastic modulus), the finite element model is then constructed to analyze the tensile fracture process of the L-shaped graphite specimen. An axial tension test of graphite is performed to obtain the stress-strain curve. Based on the variation of the measured curve, the damage evolution rule of the material are fitted out. A simulation model based on the above measured results is then constructed on ABAQUS by user subroutine. Using this simulation model, the tension failure process of L-shaped graphite specimen with fillet are simulated. The calculated and experimental results on fracture load are in good agreement. The damage simulation model based on the stress-strain curve of axial tensile test can be used in other tensile fracture analysis. (author)

Simulation-Based Training for Thoracoscopy

DEFF Research Database (Denmark)

Bjurström, Johanna Margareta; Konge, Lars; Lehnert, Per

2013-01-01

An increasing proportion of thoracic procedures are performed using video-assisted thoracic surgery. This minimally invasive technique places special demands on the surgeons. Using simulation-based training on artificial models or animals has been proposed to overcome the initial part of the lear......An increasing proportion of thoracic procedures are performed using video-assisted thoracic surgery. This minimally invasive technique places special demands on the surgeons. Using simulation-based training on artificial models or animals has been proposed to overcome the initial part...... of the learning curve. This study aimed to investigate the effect of simulation-based training and to compare self-guided and educator-guided training....

Air traffic simulation in chemistry-climate model EMAC 2.41: AirTraf 1.0

Science.gov (United States)

Yamashita, Hiroshi; Grewe, Volker; Jöckel, Patrick; Linke, Florian; Schaefer, Martin; Sasaki, Daisuke

2016-09-01

Mobility is becoming more and more important to society and hence air transportation is expected to grow further over the next decades. Reducing anthropogenic climate impact from aviation emissions and building a climate-friendly air transportation system are required for a sustainable development of commercial aviation. A climate optimized routing, which avoids climate-sensitive regions by re-routing horizontally and vertically, is an important measure for climate impact reduction. The idea includes a number of different routing strategies (routing options) and shows a great potential for the reduction. To evaluate this, the impact of not only CO2 but also non-CO2 emissions must be considered. CO2 is a long-lived gas, while non-CO2 emissions are short-lived and are inhomogeneously distributed. This study introduces AirTraf (version 1.0) that performs global air traffic simulations, including effects of local weather conditions on the emissions. AirTraf was developed as a new submodel of the ECHAM5/MESSy Atmospheric Chemistry (EMAC) model. Air traffic information comprises Eurocontrol's Base of Aircraft Data (BADA Revision 3.9) and International Civil Aviation Organization (ICAO) engine performance data. Fuel use and emissions are calculated by the total energy model based on the BADA methodology and Deutsches Zentrum für Luft- und Raumfahrt (DLR) fuel flow method. The flight trajectory optimization is performed by a genetic algorithm (GA) with respect to a selected routing option. In the model development phase, benchmark tests were performed for the great circle and flight time routing options. The first test showed that the great circle calculations were accurate to -0.004 %, compared to those calculated by the Movable Type script. The second test showed that the optimal solution found by the algorithm sufficiently converged to the theoretical true-optimal solution. The difference in flight time between the two solutions is less than 0.01 %. The dependence of

Dynamics Model Applied to Pricing Options with Uncertain Volatility

Directory of Open Access Journals (Sweden)

Lorella Fatone

2012-01-01

model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.

A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV.

Directory of Open Access Journals (Sweden)

Mike B Barongo

Full Text Available A stochastic model designed to simulate transmission dynamics of African swine fever virus (ASFV in a free-ranging pig population under various intervention scenarios is presented. The model was used to assess the relative impact of the timing of the implementation of different control strategies on disease-related mortality. The implementation of biosecurity measures was simulated through incorporation of a decay function on the transmission rate. The model predicts that biosecurity measures implemented within 14 days of the onset of an epidemic can avert up to 74% of pig deaths due to ASF while hypothetical vaccines that confer 70% immunity when deployed prior to day 14 of the epidemic could avert 65% of pig deaths. When the two control measures are combined, the model predicts that 91% of the pigs that would have otherwise succumbed to the disease if no intervention was implemented would be saved. However, if the combined interventions are delayed (defined as implementation from > 60 days only 30% of ASF-related deaths would be averted. In the absence of vaccines against ASF, we recommend early implementation of enhanced biosecurity measures. Active surveillance and use of pen-side diagnostic assays, preferably linked to rapid dissemination of this data to veterinary authorities through mobile phone technology platforms are essential for rapid detection and confirmation of ASF outbreaks. This prediction, although it may seem intuitive, rationally confirms the importance of early intervention in managing ASF epidemics. The modelling approach is particularly valuable in that it determines an optimal timing for implementation of interventions in controlling ASF outbreaks.

Computer Modeling and Simulation

Energy Technology Data Exchange (ETDEWEB)

Pronskikh, V. S. [Fermilab

2014-05-09

Verification and validation of computer codes and models used in simulation are two aspects of the scientific practice of high importance and have recently been discussed by philosophers of science. While verification is predominantly associated with the correctness of the way a model is represented by a computer code or algorithm, validation more often refers to model’s relation to the real world and its intended use. It has been argued that because complex simulations are generally not transparent to a practitioner, the Duhem problem can arise for verification and validation due to their entanglement; such an entanglement makes it impossible to distinguish whether a coding error or model’s general inadequacy to its target should be blamed in the case of the model failure. I argue that in order to disentangle verification and validation, a clear distinction between computer modeling (construction of mathematical computer models of elementary processes) and simulation (construction of models of composite objects and processes by means of numerical experimenting with them) needs to be made. Holding on to that distinction, I propose to relate verification (based on theoretical strategies such as inferences) to modeling and validation, which shares the common epistemology with experimentation, to simulation. To explain reasons of their intermittent entanglement I propose a weberian ideal-typical model of modeling and simulation as roles in practice. I suggest an approach to alleviate the Duhem problem for verification and validation generally applicable in practice and based on differences in epistemic strategies and scopes

What is needed to eliminate new pediatric HIV infections: The contribution of model-based analyses

Science.gov (United States)

Doherty, Katie; Ciaranello, Andrea

2013-01-01

Purpose of Review Computer simulation models can identify key clinical, operational, and economic interventions that will be needed to achieve the elimination of new pediatric HIV infections. In this review, we summarize recent findings from model-based analyses of strategies for prevention of mother-to-child HIV transmission (MTCT). Recent Findings In order to achieve elimination of MTCT (eMTCT), model-based studies suggest that scale-up of services will be needed in several domains: uptake of services and retention in care (the PMTCT “cascade”), interventions to prevent HIV infections in women and reduce unintended pregnancies (the “four-pronged approach”), efforts to support medication adherence through long periods of pregnancy and breastfeeding, and strategies to make breastfeeding safer and/or shorter. Models also project the economic resources that will be needed to achieve these goals in the most efficient ways to allocate limited resources for eMTCT. Results suggest that currently recommended PMTCT regimens (WHO Option A, Option B, and Option B+) will be cost-effective in most settings. Summary Model-based results can guide future implementation science, by highlighting areas in which additional data are needed to make informed decisions and by outlining critical interventions that will be necessary in order to eliminate new pediatric HIV infections. PMID:23743788

An Agent-Based Approach for Evaluating Basic Design Options of Management Accounting Systems

Directory of Open Access Journals (Sweden)

Friederike Wall

2013-12-01

Full Text Available This paper investigates the effectiveness of reducing errors in management accounting systems with respect to organizational performance. In particular, different basic design options of management accounting systems of how to improve the information base by measurements of actual values are analyzed in different organizational contexts. The paper applies an agent-based simulation based on the idea of NK fitness landscapes. The results provide broad, but no universal support for conventional wisdom that lower inaccuracies of accounting information lead to more effective adaptation processes. Furthermore, results indicate that the effectiveness of improving the management accounting system subtly interferes with the complexity of the interactions within the organization and the coordination mode applied

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Kokholm, Thomas

to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Cont, Rama; Kokholm, Thomas

2013-01-01

to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

A Systematic Review of Agent-Based Modelling and Simulation Applications in the Higher Education Domain

Science.gov (United States)

Gu, X.; Blackmore, K. L.

2015-01-01

This paper presents the results of a systematic review of agent-based modelling and simulation (ABMS) applications in the higher education (HE) domain. Agent-based modelling is a "bottom-up" modelling paradigm in which system-level behaviour (macro) is modelled through the behaviour of individual local-level agent interactions (micro).…

The Simulation of Financial Markets by Agent-Based Mix-Game Models

OpenAIRE

Chengling Gou

2006-01-01

This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an ac...

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

DEFF Research Database (Denmark)

Christoffersen, Peter; Fournier, Mathieu; Fournier, Mathieu

-neutral second moments, and the price of co-kurtosis risk corresponds to the spread between the physical and the risk-neutral third moments. The option-based estimates of the prices of risk lead to reasonable values of the associated risk premia. An out-of-sample analysis of factor models with co-skewness and co......We show that the prices of risk for factors that are nonlinear in the market return are readily obtained using index option prices. We apply this insight to the price of co-skewness and co-kurtosis risk. The price of co-skewness risk corresponds to the spread between the physical and the risk......-kurtosis risk indicates that the new estimates of the price of risk improve the models performance. Models with higher-order market moments also robustly outperform standard competitors such as the CAPM and the Fama-French model....

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

DEFF Research Database (Denmark)

Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris

-neutral second moments, and the price of co-kurtosis risk corresponds to the spread between the physical and the risk-neutral third moments. The option-based estimates of the prices of risk lead to reasonable values of the associated risk premia. An out-of-sample analysis of factor models with co-skewness and co......We show that the prices of risk for factors that are nonlinear in the market return are readily obtained using index option prices. We apply this insight to the price of co-skewness and co-kurtosis risk. The price of co-skewness risk corresponds to the spread between the physical and the risk......-kurtosis risk indicates that the new estimates of the price of risk improve the models' performance. Models with higher-order market moments also robustly outperform standard competitors such as the CAPM and the Fama-French model....

A Simulation-Based Evaluation of Premovement Active Surveillance Protocol Options for the Managed Movement of Turkeys to Slaughter During an Outbreak of Highly Pathogenic Avian Influenza in the United States.

Science.gov (United States)

Todd Weaver, J; Malladi, Sasidhar; Bonney, Peter J; Patyk, Kelly A; Bergeron, Justin G; Middleton, Jamie L; Alexander, Catherine Y; Goldsmith, Timothy J; Halvorson, David A

2016-05-01

Risk management decisions associated with live poultry movement during a highly pathogenic avian influenza (HPAI) outbreak should be carefully considered. Live turkey movements may pose a risk for disease spread. On the other hand, interruptions in scheduled movements can disrupt business continuity. The Secure Turkey Supply (STS) Plan was developed through an industry-government-academic collaboration to address business continuity concerns that might arise during a HPAI outbreak. STS stakeholders proposed outbreak response measure options that were evaluated through risk assessment. The developed approach relies on 1) diagnostic testing of two pooled samples of swabs taken from dead turkeys immediately before movement via the influenza A matrix gene real-time reverse transcriptase polymerase chain reaction (rRT-PCR) test; 2) enhanced biosecurity measures in combination with a premovement isolation period (PMIP), restricting movement onto the premises for a few days before movement to slaughter; and 3) incorporation of a distance factor from known infected flocks such that exposure via local area spread is unlikely. Daily exposure likelihood estimates from spatial kernels from past HPAI outbreaks were coupled with simulation models of disease spread and active surveillance to evaluate active surveillance protocol options that differ with respect to the number of swabs per pooled sample and the timing of the tests in relation to movement. Simulation model results indicate that active surveillance testing, in combination with strict biosecurity, substantially increased HPAI virus detection probability. When distance from a known infected flock was considered, the overall combined likelihood of moving an infected, undetected turkey flock to slaughter was predicted to be lower at 3 and 5 km. The analysis of different active surveillance protocol options is designed to incorporate flexibility into HPAI emergency response plans.

Simulation of groundwater flow and analysis of the effects of water-management options in the North Platte Natural Resources District, Nebraska

Science.gov (United States)

Peterson, Steven M.; Flynn, Amanda T.; Vrabel, Joseph; Ryter, Derek W.

2015-08-12

The North Platte Natural Resources District (NPNRD) has been actively collecting data and studying groundwater resources because of concerns about the future availability of the highly inter-connected surface-water and groundwater resources. This report, prepared by the U.S. Geological Survey in cooperation with the North Platte Natural Resources District, describes a groundwater-flow model of the North Platte River valley from Bridgeport, Nebraska, extending west to 6 miles into Wyoming. The model was built to improve the understanding of the interaction of surface-water and groundwater resources, and as an optimization tool, the model is able to analyze the effects of water-management options on the simulated stream base flow of the North Platte River. The groundwater system and related sources and sinks of water were simulated using a newton formulation of the U.S. Geological Survey modular three-dimensional groundwater model, referred to as MODFLOW–NWT, which provided an improved ability to solve nonlinear unconfined aquifer simulations with wetting and drying of cells. Using previously published aquifer-base-altitude contours in conjunction with newer test-hole and geophysical data, a new base-of-aquifer altitude map was generated because of the strong effect of the aquifer-base topography on groundwater-flow direction and magnitude. The largest inflow to groundwater is recharge originating from water leaking from canals, which is much larger than recharge originating from infiltration of precipitation. The largest component of groundwater discharge from the study area is to the North Platte River and its tributaries, with smaller amounts of discharge to evapotranspiration and groundwater withdrawals for irrigation. Recharge from infiltration of precipitation was estimated with a daily soil-water-balance model. Annual recharge from canal seepage was estimated using available records from the Bureau of Reclamation and then modified with canal

Rapid Simulation of Flat Knitting Loops Based On the Yarn Texture and Loop Geometrical Model

Directory of Open Access Journals (Sweden)

Lu Zhiwen

2017-06-01

Full Text Available In order to create realistic loop primitives suitable for the fast computer-aided design (CAD of the flat knitted fabric, we have a research on the geometric model of the loop as well as the variation of the loop surface. Establish the texture variation model based on the changing process from the normal yarn to loop that provides the realistic texture of the simulative loop. Then optimize the simulative loop based on illumination variation. This paper develops the computer program with the optimization algorithm and achieves the loop simulation of different yarns to verify the feasibility of the proposed algorithm. Our work provides a fast CAD of the flat knitted fabric with loop simulation, and it is not only more realistic but also material adjustable. Meanwhile it also provides theoretical value for the flat knitted fabric computer simulation.

A functional model for simulator based training in the pacific basin

International Nuclear Information System (INIS)

Lam, K.; MacBeth, M.J.

1998-01-01

According to expert estimate, the nuclear power installed capacity in the Pacific Basin region may reach 20 GWe by the year 2010. Facing a phenomenal growth in nuclear power development in the region, the development of high quality nuclear human resources for 'nuclear power ready' developing countries in the Pacific Basin is an important issue at this time. This paper recommends a timely and cost-effective functional training model to the Pacific Basin countries. The model utilizes high quality simulation executed on low cost and readily available PCs to deliver desktop simulator based training programs, as an efficient and economical complement to full scope simulators, which may not be available for initial training until five years after the NPP project has started. The objective is to ensure the goals of self-reliance and the transfer of necessary NPP knowledge at the onset of the project, to build up a technological infrastructure in areas vital for subsequent technical support of the NPP in design, commissioning, and operator training: comprehension of control systems; familiarization of plant responses to accident conditions; man machine interface (MMI) functions and interactions; early guide to commissioning and operating procedures; presentation to safety reviewers, etc. An example of this model is demonstrated with the use of the (1) CANDU 9 (CANada Deuterium Uranium 900 MW Pressurized Heavy Water Reactor) desktop nuclear simulator and (2) CASSIM (CASsiopeia SIMulation development system). (author)

A geographic information system-based 3D city estate modeling and simulation system

Science.gov (United States)

Chong, Xiaoli; Li, Sha

2015-12-01

This paper introduces a 3D city simulation system which is based on geographic information system (GIS), covering all commercial housings of the city. A regional- scale, GIS-based approach is used to capture, describe, and track the geographical attributes of each house in the city. A sorting algorithm of "Benchmark + Parity Rate" is developed to cluster houses with similar spatial and construction attributes. This system is applicable for digital city modeling, city planning, housing evaluation, housing monitoring, and visualizing housing transaction. Finally, taking Jingtian area of Shenzhen as an example, the each unit of 35,997 houses in the area could be displayed, tagged, and easily tracked by the GIS-based city modeling and simulation system. The match market real conditions well and can be provided to house buyers as reference.

Numerical simulation of hot-melt extrusion processes for amorphous solid dispersions using model-based melt viscosity.

Science.gov (United States)

Bochmann, Esther S; Steffens, Kristina E; Gryczke, Andreas; Wagner, Karl G

2018-03-01

Simulation of HME processes is a valuable tool for increased process understanding and ease of scale-up. However, the experimental determination of all required input parameters is tedious, namely the melt rheology of the amorphous solid dispersion (ASD) in question. Hence, a procedure to simplify the application of hot-melt extrusion (HME) simulation for forming amorphous solid dispersions (ASD) is presented. The commercial 1D simulation software Ludovic ® was used to conduct (i) simulations using a full experimental data set of all input variables including melt rheology and (ii) simulations using model-based melt viscosity data based on the ASDs glass transition and the physical properties of polymeric matrix only. Both types of HME computation were further compared to experimental HME results. Variation in physical properties (e.g. heat capacity, density) and several process characteristics of HME (residence time distribution, energy consumption) among the simulations and experiments were evaluated. The model-based melt viscosity was calculated by using the glass transition temperature (T g ) of the investigated blend and the melt viscosity of the polymeric matrix by means of a T g -viscosity correlation. The results of measured melt viscosity and model-based melt viscosity were similar with only few exceptions, leading to similar HME simulation outcomes. At the end, the experimental effort prior to HME simulation could be minimized and the procedure enables a good starting point for rational development of ASDs by means of HME. As model excipients, Vinylpyrrolidone-vinyl acetate copolymer (COP) in combination with various APIs (carbamazepine, dipyridamole, indomethacin, and ibuprofen) or polyethylene glycol (PEG 1500) as plasticizer were used to form the ASDs. Copyright © 2017 Elsevier B.V. All rights reserved.

An Exospheric Temperature Model Based On CHAMP Observations and TIEGCM Simulations

Science.gov (United States)

Ruan, Haibing; Lei, Jiuhou; Dou, Xiankang; Liu, Siqing; Aa, Ercha

2018-02-01

In this work, thermospheric densities from the accelerometer measurement on board the CHAMP satellite during 2002-2009 and the simulations from the National Center for Atmospheric Research Thermosphere Ionosphere Electrodynamics General Circulation Model (NCAR-TIEGCM) are employed to develop an empirical exospheric temperature model (ETM). The two-dimensional basis functions of the ETM are first provided from the principal component analysis of the TIEGCM simulations. Based on the exospheric temperatures derived from CHAMP thermospheric densities, a global distribution of the exospheric temperatures is reconstructed. A parameterization is conducted for each basis function amplitude as a function of solar-geophysical and seasonal conditions. Thus, the ETM can be utilized to model the thermospheric temperature and mass density under a specified condition. Our results showed that the averaged standard deviation of the ETM is generally less than 10% than approximately 30% in the MSIS model. Besides, the ETM reproduces the global thermospheric evolutions including the equatorial thermosphere anomaly.

Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models

DEFF Research Database (Denmark)

Kokholm, Thomas; Stisen, Martin

2015-01-01

to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...

A Continuous-Time Model for Valuing Foreign Exchange Options

Directory of Open Access Journals (Sweden)

James J. Kung

2013-01-01

Full Text Available This paper makes use of stochastic calculus to develop a continuous-time model for valuing European options on foreign exchange (FX when both domestic and foreign spot rates follow a generalized Wiener process. Using the dollar/euro exchange rate as input for parameter estimation and employing our FX option model as a yardstick, we find that the traditional Garman-Kohlhagen FX option model, which assumes constant spot rates, values incorrectly calls and puts for different values of the ratio of exchange rate to exercise price. Specifically, it undervalues calls when the ratio is between 0.70 and 1.08, and it overvalues calls when the ratio is between 1.18 and 1.30, whereas it overvalues puts when the ratio is between 0.70 and 0.82, and it undervalues puts when the ratio is between 0.86 and 1.30.

Method to Calculate the Electricity Generated by a Photovoltaic Cell, Based on Its Mathematical Model Simulations in MATLAB

Directory of Open Access Journals (Sweden)

Carlos Morcillo-Herrera

2015-01-01

Full Text Available This paper presents a practical method for calculating the electrical energy generated by a PV panel (kWhr through MATLAB simulations based on the mathematical model of the cell, which obtains the “Mean Maximum Power Point” (MMPP in the characteristic V-P curve, in response to evaluating historical climate data at specific location. This five-step method calculates through MMPP per day, per month, or per year, the power yield by unit area, then electrical energy generated by PV panel, and its real conversion efficiency. To validate the method, it was applied to Sewage Treatment Plant for a Group of Drinking Water and Sewerage of Yucatan (JAPAY, México, testing 250 Wp photovoltaic panels of five different manufacturers. As a result, the performance, the real conversion efficiency, and the electricity generated by five different PV panels in evaluation were obtained and show the best technical-economic option to develop the PV generation project.

Design, modeling and simulation of MEMS-based silicon Microneedles

International Nuclear Information System (INIS)

Amin, F; Ahmed, S

2013-01-01

The advancement in semiconductor process engineering and nano-scale fabrication technology has made it convenient to transport specific biological fluid into or out of human skin with minimum discomfort. Fluid transdermal delivery systems such as Microneedle arrays are one such emerging and exciting Micro-Electro Mechanical System (MEMS) application which could lead to a total painless fluid delivery into skin with controllability and desirable yield. In this study, we aimed to revisit the problem with modeling, design and simulations carried out for MEMS based silicon hollow out of plane microneedle arrays for biomedical applications particularly for transdermal drug delivery. An approximate 200 μm length of microneedle with 40 μm diameter of lumen has been successfully shown formed by isotropic and anisotropic etching techniques using MEMS Pro design tool. These microneedles are arranged in size of 2 × 4 matrix array with center to center spacing of 750 μm. Furthermore, comparisons for fluid flow characteristics through these microneedle channels have been modeled with and without the contribution of the gravitational forces using mathematical models derived from Bernoulli Equation. Physical Process simulations have also been performed on TCAD SILVACO to optimize the design of these microneedles aligned with the standard Si-Fabrication lines.

Design, modeling and simulation of MEMS-based silicon Microneedles

Science.gov (United States)

Amin, F.; Ahmed, S.

2013-06-01

The advancement in semiconductor process engineering and nano-scale fabrication technology has made it convenient to transport specific biological fluid into or out of human skin with minimum discomfort. Fluid transdermal delivery systems such as Microneedle arrays are one such emerging and exciting Micro-Electro Mechanical System (MEMS) application which could lead to a total painless fluid delivery into skin with controllability and desirable yield. In this study, we aimed to revisit the problem with modeling, design and simulations carried out for MEMS based silicon hollow out of plane microneedle arrays for biomedical applications particularly for transdermal drug delivery. An approximate 200 μm length of microneedle with 40 μm diameter of lumen has been successfully shown formed by isotropic and anisotropic etching techniques using MEMS Pro design tool. These microneedles are arranged in size of 2 × 4 matrix array with center to center spacing of 750 μm. Furthermore, comparisons for fluid flow characteristics through these microneedle channels have been modeled with and without the contribution of the gravitational forces using mathematical models derived from Bernoulli Equation. Physical Process simulations have also been performed on TCAD SILVACO to optimize the design of these microneedles aligned with the standard Si-Fabrication lines.

A variable hard sphere-based phenomenological inelastic collision model for rarefied gas flow simulations by the direct simulation Monte Carlo method

Energy Technology Data Exchange (ETDEWEB)

Prasanth, P S; Kakkassery, Jose K; Vijayakumar, R, E-mail: y3df07@nitc.ac.in, E-mail: josekkakkassery@nitc.ac.in, E-mail: vijay@nitc.ac.in [Department of Mechanical Engineering, National Institute of Technology Calicut, Kozhikode - 673 601, Kerala (India)

2012-04-01

A modified phenomenological model is constructed for the simulation of rarefied flows of polyatomic non-polar gas molecules by the direct simulation Monte Carlo (DSMC) method. This variable hard sphere-based model employs a constant rotational collision number, but all its collisions are inelastic in nature and at the same time the correct macroscopic relaxation rate is maintained. In equilibrium conditions, there is equi-partition of energy between the rotational and translational modes and it satisfies the principle of reciprocity or detailed balancing. The present model is applicable for moderate temperatures at which the molecules are in their vibrational ground state. For verification, the model is applied to the DSMC simulations of the translational and rotational energy distributions in nitrogen gas at equilibrium and the results are compared with their corresponding Maxwellian distributions. Next, the Couette flow, the temperature jump and the Rayleigh flow are simulated; the viscosity and thermal conductivity coefficients of nitrogen are numerically estimated and compared with experimentally measured values. The model is further applied to the simulation of the rotational relaxation of nitrogen through low- and high-Mach-number normal shock waves in a novel way. In all cases, the results are found to be in good agreement with theoretically expected and experimentally observed values. It is concluded that the inelastic collision of polyatomic molecules can be predicted well by employing the constructed variable hard sphere (VHS)-based collision model.

Application of NARR-based NLDAS Ensemble Simulations to Continental-Scale Drought Monitoring

Science.gov (United States)

Alonge, C. J.; Cosgrove, B. A.

2008-05-01

Government estimates indicate that droughts cause billions of dollars of damage to agricultural interests each year. More effective identification of droughts would directly benefit decision makers, and would allow for the more efficient allocation of resources that might mitigate the event. Land data assimilation systems, with their high quality representations of soil moisture, present an ideal platform for drought monitoring, and offer many advantages over traditional modeling systems. The recently released North American Regional Reanalysis (NARR) covers the NLDAS domain and provides all fields necessary to force the NLDAS for 27 years. This presents an ideal opportunity to combine NARR and NLDAS resources into an effective real-time drought monitor. Toward this end, our project seeks to validate and explore the NARR's suitability as a base for drought monitoring applications - both in terms of data set length and accuracy. Along the same lines, the project will examine the impact of the use of different (longer) LDAS model climatologies on drought monitoring, and will explore the advantages of ensemble simulations versus single model simulations in drought monitoring activities. We also plan to produce a NARR- and observation-based high quality 27 year, 1/8th degree, 3-hourly, land surface and meteorological forcing data sets. An investigation of the best way to force an LDAS-type system will also be made, with traditional NLDAS and NLDASE forcing options explored. This presentation will focus on an overview of the drought monitoring project, and will include a summary of recent progress. Developments include the generation of forcing data sets, ensemble LSM output, and production of model-based drought indices over the entire NLDAS domain. Project forcing files use 32km NARR model output as a data backbone, and include observed precipitation (blended CPC gauge, PRISM gauge, Stage II, HPD, and CMORPH) and a GOES-based bias correction of downward solar

Implementation and assessment of improved models and options in TRAC-BF1

International Nuclear Information System (INIS)

Analytis, G.Th.

1996-07-01

A summary of modifications and options introduced in TRAC-BF1 is presented and it is shown that the predicting capabilities of the modified version of the core are greatly improved. These changes include the introduction of a different heat transfer package during reflooding, the implementation of a simple single-phase limit procedure for forcing the two phases to acquire the same velocity if one phase disappears, a close assessment of the annular flow interfacial shear correlation, implementation of a simple radiation model which seems to alleviate some numerical-oscillations problems induced by the existing highly complex model. Furthermore, different options were introduced and tested like upwinding some terms of the momentum equations (which seems to solve a number of problems reported in the past), the second upwind scheme for the convective terms of the phasic momentum equations and the implementation and assessment of a completely different annular flow interfacial shear correlation. The modified TRAC-BF1 is assessed against some bottom-flooding separate-effect experiments, a 'benchmark' top flooding simulation as well as against the TLTA test Nr. 6423. In the process of this task, the different options are assessed and discussed and is shown that the predictions of the modified code are physically sound and close to the measurements, while almost all the predicted variables are free of unphysical spurious oscillations. The modifications introduced solve a number of problems associated with the frozen version of the code and result in a version which can be confidently used for LB-LOCA analyses. (author) 19 figs., 16 refs

Science-Based Simulation Model of Human Performance for Human Reliability Analysis

International Nuclear Information System (INIS)

Kelly, Dana L.; Boring, Ronald L.; Mosleh, Ali; Smidts, Carol

2011-01-01

Human reliability analysis (HRA), a component of an integrated probabilistic risk assessment (PRA), is the means by which the human contribution to risk is assessed, both qualitatively and quantitatively. However, among the literally dozens of HRA methods that have been developed, most cannot fully model and quantify the types of errors that occurred at Three Mile Island. Furthermore, all of the methods lack a solid empirical basis, relying heavily on expert judgment or empirical results derived in non-reactor domains. Finally, all of the methods are essentially static, and are thus unable to capture the dynamics of an accident in progress. The objective of this work is to begin exploring a dynamic simulation approach to HRA, one whose models have a basis in psychological theories of human performance, and whose quantitative estimates have an empirical basis. This paper highlights a plan to formalize collaboration among the Idaho National Laboratory (INL), the University of Maryland, and The Ohio State University (OSU) to continue development of a simulation model initially formulated at the University of Maryland. Initial work will focus on enhancing the underlying human performance models with the most recent psychological research, and on planning follow-on studies to establish an empirical basis for the model, based on simulator experiments to be carried out at the INL and at the OSU.

Modelled female sale options demonstrate improved profitability in northern beef herds.

Science.gov (United States)

Niethe, G E; Holmes, W E

2008-12-01

To examine the impact of improving the average value of cows sold, the risk of decreasing the number weaned, and total sales on the profitability of northern Australian cattle breeding properties. Gather, model and interpret breeder herd performances and production parameters on properties from six beef-producing regions in northern Australia. Production parameters, prices, costs and herd structure were entered into a herd simulation model for six northern Australian breeding properties that spay females to enhance their marketing options. After the data were validated by management, alternative management strategies were modelled using current market prices and most likely herd outcomes. The model predicted a close relationship between the average sale value of cows, the total herd sales and the gross margin/adult equivalent. Keeping breeders out of the herd to fatten generally improves their sale value, and this can be cost-effective, despite the lower number of progeny produced and the subsequent reduction in total herd sales. Furthermore, if the price of culled cows exceeds the price of culled heifers, provided there are sufficient replacement pregnant heifers available to maintain the breeder herd nucleus, substantial gains in profitability can be obtained by decreasing the age at which cows are culled from the herd. Generalised recommendations on improving reproductive performance are not necessarily the most cost-effective strategy to improve breeder herd profitability. Judicious use of simulation models is essential to help develop the best turnoff strategies for females and to improve station profitability.

Modeling and simulation challenges pursued by the Consortium for Advanced Simulation of Light Water Reactors (CASL)

Energy Technology Data Exchange (ETDEWEB)

Turinsky, Paul J., E-mail: turinsky@ncsu.edu [North Carolina State University, PO Box 7926, Raleigh, NC 27695-7926 (United States); Kothe, Douglas B., E-mail: kothe@ornl.gov [Oak Ridge National Laboratory, PO Box 2008, Oak Ridge, TN 37831-6164 (United States)

2016-05-15

The Consortium for the Advanced Simulation of Light Water Reactors (CASL), the first Energy Innovation Hub of the Department of Energy, was established in 2010 with the goal of providing modeling and simulation (M&S) capabilities that support and accelerate the improvement of nuclear energy's economic competitiveness and the reduction of spent nuclear fuel volume per unit energy, and all while assuring nuclear safety. To accomplish this requires advances in M&S capabilities in radiation transport, thermal-hydraulics, fuel performance and corrosion chemistry. To focus CASL's R&D, industry challenge problems have been defined, which equate with long standing issues of the nuclear power industry that M&S can assist in addressing. To date CASL has developed a multi-physics “core simulator” based upon pin-resolved radiation transport and subchannel (within fuel assembly) thermal-hydraulics, capitalizing on the capabilities of high performance computing. CASL's fuel performance M&S capability can also be optionally integrated into the core simulator, yielding a coupled multi-physics capability with untapped predictive potential. Material models have been developed to enhance predictive capabilities of fuel clad creep and growth, along with deeper understanding of zirconium alloy clad oxidation and hydrogen pickup. Understanding of corrosion chemistry (e.g., CRUD formation) has evolved at all scales: micro, meso and macro. CFD R&D has focused on improvement in closure models for subcooled boiling and bubbly flow, and the formulation of robust numerical solution algorithms. For multiphysics integration, several iterative acceleration methods have been assessed, illuminating areas where further research is needed. Finally, uncertainty quantification and data assimilation techniques, based upon sampling approaches, have been made more feasible for practicing nuclear engineers via R&D on dimensional reduction and biased sampling. Industry adoption of CASL

Option Pricing with Time-changed Lévy Processes

DEFF Research Database (Denmark)

Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.

2013-01-01

In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct...

Desktop Modeling and Simulation: Parsimonious, yet Effective Discrete-Event Simulation Analysis

Science.gov (United States)

Bradley, James R.

2012-01-01

This paper evaluates how quickly students can be trained to construct useful discrete-event simulation models using Excel The typical supply chain used by many large national retailers is described, and an Excel-based simulation model is constructed of it The set of programming and simulation skills required for development of that model are then determined we conclude that six hours of training are required to teach the skills to MBA students . The simulation presented here contains all fundamental functionallty of a simulation model, and so our result holds for any discrete-event simulation model. We argue therefore that Industry workers with the same technical skill set as students having completed one year in an MBA program can be quickly trained to construct simulation models. This result gives credence to the efficacy of Desktop Modeling and Simulation whereby simulation analyses can be quickly developed, run, and analyzed with widely available software, namely Excel.

The Optimal Timing of Strategic Action – A Real Options Approach

Directory of Open Access Journals (Sweden)

Gordon G. Sollars

2012-01-01

Full Text Available he possibility of a first-mover advantage arises in a variety of strategic choices, including product introductions, business start-ups, and mergers and acquisitions. The strategic management literature reflects ambiguity regarding the likelihood that a first mover can or will capture additional value. This paper uses a real options approach to address the optimal timing of strategic moves. Previous studies have modeled real options using either a perpetual or a European financial option. With these models, a strategic choice could only be made either without respect to a time frame (perpetual or at a fixed point in time (European option. Neither case is realistic. Companies typically have strategic options with only a limited time frame due to market factors, but companies may choose to act at any time within that constraint. To reflect this reality, we adapt a method for valuing an American financial option on a dividend paying stock to the real options context. The method presented in this paper proposes a solution for the optimum value for a project that should trigger a strategic choice, and highlights the value lost by not acting optimally. We use simulation results to show that the time frame available to make a strategic choice has an important effect on both the project value for when action should be taken, as well as on the value of waiting to invest at the optimal time. The results presented in this paper help to clarify the ambiguity that is found in the strategic management literature regarding the possibility of obtaining a first-mover advantage. Indeed, a first mover that acts sub-optimally could incur losses or at least not gain any advantage. A first mover that waits to invest at the right time based on the superior information supplied by models based on real options could be better positioned to obtain the benefits that might come from the first move.

IR characteristic simulation of city scenes based on radiosity model

Science.gov (United States)

Xiong, Xixian; Zhou, Fugen; Bai, Xiangzhi; Yu, Xiyu

2013-09-01

Reliable modeling for thermal infrared (IR) signatures of real-world city scenes is required for signature management of civil and military platforms. Traditional modeling methods generally assume that scene objects are individual entities during the physical processes occurring in infrared range. However, in reality, the physical scene involves convective and conductive interactions between objects as well as the radiations interactions between objects. A method based on radiosity model describes these complex effects. It has been developed to enable an accurate simulation for the radiance distribution of the city scenes. Firstly, the physical processes affecting the IR characteristic of city scenes were described. Secondly, heat balance equations were formed on the basis of combining the atmospheric conditions, shadow maps and the geometry of scene. Finally, finite difference method was used to calculate the kinetic temperature of object surface. A radiosity model was introduced to describe the scattering effect of radiation between surface elements in the scene. By the synthesis of objects radiance distribution in infrared range, we could obtain the IR characteristic of scene. Real infrared images and model predictions were shown and compared. The results demonstrate that this method can realistically simulate the IR characteristic of city scenes. It effectively displays the infrared shadow effects and the radiation interactions between objects in city scenes.

Nonlinear Schrödinger approach to European option pricing

Science.gov (United States)

Wróblewski, Marcin

2017-05-01

This paper deals with numerical option pricing methods based on a Schrödinger model rather than the Black-Scholes model. Nonlinear Schrödinger boundary value problems seem to be alternatives to linear models which better reflect the complexity and behavior of real markets. Therefore, based on the nonlinear Schrödinger option pricing model proposed in the literature, in this paper a model augmented by external atomic potentials is proposed and numerically tested. In terms of statistical physics the developed model describes the option in analogy to a pair of two identical quantum particles occupying the same state. The proposed model is used to price European call options on a stock index. the model is calibrated using the Levenberg-Marquardt algorithm based on market data. A Runge-Kutta method is used to solve the discretized boundary value problem numerically. Numerical results are provided and discussed. It seems that our proposal more accurately models phenomena observed in the real market than do linear models.

The Trick Simulation Toolkit: A NASA/Opensource Framework for Running Time Based Physics Models

Science.gov (United States)

Penn, John M.

2016-01-01

The Trick Simulation Toolkit is a simulation development environment used to create high fidelity training and engineering simulations at the NASA Johnson Space Center and many other NASA facilities. Its purpose is to generate a simulation executable from a collection of user-supplied models and a simulation definition file. For each Trick-based simulation, Trick automatically provides job scheduling, numerical integration, the ability to write and restore human readable checkpoints, data recording, interactive variable manipulation, a run-time interpreter, and many other commonly needed capabilities. This allows simulation developers to concentrate on their domain expertise and the algorithms and equations of their models. Also included in Trick are tools for plotting recorded data and various other supporting utilities and libraries. Trick is written in C/C++ and Java and supports both Linux and MacOSX computer operating systems. This paper describes Trick's design and use at NASA Johnson Space Center.

