WorldWideScience

Sample records for stochastic optimization approaches

  1. A combined stochastic programming and optimal control approach to personal finance and pensions

    DEFF Research Database (Denmark)

    Konicz, Agnieszka Karolina; Pisinger, David; Rasmussen, Kourosh Marjani

    2015-01-01

    The paper presents a model that combines a dynamic programming (stochastic optimal control) approach and a multi-stage stochastic linear programming approach (SLP), integrated into one SLP formulation. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

  2. Optimal Integration of Intermittent Renewables: A System LCOE Stochastic Approach

    Directory of Open Access Journals (Sweden)

    Carlo Lucheroni

    2018-03-01

    Full Text Available We propose a system level approach to value the impact on costs of the integration of intermittent renewable generation in a power system, based on expected breakeven cost and breakeven cost risk. To do this, we carefully reconsider the definition of Levelized Cost of Electricity (LCOE when extended to non-dispatchable generation, by examining extra costs and gains originated by the costly management of random power injections. We are thus lead to define a ‘system LCOE’ as a system dependent LCOE that takes properly into account intermittent generation. In order to include breakeven cost risk we further extend this deterministic approach to a stochastic setting, by introducing a ‘stochastic system LCOE’. This extension allows us to discuss the optimal integration of intermittent renewables from a broad, system level point of view. This paper thus aims to provide power producers and policy makers with a new methodological scheme, still based on the LCOE but which updates this valuation technique to current energy system configurations characterized by a large share of non-dispatchable production. Quantifying and optimizing the impact of intermittent renewables integration on power system costs, risk and CO 2 emissions, the proposed methodology can be used as powerful tool of analysis for assessing environmental and energy policies.

  3. Computing Optimal Stochastic Portfolio Execution Strategies: A Parametric Approach Using Simulations

    Science.gov (United States)

    Moazeni, Somayeh; Coleman, Thomas F.; Li, Yuying

    2010-09-01

    Computing optimal stochastic portfolio execution strategies under appropriate risk consideration presents great computational challenge. We investigate a parametric approach for computing optimal stochastic strategies using Monte Carlo simulations. This approach allows reduction in computational complexity by computing coefficients for a parametric representation of a stochastic dynamic strategy based on static optimization. Using this technique, constraints can be similarly handled using appropriate penalty functions. We illustrate the proposed approach to minimize the expected execution cost and Conditional Value-at-Risk (CVaR).

  4. A penalty guided stochastic fractal search approach for system reliability optimization

    International Nuclear Information System (INIS)

    Mellal, Mohamed Arezki; Zio, Enrico

    2016-01-01

    Modern industry requires components and systems with high reliability levels. In this paper, we address the system reliability optimization problem. A penalty guided stochastic fractal search approach is developed for solving reliability allocation, redundancy allocation, and reliability–redundancy allocation problems. Numerical results of ten case studies are presented as benchmark problems for highlighting the superiority of the proposed approach compared to others from literature. - Highlights: • System reliability optimization is investigated. • A penalty guided stochastic fractal search approach is developed. • Results of ten case studies are compared with previously published methods. • Performance of the approach is demonstrated.

  5. Stochastic optimization in insurance a dynamic programming approach

    CERN Document Server

    Azcue, Pablo

    2014-01-01

    The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.

  6. Dynamic stochastic optimization

    CERN Document Server

    Ermoliev, Yuri; Pflug, Georg

    2004-01-01

    Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic­ itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec­ tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci­ sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu­ tions. Objective an...

  7. Uncertainty Aware Structural Topology Optimization Via a Stochastic Reduced Order Model Approach

    Science.gov (United States)

    Aguilo, Miguel A.; Warner, James E.

    2017-01-01

    This work presents a stochastic reduced order modeling strategy for the quantification and propagation of uncertainties in topology optimization. Uncertainty aware optimization problems can be computationally complex due to the substantial number of model evaluations that are necessary to accurately quantify and propagate uncertainties. This computational complexity is greatly magnified if a high-fidelity, physics-based numerical model is used for the topology optimization calculations. Stochastic reduced order model (SROM) methods are applied here to effectively 1) alleviate the prohibitive computational cost associated with an uncertainty aware topology optimization problem; and 2) quantify and propagate the inherent uncertainties due to design imperfections. A generic SROM framework that transforms the uncertainty aware, stochastic topology optimization problem into a deterministic optimization problem that relies only on independent calls to a deterministic numerical model is presented. This approach facilitates the use of existing optimization and modeling tools to accurately solve the uncertainty aware topology optimization problems in a fraction of the computational demand required by Monte Carlo methods. Finally, an example in structural topology optimization is presented to demonstrate the effectiveness of the proposed uncertainty aware structural topology optimization approach.

  8. A stochastic programming approach towards optimization of biofuel supply chain

    International Nuclear Information System (INIS)

    Azadeh, Ali; Vafa Arani, Hamed; Dashti, Hossein

    2014-01-01

    Bioenergy has been recognized as an important source of energy that will reduce dependency on petroleum. It would have a positive impact on the economy, environment, and society. Production of bioenergy is expected to increase. As a result, we foresee an increase in the number of biorefineries in the near future. This paper analyzes challenges with supplying biomass to a biorefinery and shipping biofuel to demand centers. A stochastic linear programming model is proposed within a multi-period planning framework to maximize the expected profit. The model deals with a time-staged, multi-commodity, production/distribution system, facility locations and capacities, technologies, and material flows. We illustrate the model outputs and discuss the results through numerical examples considering disruptions in biofuel supply chain. Finally, sensitivity analyses are performed to gain managerial insights on how profit changes due to existing uncertainties. - Highlights: • A robust model of biofuel SC is proposed and a sensitivity analysis implemented. • Demand of products is a function of price and GBM (Geometric Brownian Motion) is used for prices of biofuels. • Uncertainties in SC network are captured through defining probabilistic scenarios. • Both traditional feedstock and lignocellulosic biomass are considered for biofuel production. • Developed model is applicable to any related biofuel supply chain regardless of region

  9. Optimally eating a stochastic cake. A recursive utility approach

    International Nuclear Information System (INIS)

    Epaulard, Anne; Pommeret, Aude

    2003-01-01

    In this short paper, uncertainties on resource stock and on technical progress are introduced into an intertemporal equilibrium model of optimal extraction of a non-renewable resource. The representative consumer maximizes a recursive utility function which disentangles between intertemporal elasticity of substitution and risk aversion. A closed-form solution is derived for both the optimal extraction and price paths. The value of the intertemporal elasticity of substitution relative to unity is then crucial in understanding extraction. Moreover, this model leads to a non-renewable resource price following a geometric Brownian motion

  10. An Augmented Incomplete Factorization Approach for Computing the Schur Complement in Stochastic Optimization

    KAUST Repository

    Petra, Cosmin G.; Schenk, Olaf; Lubin, Miles; Gä ertner, Klaus

    2014-01-01

    We present a scalable approach and implementation for solving stochastic optimization problems on high-performance computers. In this work we revisit the sparse linear algebra computations of the parallel solver PIPS with the goal of improving the shared-memory performance and decreasing the time to solution. These computations consist of solving sparse linear systems with multiple sparse right-hand sides and are needed in our Schur-complement decomposition approach to compute the contribution of each scenario to the Schur matrix. Our novel approach uses an incomplete augmented factorization implemented within the PARDISO linear solver and an outer BiCGStab iteration to efficiently absorb pivot perturbations occurring during factorization. This approach is capable of both efficiently using the cores inside a computational node and exploiting sparsity of the right-hand sides. We report on the performance of the approach on highperformance computers when solving stochastic unit commitment problems of unprecedented size (billions of variables and constraints) that arise in the optimization and control of electrical power grids. Our numerical experiments suggest that supercomputers can be efficiently used to solve power grid stochastic optimization problems with thousands of scenarios under the strict "real-time" requirements of power grid operators. To our knowledge, this has not been possible prior to the present work. © 2014 Society for Industrial and Applied Mathematics.

  11. Sequential stochastic optimization

    CERN Document Server

    Cairoli, Renzo

    1996-01-01

    Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-paramet

  12. Dynamic-Programming Approaches to Single- and Multi-Stage Stochastic Knapsack Problems for Portfolio Optimization

    National Research Council Canada - National Science Library

    Khoo, Wai

    1999-01-01

    .... These problems model stochastic portfolio optimization problems (SPOPs) which assume deterministic unit weight, and normally distributed unit return with known mean and variance for each item type...

  13. International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches

    Directory of Open Access Journals (Sweden)

    Fathi Abid

    2014-05-01

    Full Text Available This paper applies the mean-variance portfolio optimization (PO approach and the stochastic dominance (SD test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification strategy dominates the international diversification strategy at a lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate internationally diversified portfolios with larger risk and vice versa; and at the same risk level, there is no difference between the domestically and internationally diversified portfolios. Nonetheless, we cannot find any domestically diversified portfolios that stochastically dominate all internationally diversified portfolios, but we find some internationally diversified portfolios with small risk that dominate all the domestically diversified portfolios.

  14. NLP model and stochastic multi-start optimization approach for heat exchanger networks

    International Nuclear Information System (INIS)

    Núñez-Serna, Rosa I.; Zamora, Juan M.

    2016-01-01

    Highlights: • An NLP model for the optimal design of heat exchanger networks is proposed. • The NLP model is developed from a stage-wise grid diagram representation. • A two-phase stochastic multi-start optimization methodology is utilized. • Improved network designs are obtained with different heat load distributions. • Structural changes and reductions in the number of heat exchangers are produced. - Abstract: Heat exchanger network synthesis methodologies frequently identify good network structures, which nevertheless, might be accompanied by suboptimal values of design variables. The objective of this work is to develop a nonlinear programming (NLP) model and an optimization approach that aim at identifying the best values for intermediate temperatures, sub-stream flow rate fractions, heat loads and areas for a given heat exchanger network topology. The NLP model that minimizes the total annual cost of the network is constructed based on a stage-wise grid diagram representation. To improve the possibilities of obtaining global optimal designs, a two-phase stochastic multi-start optimization algorithm is utilized for the solution of the developed model. The effectiveness of the proposed optimization approach is illustrated with the optimization of two network designs proposed in the literature for two well-known benchmark problems. Results show that from the addressed base network topologies it is possible to achieve improved network designs, with redistributions in exchanger heat loads that lead to reductions in total annual costs. The results also show that the optimization of a given network design sometimes leads to structural simplifications and reductions in the total number of heat exchangers of the network, thereby exposing alternative viable network topologies initially not anticipated.