Confronting uncertainty in model-based geostatistics using Markov Chain Monte Carlo simulation

NARCIS (Netherlands)

Minasny, B.; Vrugt, J.A.; McBratney, A.B.

2011-01-01

This paper demonstrates for the first time the use of Markov Chain Monte Carlo (MCMC) simulation for parameter inference in model-based soil geostatistics. We implemented the recently developed DiffeRential Evolution Adaptive Metropolis (DREAM) algorithm to jointly summarize the posterior

Hardware-in-the-Loop Simulation of a Distribution System with Air Conditioners under Model Predictive Control: Preprint

Energy Technology Data Exchange (ETDEWEB)

Sparn, Bethany F [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Ruth, Mark F [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Krishnamurthy, Dheepak [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Pratt, Annabelle [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Lunacek, Monte S [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Jones, Wesley B [National Renewable Energy Laboratory (NREL), Golden, CO (United States); Wu, Hongyu [Kansas State University; Mittal, Saurabh [Mitre Corporation; Marks, Jesse [University of Missouri

2017-08-01

Many have proposed that responsive load provided by distributed energy resources (DERs) and demand response (DR) are an option to provide flexibility to the grid and especially to distribution feeders. However, because responsive load involves a complex interplay between tariffs and DER and DR technologies, it is challenging to test and evaluate options without negatively impacting customers. This paper describes a hardware-in-the-loop (HIL) simulation system that has been developed to reduce the cost of evaluating the impact of advanced controllers (e.g., model predictive controllers) and technologies (e.g., responsive appliances). The HIL simulation system combines large-scale software simulation with a small set of representative building equipment hardware. It is used to perform HIL simulation of a distribution feeder and the loads on it under various tariff structures. In the reported HIL simulation, loads include many simulated air conditioners and one physical air conditioner. Independent model predictive controllers manage operations of all air conditioners under a time-of-use tariff. Results from this HIL simulation and a discussion of future development work of the system are presented.

Graceful Failure and Societal Resilience Analysis Via Agent-Based Modeling and Simulation

Science.gov (United States)

Schopf, P. S.; Cioffi-Revilla, C.; Rogers, J. D.; Bassett, J.; Hailegiorgis, A. B.

2014-12-01

Agent-based social modeling is opening up new methodologies for the study of societal response to weather and climate hazards, and providing measures of resiliency that can be studied in many contexts, particularly in coupled human and natural-technological systems (CHANTS). Since CHANTS are complex adaptive systems, societal resiliency may or may not occur, depending on dynamics that lack closed form solutions. Agent-based modeling has been shown to provide a viable theoretical and methodological approach for analyzing and understanding disasters and societal resiliency in CHANTS. Our approach advances the science of societal resilience through computational modeling and simulation methods that complement earlier statistical and mathematical approaches. We present three case studies of social dynamics modeling that demonstrate the use of these agent based models. In Central Asia, we exmaine mutltiple ensemble simulations with varying climate statistics to see how droughts and zuds affect populations, transmission of wealth across generations, and the overall structure of the social system. In Eastern Africa, we explore how successive episodes of drought events affect the adaptive capacity of rural households. Human displacement, mainly, rural to urban migration, and livelihood transition particularly from pastoral to farming are observed as rural households interacting dynamically with the biophysical environment and continually adjust their behavior to accommodate changes in climate. In the far north case we demonstrate one of the first successful attempts to model the complete climate-permafrost-infrastructure-societal interaction network as a complex adaptive system/CHANTS implemented as a ``federated'' agent-based model using evolutionary computation. Analysis of population changes resulting from extreme weather across these and other cases provides evidence for the emergence of new steady states and shifting patterns of resilience.

Valuation of exploration and production assets. An overview of real options models

International Nuclear Information System (INIS)

Dias, Marco Antonio Guimaraes

2004-01-01

This paper presents a set of selected real options models to evaluate investments in petroleum exploration and production (E and P) under market and technical uncertainties. First are presented some simple examples to develop the intuition about concepts like option value and optimal option exercise, comparing them with the concepts from the traditional net present value (NPV) criteria. Next, the classical model of Paddock, Siegel and Smith is presented, including a discussion on the practical values for the input parameters. The modeling of oil price uncertainty is presented by comparing some alternative stochastic processes. Other E and P applications discussed here are the selection of mutually exclusive alternatives under uncertainty, the wildcat drilling decision, the appraisal investment decisions, and the analysis of option to expand the production through optional wells

Confidence limits for data mining models of options prices

Science.gov (United States)

Healy, J. V.; Dixon, M.; Read, B. J.; Cai, F. F.

2004-12-01

Non-parametric methods such as artificial neural nets can successfully model prices of financial options, out-performing the Black-Scholes analytic model (Eur. Phys. J. B 27 (2002) 219). However, the accuracy of such approaches is usually expressed only by a global fitting/error measure. This paper describes a robust method for determining prediction intervals for models derived by non-linear regression. We have demonstrated it by application to a standard synthetic example (29th Annual Conference of the IEEE Industrial Electronics Society, Special Session on Intelligent Systems, pp. 1926-1931). The method is used here to obtain prediction intervals for option prices using market data for LIFFE “ESX” FTSE 100 index options ( http://www.liffe.com/liffedata/contracts/month_onmonth.xls). We avoid special neural net architectures and use standard regression procedures to determine local error bars. The method is appropriate for target data with non constant variance (or volatility).

Assessment of Retrofitting Measures for a Large Historic Research Facility Using a Building Energy Simulation Model

Directory of Open Access Journals (Sweden)

Young Tae Chae

2016-06-01

Full Text Available A calibrated building simulation model was developed to assess the energy performance of a large historic research building. The complexity of space functions and operational conditions with limited availability of energy meters makes it hard to understand the end-used energy consumption in detail and to identify appropriate retrofitting options for reducing energy consumption and greenhouse gas (GHG emissions. An energy simulation model was developed to study the energy usage patterns not only at a building level, but also of the internal thermal zones, and system operations. The model was validated using site measurements of energy usage and a detailed audit of the internal load conditions, system operation, and space programs to minimize the discrepancy between the documented status and actual operational conditions. Based on the results of the calibrated model and end-used energy consumption, the study proposed potential energy conservation measures (ECMs for the building envelope, HVAC system operational methods, and system replacement. It also evaluated each ECM from the perspective of both energy and utility cost saving potentials to help retrofitting plan decision making. The study shows that the energy consumption of the building was highly dominated by the thermal requirements of laboratory spaces. Among other ECMs the demand management option of overriding the setpoint temperature is the most cost effective measure.

Simulation-based surgical education.

Science.gov (United States)

Evgeniou, Evgenios; Loizou, Peter

2013-09-01

The reduction in time for training at the workplace has created a challenge for the traditional apprenticeship model of training. Simulation offers the opportunity for repeated practice in a safe and controlled environment, focusing on trainees and tailored to their needs. Recent technological advances have led to the development of various simulators, which have already been introduced in surgical training. The complexity and fidelity of the available simulators vary, therefore depending on our recourses we should select the appropriate simulator for the task or skill we want to teach. Educational theory informs us about the importance of context in professional learning. Simulation should therefore recreate the clinical environment and its complexity. Contemporary approaches to simulation have introduced novel ideas for teaching teamwork, communication skills and professionalism. In order for simulation-based training to be successful, simulators have to be validated appropriately and integrated in a training curriculum. Within a surgical curriculum, trainees should have protected time for simulation-based training, under appropriate supervision. Simulation-based surgical education should allow the appropriate practice of technical skills without ignoring the clinical context and must strike an adequate balance between the simulation environment and simulators. © 2012 The Authors. ANZ Journal of Surgery © 2012 Royal Australasian College of Surgeons.

Stock Price Simulation Using Bootstrap and Monte Carlo

Directory of Open Access Journals (Sweden)

Pažický Martin

2017-06-01

Full Text Available In this paper, an attempt is made to assessment and comparison of bootstrap experiment and Monte Carlo experiment for stock price simulation. Since the stock price evolution in the future is extremely important for the investors, there is the attempt to find the best method how to determine the future stock price of BNP Paribas′ bank. The aim of the paper is define the value of the European and Asian option on BNP Paribas′ stock at the maturity date. There are employed four different methods for the simulation. First method is bootstrap experiment with homoscedastic error term, second method is blocked bootstrap experiment with heteroscedastic error term, third method is Monte Carlo simulation with heteroscedastic error term and the last method is Monte Carlo simulation with homoscedastic error term. In the last method there is necessary to model the volatility using econometric GARCH model. The main purpose of the paper is to compare the mentioned methods and select the most reliable. The difference between classical European option and exotic Asian option based on the experiment results is the next aim of tis paper.

ML-Space: Hybrid Spatial Gillespie and Particle Simulation of Multi-Level Rule-Based Models in Cell Biology.

Science.gov (United States)

Bittig, Arne T; Uhrmacher, Adelinde M

2017-01-01

Spatio-temporal dynamics of cellular processes can be simulated at different levels of detail, from (deterministic) partial differential equations via the spatial Stochastic Simulation algorithm to tracking Brownian trajectories of individual particles. We present a spatial simulation approach for multi-level rule-based models, which includes dynamically hierarchically nested cellular compartments and entities. Our approach ML-Space combines discrete compartmental dynamics, stochastic spatial approaches in discrete space, and particles moving in continuous space. The rule-based specification language of ML-Space supports concise and compact descriptions of models and to adapt the spatial resolution of models easily.

Land-use change arising from rural land exchange : an agent-based simulation model

NARCIS (Netherlands)

Bakker, Martha M.; Alam, Shah Jamal; van Dijk, Jerry|info:eu-repo/dai/nl/29612642X; Rounsevell, Mark D. A.

Land exchange can be a major factor driving land-use change in regions with high pressure on land, but is generally not incorporated in land-use change models. Here we present an agent-based model to simulate land-use change arising from land exchange between multiple agent types representing

Simulation-Based Abdominal Ultrasound Training – A Systematic Review

DEFF Research Database (Denmark)

Østergaard, Mia L.; Ewertsen, Caroline; Konge, Lars

2016-01-01

of Science, and the Cochrane Library was searched. Articles were divided into three categories based on study design (randomized controlled trials, before-and-after studies and descriptive studies) and assessed for level of evidence using the Oxford Centre for Evidence Based Medicine (OCEBM) system......PURPOSE: The aim is to provide a complete overview of the different simulation-based training options for abdominal ultrasound and to explore the evidence of their effect. MATERIALS AND METHODS: This systematic review was performed according to the PRISMA guidelines and Medline, Embase, Web...

Simulating train movement in an urban railway based on an improved car-following model

International Nuclear Information System (INIS)

Ye Jing-Jing; Jin Xin-Min; Li Ke-Ping

2013-01-01

Based on the optimal velocity car-following model, in this paper, we propose an improved model for simulating train movement in an urban railway in which the regenerative energy of a train is considered. Here a new additional term is introduced into a traditional car-following model. Our aim is to analyze and discuss the dynamic characteristics of the train movement when the regenerative energy is utilized by the electric locomotive. The simulation results indicate that the improved car-following model is suitable for simulating the train movement. Further, some qualitative relationships between regenerative energy and dynamic characteristics of a train are investigated, such as the measurement data of regenerative energy presents a power-law distribution. Our results are useful for optimizing the design and plan of urban railway systems. (general)

Sensitivity of tropical convection in cloud-resolving WRF simulations to model physics and forcing procedures

Science.gov (United States)

Endo, S.; Lin, W.; Jackson, R. C.; Collis, S. M.; Vogelmann, A. M.; Wang, D.; Oue, M.; Kollias, P.

2017-12-01

Tropical convection is one of the main drivers of the climate system and recognized as a major source of uncertainty in climate models. High-resolution modeling is performed with a focus on the deep convection cases during the active monsoon period of the TWP-ICE field campaign to explore ways to improve the fidelity of convection permitting tropical simulations. Cloud resolving model (CRM) simulations are performed with WRF modified to apply flexible configurations for LES/CRM simulations. We have enhanced the capability of the forcing module to test different implementations of large-scale vertical advective forcing, including a function for optional use of large-scale thermodynamic profiles and a function for the condensate advection. The baseline 3D CRM configurations are, following Fridlind et al. (2012), driven by observationally-constrained ARM forcing and tested with diagnosed surface fluxes and fixed sea-surface temperature and prescribed aerosol size distributions. After the spin-up period, the simulations follow the observed precipitation peaks associated with the passages of precipitation systems. Preliminary analysis shows that the simulation is generally not sensitive to the treatment of the large-scale vertical advection of heat and moisture, while more noticeable changes in the peak precipitation rate are produced when thermodynamic profiles above the boundary layer were nudged to the reference profiles from the forcing dataset. The presentation will explore comparisons with observationally-based metrics associated with convective characteristics and examine the model performance with a focus on model physics, doubly-periodic vs. nested configurations, and different forcing procedures/sources. A radar simulator will be used to understand possible uncertainties in radar-based retrievals of convection properties. Fridlind, A. M., et al. (2012), A comparison of TWP-ICE observational data with cloud-resolving model results, J. Geophys. Res., 117, D05204

Options of system integrated environment modelling in the predicated dynamic cyberspace

International Nuclear Information System (INIS)

Janková, Martina; Dvořák, Jiří

2015-01-01

In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text

Options of system integrated environment modelling in the predicated dynamic cyberspace

Energy Technology Data Exchange (ETDEWEB)

Janková, Martina; Dvořák, Jiří [Institute of Informatics, Faculty of Business and Management, Brno University of Technology, Brno (Czech Republic)

2015-03-10

In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text.

Business models and financing options for a rapid scale-up of rooftop solar power systems in Thailand

International Nuclear Information System (INIS)

Tongsopit, Sopitsuda; Moungchareon, Sunee; Aksornkij, Apinya; Potisat, Tanai

2016-01-01

Diverse solar PV business models and financing options exist in the international landscape, helping expand and accelerate the adoption of rooftop solar PV systems. The conditions for their emergence are context specific, depending on the policies, regulations, incentives, and market conditions of each country. After a review of the international landscape, this paper compiles and analyzes business models and financing options for rooftop solar PV investment in Thailand that have emerged during the period between 2013 and 2015. Despite policy discontinuity for the support of rooftop solar systems, diverse business models and financing options are driving market expansion and expanding solar access to more Thai consumers. Drawing on our policy and regulatory analyses and in-depth interviews with business representatives, we identify four types of business models and one financing option. The business models include Roof Rental, Solar PPA, Solar Leasing, and Community Solar, and the financing option is the solar loan. We analyze the drivers for their emergence, barriers to their success, and the risks from the business owners' and consumers' viewpoints. Our policy recommendation is focused on crafting a net-metering regulation with evidence-based studies on the potential costs and benefits to different stakeholders. - Highlights: •Advances understanding on PV business models in urban developing countries' context. •Reviews emerging rooftop solar business models in Thailand. •Thailand has a dynamic solar market despite policy uncertainties.

MOSES: A Matlab-based open-source stochastic epidemic simulator.

Science.gov (United States)

Varol, Huseyin Atakan

2016-08-01

This paper presents an open-source stochastic epidemic simulator. Discrete Time Markov Chain based simulator is implemented in Matlab. The simulator capable of simulating SEQIJR (susceptible, exposed, quarantined, infected, isolated and recovered) model can be reduced to simpler models by setting some of the parameters (transition probabilities) to zero. Similarly, it can be extended to more complicated models by editing the source code. It is designed to be used for testing different control algorithms to contain epidemics. The simulator is also designed to be compatible with a network based epidemic simulator and can be used in the network based scheme for the simulation of a node. Simulations show the capability of reproducing different epidemic model behaviors successfully in a computationally efficient manner.

GIS based generation of dynamic hydrological and land patch simulation models for rural watershed areas

Directory of Open Access Journals (Sweden)

M. Varga

2016-03-01

Full Text Available This paper introduces a GIS based methodology to generate dynamic process model for the simulation based analysis of a sensitive rural watershed. The Direct Computer Mapping (DCM based solution starts from GIS layers and, via the graph interpretation and graphical edition of the process network, the expert interface is able to integrate the field experts’ knowledge in the computer aided generation of the simulation model. The methodology was applied and tested for the Southern catchment basin of Lake Balaton, Hungary. In the simplified hydrological model the GIS description of nine watercourses, 121 water sections, 57 small lakes and 20 Lake Balaton compartments were mapped through the expert interface to the dynamic databases of the DCM model. The hydrological model involved precipitation, evaporation, transpiration, runoff, infiltration. The COoRdination of INformation on the Environment (CORINE land cover based simplified “land patch” model considered the effect of meteorological and hydrological scenarios on freshwater resources in the land patches, rivers and lakes. The first results show that the applied model generation methodology helps to build complex models, which, after validation can support the analysis of various land use, with the consideration of environmental aspects.

Multiple Linear Regression Model Based on Neural Network and Its Application in the MBR Simulation

Directory of Open Access Journals (Sweden)

Chunqing Li

2012-01-01

Full Text Available The computer simulation of the membrane bioreactor MBR has become the research focus of the MBR simulation. In order to compensate for the defects, for example, long test period, high cost, invisible equipment seal, and so forth, on the basis of conducting in-depth study of the mathematical model of the MBR, combining with neural network theory, this paper proposed a three-dimensional simulation system for MBR wastewater treatment, with fast speed, high efficiency, and good visualization. The system is researched and developed with the hybrid programming of VC++ programming language and OpenGL, with a multifactor linear regression model of affecting MBR membrane fluxes based on neural network, applying modeling method of integer instead of float and quad tree recursion. The experiments show that the three-dimensional simulation system, using the above models and methods, has the inspiration and reference for the future research and application of the MBR simulation technology.

Development of new methods for the modeling of technical systems and result evaluation for reactor safety simulation codes. Modeling, simulation models; Entwicklung neuer Methoden zur Modellierung technischer Systeme und zur Ergebnisauswertung fuer Simulationsprogramme der Reaktorsicherheit. Modellierung, Simulationsprogramme

Energy Technology Data Exchange (ETDEWEB)

Cester, Francesco; Deitenbeck, Helmuth; Kuentzel, Matthias; Scheuer, Josef; Voggenberger, Thomas

2015-04-15

The overall objective of the project is to develop a general simulation environment for program systems used in reactor safety analysis. The simulation environment provides methods for graphical modeling and evaluation of results for the simulation models. The terms of graphical modeling and evaluation of results summarize computerized methods of pre- and postprocessing for the simulation models, which can assist the user in the execution of the simulation steps. The methods comprise CAD (''Computer Aided Design'') based input tools, interactive user interfaces for the execution of the simulation and the graphical representation and visualization of the simulation results. A particular focus was set on the requirements of the system code ATHLET. A CAD tool was developed that allows the specification of 3D geometry of the plant components and the discretization with a simulation grid. The system provides inter-faces to generate the input data of the codes and to export the data for the visualization software. The CAD system was applied for the modeling of a cooling circuit and reactor pressure vessel of a PWR. For the modeling of complex systems with many components, a general purpose graphical network editor was adapted and expanded. The editor is able to simulate networks with complex topology graphically by suitable building blocks. The network editor has been enhanced and adapted to the modeling of balance of plant and thermal fluid systems in ATHLET. For the visual display of the simulation results in the local context of the 3D geometry and the simulation grid, the open source program ParaView is applied, which is widely used for 3D visualization of field data, offering multiple options for displaying and ana-lyzing the data. New methods were developed, that allow the necessary conversion of the results of the reactor safety codes and the data of the CAD models. The trans-formed data may then be imported into ParaView and visualized. The

Mesoscale meteorological model based on radioactive explosion cloud simulation

International Nuclear Information System (INIS)

Zheng Yi; Zhang Yan; Ying Chuntong

2008-01-01

In order to simulate nuclear explosion and dirty bomb radioactive cloud movement and concentration distribution, mesoscale meteorological model RAMS was used. Particles-size, size-active distribution and gravitational fallout in the cloud were considered. The results show that the model can simulate the 'mushroom' clouds of explosion. Three-dimension fluid field and radioactive concentration field were received. (authors)

A comparison between rate-and-state friction and microphysical models, based on numerical simulations of fault slip

Science.gov (United States)

van den Ende, M. P. A.; Chen, J.; Ampuero, J.-P.; Niemeijer, A. R.