  15. Stochastic optimization methods

    CERN Document Server

    Marti, Kurt

    2005-01-01

    Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.

  16. a Stochastic Approach to Multiobjective Optimization of Large-Scale Water Reservoir Networks

    Science.gov (United States)

    Bottacin-Busolin, A.; Worman, A. L.

    2013-12-01

    A main challenge for the planning and management of water resources is the development of multiobjective strategies for operation of large-scale water reservoir networks. The optimal sequence of water releases from multiple reservoirs depends on the stochastic variability of correlated hydrologic inflows and on various processes that affect water demand and energy prices. Although several methods have been suggested, large-scale optimization problems arising in water resources management are still plagued by the high dimensional state space and by the stochastic nature of the hydrologic inflows. In this work, the optimization of reservoir operation is approached using approximate dynamic programming (ADP) with policy iteration and function approximators. The method is based on an off-line learning process in which operating policies are evaluated for a number of stochastic inflow scenarios, and the resulting value functions are used to design new, improved policies until convergence is attained. A case study is presented of a multi-reservoir system in the Dalälven River, Sweden, which includes 13 interconnected reservoirs and 36 power stations. Depending on the late spring and summer peak discharges, the lowlands adjacent to Dalälven can often be flooded during the summer period, and the presence of stagnating floodwater during the hottest months of the year is the cause of a large proliferation of mosquitos, which is a major problem for the people living in the surroundings. Chemical pesticides are currently being used as a preventive countermeasure, which do not provide an effective solution to the problem and have adverse environmental impacts. In this study, ADP was used to analyze the feasibility of alternative operating policies for reducing the flood risk at a reasonable economic cost for the hydropower companies. To this end, mid-term operating policies were derived by combining flood risk reduction with hydropower production objectives. The performance

  17. Multistage stochastic optimization

    CERN Document Server

    Pflug, Georg Ch

    2014-01-01

    Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book

  18. A stochastic optimization approach to reduce greenhouse gas emissions from buildings and transportation

    International Nuclear Information System (INIS)

    Karan, Ebrahim; Asadi, Somayeh; Ntaimo, Lewis

    2016-01-01

    The magnitude of building- and transportation-related GHG (greenhouse gas) emissions makes the adoption of all-EVs (electric vehicles) powered with renewable power as one of the most effective strategies to reduce emission of GHGs. This paper formulates the problem of GHG mitigation strategy under uncertain conditions and optimizes the strategies in which EVs are powered by solar energy. Under a pre-specified budget, the objective is to determine the type of EV and power generation capacity of the solar system in such a way as to maximize GHG emissions reductions. The model supports the three primary solar systems: off-grid, grid-tied, and hybrid. First, a stochastic optimization model using probability distributions of stochastic variables and EV and solar system specifications is developed. The model is then validated by comparing the estimated values of the optimal strategies and actual values. It is found that the mitigation strategies in which EVs are powered by a hybrid solar system lead to the best cost-expected reduction of CO_2 emissions ratio. The results show an accuracy of about 4% for mitigation strategies in which EVs are powered by a grid-tied or hybrid solar system and 11% when applied to estimate the CO_2 emissions reductions of an off-grid system. - Highlights: • The problem of GHG mitigation is formulated as a stochastic optimization problem. • The objective is to maximize CO_2 emissions reductions within a specified budget. • The stochastic model is validated using actual data. • The results show an estimation accuracy of 4–11%.

  19. Stochastic Real-Time Optimal Control: A Pseudospectral Approach for Bearing-Only Trajectory Optimization

    Science.gov (United States)

    2011-09-01

    measurements suitable for algorithms such as Ekelund or Spiess ranging [104], followed by one extra turn to eliminate ambiguities. A maneuver that...and Dynamics, 7(3), 1984. [104] Spiess , F. N. “Complete Solution of the Bearings Only Approach Problem”. UC San Diego: Scripps Institution of...spectral methods, 21 Spiess ranging, 4 state augmentation, 81 state transition matrix, 66 stereo ranging, 4 sUAS, 5–8, 14, 38, 39, 69, 77, 82, 86, 117, 167

  20. Stochastic optimization: beyond mathematical programming

    CERN Multimedia

    CERN. Geneva

    2015-01-01

    Stochastic optimization, among which bio-inspired algorithms, is gaining momentum in areas where more classical optimization algorithms fail to deliver satisfactory results, or simply cannot be directly applied. This presentation will introduce baseline stochastic optimization algorithms, and illustrate their efficiency in different domains, from continuous non-convex problems to combinatorial optimization problem, to problems for which a non-parametric formulation can help exploring unforeseen possible solution spaces.

  1. Topology optimization under stochastic stiffness

    Science.gov (United States)

    Asadpoure, Alireza

    Topology optimization is a systematic computational tool for optimizing the layout of materials within a domain for engineering design problems. It allows variation of structural boundaries and connectivities. This freedom in the design space often enables discovery of new, high performance designs. However, solutions obtained by performing the optimization in a deterministic setting may be impractical or suboptimal when considering real-world engineering conditions with inherent variabilities including (for example) variabilities in fabrication processes and operating conditions. The aim of this work is to provide a computational methodology for topology optimization in the presence of uncertainties associated with structural stiffness, such as uncertain material properties and/or structural geometry. Existing methods for topology optimization under deterministic conditions are first reviewed. Modifications are then proposed to improve the numerical performance of the so-called Heaviside Projection Method (HPM) in continuum domains. Next, two approaches, perturbation and Polynomial Chaos Expansion (PCE), are proposed to account for uncertainties in the optimization procedure. These approaches are intrusive, allowing tight and efficient coupling of the uncertainty quantification with the optimization sensitivity analysis. The work herein develops a robust topology optimization framework aimed at reducing the sensitivity of optimized solutions to uncertainties. The perturbation-based approach combines deterministic topology optimization with a perturbation method for the quantification of uncertainties. The use of perturbation transforms the problem of topology optimization under uncertainty to an augmented deterministic topology optimization problem. The PCE approach combines the spectral stochastic approach for the representation and propagation of uncertainties with an existing deterministic topology optimization technique. The resulting compact representations

  2. Optimal Liquidation under Stochastic Liquidity

    OpenAIRE

    Becherer, Dirk; Bilarev, Todor; Frentrup, Peter

    2016-01-01

    We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochastic in that the volume effect process, which determines the inter-temporal resilience of the market in spirit of Predoiu, Shaikhet and Shreve (2011), is taken to be stochastic, being driven by own random noise. The optimal contro...

  3. Optimal Control Inventory Stochastic With Production Deteriorating

    Science.gov (United States)

    Affandi, Pardi

    2018-01-01

    In this paper, we are using optimal control approach to determine the optimal rate in production. Most of the inventory production models deal with a single item. First build the mathematical models inventory stochastic, in this model we also assume that the items are in the same store. The mathematical model of the problem inventory can be deterministic and stochastic models. In this research will be discussed how to model the stochastic as well as how to solve the inventory model using optimal control techniques. The main tool in the study problems for the necessary optimality conditions in the form of the Pontryagin maximum principle involves the Hamilton function. So we can have the optimal production rate in a production inventory system where items are subject deterioration.

  4. Stochastic approach to microphysics

    Energy Technology Data Exchange (ETDEWEB)

    Aron, J.C.

    1987-01-01

    The presently widespread idea of ''vacuum population'', together with the quantum concept of vacuum fluctuations leads to assume a random level below that of matter. This stochastic approach starts by a reminder of the author's previous work, first on the relation of diffusion laws with the foundations of microphysics, and then on hadron spectrum. Following the latter, a random quark model is advanced; it gives to quark pairs properties similar to those of a harmonic oscillator or an elastic string, imagined as an explanation to their asymptotic freedom and their confinement. The stochastic study of such interactions as electron-nucleon, jets in e/sup +/e/sup -/ collisions, or pp -> ..pi../sup 0/ + X, gives form factors closely consistent with experiment. The conclusion is an epistemological comment (complementarity between stochastic and quantum domains, E.P.R. paradox, etc...).

  5. Stochastic global optimization as a filtering problem

    International Nuclear Information System (INIS)

    Stinis, Panos

    2012-01-01

    We present a reformulation of stochastic global optimization as a filtering problem. The motivation behind this reformulation comes from the fact that for many optimization problems we cannot evaluate exactly the objective function to be optimized. Similarly, we may not be able to evaluate exactly the functions involved in iterative optimization algorithms. For example, we may only have access to noisy measurements of the functions or statistical estimates provided through Monte Carlo sampling. This makes iterative optimization algorithms behave like stochastic maps. Naive global optimization amounts to evolving a collection of realizations of this stochastic map and picking the realization with the best properties. This motivates the use of filtering techniques to allow focusing on realizations that are more promising than others. In particular, we present a filtering reformulation of global optimization in terms of a special case of sequential importance sampling methods called particle filters. The increasing popularity of particle filters is based on the simplicity of their implementation and their flexibility. We utilize the flexibility of particle filters to construct a stochastic global optimization algorithm which can converge to the optimal solution appreciably faster than naive global optimization. Several examples of parametric exponential density estimation are provided to demonstrate the efficiency of the approach.

  6. A stochastic logical system approach to model and optimal control of cyclic variation of residual gas fraction in combustion engines

    International Nuclear Information System (INIS)

    Wu, Yuhu; Kumar, Madan; Shen, Tielong

    2016-01-01

    Highlights: • An in-cylinder pressure based measuring method for the RGF is derived. • A stochastic logical dynamical model is proposed to represent the transient behavior of the RGF. • The receding horizon controller is designed to reduce the variance of the RGF. • The effectiveness of the proposed model and control approach is validated by the experimental evidence. - Abstract: In four stroke internal combustion engines, residual gas from the previous cycle is an important factor influencing the combustion quality of the current cycle, and the residual gas fraction (RGF) is a popular index to monitor the influence of residual gas. This paper investigates the cycle-to-cycle transient behavior of the RGF in the view of systems theory and proposes a multi-valued logic-based control strategy for attenuation of RGF fluctuation. First, an in-cylinder pressure sensor-based method for measuring the RGF is provided by following the physics of the in-cylinder transient state of four-stroke internal combustion engines. Then, the stochastic property of the RGF is examined based on statistical data obtained by conducting experiments on a full-scale gasoline engine test bench. Based on the observation of the examination, a stochastic logical transient model is proposed to represent the cycle-to-cycle transient behavior of the RGF, and with the model an optimal feedback control law, which targets on rejection of the RGF fluctuation, is derived in the framework of stochastic logical system theory. Finally, experimental results are demonstrated to show the effectiveness of the proposed model and the control strategy.