2018-05-01

Rate-and-state friction (RSF) is commonly used for the characterisation of laboratory friction experiments, such as velocity-step tests. However, the RSF framework provides little physical basis for the extrapolation of these results to the scales and conditions of natural fault systems, and so open questions remain regarding the applicability of the experimentally obtained RSF parameters for predicting seismic cycle transients. As an alternative to classical RSF, microphysics-based models offer means for interpreting laboratory and field observations, but are generally over-simplified with respect to heterogeneous natural systems. In order to bridge the temporal and spatial gap between the laboratory and nature, we have implemented existing microphysical model formulations into an earthquake cycle simulator. Through this numerical framework, we make a direct comparison between simulations exhibiting RSF-controlled fault rheology, and simulations in which the fault rheology is dictated by the microphysical model. Even though the input parameters for the RSF simulation are directly derived from the microphysical model, the microphysics-based simulations produce significantly smaller seismic event sizes than the RSF-based simulation, and suggest a more stable fault slip behaviour. Our results reveal fundamental limitations in using classical rate-and-state friction for the extrapolation of laboratory results. The microphysics-based approach offers a more complete framework in this respect, and may be used for a more detailed study of the seismic cycle in relation to material properties and fault zone pressure-temperature conditions.

Cost assessment and ecological effectiveness of nutrient reduction options for mitigating Phaeocystis colony blooms in the Southern North Sea: an integrated modeling approach.

Science.gov (United States)

Lancelot, Christiane; Thieu, Vincent; Polard, Audrey; Garnier, Josette; Billen, Gilles; Hecq, Walter; Gypens, Nathalie

2011-05-01

Nutrient reduction measures have been already taken by wealthier countries to decrease nutrient loads to coastal waters, in most cases however, prior to having properly assessed their ecological effectiveness and their economic costs. In this paper we describe an original integrated impact assessment methodology to estimate the direct cost and the ecological performance of realistic nutrient reduction options to be applied in the Southern North Sea watershed to decrease eutrophication, visible as Phaeocystis blooms and foam deposits on the beaches. The mathematical tool couples the idealized biogeochemical GIS-based model of the river system (SENEQUE-RIVERSTRAHLER) implemented in the Eastern Channel/Southern North Sea watershed to the biogeochemical MIRO model describing Phaeocystis blooms in the marine domain. Model simulations explore how nutrient reduction options regarding diffuse and/or point sources in the watershed would affect the Phaeocystis colony spreading in the coastal area. The reference and prospective simulations are performed for the year 2000 characterized by mean meteorological conditions, and nutrient reduction scenarios include and compare upgrading of wastewater treatment plants and changes in agricultural practices including an idealized shift towards organic farming. A direct cost assessment is performed for each realistic nutrient reduction scenario. Further the reduction obtained for Phaeocystis blooms is assessed by comparison with ecological indicators (bloom magnitude and duration) and the cost for reducing foam events on the beaches is estimated. Uncertainty brought by the added effect of meteorological conditions (rainfall) on coastal eutrophication is discussed. It is concluded that the reduction obtained by implementing realistic environmental measures on the short-term is costly and insufficient to restore well-balanced nutrient conditions in the coastal area while the replacement of conventional agriculture by organic farming

The implied volatility of index options: the evidence of options on the Australian SPI 200 index futures

OpenAIRE

Tanha, Hassan

2017-01-01

This thesis is a study of the implied volatility component of the Black and Scholes option-pricing model. A recurring finding in the thesis is that in-the-money and out-of ¬the-money options should not be regarded as being on a continuum, but rather as being inherently "different." Additionally, differences across these options are accounted for in relation to behavioural and consumption based models, which, in turn, provide an explanation for the volatility smile. These findings provide a re...

An individual-based simulation model for mottled sculpin (Cottus bairdi) in a southern Appalachian stream

Science.gov (United States)

Brenda Rashleigh; Gary D. Grossman

2005-01-01

We describe and analyze a spatially explicit, individual-based model for the local population dynamics of mottled sculpin (Cottus bairdi). The model simulated daily growth, mortality, movement and spawning of individuals within a reach of stream. Juvenile and adult growth was based on consumption bioenergetics of benthic macroinvertebrate prey;...

Validation, Optimization and Simulation of a Solar Thermoelectric Generator Model

Science.gov (United States)

Madkhali, Hadi Ali; Hamil, Ali; Lee, HoSung

2017-12-01

This study explores thermoelectrics as a viable option for small-scale solar thermal applications. Thermoelectric technology is based on the Seebeck effect, which states that a voltage is induced when a temperature gradient is applied to the junctions of two differing materials. This research proposes to analyze, validate, simulate, and optimize a prototype solar thermoelectric generator (STEG) model in order to increase efficiency. The intent is to further develop STEGs as a viable and productive energy source that limits pollution and reduces the cost of energy production. An empirical study (Kraemer et al. in Nat Mater 10:532, 2011) on the solar thermoelectric generator reported a high efficiency performance of 4.6%. The system had a vacuum glass enclosure, a flat panel (absorber), thermoelectric generator and water circulation for the cold side. The theoretical and numerical approach of this current study validated the experimental results from Kraemer's study to a high degree. The numerical simulation process utilizes a two-stage approach in ANSYS software for Fluent and Thermal-Electric Systems. The solar load model technique uses solar radiation under AM 1.5G conditions in Fluent. This analytical model applies Dr. Ho Sung Lee's theory of optimal design to improve the performance of the STEG system by using dimensionless parameters. Applying this theory, using two cover glasses and radiation shields, the STEG model can achieve a highest efficiency of 7%.

A model-based framework for design of intensified enzyme-based processes

DEFF Research Database (Denmark)

Román-Martinez, Alicia

This thesis presents a generic and systematic model-based framework to design intensified enzyme-based processes. The development of the presented methodology was motivated by the needs of the bio-based industry for a more systematic approach to achieve intensification in its production plants...... in enzyme-based processes which have found significant application in the pharmaceutical, food, and renewable fuels sector. The framework uses model-based strategies for (bio)-chemical process design and optimization, including the use of a superstructure to generate all potential reaction......(s)-separation(s) options according to a desired performance criteria and a generic mathematical model represented by the superstructure to derive the specific models corresponding to a specific process option. In principle, three methods of intensification of bioprocess are considered in this thesis: 1. enzymatic one...

On option pricing models in the presence of heavy tails

NARCIS (Netherlands)

Vellekoop, Michel; Nieuwenhuis, Hans

2007-01-01

We propose a modification of the option pricing framework derived by Borland which removes the possibilities for arbitrage within this framework. It turns out that such arbitrage possibilities arise due to an incorrect derivation of the martingale transformation in the non-Gaussian option models

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

Directory of Open Access Journals (Sweden)

Raúl Merino

2017-01-01

Full Text Available We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.

Multivariate Option Pricing Using Dynamic Copula Models

NARCIS (Netherlands)

van den Goorbergh, R.W.J.; Genest, C.; Werker, B.J.M.

2003-01-01

This paper examines the behavior of multivariate option prices in the presence of association between the underlying assets.Parametric families of copulas offering various alternatives to the normal dependence structure are used to model this association, which is explicitly assumed to vary over

A CAD based geometry model for simulation and analysis of particle detector data

Energy Technology Data Exchange (ETDEWEB)

Milde, Michael; Losekamm, Martin; Poeschl, Thomas; Greenwald, Daniel; Paul, Stephan [Technische Universitaet Muenchen, 85748 Garching (Germany)

2016-07-01

The development of a new particle detector requires a good understanding of its setup. A detailed model of the detector's geometry is not only needed during construction, but also for simulation and data analysis. To arrive at a consistent description of the detector geometry a representation is needed that can be easily implemented in different software tools used during data analysis. We developed a geometry representation based on CAD files that can be easily used within the Geant4 simulation framework and analysis tools based on the ROOT framework. This talk presents the structure of the geometry model and show its implementation using the example of the event reconstruction developed for the Multi-purpose Active-target Particle Telescope (MAPT). The detector consists of scintillating plastic fibers and can be used as a tracking detector and calorimeter with omnidirectional acceptance. To optimize the angular resolution and the energy reconstruction of measured particles, a detailed detector model is needed at all stages of the reconstruction.

Simulation of spatiotemporal CT data sets using a 4D MRI-based lung motion model.

Science.gov (United States)

Marx, Mirko; Ehrhardt, Jan; Werner, René; Schlemmer, Heinz-Peter; Handels, Heinz

2014-05-01

Four-dimensional CT imaging is widely used to account for motion-related effects during radiotherapy planning of lung cancer patients. However, 4D CT often contains motion artifacts, cannot be used to measure motion variability, and leads to higher dose exposure. In this article, we propose using 4D MRI to acquire motion information for the radiotherapy planning process. From the 4D MRI images, we derive a time-continuous model of the average patient-specific respiratory motion, which is then applied to simulate 4D CT data based on a static 3D CT. The idea of the motion model is to represent the average lung motion over a respiratory cycle by cyclic B-spline curves. The model generation consists of motion field estimation in the 4D MRI data by nonlinear registration, assigning respiratory phases to the motion fields, and applying a B-spline approximation on a voxel-by-voxel basis to describe the average voxel motion over a breathing cycle. To simulate a patient-specific 4D CT based on a static CT of the patient, a multi-modal registration strategy is introduced to transfer the motion model from MRI to the static CT coordinates. Differences between model-based estimated and measured motion vectors are on average 1.39 mm for amplitude-based binning of the 4D MRI data of three patients. In addition, the MRI-to-CT registration strategy is shown to be suitable for the model transformation. The application of our 4D MRI-based motion model for simulating 4D CT images provides advantages over standard 4D CT (less motion artifacts, radiation-free). This makes it interesting for radiotherapy planning.

A model for self-diffusion of guanidinium-based ionic liquids: a molecular simulation study.

Science.gov (United States)

Klähn, Marco; Seduraman, Abirami; Wu, Ping

2008-11-06

We propose a novel self-diffusion model for ionic liquids on an atomic level of detail. The model is derived from molecular dynamics simulations of guanidinium-based ionic liquids (GILs) as a model case. The simulations are based on an empirical molecular mechanical force field, which has been developed in our preceding work, and it relies on the charge distribution in the actual liquid. The simulated GILs consist of acyclic and cyclic cations that were paired with nitrate and perchlorate anions. Self-diffusion coefficients are calculated at different temperatures from which diffusive activation energies between 32-40 kJ/mol are derived. Vaporization enthalpies between 174-212 kJ/mol are calculated, and their strong connection with diffusive activation energies is demonstrated. An observed formation of cavities in GILs of up to 6.5% of the total volume does not facilitate self-diffusion. Instead, the diffusion of ions is found to be determined primarily by interactions with their immediate environment via electrostatic attraction between cation hydrogen and anion oxygen atoms. The calculated average time between single diffusive transitions varies between 58-107 ps and determines the speed of diffusion, in contrast to diffusive displacement distances, which were found to be similar in all simulated GILs. All simulations indicate that ions diffuse by using a brachiation type of movement: a diffusive transition is initiated by cleaving close contacts to a coordinated counterion, after which the ion diffuses only about 2 A until new close contacts are formed with another counterion in its vicinity. The proposed diffusion model links all calculated energetic and dynamic properties of GILs consistently and explains their molecular origin. The validity of the model is confirmed by providing an explanation for the variation of measured ratios of self-diffusion coefficients of cations and paired anions over a wide range of values, encompassing various ionic liquid classes

The Simulation of Financial Markets by an Agent-Based Mix-Game Model

OpenAIRE

Chengling Gou

2006-01-01

This paper studies the simulation of financial markets using an agent-based mix-game model which is a variant of the minority game (MG). It specifies the spectra of parameters of mix-game models that fit financial markets by investigating the dynamic behaviors of mix-game models under a wide range of parameters. The main findings are (a) in order to approach efficiency, agents in a real financial market must be heterogeneous, boundedly rational and subject to asymmetric information; (b) an ac...

Modeling and Experimental Tests on the Hydraulically Driven Control Rod option for IRIS Reactor

International Nuclear Information System (INIS)

Cammi, Antonio; Ricotti, Marco E.; Vitulo, Alessia

2004-01-01

The adoption of Internal Control Rod Drive Mechanisms (ICRDMs) represents a valuable alternative to classical, external CRDMs based on electro-magnetic devices, as adopted in current PWRs. The advantages on the safety features of the reactor are apparent: inherent elimination of the Rod Ejection accidents and of possible concerns about the vessel head penetrations. A further positive feedback on the design is the reduction of the primary system overall dimensions. Within the frame of the ICRDM concepts, the Hydraulically Driven Control Rod solution is investigated as a possible option for the IRIS integral reactor. After a brief comparison of the solutions currently proposed for integral reactors, the configuration of the Hydraulic Control Rod device for IRIS, made up by an external movable piston and an internal fixed cylinder, is described. A description of the whole control system is reported as well. Particular attention is devoted to the Control Rod profile characterization, performed by means of a Computational Fluid Dynamics (CFD) analysis. The investigation of the system behavior has been carried out, including the dynamic equilibrium and its stability properties, the withdrawal and insertion step movement and the sensitivity study on command time periods. A suitable dynamic model has been set up for the mentioned purposes: the models corresponding to the various Control Rod system devices have been written in an Object-Oriented language (Modelica), thus allowing an easy implementation of such a system into the simulator for the whole reactor. Finally, a preliminary low pressure, low temperature, reduced length experimental facility has been built. Tests on HDCR stability and operational transients have been performed. The results are compared with the dynamic system model and CFD simulation model, showing good agreement between simulations and experimental data. During these preliminary tests, the control system performed correctly, allowing stable dynamic

Event-based computer simulation model of aspect-type experiments strictly satisfying Einstein's locality conditions

NARCIS (Netherlands)

De Raedt, Hans; De Raedt, Koen; Michielsen, Kristel; Keimpema, Koenraad; Miyashita, Seiji

2007-01-01

Inspired by Einstein-Podolsky-Rosen-Bohtn experiments with photons, we construct an event-based simulation model in which every essential element in the ideal experiment has a counterpart. The model satisfies Einstein's criterion of local causality and does not rely on concepts of quantum and

Impact of Loss Synchronization on Reliable High Speed Networks: A Model Based Simulation

Directory of Open Access Journals (Sweden)

Suman Kumar

2014-01-01

Full Text Available Contemporary nature of network evolution demands for simulation models which are flexible, scalable, and easily implementable. In this paper, we propose a fluid based model for performance analysis of reliable high speed networks. In particular, this paper aims to study the dynamic relationship between congestion control algorithms and queue management schemes, in order to develop a better understanding of the causal linkages between the two. We propose a loss synchronization module which is user configurable. We validate our model through simulations under controlled settings. Also, we present a performance analysis to provide insights into two important issues concerning 10 Gbps high speed networks: (i impact of bottleneck buffer size on the performance of 10 Gbps high speed network and (ii impact of level of loss synchronization on link utilization-fairness tradeoffs. The practical impact of the proposed work is to provide design guidelines along with a powerful simulation tool to protocol designers and network developers.

Model and simulation for melt flow in micro-injection molding based on the PTT model

International Nuclear Information System (INIS)

Cao, Wei; Kong, Lingchao; Li, Qian; Ying, Jin; Shen, Changyu

2011-01-01

Unsteady viscoelastic flows were studied using the finite element method in this work. The Phan-Thien–Tanner (PTT) model was used to represent the rheological behavior of viscoelastic fluids. To effectively describe the microscale effects, the slip boundary condition and surface tension were added to the mathematical model for melt flow in micro-injection molding. The new variational equation of pressure, including the viscoelastic parameters and slip boundary condition, was generalized using integration by parts. A computer code based on the finite element method and finite difference method was developed to solve the melt flow problem. Numerical simulation revealed that the melt viscoelasticity plays an important role in the prediction of melt pressure, temperature at the gate and the succeeding melt front advancement in the cavity. Using the viscoelastic model one can also control the rapid increase in simulated pressure, temperature, and reduce the filling difference among different cavities. The short shot experiments of micro-motor shaft showed that the predicted melt front from the viscoelastic model is in fair agreement with the corresponding experimental results

Numerical Simulation of Recycled Concrete Using Convex Aggregate Model and Base Force Element Method

Directory of Open Access Journals (Sweden)

Yijiang Peng

2016-01-01

Full Text Available By using the Base Force Element Method (BFEM on potential energy principle, a new numerical concrete model, random convex aggregate model, is presented in this paper to simulate the experiment under uniaxial compression for recycled aggregate concrete (RAC which can also be referred to as recycled concrete. This model is considered as a heterogeneous composite which is composed of five mediums, including natural coarse aggregate, old mortar, new mortar, new interfacial transition zone (ITZ, and old ITZ. In order to simulate the damage processes of RAC, a curve damage model was adopted as the damage constitutive model and the strength theory of maximum tensile strain was used as the failure criterion in the BFEM on mesomechanics. The numerical results obtained in this paper which contained the uniaxial compressive strengths, size effects on strength, and damage processes of RAC are in agreement with experimental observations. The research works show that the random convex aggregate model and the BFEM with the curve damage model can be used for simulating the relationship between microstructure and mechanical properties of RAC.

SIMULATION OF SUBGRADE EMBANKMENT ON WEAK BASE

Directory of Open Access Journals (Sweden)

V. D. Petrenko

2015-08-01

Full Text Available Purpose. This article provides: the question of the sustainability of the subgrade on a weak base is considered in the paper. It is proposed to use the method of jet grouting. Investigation of the possibility of a weak base has an effect on the overall deformation of the subgrade; the identification and optimization of the parameters of subgrade based on studies using numerical simulation. Methodology. The theoretical studies of the stress-strain state of the base and subgrade embankment by modeling in the software package LIRA have been conducted to achieve this goal. Findings. After making the necessary calculations perform building fields of a subsidence, borders cramped thickness, bed’s coefficients of Pasternak and Winkler. The diagrams construction of vertical stress performs at any point of load application. Also, using the software system may perform peer review subsidence, rolls railroad tracks in natural and consolidated basis. Originality. For weak soils is the most appropriate nonlinear model of the base with the existing areas of both elastic and limit equilibrium, mixed problem of the theory of elasticity and plasticity. Practical value. By increasing the load on the weak base as a result of the second track construction, adds embankment or increasing axial load when changing the rolling stock process of sedimentation and consolidation may continue again. Therefore, one of the feasible and promising options for the design and reconstruction of embankments on weak bases is to strengthen the bases with the help of jet grouting. With the expansion of the railway infrastructure, increasing speed and weight of the rolling stock is necessary to ensure the stability of the subgrade on weak bases. LIRA software package allows you to perform all the necessary calculations for the selection of a proper way of strengthening weak bases.