  7. Stochastic optimization methods

    CERN Document Server

    Marti, Kurt

    2008-01-01

    Optimization problems arising in practice involve random model parameters. This book features many illustrations, several examples, and applications to concrete problems from engineering and operations research.

  8. A new approach to developing and optimizing organization strategy based on stochastic quantitative model of strategic performance

    Directory of Open Access Journals (Sweden)

    Marko Hell

    2014-03-01

    Full Text Available This paper presents a highly formalized approach to strategy formulation and optimization of strategic performance through proper resource allocation. A stochastic quantitative model of strategic performance (SQMSP is used to evaluate the efficiency of the strategy developed. The SQMSP follows the theoretical notions of the balanced scorecard (BSC and strategy map methodologies, initially developed by Kaplan and Norton. Parameters of the SQMSP are suggested to be random variables and be evaluated by experts who give two-point (optimistic and pessimistic values and three-point (optimistic, most probable and pessimistic values evaluations. The Monte-Carlo method is used to simulate strategic performance. Having been implemented within a computer application and applied to solve the real problem (planning of an IT-strategy at the Faculty of Economics, University of Split the proposed approach demonstrated its high potential as a basis for development of decision support tools related to strategic planning.

  9. Optimal Advertising with Stochastic Demand

    OpenAIRE

    George E. Monahan

    1983-01-01

    A stochastic, sequential model is developed to determine optimal advertising expenditures as a function of product maturity and past advertising. Random demand for the product depends upon an aggregate measure of current and past advertising called "goodwill," and the position of the product in its life cycle measured by sales-to-date. Conditions on the parameters of the model are established that insure that it is optimal to advertise less as the product matures. Additional characteristics o...

  10. Stochastic and global optimization

    National Research Council Canada - National Science Library

    Dzemyda, Gintautas; Šaltenis, Vydūnas; Zhilinskas, A; Mockus, Jonas

    2002-01-01

    ... and Effectiveness of Controlled Random Search E. M. T. Hendrix, P. M. Ortigosa and I. García 129 9. Discrete Backtracking Adaptive Search for Global Optimization B. P. Kristinsdottir, Z. B. Zabinsky and...

  11. Optimal coupling of heat and electricity systems: A stochastic hierarchical approach

    DEFF Research Database (Denmark)

    Mitridati, Lesia Marie-Jeanne Mariane; Pinson, Pierre

    2016-01-01

    modelled using a finite set of scenarios. This model takes advantage of existing market structures and provides a decision-making tool for heat system operators. The proposed model is implemented in a case study and results are discussed to show the benefits and applicability of this approach....... penetration of CHPs and wind. The objective of this optimization problem is to minimize the heat production cost, subject to constraints describing day-ahead electricity market clearing scenarios. Uncertainties concerning wind power production, electricity demand and rival participants offers are efficiently...

  12. Stochastic Optimal Control of a Heave Point Wave Energy Converter Based on a Modified LQG Approach

    DEFF Research Database (Denmark)

    Sun, Tao; Nielsen, Søren R. K.

    2018-01-01

    and actuator force are approximately considered by counteracting the absorbed power in the objective quadratic functional. Based on rational approximations to the radiation force and the wave load, the integrated dynamic system can be reformulated as a linear stochastic differential equation which is driven...

  13. Environmental and Economic Optimization Model for Electric System Planning in Ningxia, China: Inexact Stochastic Risk-Aversion Programming Approach

    Directory of Open Access Journals (Sweden)

    L. Ji

    2015-01-01

    Full Text Available The main goal of this paper is to provide a novel risk aversion model for long-term electric power system planning from the manager’s perspective with the consideration of various uncertainties. In the proposed method, interval parameter programming and two-stage stochastic programming are integrated to deal with the technical, economics, and policy uncertainties. Moreover, downside risk theory is introduced to balance the trade-off between the profit and risk according to the decision-maker’s risk aversion attitude. To verify the effectiveness and practical application of this approach, an inexact stochastic risk aversion model is developed for regional electric system planning and management in Ningxia Hui Autonomous Region, China. The series of solutions provide the decision-maker with the optimal investment strategy and operation management under different future emission reduction scenarios and risk-aversion levels. The results indicated that pollution control devices are still the main measures to achieve the current mitigation goal and the adjustment of generation structure would play an important role in the future cleaner electricity system with the stricter environmental policy. In addition, the model can be used for generating decision alternatives and helping decision-makers identify desired energy structure adjustment and pollutants/carbon mitigation abatement policies under various economic and system-reliability constraints.

  14. Portfolio Optimization with Stochastic Dividends and Stochastic Volatility

    Science.gov (United States)

    Varga, Katherine Yvonne

    2015-01-01

    We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman…

  15. A robust stochastic approach for design optimization of air cooled heat exchangers

    Energy Technology Data Exchange (ETDEWEB)

    Doodman, A.R.; Fesanghary, M.; Hosseini, R. [Department of Mechanical Engineering, Amirkabir University of Technology, 424-Hafez Avenue, 15875-4413 Tehran (Iran)

    2009-07-15

    This study investigates the use of global sensitivity analysis (GSA) and harmony search (HS) algorithm for design optimization of air cooled heat exchangers (ACHEs) from the economic viewpoint. In order to reduce the size of the optimization problem, GSA is performed to examine the effect of the design parameters and to identify the non-influential parameters. Then HS is applied to optimize influential parameters. To demonstrate the ability of the HS algorithm a case study is considered and for validation purpose, genetic algorithm (GA) is also applied to this case study. Results reveal that the HS algorithm converges to optimum solution with higher accuracy in comparison with GA. (author)

  16. A robust stochastic approach for design optimization of air cooled heat exchangers

    International Nuclear Information System (INIS)

    Doodman, A.R.; Fesanghary, M.; Hosseini, R.

    2009-01-01

    This study investigates the use of global sensitivity analysis (GSA) and harmony search (HS) algorithm for design optimization of air cooled heat exchangers (ACHEs) from the economic viewpoint. In order to reduce the size of the optimization problem, GSA is performed to examine the effect of the design parameters and to identify the non-influential parameters. Then HS is applied to optimize influential parameters. To demonstrate the ability of the HS algorithm a case study is considered and for validation purpose, genetic algorithm (GA) is also applied to this case study. Results reveal that the HS algorithm converges to optimum solution with higher accuracy in comparison with GA

  17. Sensory optimization by stochastic tuning.

    Science.gov (United States)

    Jurica, Peter; Gepshtein, Sergei; Tyukin, Ivan; van Leeuwen, Cees

    2013-10-01

    Individually, visual neurons are each selective for several aspects of stimulation, such as stimulus location, frequency content, and speed. Collectively, the neurons implement the visual system's preferential sensitivity to some stimuli over others, manifested in behavioral sensitivity functions. We ask how the individual neurons are coordinated to optimize visual sensitivity. We model synaptic plasticity in a generic neural circuit and find that stochastic changes in strengths of synaptic connections entail fluctuations in parameters of neural receptive fields. The fluctuations correlate with uncertainty of sensory measurement in individual neurons: The higher the uncertainty the larger the amplitude of fluctuation. We show that this simple relationship is sufficient for the stochastic fluctuations to steer sensitivities of neurons toward a characteristic distribution, from which follows a sensitivity function observed in human psychophysics and which is predicted by a theory of optimal allocation of receptive fields. The optimal allocation arises in our simulations without supervision or feedback about system performance and independently of coupling between neurons, making the system highly adaptive and sensitive to prevailing stimulation. PsycINFO Database Record (c) 2013 APA, all rights reserved.

  18. A stochastic chemical dynamic approach to correlate autoimmunity and optimal vitamin-D range.

    Science.gov (United States)

    Roy, Susmita; Shrinivas, Krishna; Bagchi, Biman

    2014-01-01

    Motivated by several recent experimental observations that vitamin-D could interact with antigen presenting cells (APCs) and T-lymphocyte cells (T-cells) to promote and to regulate different stages of immune response, we developed a coarse grained but general kinetic model in an attempt to capture the role of vitamin-D in immunomodulatory responses. Our kinetic model, developed using the ideas of chemical network theory, leads to a system of nine coupled equations that we solve both by direct and by stochastic (Gillespie) methods. Both the analyses consistently provide detail information on the dependence of immune response to the variation of critical rate parameters. We find that although vitamin-D plays a negligible role in the initial immune response, it exerts a profound influence in the long term, especially in helping the system to achieve a new, stable steady state. The study explores the role of vitamin-D in preserving an observed bistability in the phase diagram (spanned by system parameters) of immune regulation, thus allowing the response to tolerate a wide range of pathogenic stimulation which could help in resisting autoimmune diseases. We also study how vitamin-D affects the time dependent population of dendritic cells that connect between innate and adaptive immune responses. Variations in dose dependent response of anti-inflammatory and pro-inflammatory T-cell populations to vitamin-D correlate well with recent experimental results. Our kinetic model allows for an estimation of the range of optimum level of vitamin-D required for smooth functioning of the immune system and for control of both hyper-regulation and inflammation. Most importantly, the present study reveals that an overdose or toxic level of vitamin-D or any steroid analogue could give rise to too large a tolerant response, leading to an inefficacy in adaptive immune function.

  19. A stochastic chemical dynamic approach to correlate autoimmunity and optimal vitamin-D range.

    Directory of Open Access Journals (Sweden)

    Susmita Roy

    Full Text Available Motivated by several recent experimental observations that vitamin-D could interact with antigen presenting cells (APCs and T-lymphocyte cells (T-cells to promote and to regulate different stages of immune response, we developed a coarse grained but general kinetic model in an attempt to capture the role of vitamin-D in immunomodulatory responses. Our kinetic model, developed using the ideas of chemical network theory, leads to a system of nine coupled equations that we solve both by direct and by stochastic (Gillespie methods. Both the analyses consistently provide detail information on the dependence of immune response to the variation of critical rate parameters. We find that although vitamin-D plays a negligible role in the initial immune response, it exerts a profound influence in the long term, especially in helping the system to achieve a new, stable steady state. The study explores the role of vitamin-D in preserving an observed bistability in the phase diagram (spanned by system parameters of immune regulation, thus allowing the response to tolerate a wide range of pathogenic stimulation which could help in resisting autoimmune diseases. We also study how vitamin-D affects the time dependent population of dendritic cells that connect between innate and adaptive immune responses. Variations in dose dependent response of anti-inflammatory and pro-inflammatory T-cell populations to vitamin-D correlate well with recent experimental results. Our kinetic model allows for an estimation of the range of optimum level of vitamin-D required for smooth functioning of the immune system and for control of both hyper-regulation and inflammation. Most importantly, the present study reveals that an overdose or toxic level of vitamin-D or any steroid analogue could give rise to too large a tolerant response, leading to an inefficacy in adaptive immune function.