Simulating the elimination of sleeping sickness with an agent-based model

Directory of Open Access Journals (Sweden)

Grébaut Pascal

2016-01-01

Full Text Available Although Human African Trypanosomiasis is largely considered to be in the process of extinction today, the persistence of human and animal reservoirs, as well as the vector, necessitates a laborious elimination process. In this context, modeling could be an effective tool to evaluate the ability of different public health interventions to control the disease. Using the Cormas® system, we developed HATSim, an agent-based model capable of simulating the possible endemic evolutions of sleeping sickness and the ability of National Control Programs to eliminate the disease. This model takes into account the analysis of epidemiological, entomological, and ecological data from field studies conducted during the last decade, making it possible to predict the evolution of the disease within this area over a 5-year span. In this article, we first present HATSim according to the Overview, Design concepts, and Details (ODD protocol that is classically used to describe agent-based models, then, in a second part, we present predictive results concerning the evolution of Human African Trypanosomiasis in the village of Lambi (Cameroon, in order to illustrate the interest of such a tool. Our results are consistent with what was observed in the field by the Cameroonian National Control Program (CNCP. Our simulations also revealed that regular screening can be sufficient, although vector control applied to all areas with human activities could be significantly more efficient. Our results indicate that the current model can already help decision-makers in planning the elimination of the disease in foci.

Multi-Agent Based Microscopic Simulation Modeling for Urban Traffic Flow

Directory of Open Access Journals (Sweden)

Xianyan Kuang

2014-10-01

Full Text Available Traffic simulation plays an important role in the evaluation of traffic decisions. The movement of vehicles essentially is the operating process of drivers, in order to reproduce the urban traffic flow from the micro-aspect on computer, this paper establishes an urban traffic flow microscopic simulation system (UTFSim based on multi-agent. The system is seen as an intelligent virtual environment system (IVES, and the four-layer structure of it is built. The road agent, vehicle agent and signal agent are modeled. The concept of driving trajectory which is divided into LDT (Lane Driving Trajectory and VDDT (Vehicle Dynamic Driving Trajectory is introduced. The “Link-Node” road network model is improved. The driving behaviors including free driving, following driving, lane changing, slowing down, vehicle stop, etc. are analyzed. The results of the signal control experiments utilizing the UTFSim developed in the platform of Visual Studio. NET indicates that it plays a good performance and can be used in the evaluation of traffic management and control.

Treatment cost and life expectancy of diffuse large B-cell lymphoma (DLBCL): a discrete event simulation model on a UK population-based observational cohort.

Science.gov (United States)

Wang, Han-I; Smith, Alexandra; Aas, Eline; Roman, Eve; Crouch, Simon; Burton, Cathy; Patmore, Russell

2017-03-01

Diffuse large B-cell lymphoma (DLBCL) is the commonest non-Hodgkin lymphoma. Previous studies examining the cost of treating DLBCL have generally focused on a specific first-line therapy alone; meaning that their findings can neither be extrapolated to the general patient population nor to other points along the treatment pathway. Based on empirical data from a representative population-based patient cohort, the objective of this study was to develop a simulation model that could predict costs and life expectancy of treating DLBCL. All patients newly diagnosed with DLBCL in the UK's population-based Haematological Malignancy Research Network ( www.hmrn.org ) in 2007 were followed until 2013 (n = 271). Mapped treatment pathways, alongside cost information derived from the National Tariff 2013/14, were incorporated into a patient-level simulation model in order to reflect the heterogeneities of patient characteristics and treatment options. The NHS and social services perspective was adopted, and all outcomes were discounted at 3.5 % per annum. Overall, the expected total medical costs were £22,122 for those treated with curative intent, and £2930 for those managed palliatively. For curative chemotherapy, the predicted medical costs were £14,966, £23,449 and £7376 for first-, second- and third-line treatments, respectively. The estimated annual cost for treating DLBCL across the UK was around £88-92 million. This is the first cost modelling study using empirical data to provide 'real world' evidence throughout the DLBCL treatment pathway. Future application of the model could include evaluation of new technologies/treatments to support healthcare decision makers, especially in the era of personalised medicine.

A Radiative Transfer Modeling Methodology in Gas-Liquid Multiphase Flow Simulations

Directory of Open Access Journals (Sweden)

Gautham Krishnamoorthy

2014-01-01

Full Text Available A methodology for performing radiative transfer calculations in computational fluid dynamic simulations of gas-liquid multiphase flows is presented. By considering an externally irradiated bubble column photoreactor as our model system, the bubble scattering coefficients were determined through add-on functions by employing as inputs the bubble volume fractions, number densities, and the fractional contribution of each bubble size to the bubble volume from four different multiphase modeling options. The scattering coefficient profiles resulting from the models were significantly different from one another and aligned closely with their predicted gas-phase volume fraction distributions. The impacts of the multiphase modeling option, initial bubble diameter, and gas flow rates on the radiation distribution patterns within the reactor were also examined. An increase in air inlet velocities resulted in an increase in the fraction of larger sized bubbles and their contribution to the scattering coefficient. However, the initial bubble sizes were found to have the strongest impact on the radiation field.

Specifying and Refining a Measurement Model for a Simulation-Based Assessment. CSE Report 619.

Science.gov (United States)

Levy, Roy; Mislevy, Robert J.

2004-01-01

The challenges of modeling students' performance in simulation-based assessments include accounting for multiple aspects of knowledge and skill that arise in different situations and the conditional dependencies among multiple aspects of performance in a complex assessment. This paper describes a Bayesian approach to modeling and estimating…

American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

DEFF Research Database (Denmark)

Stentoft, Lars Peter

In this paper we propose a feasible way to price American options in a model with time varying volatility and conditional skewness and leptokurtosis using GARCH processes and the Normal Inverse Gaussian distribution. We show how the risk neutral dynamics can be obtained in this model, we interpret...... properties shows that there are important option pricing differences compared to the Gaussian case as well as to the symmetric special case. A large scale empirical examination shows that our model outperforms the Gaussian case for pricing options on three large US stocks as well as a major index...

An Open-Source Arduino-based Controller for Mechanical Rain Simulators

Science.gov (United States)

Cantilina, K. K.

2017-12-01

Many commercial rain simulators currently used in hydrology rely on inflexible and outdated controller designs. These analog controllers typically only allow a handful of discrete parameter options, and do not support internal timing functions or continuously-changing parameters. A desire for finer control of rain simulation events necessitated the design and construction of a microcontroller-based controller, using widely available off-the-shelf components. A menu driven interface allows users to fine-tune simulation parameters without the need for training or experience with microcontrollers, and the accessibility of the Arduino IDE allows users with a minimum of programming and hardware experience to modify the controller program to suit the needs of individual experiments.

Improved social force model based on exit selection for microscopic pedestrian simulation in subway station

Institute of Scientific and Technical Information of China (English)

郑勋; 李海鹰; 孟令云; 许心越; 陈旭

2015-01-01

An improved social force model based on exit selection is proposed to simulate pedestrians’ microscopic behaviors in subway station. The modification lies in considering three factors of spatial distance, occupant density and exit width. In addition, the problem of pedestrians selecting exit frequently is solved as follows: not changing to other exits in the affected area of one exit, using the probability of remaining preceding exit and invoking function of exit selection after several simulation steps. Pedestrians in subway station have some special characteristics, such as explicit destinations, different familiarities with subway station. Finally, Beijing Zoo Subway Station is taken as an example and the feasibility of the model results is verified through the comparison of the actual data and simulation data. The simulation results show that the improved model can depict the microscopic behaviors of pedestrians in subway station.

Simulating Transport and Land Use Interdependencies for Strategic Urban Planning—An Agent Based Modelling Approach

Directory of Open Access Journals (Sweden)

Nam Huynh

2015-10-01

Full Text Available Agent based modelling has been widely accepted as a promising tool for urban planning purposes thanks to its capability to provide sophisticated insights into the social behaviours and the interdependencies that characterise urban systems. In this paper, we report on an agent based model, called TransMob, which explicitly simulates the mutual dynamics between demographic evolution, transport demands, housing needs and the eventual change in the average satisfaction of the residents of an urban area. The ability to reproduce such dynamics is a unique feature that has not been found in many of the like agent based models in the literature. TransMob, is constituted by six major modules: synthetic population, perceived liveability, travel diary assignment, traffic micro-simulator, residential location choice, and travel mode choice. TransMob is used to simulate the dynamics of a metropolitan area in South East of Sydney, Australia, in 2006 and 2011, with demographic evolution. The results are favourably compared against survey data for the area in 2011, therefore validating the capability of TransMob to reproduce the observed complexity of an urban area. We also report on the application of TransMob to simulate various hypothetical scenarios of urban planning policies. We conclude with discussions on current limitations of TransMob, which serve as suggestions for future developments.

Modelica-based Modeling and Simulation to Support Research and Development in Building Energy and Control Systems

Energy Technology Data Exchange (ETDEWEB)

Wetter, Michael

2009-02-12

Traditional building simulation programs possess attributes that make them difficult to use for the design and analysis of building energy and control systems and for the support of model-based research and development of systems that may not already be implemented in these programs. This article presents characteristic features of such applications, and it shows how equation-based object-oriented modelling can meet requirements that arise in such applications. Next, the implementation of an open-source component model library for building energy systems is presented. The library has been developed using the equation-based object-oriented Modelica modelling language. Technical challenges of modelling and simulating such systems are discussed. Research needs are presented to make this technology accessible to user groups that have more stringent requirements with respect to the numerical robustness of simulation than a research community may have. Two examples are presented in which models from the here described library were used. The first example describes the design of a controller for a nonlinear model of a heating coil using model reduction and frequency domain analysis. The second example describes the tuning of control parameters for a static pressure reset controller of a variable air volume flow system. The tuning has been done by solving a non-convex optimization problem that minimizes fan energy subject to state constraints.

Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model.

Science.gov (United States)

Brogan, David M; Mossialos, Elias

2013-11-07

Antimicrobial resistance is a growing threat resulting from the convergence of biological, economic and political pressures. Investment in research and development of new antimicrobials has suffered secondary to these pressures, leading to an emerging crisis in antibiotic resistance. Current policies to stimulate antibiotic development have proven inadequate to overcome market failures. Therefore innovative ideas utilizing market forces are necessary to stimulate new investment efforts. Employing the benefits of both the previously described Advanced Market Commitment and a refined Call Options for Vaccines model, we describe herein a novel incentive mechanism, the Options Market for Antibiotics. This model applies the benefits of a financial call option to the investment in and purchase of new antibiotics. The goal of this new model is to provide an effective mechanism for early investment and risk sharing while maintaining a credible purchase commitment and incentives for companies to ultimately bring new antibiotics to market. We believe that the Options Market for Antibiotics (OMA) may help to overcome some of the traditional market failures associated with the development of new antibiotics. Additional work must be done to develop a more robust mathematical model to pave the way for practical implementation.

Modeling options to manage type 1 wild poliovirus imported into Israel in 2013.

Science.gov (United States)

Kalkowska, Dominika A; Duintjer Tebbens, Radboud J; Grotto, Itamar; Shulman, Lester M; Anis, Emilia; Wassilak, Steven G F; Pallansch, Mark A; Thompson, Kimberly M

2015-06-01

After 25 years without poliomyelitis cases caused by circulating wild poliovirus (WPV) in Israel, sewage sampling detected WPV type 1 (WPV1) in April 2013, despite high vaccination coverage with only inactivated poliovirus vaccine (IPV) since 2005. We used a differential equation-based model to simulate the dynamics of poliovirus transmission and population immunity in Israel due to past exposure to WPV and use of oral poliovirus vaccine (OPV) in addition to IPV. We explored the influences of various immunization options to stop imported WPV1 circulation in Israel. We successfully modeled the potential for WPVs to circulate without detected cases in Israel. Maintaining a sequential IPV/OPV schedule instead of switching to an IPV-only schedule in 2005 would have kept population immunity high enough in Israel to prevent WPV1 circulation. The Israeli response to WPV1 detection prevented paralytic cases; a more rapid response might have interrupted transmission more quickly. IPV-based protection alone might not provide sufficient population immunity to prevent poliovirus transmission after an importation. As countries transition to IPV in immunization schedules, they may need to actively manage population immunity and consider continued use of OPV, to avoid the potential circulation of imported live polioviruses before globally coordinated cessation of OPV use. © The Author 2014. Published by Oxford University Press on behalf of the Infectious Diseases Society of America. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com.

Long term energy system analysis of Japan based on 'options for energy and environment' by the energy and environmental council

International Nuclear Information System (INIS)

Hagiwara, Naoto; Kurosawa, Atsushi

2013-01-01

Implications to Japanese energy system are discussed especially in terms of primary energy supply and power generation portfolio, using sensitivity analysis results by an optimization type energy model based on TIMES modeling framework. We updated energy service demand, efficiency in energy conversion and consumption, and power generation costs based on the recent energy policy document called 'Options for Energy and Environment'. The time horizon of the model is 2050. The sensitivity analysis results are presented for 'Three scenarios for 2030' including nuclear phase out scenarios with/without CO 2 emission constraint. The results are compared with 'Options for Energy and Environment'. (author)

An integrated TSP-GA with EOL cost model for selecting the best EOL option

Directory of Open Access Journals (Sweden)

Zakri Ghazalli

2011-10-01

Full Text Available This paper presents our research works on integrating design for disassembly with cost model for end-of-life (EOL product. This paper has two objectives. The first objective is to optimize disassembly sequence of the EOL product. We integrate a traveling salesman problem approach with genetic algorithm in finding the optimal disassembly sequence for disassembling the EOL product. Based on this optimal sequence, the second objective is to identify the best EOL option. We employ EOL profits and net present value of parts and subassemblies of the EOL product to determine the best EOL option of components and parts of the EOL product. The predicted results showed that the developed cost model has reached a good correspondence with the established methods.

Validation techniques of agent based modelling for geospatial simulations

OpenAIRE

Darvishi, M.; Ahmadi, G.

2014-01-01

One of the most interesting aspects of modelling and simulation study is to describe the real world phenomena that have specific properties; especially those that are in large scales and have dynamic and complex behaviours. Studying these phenomena in the laboratory is costly and in most cases it is impossible. Therefore, Miniaturization of world phenomena in the framework of a model in order to simulate the real phenomena is a reasonable and scientific approach to understand the world. Agent...

Extrapolating effects of conservation tillage on yield, soil moisture and dry spell mitigation using simulation modelling

Science.gov (United States)

Mkoga, Z. J.; Tumbo, S. D.; Kihupi, N.; Semoka, J.

There is big effort to disseminate conservation tillage practices in Tanzania. Despite wide spread field demonstrations there has been some field experiments meant to assess and verify suitability of the tillage options in local areas. Much of the experiments are short lived and thus long term effects of the tillage options are unknown. Experiments to study long term effects of the tillage options are lacking because they are expensive and cannot be easily managed. Crop simulation models have the ability to use long term weather data and the local soil parameters to assess long term effects of the tillage practices. The Agricultural Production Systems Simulator (APSIM) crop simulation model; was used to simulate long term production series of soil moisture and grain yield based on the soil and weather conditions in Mkoji sub-catchment of the great Ruaha river basin in Tanzania. A 24 year simulated maize yield series based on conventional tillage with ox-plough, without surface crop residues (CT) treatment was compared with similar yield series based on conservation tillage (ox-ripping, with surface crop residues (RR)). Results showed that predicted yield averages were significantly higher in conservation tillage than in conventional tillage ( P APSIM simulation model, showed that average soil moisture in the conservation tillage was significantly higher ( P < 0.05) (about 0.29 mm/mm) than in conventional tillage (0.22 mm/mm) treatment during the seasons which received rainfall between 468 and 770 mm. Similarly the conservation tillage treatment recorded significantly higher yields (4.4 t/ha) ( P < 0.01) than the conventional tillage (3.6 t/ha) treatment in the same range of seasonal rainfall. On the other hand there was no significant difference in soil moisture for the seasons which received rainfall above 770 mm. In these seasons grain yield in conservation tillage treatment was significantly lower (3.1 kg/ha) than in the conventional tillage treatment (4.8 kg

Simulation-based MDP verification for leading-edge masks

Science.gov (United States)

Su, Bo; Syrel, Oleg; Pomerantsev, Michael; Hagiwara, Kazuyuki; Pearman, Ryan; Pang, Leo; Fujimara, Aki

2017-07-01

For IC design starts below the 20nm technology node, the assist features on photomasks shrink well below 60nm and the printed patterns of those features on masks written by VSB eBeam writers start to show a large deviation from the mask designs. Traditional geometry-based fracturing starts to show large errors for those small features. As a result, other mask data preparation (MDP) methods have become available and adopted, such as rule-based Mask Process Correction (MPC), model-based MPC and eventually model-based MDP. The new MDP methods may place shot edges slightly differently from target to compensate for mask process effects, so that the final patterns on a mask are much closer to the design (which can be viewed as the ideal mask), especially for those assist features. Such an alteration generally produces better masks that are closer to the intended mask design. Traditional XOR-based MDP verification cannot detect problems caused by eBeam effects. Much like model-based OPC verification which became a necessity for OPC a decade ago, we see the same trend in MDP today. Simulation-based MDP verification solution requires a GPU-accelerated computational geometry engine with simulation capabilities. To have a meaningful simulation-based mask check, a good mask process model is needed. The TrueModel® system is a field tested physical mask model developed by D2S. The GPU-accelerated D2S Computational Design Platform (CDP) is used to run simulation-based mask check, as well as model-based MDP. In addition to simulation-based checks such as mask EPE or dose margin, geometry-based rules are also available to detect quality issues such as slivers or CD splits. Dose margin related hotspots can also be detected by setting a correct detection threshold. In this paper, we will demonstrate GPU-acceleration for geometry processing, and give examples of mask check results and performance data. GPU-acceleration is necessary to make simulation-based mask MDP verification

Hedging Rules for Water Supply Reservoir Based on the Model of Simulation and Optimization

Directory of Open Access Journals (Sweden)

Yi Ji

2016-06-01

Full Text Available This study proposes a hedging rule model which is composed of a two-period reservior operation model considering the damage depth and hedging rule parameter optimization model. The former solves hedging rules based on a given poriod’s water supply weighting factor and carryover storage target, while the latter optimization model is used to optimize the weighting factor and carryover storage target based on the hedging rules. The coupling model gives the optimal poriod’s water supply weighting factor and carryover storage target to guide release. The conclusions achieved from this study as follows: (1 the water supply weighting factor and carryover storage target have a direct impact on the three elements of the hedging rule; (2 parameters can guide reservoirs to supply water reasonably after optimization of the simulation and optimization model; and (3 in order to verify the utility of the hedging rule, the Heiquan reservoir is used as a case study and particle swarm optimization algorithm with a simulation model is adopted for optimizing the parameter. The results show that the proposed hedging rule can improve the operation performances of the water supply reservoir.