  20. The optimal approach of detecting stochastic gravitational wave from string cosmology using multiple detectors

    International Nuclear Information System (INIS)

    Fan Xilong; Zhu Zonghong

    2008-01-01

    String cosmology models predict a relic background of gravitational wave produced during the dilaton-driven inflation. It's spectrum is most likely to be detected by ground gravitational wave laser interferometers (IFOs), like LIGO, Virgo, GEO, as the energy density grows rapidly with frequency. We show the certain ranges of the parameters that underlying string cosmology model using two approaches, associated with 5% false alarm and 95% detection rate. The result presents that the approach of combining multiple pairs of IFOs is better than the approach of directly combining the outputs of multiple IFOs for LIGOH, LIGOL, Virgo and GEO

  1. Stochastic Funding of a Defined Contribution Pension Plan with Proportional Administrative Costs and Taxation under Mean-Variance Optimization Approach

    Directory of Open Access Journals (Sweden)

    Charles I Nkeki

    2014-11-01

    Full Text Available This paper aim at studying a mean-variance portfolio selection problem with stochastic salary, proportional administrative costs and taxation in the accumulation phase of a defined contribution (DC pension scheme. The fund process is subjected to taxation while the contribution of the pension plan member (PPM is tax exempt. It is assumed that the flow of contributions of a PPM are invested into a market that is characterized by a cash account and a stock. The optimal portfolio processes and expected wealth for the PPM are established. The efficient and parabolic frontiers of a PPM portfolios in mean-variance are obtained. It was found that capital market line can be attained when initial fund and the contribution rate are zero. It was also found that the optimal portfolio process involved an inter-temporal hedging term that will offset any shocks to the stochastic salary of the PPM.

  2. An Optimization Approach for Hazardous Waste Management Problem under Stochastic Programming

    International Nuclear Information System (INIS)

    Abass, S.A.; Abdallah, A.S.; Gomaa, M.A.

    2008-01-01

    Hazardous waste is the waste which, due to their nature and quantity, is potentially hazardous to human health and/or the environment. This kind of waste requires special disposal techniques to eliminate or reduce thc hazardous. Hazardous waste management (HWM) problem is concerned in the basic with the disposal method. hi this paper we focus on incineration as an effective to dispose the waste. For this type of disposal, there arc air pollution standards imposed by the government. We will propose an optimization model satisfied the air pollution standards and based on the model of Emek and Kara with using random variable coefficients in the constraint

  3. A Stochastic Multiobjective Optimization Framework for Wireless Sensor Networks

    Directory of Open Access Journals (Sweden)

    Shibo He

    2010-01-01

    Full Text Available In wireless sensor networks (WSNs, there generally exist many different objective functions to be optimized. In this paper, we propose a stochastic multiobjective optimization approach to solve such kind of problem. We first formulate a general multiobjective optimization problem. We then decompose the optimization formulation through Lagrange dual decomposition and adopt the stochastic quasigradient algorithm to solve the primal-dual problem in a distributed way. We show theoretically that our algorithm converges to the optimal solution of the primal problem by using the knowledge of stochastic programming. Furthermore, the formulation provides a general stochastic multiobjective optimization framework for WSNs. We illustrate how the general framework works by considering an example of the optimal rate allocation problem in multipath WSNs with time-varying channel. Extensive simulation results are given to demonstrate the effectiveness of our algorithm.

  4. Decoding suprathreshold stochastic resonance with optimal weights

    International Nuclear Information System (INIS)

    Xu, Liyan; Vladusich, Tony; Duan, Fabing; Gunn, Lachlan J.; Abbott, Derek; McDonnell, Mark D.

    2015-01-01

    We investigate an array of stochastic quantizers for converting an analog input signal into a discrete output in the context of suprathreshold stochastic resonance. A new optimal weighted decoding is considered for different threshold level distributions. We show that for particular noise levels and choices of the threshold levels optimally weighting the quantizer responses provides a reduced mean square error in comparison with the original unweighted array. However, there are also many parameter regions where the original array provides near optimal performance, and when this occurs, it offers a much simpler approach than optimally weighting each quantizer's response. - Highlights: • A weighted summing array of independently noisy binary comparators is investigated. • We present an optimal linearly weighted decoding scheme for combining the comparator responses. • We solve for the optimal weights by applying least squares regression to simulated data. • We find that the MSE distortion of weighting before summation is superior to unweighted summation of comparator responses. • For some parameter regions, the decrease in MSE distortion due to weighting is negligible

  5. Stochastic Linear Quadratic Optimal Control Problems

    International Nuclear Information System (INIS)

    Chen, S.; Yong, J.