Energy options

International Nuclear Information System (INIS)

Hampton, Michael

1999-01-01

This chapter focuses on energy options as a means of managing exposure to energy prices. An intuitive approach to energy options is presented, and traditional definitions of call and put options are given. The relationship between options and swaps, option value and option exercises, commodity options, and option pricing are described. An end-user's guide to energy option strategy is outlined, and straight options, collars, participating swaps and collars, bull and bear spreads, and swaption are examined. Panels explaining the defining of basis risk, and discussing option pricing and the Greeks, delta hedging, managing oil options using the Black-Scholes model, caps, floors and collars, and guidelines on hedging versus speculation with options are included in the paper

Simulating efficiently the evolution of DNA sequences.

Science.gov (United States)

Schöniger, M; von Haeseler, A

1995-02-01

Two menu-driven FORTRAN programs are described that simulate the evolution of DNA sequences in accordance with a user-specified model. This general stochastic model allows for an arbitrary stationary nucleotide composition and any transition-transversion bias during the process of base substitution. In addition, the user may define any hypothetical model tree according to which a family of sequences evolves. The programs suggest the computationally most inexpensive approach to generate nucleotide substitutions. Either reproducible or non-repeatable simulations, depending on the method of initializing the pseudo-random number generator, can be performed. The corresponding options are offered by the interface menu.

Simulation of tropical cyclone activity over the western North Pacific based on CMIP5 models

Science.gov (United States)

Shen, Haibo; Zhou, Weican; Zhao, Haikun

2017-09-01

Based on the Coupled Model Inter-comparison Project 5 (CMIP5) models, the tropical cyclone (TC) activity in the summers of 1965-2005 over the western North Pacific (WNP) is simulated by a TC dynamically downscaling system. In consideration of diversity among climate models, Bayesian model averaging (BMA) and equal-weighed model averaging (EMA) methods are applied to produce the ensemble large-scale environmental factors of the CMIP5 model outputs. The environmental factors generated by BMA and EMA methods are compared, as well as the corresponding TC simulations by the downscaling system. Results indicate that BMA method shows a significant advantage over the EMA. In addition, impacts of model selections on BMA method are examined. To each factor, ten models with better performance are selected from 30 CMIP5 models and then conduct BMA, respectively. As a consequence, the ensemble environmental factors and simulated TC activity are similar with the results from the 30 models' BMA, which verifies the BMA method can afford corresponding weight for each model in the ensemble based on the model's predictive skill. Thereby, the existence of poor performance models will not particularly affect the BMA effectiveness and the ensemble outcomes are improved. Finally, based upon the BMA method and downscaling system, we analyze the sensitivity of TC activity to three important environmental factors, i.e., sea surface temperature (SST), large-scale steering flow, and vertical wind shear. Among three factors, SST and large-scale steering flow greatly affect TC tracks, while average intensity distribution is sensitive to all three environmental factors. Moreover, SST and vertical wind shear jointly play a critical role in the inter-annual variability of TC lifetime maximum intensity and frequency of intense TCs.

On an efficient multiple time step Monte Carlo simulation of the SABR model

NARCIS (Netherlands)

Leitao Rodriguez, A.; Grzelak, L.A.; Oosterlee, C.W.

2017-01-01

In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et al. [Appl. Math.

The Pricing of Traffic Light Options and other Correlation Derivatives

DEFF Research Database (Denmark)

Kokholm, Thomas

This paper considers the valuation of European style derivatives with payoffs depending on both a stock index and underlying LIBOR rates. The model has the attractive feature that it is based on observable market quantities which makes it very easy to calibrate. A closed form solution is derived...... for the price of the correlation derivative known as the traffic light option under lognormality assumptions for the underlying processes. A pricing approach for more general payoffs is presented, and an illustration is performed with Monte Carlo simulation by the pricing of a specific hybrid derivative...

Modelling and Simulating of Risk Behaviours in Virtual Environments Based on Multi-Agent and Fuzzy Logic

Directory of Open Access Journals (Sweden)

Linqin Cai

2013-11-01

Full Text Available Due to safety and ethical issues, traditional experimental approaches to modelling underground risk behaviours can be costly, dangerous and even impossible to realize. Based on multi-agent technology, a virtual coalmine platform for risk behaviour simulation is presented to model and simulate the human-machine-environment related risk factors in underground coalmines. To reveal mine workers' risk behaviours, a fuzzy emotional behaviour model is proposed to simulate underground miners' responding behaviours to potential hazardous events based on cognitive appraisal theories and fuzzy logic techniques. The proposed emotion model can generate more believable behaviours for virtual miners according to personalized emotion states, internal motivation needs and behaviour selection thresholds. Finally, typical accident cases of underground hazard spotting and locomotive transport were implemented. The behaviour believability of virtual miners was evaluated with a user assessment method. Experimental results show that the proposed models can create more realistic and reasonable behaviours in virtual coalmine environments, which can improve miners' risk awareness and further train miners' emergent decision-making ability when facing unexpected underground situations.

The Real Options Attached to an Investment Project

Directory of Open Access Journals (Sweden)

Mihai-Cristian DINICĂ

2011-12-01

Full Text Available The real options capture the importance of the managerial team’s role in creating value through investment projects. The investments in real assets have a set of options that managers can exercise during the period of the project to increase the value of the assets or to limit the eventual losses. This options have their own value.The traditional methods for investment project evaluatioan, based on discounted cash flows, have some major disadvantages: they assume the irreversibility of a decision, do not take into account the interactions between decisions in several periods and treat the investment as pasive. The evaluation using real options undertake this disadvantage. The paper shows the main types of real options, together with their elements and captures the impact of these options on the value of the investment. The main two models used to evaluate real options, the binomial model and Black-Scholes model, are explained and used to compute the value of real options attached to an investment project.

A measurement-based generalized source model for Monte Carlo dose simulations of CT scans.

Science.gov (United States)

Ming, Xin; Feng, Yuanming; Liu, Ransheng; Yang, Chengwen; Zhou, Li; Zhai, Hezheng; Deng, Jun

2017-03-07

The goal of this study is to develop a generalized source model for accurate Monte Carlo dose simulations of CT scans based solely on the measurement data without a priori knowledge of scanner specifications. The proposed generalized source model consists of an extended circular source located at x-ray target level with its energy spectrum, source distribution and fluence distribution derived from a set of measurement data conveniently available in the clinic. Specifically, the central axis percent depth dose (PDD) curves measured in water and the cone output factors measured in air were used to derive the energy spectrum and the source distribution respectively with a Levenberg-Marquardt algorithm. The in-air film measurement of fan-beam dose profiles at fixed gantry was back-projected to generate the fluence distribution of the source model. A benchmarked Monte Carlo user code was used to simulate the dose distributions in water with the developed source model as beam input. The feasibility and accuracy of the proposed source model was tested on a GE LightSpeed and a Philips Brilliance Big Bore multi-detector CT (MDCT) scanners available in our clinic. In general, the Monte Carlo simulations of the PDDs in water and dose profiles along lateral and longitudinal directions agreed with the measurements within 4%/1 mm for both CT scanners. The absolute dose comparison using two CTDI phantoms (16 cm and 32 cm in diameters) indicated a better than 5% agreement between the Monte Carlo-simulated and the ion chamber-measured doses at a variety of locations for the two scanners. Overall, this study demonstrated that a generalized source model can be constructed based only on a set of measurement data and used for accurate Monte Carlo dose simulations of patients' CT scans, which would facilitate patient-specific CT organ dose estimation and cancer risk management in the diagnostic and therapeutic radiology.

A measurement-based generalized source model for Monte Carlo dose simulations of CT scans

Science.gov (United States)

Ming, Xin; Feng, Yuanming; Liu, Ransheng; Yang, Chengwen; Zhou, Li; Zhai, Hezheng; Deng, Jun

2017-03-01

The goal of this study is to develop a generalized source model for accurate Monte Carlo dose simulations of CT scans based solely on the measurement data without a priori knowledge of scanner specifications. The proposed generalized source model consists of an extended circular source located at x-ray target level with its energy spectrum, source distribution and fluence distribution derived from a set of measurement data conveniently available in the clinic. Specifically, the central axis percent depth dose (PDD) curves measured in water and the cone output factors measured in air were used to derive the energy spectrum and the source distribution respectively with a Levenberg-Marquardt algorithm. The in-air film measurement of fan-beam dose profiles at fixed gantry was back-projected to generate the fluence distribution of the source model. A benchmarked Monte Carlo user code was used to simulate the dose distributions in water with the developed source model as beam input. The feasibility and accuracy of the proposed source model was tested on a GE LightSpeed and a Philips Brilliance Big Bore multi-detector CT (MDCT) scanners available in our clinic. In general, the Monte Carlo simulations of the PDDs in water and dose profiles along lateral and longitudinal directions agreed with the measurements within 4%/1 mm for both CT scanners. The absolute dose comparison using two CTDI phantoms (16 cm and 32 cm in diameters) indicated a better than 5% agreement between the Monte Carlo-simulated and the ion chamber-measured doses at a variety of locations for the two scanners. Overall, this study demonstrated that a generalized source model can be constructed based only on a set of measurement data and used for accurate Monte Carlo dose simulations of patients’ CT scans, which would facilitate patient-specific CT organ dose estimation and cancer risk management in the diagnostic and therapeutic radiology.

Simulation-based Testing of Control Software

Energy Technology Data Exchange (ETDEWEB)

Ozmen, Ozgur [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Nutaro, James J. [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Sanyal, Jibonananda [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States); Olama, Mohammed M. [Oak Ridge National Lab. (ORNL), Oak Ridge, TN (United States)

2017-02-10

It is impossible to adequately test complex software by examining its operation in a physical prototype of the system monitored. Adequate test coverage can require millions of test cases, and the cost of equipment prototypes combined with the real-time constraints of testing with them makes it infeasible to sample more than a small number of these tests. Model based testing seeks to avoid this problem by allowing for large numbers of relatively inexpensive virtual prototypes that operate in simulation time at a speed limited only by the available computing resources. In this report, we describe how a computer system emulator can be used as part of a model based testing environment; specifically, we show that a complete software stack including operating system and application software - can be deployed within a simulated environment, and that these simulations can proceed as fast as possible. To illustrate this approach to model based testing, we describe how it is being used to test several building control systems that act to coordinate air conditioning loads for the purpose of reducing peak demand. These tests involve the use of ADEVS (A Discrete Event System Simulator) and QEMU (Quick Emulator) to host the operational software within the simulation, and a building model developed with the MODELICA programming language using Buildings Library and packaged as an FMU (Functional Mock-up Unit) that serves as the virtual test environment.

Modeling and Simulation of Matrix Converter

DEFF Research Database (Denmark)

Liu, Fu-rong; Klumpner, Christian; Blaabjerg, Frede

2005-01-01

This paper discusses the modeling and simulation of matrix converter. Two models of matrix converter are presented: one is based on indirect space vector modulation and the other is based on power balance equation. The basis of these two models is• given and the process on modeling is introduced...

Diffusion dynamics and concentration of toxic materials from quantum dots-based nanotechnologies: an agent-based modeling simulation framework

Energy Technology Data Exchange (ETDEWEB)

Agusdinata, Datu Buyung, E-mail: bagusdinata@niu.edu; Amouie, Mahbod [Northern Illinois University, Department of Industrial & Systems Engineering and Environment, Sustainability, & Energy Institute (United States); Xu, Tao [Northern Illinois University, Department of Chemistry and Biochemistry (United States)

2015-01-15

Due to their favorable electrical and optical properties, quantum dots (QDs) nanostructures have found numerous applications including nanomedicine and photovoltaic cells. However, increased future production, use, and disposal of engineered QD products also raise concerns about their potential environmental impacts. The objective of this work is to establish a modeling framework for predicting the diffusion dynamics and concentration of toxic materials released from Trioctylphosphine oxide-capped CdSe. To this end, an agent-based model simulation with reaction kinetics and Brownian motion dynamics was developed. Reaction kinetics is used to model the stability of surface capping agent particularly due to oxidation process. The diffusion of toxic Cd{sup 2+} ions in aquatic environment was simulated using an adapted Brownian motion algorithm. A calibrated parameter to reflect sensitivity to reaction rate is proposed. The model output demonstrates the stochastic spatial distribution of toxic Cd{sup 2+} ions under different values of proxy environmental factor parameters. With the only chemistry considered was oxidation, the simulation was able to replicate Cd{sup 2+} ion release from Thiol-capped QDs in aerated water. The agent-based method is the first to be developed in the QDs application domain. It adds both simplicity of the solubility and rate of release of Cd{sup 2+} ions and complexity of tracking of individual atoms of Cd at the same time.

Diffusion dynamics and concentration of toxic materials from quantum dots-based nanotechnologies: an agent-based modeling simulation framework

International Nuclear Information System (INIS)

Agusdinata, Datu Buyung; Amouie, Mahbod; Xu, Tao

2015-01-01

Due to their favorable electrical and optical properties, quantum dots (QDs) nanostructures have found numerous applications including nanomedicine and photovoltaic cells. However, increased future production, use, and disposal of engineered QD products also raise concerns about their potential environmental impacts. The objective of this work is to establish a modeling framework for predicting the diffusion dynamics and concentration of toxic materials released from Trioctylphosphine oxide-capped CdSe. To this end, an agent-based model simulation with reaction kinetics and Brownian motion dynamics was developed. Reaction kinetics is used to model the stability of surface capping agent particularly due to oxidation process. The diffusion of toxic Cd 2+ ions in aquatic environment was simulated using an adapted Brownian motion algorithm. A calibrated parameter to reflect sensitivity to reaction rate is proposed. The model output demonstrates the stochastic spatial distribution of toxic Cd 2+ ions under different values of proxy environmental factor parameters. With the only chemistry considered was oxidation, the simulation was able to replicate Cd 2+ ion release from Thiol-capped QDs in aerated water. The agent-based method is the first to be developed in the QDs application domain. It adds both simplicity of the solubility and rate of release of Cd 2+ ions and complexity of tracking of individual atoms of Cd at the same time

Pricing Exotic Options under a High-Order Markovian Regime Switching Model

Directory of Open Access Journals (Sweden)

Wai-Ki Ching

2007-10-01

Full Text Available We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM. We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.

A Dynamic Operation Permission Technique Based on an MFM Model and Numerical Simulation

International Nuclear Information System (INIS)

Akio, Gofuku; Masahiro, Yonemura

2011-01-01

It is important to support operator activities to an abnormal plant situation where many counter actions are taken in relatively short time. The authors proposed a technique called dynamic operation permission to decrease human errors without eliminating creative idea of operators to cope with an abnormal plant situation by checking if the counter action taken is consistent with emergency operation procedure. If the counter action is inconsistent, a dynamic operation permission system warns it to operators. It also explains how and why the counter action is inconsistent and what influence will appear on the future plant behavior by a qualitative influence inference technique based on a model by the Mf (Multilevel Flow Modeling). However, the previous dynamic operation permission is not able to explain quantitative effects on plant future behavior. Moreover, many possible influence paths are derived because a qualitative reasoning does not give a solution when positive and negative influences are propagated to the same node. This study extends the dynamic operation permission by combining the qualitative reasoning and the numerical simulation technique. The qualitative reasoning based on an Mf model of plant derives all possible influence propagation paths. Then, a numerical simulation gives a prediction of plant future behavior in the case of taking a counter action. The influence propagation that does not coincide with the simulation results is excluded from possible influence paths. The extended technique is implemented in a dynamic operation permission system for an oil refinery plant. An MFM model and a static numerical simulator are developed. The results of dynamic operation permission for some abnormal plant situations show the improvement of the accuracy of dynamic operation permission and the quality of explanation for the effects of the counter action taken

Simulation modelling as a tool for knowledge mobilisation in health policy settings: a case study protocol.

Science.gov (United States)

Freebairn, L; Atkinson, J; Kelly, P; McDonnell, G; Rychetnik, L

2016-09-21

Evidence-informed decision-making is essential to ensure that health programs and services are effective and offer value for money; however, barriers to the use of evidence persist. Emerging systems science approaches and advances in technology are providing new methods and tools to facilitate evidence-based decision-making. Simulation modelling offers a unique tool for synthesising and leveraging existing evidence, data and expert local knowledge to examine, in a robust, low risk and low cost way, the likely impact of alternative policy and service provision scenarios. This case study will evaluate participatory simulation modelling to inform the prevention and management of gestational diabetes mellitus (GDM). The risks associated with GDM are well recognised; however, debate remains regarding diagnostic thresholds and whether screening and treatment to reduce maternal glucose levels reduce the associated risks. A diagnosis of GDM may provide a leverage point for multidisciplinary lifestyle modification interventions. This research will apply and evaluate a simulation modelling approach to understand the complex interrelation of factors that drive GDM rates, test options for screening and interventions, and optimise the use of evidence to inform policy and program decision-making. The study design will use mixed methods to achieve the objectives. Policy, clinical practice and research experts will work collaboratively to develop, test and validate a simulation model of GDM in the Australian Capital Territory (ACT). The model will be applied to support evidence-informed policy dialogues with diverse stakeholders for the management of GDM in the ACT. Qualitative methods will be used to evaluate simulation modelling as an evidence synthesis tool to support evidence-based decision-making. Interviews and analysis of workshop recordings will focus on the participants' engagement in the modelling process; perceived value of the participatory process, perceived

Model reduction for circuit simulation

CERN Document Server

Hinze, Michael; Maten, E Jan W Ter

2011-01-01

Simulation based on mathematical models plays a major role in computer aided design of integrated circuits (ICs). Decreasing structure sizes, increasing packing densities and driving frequencies require the use of refined mathematical models, and to take into account secondary, parasitic effects. This leads to very high dimensional problems which nowadays require simulation times too large for the short time-to-market demands in industry. Modern Model Order Reduction (MOR) techniques present a way out of this dilemma in providing surrogate models which keep the main characteristics of the devi

Stall Recovery in a Centrifuge-Based Flight Simulator With an Extended Aerodynamic Model

NARCIS (Netherlands)

Ledegang, W.D.; Groen, E.L.

2015-01-01

We investigated the performance of 12 airline pilots in recovering from an asymmetrical stall in a flight simulator featuring an extended aerodynamic model of a transport-category aircraft, and a centrifuge-based motion platform capable of generating enhanced buffet motion and g-cueing. All pilots

Improving multiple-point-based a priori models for inverse problems by combining Sequential Simulation with the Frequency Matching Method

DEFF Research Database (Denmark)

Cordua, Knud Skou; Hansen, Thomas Mejer; Lange, Katrine

In order to move beyond simplified covariance based a priori models, which are typically used for inverse problems, more complex multiple-point-based a priori models have to be considered. By means of marginal probability distributions ‘learned’ from a training image, sequential simulation has...... proven to be an efficient way of obtaining multiple realizations that honor the same multiple-point statistics as the training image. The frequency matching method provides an alternative way of formulating multiple-point-based a priori models. In this strategy the pattern frequency distributions (i.......e. marginals) of the training image and a subsurface model are matched in order to obtain a solution with the same multiple-point statistics as the training image. Sequential Gibbs sampling is a simulation strategy that provides an efficient way of applying sequential simulation based algorithms as a priori...

Inversion based on computational simulations

International Nuclear Information System (INIS)

Hanson, K.M.; Cunningham, G.S.; Saquib, S.S.

1998-01-01

A standard approach to solving inversion problems that involve many parameters uses gradient-based optimization to find the parameters that best match the data. The authors discuss enabling techniques that facilitate application of this approach to large-scale computational simulations, which are the only way to investigate many complex physical phenomena. Such simulations may not seem to lend themselves to calculation of the gradient with respect to numerous parameters. However, adjoint differentiation allows one to efficiently compute the gradient of an objective function with respect to all the variables of a simulation. When combined with advanced gradient-based optimization algorithms, adjoint differentiation permits one to solve very large problems of optimization or parameter estimation. These techniques will be illustrated through the simulation of the time-dependent diffusion of infrared light through tissue, which has been used to perform optical tomography. The techniques discussed have a wide range of applicability to modeling including the optimization of models to achieve a desired design goal

Modeling and Simulation of - and Silicon Germanium-Base Bipolar Transistors Operating at a Wide Range of Temperatures.

Science.gov (United States)

Shaheed, M. Reaz

1995-01-01

Higher speed at lower cost and at low power consumption is a driving force for today's semiconductor technology. Despite a substantial effort toward achieving this goal via alternative technologies such as III-V compounds, silicon technology still dominates mainstream electronics. Progress in silicon technology will continue for some time with continual scaling of device geometry. However, there are foreseeable limits on achievable device performance, reliability and scaling for room temperature technologies. Thus, reduced temperature operation is commonly viewed as a means for continuing the progress towards higher performance. Although silicon CMOS will be the first candidate for low temperature applications, bipolar devices will be used in a hybrid fashion, as line drivers or in limited critical path elements. Silicon -germanium-base bipolar transistors look especially attractive for low-temperature bipolar applications. At low temperatures, various new physical phenomena become important in determining device behavior. Carrier freeze-out effects which are negligible at room temperature, become of crucial importance for analyzing the low temperature device characteristics. The conventional Pearson-Bardeen model of activation energy, used for calculation of carrier freeze-out, is based on an incomplete picture of the physics that takes place and hence, leads to inaccurate results at low temperatures. Plasma -induced bandgap narrowing becomes more pronounced in device characteristics at low temperatures. Even with modern numerical simulators, this effect is not well modeled or simulated. In this dissertation, improved models for such physical phenomena are presented. For accurate simulation of carrier freeze-out, the Pearson-Bardeen model has been extended to include the temperature dependence of the activation energy. The extraction of the model is based on the rigorous, first-principle theoretical calculations available in the literature. The new model is shown

A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

Directory of Open Access Journals (Sweden)

Shengwu Zhou

2012-01-01

Full Text Available A positivity-preserving numerical method for nonlinear Black-Scholes models is developed in this paper. The numerical method is based on a nonstandard approximation of the second partial derivative. The scheme is not only unconditionally stable and positive, but also allows us to solve the discrete equation explicitly. Monotone properties are studied in order to avoid unwanted oscillations of the numerical solution. The numerical results for European put option and European butterfly spread are compared to the standard finite difference scheme. It turns out that the proposed scheme is efficient and reliable.

Bee waxes: a model of characterization for using as base simulator tissue in teletherapy with photons

International Nuclear Information System (INIS)

Silva, Rogerio Matias Vidal da; Souza, Divanizia do Nascimento

2011-01-01

This paper presents a model of characterization and selection of bee waxes which makes possible to certify the usage viability of that base simulator tissue in the manufacture of appropriated objects for external radiotherapy with mega volt photon beams. The work was divide into three stages, where was evaluated physical and chemical properties besides the aspects related to the capacity of beam attenuation. All the process was carefully accompanied related to the wax origin such as the bee specimen and the flora surrounding the beehives. The chemical composition of the waxes is similar to others simulators usually used in radiotherapy. The behavior of mass attenuation coefficient in the radiotherapeutic energy range is comparable to other simulators, and consequently to the soft tissue. The proposed model is efficient and allows the affirmative that the usage of determined bee wax as base simulator tissue is convenient

Image-based model of the spectrin cytoskeleton for red blood cell simulation.

Science.gov (United States)

Fai, Thomas G; Leo-Macias, Alejandra; Stokes, David L; Peskin, Charles S

2017-10-01

We simulate deformable red blood cells in the microcirculation using the immersed boundary method with a cytoskeletal model that incorporates structural details revealed by tomographic images. The elasticity of red blood cells is known to be supplied by both their lipid bilayer membranes, which resist bending and local changes in area, and their cytoskeletons, which resist in-plane shear. The cytoskeleton consists of spectrin tetramers that are tethered to the lipid bilayer by ankyrin and by actin-based junctional complexes. We model the cytoskeleton as a random geometric graph, with nodes corresponding to junctional complexes and with edges corresponding to spectrin tetramers such that the edge lengths are given by the end-to-end distances between nodes. The statistical properties of this graph are based on distributions gathered from three-dimensional tomographic images of the cytoskeleton by a segmentation algorithm. We show that the elastic response of our model cytoskeleton, in which the spectrin polymers are treated as entropic springs, is in good agreement with the experimentally measured shear modulus. By simulating red blood cells in flow with the immersed boundary method, we compare this discrete cytoskeletal model to an existing continuum model and predict the extent to which dynamic spectrin network connectivity can protect against failure in the case of a red cell subjected to an applied strain. The methods presented here could form the basis of disease- and patient-specific computational studies of hereditary diseases affecting the red cell cytoskeleton.

Model simulations and proxy-based reconstructions for the European region in the past millennium (Invited)

Science.gov (United States)

Zorita, E.

2009-12-01

One of the objectives when comparing simulations of past climates to proxy-based climate reconstructions is to asses the skill of climate models to simulate climate change. This comparison may accomplished at large spatial scales, for instance the evolution of simulated and reconstructed Northern Hemisphere annual temperature, or at regional or point scales. In both approaches a 'fair' comparison has to take into account different aspects that affect the inevitable uncertainties and biases in the simulations and in the reconstructions. These efforts face a trade-off: climate models are believed to be more skillful at large hemispheric scales, but climate reconstructions are these scales are burdened by the spatial distribution of available proxies and by methodological issues surrounding the statistical method used to translate the proxy information into large-spatial averages. Furthermore, the internal climatic noise at large hemispheric scales is low, so that the sampling uncertainty tends to be also low. On the other hand, the skill of climate models at regional scales is limited by the coarse spatial resolution, which hinders a faithful representation of aspects important for the regional climate. At small spatial scales, the reconstruction of past climate probably faces less methodological problems if information from different proxies is available. The internal climatic variability at regional scales is, however, high. In this contribution some examples of the different issues faced when comparing simulation and reconstructions at small spatial scales in the past millennium are discussed. These examples comprise reconstructions from dendrochronological data and from historical documentary data in Europe and climate simulations with global and regional models. These examples indicate that the centennial climate variations can offer a reasonable target to assess the skill of global climate models and of proxy-based reconstructions, even at small spatial scales

Internet-based system for simulation-based medical planning for cardiovascular disease.

Science.gov (United States)

Steele, Brooke N; Draney, Mary T; Ku, Joy P; Taylor, Charles A

2003-06-01

Current practice in vascular surgery utilizes only diagnostic and empirical data to plan treatments, which does not enable quantitative a priori prediction of the outcomes of interventions. We have previously described simulation-based medical planning methods to model blood flow in arteries and plan medical treatments based on physiologic models. An important consideration for the design of these patient-specific modeling systems is the accessibility to physicians with modest computational resources. We describe a simulation-based medical planning environment developed for the World Wide Web (WWW) using the Virtual Reality Modeling Language (VRML) and the Java programming language.

A tactical supply chain planning model with multiple flexibility options

DEFF Research Database (Denmark)

Esmaeilikia, Masoud; Fahimnia, Behnam; Sarkis, Joeseph

2016-01-01

Supply chain flexibility is widely recognized as an approach to manage uncertainty. Uncertainty in the supply chain may arise from a number of sources such as demand and supply interruptions and lead time variability. A tactical supply chain planning model with multiple flexibility options...... incorporated in sourcing, manufacturing and logistics functions can be used for the analysis of flexibility adjustment in an existing supply chain. This paper develops such a tactical supply chain planning model incorporating a realistic range of flexibility options. A novel solution method is designed...

Stochastic approach to municipal solid waste landfill life based on the contaminant transit time modeling using the Monte Carlo (MC) simulation

International Nuclear Information System (INIS)

Bieda, Bogusław

2013-01-01

The paper is concerned with application and benefits of MC simulation proposed for estimating the life of a modern municipal solid waste (MSW) landfill. The software Crystal Ball® (CB), simulation program that helps analyze the uncertainties associated with Microsoft® Excel models by MC simulation, was proposed to calculate the transit time contaminants in porous media. The transport of contaminants in soil is represented by the one-dimensional (1D) form of the advection–dispersion equation (ADE). The computer program CONTRANS written in MATLAB language is foundation to simulate and estimate the thickness of landfill compacted clay liner. In order to simplify the task of determining the uncertainty of parameters by the MC simulation, the parameters corresponding to the expression Z2 taken from this program were used for the study. The tested parameters are: hydraulic gradient (HG), hydraulic conductivity (HC), porosity (POROS), linear thickness (TH) and diffusion coefficient (EDC). The principal output report provided by CB and presented in the study consists of the frequency chart, percentiles summary and statistics summary. Additional CB options provide a sensitivity analysis with tornado diagrams. The data that was used include available published figures as well as data concerning the Mittal Steel Poland (MSP) S.A. in Kraków, Poland. This paper discusses the results and show that the presented approach is applicable for any MSW landfill compacted clay liner thickness design. -- Highlights: ► Numerical simulation of waste in porous media is proposed. ► Statistic outputs based on correct assumptions about probability distribution are presented. ► The benefits of a MC simulation are examined. ► The uniform probability distribution is studied. ► I report a useful tool applied to determine the life of a modern MSW landfill.

Stochastic approach to municipal solid waste landfill life based on the contaminant transit time modeling using the Monte Carlo (MC) simulation

Energy Technology Data Exchange (ETDEWEB)

Bieda, Boguslaw, E-mail: bbieda@zarz.agh.edu.pl

2013-01-01

The paper is concerned with application and benefits of MC simulation proposed for estimating the life of a modern municipal solid waste (MSW) landfill. The software Crystal Ball Registered-Sign (CB), simulation program that helps analyze the uncertainties associated with Microsoft Registered-Sign Excel models by MC simulation, was proposed to calculate the transit time contaminants in porous media. The transport of contaminants in soil is represented by the one-dimensional (1D) form of the advection-dispersion equation (ADE). The computer program CONTRANS written in MATLAB language is foundation to simulate and estimate the thickness of landfill compacted clay liner. In order to simplify the task of determining the uncertainty of parameters by the MC simulation, the parameters corresponding to the expression Z2 taken from this program were used for the study. The tested parameters are: hydraulic gradient (HG), hydraulic conductivity (HC), porosity (POROS), linear thickness (TH) and diffusion coefficient (EDC). The principal output report provided by CB and presented in the study consists of the frequency chart, percentiles summary and statistics summary. Additional CB options provide a sensitivity analysis with tornado diagrams. The data that was used include available published figures as well as data concerning the Mittal Steel Poland (MSP) S.A. in Krakow, Poland. This paper discusses the results and show that the presented approach is applicable for any MSW landfill compacted clay liner thickness design. -- Highlights: Black-Right-Pointing-Pointer Numerical simulation of waste in porous media is proposed. Black-Right-Pointing-Pointer Statistic outputs based on correct assumptions about probability distribution are presented. Black-Right-Pointing-Pointer The benefits of a MC simulation are examined. Black-Right-Pointing-Pointer The uniform probability distribution is studied. Black-Right-Pointing-Pointer I report a useful tool applied to determine the life of a

Numerical simulation of countercurrent flow based on two-fluid model

Energy Technology Data Exchange (ETDEWEB)

Chen, H.D. [Institute of Nuclear Engineering and Technology, Sun Yat-sen University, Zhuhai 519082 (China); School of Electric Power, South China University of Technology, Guangzhou 510640 (China); Zhang, X.Y., E-mail: zxiaoying@mail.sysu.edu.cn [Institute of Nuclear Engineering and Technology, Sun Yat-sen University, Zhuhai 519082 (China)

2017-03-15

Highlights: • Using one-dimensional two-fluid model to help understanding counter-current flow two-phase flows. • Using surface tension model to make the one-dimensional two-fluid flow model well-posed. • Solving the governing equations with a modified SIMPLE algorithm. • Validating code with experimental data and applying it to vertical air/steam countercurrent flow condition - Abstract: In order to improve the understanding of counter-current two-phase flows, a transient analysis code is developed based on one-dimensional two-fluid model. A six equation model has been established and a two phase pressure model with surface tension term, wall drag force and interface shear terms have been used. Taking account of transport phenomenon, heat and mass transfer models of interface were incorporated. The staggered grids have been used in discretization of equations. For validation of the model and code, a countercurrent air-water problem in one experimental horizontal stratified flow has been considered firstly. Comparison of the computed results and the experimental one shows satisfactory agreement. As the full problem for investigation, one vertical pipe with countercurrent flow of steam-water and air-water at same boundary condition has been taken for study. The transient distribution of liquid fraction, liquid velocity and gas velocity for selected positions of steam-water and air-water problem were presented and discussed. The results show that these two simulations have similar transient behavior except that the distribution of gas velocity for steam-water problem have larger oscillation than the one for air-water. The effect of mesh size on wavy characteristics of interface surface was also investigated. The mesh size has significant influence on the simulated results. With the increased refinement, the oscillation gets stronger.

One-dimensional GIS-based model compared with a two-dimensional model in urban floods simulation.

Science.gov (United States)

Lhomme, J; Bouvier, C; Mignot, E; Paquier, A

2006-01-01

A GIS-based one-dimensional flood simulation model is presented and applied to the centre of the city of Nîmes (Gard, France), for mapping flow depths or velocities in the streets network. The geometry of the one-dimensional elements is derived from the Digital Elevation Model (DEM). The flow is routed from one element to the next using the kinematic wave approximation. At the crossroads, the flows in the downstream branches are computed using a conceptual scheme. This scheme was previously designed to fit Y-shaped pipes junctions, and has been modified here to fit X-shaped crossroads. The results were compared with the results of a two-dimensional hydrodynamic model based on the full shallow water equations. The comparison shows that good agreements can be found in the steepest streets of the study zone, but differences may be important in the other streets. Some reasons that can explain the differences between the two models are given and some research possibilities are proposed.

Use case driven approach to develop simulation model for PCS of APR1400 simulator

International Nuclear Information System (INIS)

Dong Wook, Kim; Hong Soo, Kim; Hyeon Tae, Kang; Byung Hwan, Bae

2006-01-01

The full-scope simulator is being developed to evaluate specific design feature and to support the iterative design and validation in the Man-Machine Interface System (MMIS) design of Advanced Power Reactor (APR) 1400. The simulator consists of process model, control logic model, and MMI for the APR1400 as well as the Power Control System (PCS). In this paper, a use case driven approach is proposed to develop a simulation model for PCS. In this approach, a system is considered from the point of view of its users. User's view of the system is based on interactions with the system and the resultant responses. In use case driven approach, we initially consider the system as a black box and look at its interactions with the users. From these interactions, use cases of the system are identified. Then the system is modeled using these use cases as functions. Lower levels expand the functionalities of each of these use cases. Hence, starting from the topmost level view of the system, we proceeded down to the lowest level (the internal view of the system). The model of the system thus developed is use case driven. This paper will introduce the functionality of the PCS simulation model, including a requirement analysis based on use case and the validation result of development of PCS model. The PCS simulation model using use case will be first used during the full-scope simulator development for nuclear power plant and will be supplied to Shin-Kori 3 and 4 plant. The use case based simulation model development can be useful for the design and implementation of simulation models. (authors)

[Non-linear System Dynamics Simulation Modeling of Adolescent Obesity: Using Korea Youth Risk Behavior Web-based Survey].

Science.gov (United States)

Lee, Hanna; Park, Eun Suk; Yu, Jae Kook; Yun, Eun Kyoung

2015-10-01

The purpose of this study was to develop a system dynamics model for adolescent obesity in Korea that could be used for obesity policy analysis. On the basis of the casual loop diagram, a model was developed by converting to stock and flow diagram. The Vensim DSS 5.0 program was used in the model development. We simulated method of moments to the calibration of this model with data from The Korea Youth Risk Behavior Web-based Survey 2005 to 2013. We ran the scenario simulation. This model can be used to understand the current adolescent obesity rate, predict the future obesity rate, and be utilized as a tool for controlling the risk factors. The results of the model simulation match well with the data. It was identified that a proper model, able to predict obesity probability, was established. These results of stock and flow diagram modeling in adolescent obesity can be helpful in development of obesity by policy planners and other stakeholders to better anticipate the multiple effects of interventions in both the short and the long term. In the future we suggest the development of an expanded model based on this adolescent obesity model.

A model partitioning method based on dynamic decoupling for the efficient simulation of multibody systems

Energy Technology Data Exchange (ETDEWEB)

Papadopoulos, Alessandro Vittorio, E-mail: alessandro.papadopoulos@control.lth.se [Lund University, Department of Automatic Control (Sweden); Leva, Alberto, E-mail: alberto.leva@polimi.it [Politecnico di Milano, Dipartimento di Elettronica, Informazione e Bioingegneria (Italy)

2015-06-15

The presence of different time scales in a dynamic model significantly hampers the efficiency of its simulation. In multibody systems the fact is particularly relevant, as the mentioned time scales may be very different, due, for example, to the coexistence of mechanical components controled by electronic drive units, and may also appear in conjunction with significant nonlinearities. This paper proposes a systematic technique, based on the principles of dynamic decoupling, to partition a model based on the time scales that are relevant for the particular simulation studies to be performed and as transparently as possible for the user. In accordance with said purpose, peculiar to the technique is its neat separation into two parts: a structural analysis of the model, which is general with respect to any possible simulation scenario, and a subsequent decoupled integration, which can conversely be (easily) tailored to the study at hand. Also, since the technique does not aim at reducing but rather at partitioning the model, the state space and the physical interpretation of the dynamic variables are inherently preserved. Moreover, the proposed analysis allows us to define some novel indices relative to the separability of the system, thereby extending the idea of “stiffness” in a way that is particularly keen to its use for the improvement of simulation efficiency, be the envisaged integration scheme monolithic, parallel, or even based on cosimulation. Finally, thanks to the way the analysis phase is conceived, the technique is naturally applicable to both linear and nonlinear models. The paper contains a methodological presentation of the proposed technique, which is related to alternatives available in the literature so as to evidence the peculiarities just sketched, and some application examples illustrating the achieved advantages and motivating the major design choice from an operational viewpoint.

Simulation Models for Socioeconomic Inequalities in Health: A Systematic Review

Directory of Open Access Journals (Sweden)

Niko Speybroeck

2013-11-01

Full Text Available Background: The emergence and evolution of socioeconomic inequalities in health involves multiple factors interacting with each other at different levels. Simulation models are suitable for studying such complex and dynamic systems and have the ability to test the impact of policy interventions in silico. Objective: To explore how simulation models were used in the field of socioeconomic inequalities in health. Methods: An electronic search of studies assessing socioeconomic inequalities in health using a simulation model was conducted. Characteristics of the simulation models were extracted and distinct simulation approaches were identified. As an illustration, a simple agent-based model of the emergence of socioeconomic differences in alcohol abuse was developed. Results: We found 61 studies published between 1989 and 2013. Ten different simulation approaches were identified. The agent-based model illustration showed that multilevel, reciprocal and indirect effects of social determinants on health can be modeled flexibly. Discussion and Conclusions: Based on the review, we discuss the utility of using simulation models for studying health inequalities, and refer to good modeling practices for developing such models. The review and the simulation model example suggest that the use of simulation models may enhance the understanding and debate about existing and new socioeconomic inequalities of health frameworks.

Modelling and simulation of superalloys. Book of abstracts

Energy Technology Data Exchange (ETDEWEB)

Rogal, Jutta; Hammerschmidt, Thomas; Drautz, Ralf (eds.)

2014-07-01

Superalloys are multi-component materials with complex microstructures that offer unique properties for high-temperature applications. The complexity of the superalloy materials makes it particularly challenging to obtain fundamental insight into their behaviour from the atomic structure to turbine blades. Recent advances in modelling and simulation of superalloys contribute to a better understanding and prediction of materials properties and therefore offer guidance for the development of new alloys. This workshop will give an overview of recent progress in modelling and simulation of materials for superalloys, with a focus on single crystal Ni-base and Co-base alloys. Topics will include electronic structure methods, atomistic simulations, microstructure modelling and modelling of microstructural evolution, solidification and process simulation as well as the modelling of phase stability and thermodynamics.

Scenario-based table top simulations

DEFF Research Database (Denmark)

Broberg, Ole; Edwards, Kasper; Nielsen, J.

2012-01-01

This study developed and tested a scenario-based table top simulation method in a user-driven innovation setting. A team of researchers worked together with a user group of five medical staff members from the existing clinic. Table top simulations of a new clinic were carried out in a simple model...

Physics-based simulation modeling and optimization of microstructural changes induced by machining and selective laser melting processes in titanium and nickel based alloys

Science.gov (United States)

Arisoy, Yigit Muzaffer

Manufacturing processes may significantly affect the quality of resultant surfaces and structural integrity of the metal end products. Controlling manufacturing process induced changes to the product's surface integrity may improve the fatigue life and overall reliability of the end product. The goal of this study is to model the phenomena that result in microstructural alterations and improve the surface integrity of the manufactured parts by utilizing physics-based process simulations and other computational methods. Two different (both conventional and advanced) manufacturing processes; i.e. machining of Titanium and Nickel-based alloys and selective laser melting of Nickel-based powder alloys are studied. 3D Finite Element (FE) process simulations are developed and experimental data that validates these process simulation models are generated to compare against predictions. Computational process modeling and optimization have been performed for machining induced microstructure that includes; i) predicting recrystallization and grain size using FE simulations and the Johnson-Mehl-Avrami-Kolmogorov (JMAK) model, ii) predicting microhardness using non-linear regression models and the Random Forests method, and iii) multi-objective machining optimization for minimizing microstructural changes. Experimental analysis and computational process modeling of selective laser melting have been also conducted including; i) microstructural analysis of grain sizes and growth directions using SEM imaging and machine learning algorithms, ii) analysis of thermal imaging for spattering, heating/cooling rates and meltpool size, iii) predicting thermal field, meltpool size, and growth directions via thermal gradients using 3D FE simulations, iv) predicting localized solidification using the Phase Field method. These computational process models and predictive models, once utilized by industry to optimize process parameters, have the ultimate potential to improve performance of

Investigation of non-Gaussian effects in the Brazilian option market

Science.gov (United States)

Sosa-Correa, William O.; Ramos, Antônio M. T.; Vasconcelos, Giovani L.

2018-04-01

An empirical study of the Brazilian option market is presented in light of three option pricing models, namely the Black-Scholes model, the exponential model, and a model based on a power law distribution, the so-called q-Gaussian distribution or Tsallis distribution. It is found that the q-Gaussian model performs better than the Black-Scholes model in about one third of the option chains analyzed. But among these cases, the exponential model performs better than the q-Gaussian model in 75% of the time. The superiority of the exponential model over the q-Gaussian model is particularly impressive for options close to the expiration date, where its success rate rises above ninety percent.

Obtaining reliable Likelihood Ratio tests from simulated likelihood functions

DEFF Research Database (Denmark)

Andersen, Laura Mørch

It is standard practice by researchers and the default option in many statistical programs to base test statistics for mixed models on simulations using asymmetric draws (e.g. Halton draws). This paper shows that when the estimated likelihood functions depend on standard deviations of mixed param...

Fish Individual-based Numerical Simulator (FINS): A particle-based model of juvenile salmonid movement and dissolved gas exposure history in the Columbia River Basin

International Nuclear Information System (INIS)

Scheibe, Timothy D.; Richmond, Marshall C.

2002-01-01

This paper describes a numerical model of juvenile salmonid migration in the Columbia and Snake Rivers. The model, called the Fish Individual-based Numerical Simulator or FINS, employs a discrete, particle-based approach to simulate the migration and history of exposure to dissolved gases of individual fish. FINS is linked to a two-dimensional (vertically-averaged) hydrodynamic simulator that quantifies local water velocity, temperature, and dissolved gas levels as a function of river flow rates and dam operations. Simulated gas exposure histories can be input to biological mortality models to predict the effects of various river configurations on fish injury and mortality due to dissolved gas supersaturation. Therefore, FINS serves as a critical linkage between hydrodynamic models of the river system and models of biological impacts. FINS was parameterized and validated based on observations of individual fish movements collected using radiotelemetry methods during 1997 and 1998 . A quasi-inverse approach was used to decouple fish swimming movements from advection with the local water velocity, allowing inference of time series of non-advective displacements of individual fish from the radiotelemetry data. Statistical analyses of these displacements are presented, and confirm that strong temporal correlation of fish swimming behavior persists in some cases over several hours. A correlated random-walk model was employed to simulate the observed migration behavior, and parameters of the model were estimated that lead to close correspondence between predictions and observations

Validation process of simulation model

International Nuclear Information System (INIS)

San Isidro, M. J.

1998-01-01

It is presented a methodology on empirical validation about any detailed simulation model. This king of validation it is always related with an experimental case. The empirical validation has a residual sense, because the conclusions are based on comparisons between simulated outputs and experimental measurements. This methodology will guide us to detect the fails of the simulation model. Furthermore, it can be used a guide in the design of posterior experiments. Three steps can be well differentiated: Sensitivity analysis. It can be made with a DSA, differential sensitivity analysis, and with a MCSA, Monte-Carlo sensitivity analysis. Looking the optimal domains of the input parameters. It has been developed a procedure based on the Monte-Carlo methods and Cluster techniques, to find the optimal domains of these parameters. Residual analysis. This analysis has been made on the time domain and on the frequency domain, it has been used the correlation analysis and spectral analysis. As application of this methodology, it is presented the validation carried out on a thermal simulation model on buildings, Esp., studying the behavior of building components on a Test Cell of LECE of CIEMAT. (Author) 17 refs

A voxel-based multiscale model to simulate the radiation response of hypoxic tumors.

Science.gov (United States)

Espinoza, I; Peschke, P; Karger, C P

2015-01-01

In radiotherapy, it is important to predict the response of tumors to irradiation prior to the treatment. This is especially important for hypoxic tumors, which are known to be highly radioresistant. Mathematical modeling based on the dose distribution, biological parameters, and medical images may help to improve this prediction and to optimize the treatment plan. A voxel-based multiscale tumor response model for simulating the radiation response of hypoxic tumors was developed. It considers viable and dead tumor cells, capillary and normal cells, as well as the most relevant biological processes such as (i) proliferation of tumor cells, (ii) hypoxia-induced angiogenesis, (iii) spatial exchange of cells leading to tumor growth, (iv) oxygen-dependent cell survival after irradiation, (v) resorption of dead cells, and (vi) spatial exchange of cells leading to tumor shrinkage. Oxygenation is described on a microscopic scale using a previously published tumor oxygenation model, which calculates the oxygen distribution for each voxel using the vascular fraction as the most important input parameter. To demonstrate the capabilities of the model, the dependence of the oxygen distribution on tumor growth and radiation-induced shrinkage is investigated. In addition, the impact of three different reoxygenation processes is compared and tumor control probability (TCP) curves for a squamous cells carcinoma of the head and neck (HNSSC) are simulated under normoxic and hypoxic conditions. The model describes the spatiotemporal behavior of the tumor on three different scales: (i) on the macroscopic scale, it describes tumor growth and shrinkage during radiation treatment, (ii) on a mesoscopic scale, it provides the cell density and vascular fraction for each voxel, and (iii) on the microscopic scale, the oxygen distribution may be obtained in terms of oxygen histograms. With increasing tumor size, the simulated tumors develop a hypoxic core. Within the model, tumor shrinkage was

A voxel-based multiscale model to simulate the radiation response of hypoxic tumors

International Nuclear Information System (INIS)

Espinoza, I.; Peschke, P.; Karger, C. P.

2015-01-01

Purpose: In radiotherapy, it is important to predict the response of tumors to irradiation prior to the treatment. This is especially important for hypoxic tumors, which are known to be highly radioresistant. Mathematical modeling based on the dose distribution, biological parameters, and medical images may help to improve this prediction and to optimize the treatment plan. Methods: A voxel-based multiscale tumor response model for simulating the radiation response of hypoxic tumors was developed. It considers viable and dead tumor cells, capillary and normal cells, as well as the most relevant biological processes such as (i) proliferation of tumor cells, (ii) hypoxia-induced angiogenesis, (iii) spatial exchange of cells leading to tumor growth, (iv) oxygen-dependent cell survival after irradiation, (v) resorption of dead cells, and (vi) spatial exchange of cells leading to tumor shrinkage. Oxygenation is described on a microscopic scale using a previously published tumor oxygenation model, which calculates the oxygen distribution for each voxel using the vascular fraction as the most important input parameter. To demonstrate the capabilities of the model, the dependence of the oxygen distribution on tumor growth and radiation-induced shrinkage is investigated. In addition, the impact of three different reoxygenation processes is compared and tumor control probability (TCP) curves for a squamous cells carcinoma of the head and neck (HNSSC) are simulated under normoxic and hypoxic conditions. Results: The model describes the spatiotemporal behavior of the tumor on three different scales: (i) on the macroscopic scale, it describes tumor growth and shrinkage during radiation treatment, (ii) on a mesoscopic scale, it provides the cell density and vascular fraction for each voxel, and (iii) on the microscopic scale, the oxygen distribution may be obtained in terms of oxygen histograms. With increasing tumor size, the simulated tumors develop a hypoxic core. Within the

Magnetosphere Modeling: From Cartoons to Simulations

Science.gov (United States)

Gombosi, T. I.

2017-12-01

Over the last half a century physics-based global computer simulations became a bridge between experiment and basic theory and now it represents the "third pillar" of geospace research. Today, many of our scientific publications utilize large-scale simulations to interpret observations, test new ideas, plan campaigns, or design new instruments. Realistic simulations of the complex Sun-Earth system have been made possible by the dramatically increased power of both computing hardware and numerical algorithms. Early magnetosphere models were based on simple E&M concepts (like the Chapman-Ferraro cavity) and hydrodynamic analogies (bow shock). At the beginning of the space age current system models were developed culminating in the sophisticated Tsyganenko-type description of the magnetic configuration. The first 3D MHD simulations of the magnetosphere were published in the early 1980s. A decade later there were several competing global models that were able to reproduce many fundamental properties of the magnetosphere. The leading models included the impact of the ionosphere by using a height-integrated electric potential description. Dynamic coupling of global and regional models started in the early 2000s by integrating a ring current and a global magnetosphere model. It has been recognized for quite some time that plasma kinetic effects play an important role. Presently, global hybrid simulations of the dynamic magnetosphere are expected to be possible on exascale supercomputers, while fully kinetic simulations with realistic mass ratios are still decades away. In the 2010s several groups started to experiment with PIC simulations embedded in large-scale 3D MHD models. Presently this integrated MHD-PIC approach is at the forefront of magnetosphere simulations and this technique is expected to lead to some important advances in our understanding of magnetosheric physics. This talk will review the evolution of magnetosphere modeling from cartoons to current systems

A Study on Data Base for the Pyroprocessing Material Flow and MUF Uncertainty Simulation

International Nuclear Information System (INIS)

Sitompul, Yos Panagaman; Shin, Heesung; Han, Boyoung; Kim, Hodong

2011-01-01

The data base for the pyroprocessing material flow and MUF uncertainty simulation has been implemented well. There is no error in the data base processing and it is relatively fast by using OLEDB and MySQL. The important issue is the data base size. In OLEDB the data base size is limited to 2 Gb. To reduce the data base size, we give an option for users to filter the input nuclides based on their masses and activities. A simulation program called PYMUS has been developed to study the pyroprocessing material flow and MUF. In the program, there is a data base system that controls the data processing in the simulation. The data base system consists of input data base, data processing, and output data base. The data base system has been designed in such a way to be efficient. One example is using the OLEDB and MySQL. The data base system is explained in detail in this paper. The result shows that the data base system works well in the simulation

A Model-Based Approach for Bridging Virtual and Physical Sensor Nodes in a Hybrid Simulation Framework

Directory of Open Access Journals (Sweden)

Mohammad Mozumdar

2014-06-01

Full Text Available The Model Based Design (MBD approach is a popular trend to speed up application development of embedded systems, which uses high-level abstractions to capture functional requirements in an executable manner, and which automates implementation code generation. Wireless Sensor Networks (WSNs are an emerging very promising application area for embedded systems. However, there is a lack of tools in this area, which would allow an application developer to model a WSN application by using high level abstractions, simulate it mapped to a multi-node scenario for functional analysis, and finally use the refined model to automatically generate code for different WSN platforms. Motivated by this idea, in this paper we present a hybrid simulation framework that not only follows the MBD approach for WSN application development, but also interconnects a simulated sub-network with a physical sub-network and then allows one to co-simulate them, which is also known as Hardware-In-the-Loop (HIL simulation.

Development of an Advanced Simulator to Model Mobility Control and Geomechanics during CO{sub 2} Floods

Energy Technology Data Exchange (ETDEWEB)

Delshad, Mojdeh; Wheeler, Mary; Sepehrnoori, Kamy; Pope, Gary

2013-12-31

The simulator is an isothermal, three-dimensional, four-phase, compositional, equation-of– state (EOS) simulator. We have named the simulator UTDOE-CO2 capable of simulating various recovery processes (i.e., primary, secondary waterflooding, and miscible and immiscible gas flooding). We include both the Peng-Robinson EOS and the Redlich-Kwong EOS models. A Gibbs stability test is also included in the model to perform a phase identification test to consistently label each phase for subsequent property calculations such as relative permeability, viscosity, density, interfacial tension, and capillary pressure. Our time step strategy is based on an IMPEC-type method (implicit pressure and explicit concentration). The gridblock pressure is solved first using the explicit dating of saturation-dependent terms. Subsequently, the material balance equations are solved explicitly for the total concentration of each component. The physical dispersion term is also included in the governing equations. The simulator includes (1) several foam model(s) for gas mobility control, (2) compositional relative permeability models with the hysteresis option, (3) corner point grid and several efficient solvers, (4) geomechanics module to compute stress field as the result of CO{sub 2} injection/production, (5) the format of commercial visualization software, S3graf from Science-soft Ltd., was implemented for user friendly visualization of the simulation results. All tasks are completed and the simulator was fully tested and delivered to the DOE office including a user’s guide and several input files and the executable for Windows Pcs. We have published several SPE papers, presented several posters, and one MS thesis is completed (V. Pudugramam, 2013) resulting from this DOE funded project.

Computer simulation for synchrotron radiation based X-ray fluorescent microtomography

International Nuclear Information System (INIS)

Deng Biao; Yu Xiaohan; Xu Hongjie

2007-01-01

Synchrotron radiation based fluorescent microtomography (SR-XFMT) is a nondestructive technique for detecting elemental composition and distribution inside a specimen with high spatial resolution and sensitivity, and will be an optional experimental technique at SSRF hard X-ray micro-focusing beamline now under construction. In this paper, the principles and developments of SR-XFMT are briefly introduced. Computer simulation of SR-XFMT experiment is performed. The image of the simulated sample is reconstructed using Filtered Back Projection (FBP), Algebraic Reconstruction Techniques (ART) and modified FBP with absorption correction. The qualities of the reconstructed images are analyzed and compared. The validity of these reconstruction techniques is discussed. (authors)

Modeling and Simulation of Voids in Composite Tape Winding Process Based on Domain Superposition Technique

Science.gov (United States)

Deng, Bo; Shi, Yaoyao

2017-11-01

The tape winding technology is an effective way to fabricate rotationally composite materials. Nevertheless, some inevitable defects will seriously influence the performance of winding products. One of the crucial ways to identify the quality of fiber-reinforced composite material products is examining its void content. Significant improvement in products' mechanical properties can be achieved by minimizing the void defect. Two methods were applied in this study, finite element analysis and experimental testing, respectively, to investigate the mechanism of how void forming in composite tape winding processing. Based on the theories of interlayer intimate contact and Domain Superposition Technique (DST), a three-dimensional model of prepreg tape void with SolidWorks has been modeled in this paper. Whereafter, ABAQUS simulation software was used to simulate the void content change with pressure and temperature. Finally, a series of experiments were performed to determine the accuracy of the model-based predictions. The results showed that the model is effective for predicting the void content in the composite tape winding process.

Modeling and simulation of discrete event systems

CERN Document Server

Choi, Byoung Kyu

2013-01-01

Computer modeling and simulation (M&S) allows engineers to study and analyze complex systems. Discrete-event system (DES)-M&S is used in modern management, industrial engineering, computer science, and the military. As computer speeds and memory capacity increase, so DES-M&S tools become more powerful and more widely used in solving real-life problems. Based on over 20 years of evolution within a classroom environment, as well as on decades-long experience in developing simulation-based solutions for high-tech industries, Modeling and Simulation of Discrete-Event Systems is the only book on

Metoprolol Dose Equivalence in Adult Men and Women Based on Gender Differences: Pharmacokinetic Modeling and Simulations

Directory of Open Access Journals (Sweden)

Andy R. Eugene

2016-11-01

Full Text Available Recent meta-analyses and publications over the past 15 years have provided evidence showing there are considerable gender differences in the pharmacokinetics of metoprolol. Throughout this time, there have not been any research articles proposing a gender stratified dose-adjustment resulting in an equivalent total drug exposure. Metoprolol pharmacokinetic data was obtained from a previous publication. Data was modeled using nonlinear mixed effect modeling using the MONOLIX software package to quantify metoprolol concentration–time data. Gender-stratified dosing simulations were conducted to identify equivalent total drug exposure based on a 100 mg dose in adults. Based on the pharmacokinetic modeling and simulations, a 50 mg dose in adult women provides an approximately similar metoprolol drug exposure to a 100 mg dose in adult men.

Energy exotic options

International Nuclear Information System (INIS)