    2001-01-01

    This paper is concerned with the stochastic linear quadratic optimal control problem (LQ problem, for short) for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. Some intrinsic relations among the LQ problem, the stochastic maximum principle, and the (linear) forward-backward stochastic differential equations are established. Some results involving Riccati equation are discussed as well

  6. Optimal Control for Stochastic Delay Evolution Equations

    Energy Technology Data Exchange (ETDEWEB)

    Meng, Qingxin, E-mail: mqx@hutc.zj.cn [Huzhou University, Department of Mathematical Sciences (China); Shen, Yang, E-mail: skyshen87@gmail.com [York University, Department of Mathematics and Statistics (Canada)

    2016-08-15

    In this paper, we investigate a class of infinite-dimensional optimal control problems, where the state equation is given by a stochastic delay evolution equation with random coefficients, and the corresponding adjoint equation is given by an anticipated backward stochastic evolution equation. We first prove the continuous dependence theorems for stochastic delay evolution equations and anticipated backward stochastic evolution equations, and show the existence and uniqueness of solutions to anticipated backward stochastic evolution equations. Then we establish necessary and sufficient conditions for optimality of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, we apply stochastic maximum principles to study two examples, an infinite-dimensional linear-quadratic control problem with delay and an optimal control of a Dirichlet problem for a stochastic partial differential equation with delay. Further applications of the two examples to a Cauchy problem for a controlled linear stochastic partial differential equation and an optimal harvesting problem are also considered.

  7. Approximative solutions of stochastic optimization problem

    Czech Academy of Sciences Publication Activity Database

    Lachout, Petr

    2010-01-01

    Roč. 46, č. 3 (2010), s. 513-523 ISSN 0023-5954 R&D Projects: GA ČR GA201/08/0539 Institutional research plan: CEZ:AV0Z10750506 Keywords : Stochastic optimization problem * sensitivity * approximative solution Subject RIV: BA - General Mathematics Impact factor: 0.461, year: 2010 http://library.utia.cas.cz/separaty/2010/SI/lachout-approximative solutions of stochastic optimization problem.pdf

  8. Dealing with equality and benefit for water allocation in a lake watershed: A Gini-coefficient based stochastic optimization approach

    Science.gov (United States)

    Dai, C.; Qin, X. S.; Chen, Y.; Guo, H. C.

    2018-06-01

    A Gini-coefficient based stochastic optimization (GBSO) model was developed by integrating the hydrological model, water balance model, Gini coefficient and chance-constrained programming (CCP) into a general multi-objective optimization modeling framework for supporting water resources allocation at a watershed scale. The framework was advantageous in reflecting the conflicting equity and benefit objectives for water allocation, maintaining the water balance of watershed, and dealing with system uncertainties. GBSO was solved by the non-dominated sorting Genetic Algorithms-II (NSGA-II), after the parameter uncertainties of the hydrological model have been quantified into the probability distribution of runoff as the inputs of CCP model, and the chance constraints were converted to the corresponding deterministic versions. The proposed model was applied to identify the Pareto optimal water allocation schemes in the Lake Dianchi watershed, China. The optimal Pareto-front results reflected the tradeoff between system benefit (αSB) and Gini coefficient (αG) under different significance levels (i.e. q) and different drought scenarios, which reveals the conflicting nature of equity and efficiency in water allocation problems. A lower q generally implies a lower risk of violating the system constraints and a worse drought intensity scenario corresponds to less available water resources, both of which would lead to a decreased system benefit and a less equitable water allocation scheme. Thus, the proposed modeling framework could help obtain the Pareto optimal schemes under complexity and ensure that the proposed water allocation solutions are effective for coping with drought conditions, with a proper tradeoff between system benefit and water allocation equity.

  9. STOCHASTIC GRADIENT METHODS FOR UNCONSTRAINED OPTIMIZATION

    Directory of Open Access Journals (Sweden)

    Nataša Krejić

    2014-12-01

    Full Text Available This papers presents an overview of gradient based methods for minimization of noisy functions. It is assumed that the objective functions is either given with error terms of stochastic nature or given as the mathematical expectation. Such problems arise in the context of simulation based optimization. The focus of this presentation is on the gradient based Stochastic Approximation and Sample Average Approximation methods. The concept of stochastic gradient approximation of the true gradient can be successfully extended to deterministic problems. Methods of this kind are presented for the data fitting and machine learning problems.

  10. On benchmarking Stochastic Global Optimization Algorithms

    NARCIS (Netherlands)

    Hendrix, E.M.T.; Lancinskas, A.

    2015-01-01

    A multitude of heuristic stochastic optimization algorithms have been described in literature to obtain good solutions of the box-constrained global optimization problem often with a limit on the number of used function evaluations. In the larger question of which algorithms behave well on which

  11. Stochastic optimal control, forward-backward stochastic differential equations and the Schroedinger equation

    Energy Technology Data Exchange (ETDEWEB)

    Paul, Wolfgang; Koeppe, Jeanette [Institut fuer Physik, Martin Luther Universitaet, 06099 Halle (Germany); Grecksch, Wilfried [Institut fuer Mathematik, Martin Luther Universitaet, 06099 Halle (Germany)

    2016-07-01

    The standard approach to solve a non-relativistic quantum problem is through analytical or numerical solution of the Schroedinger equation. We show a way to go around it. This way is based on the derivation of the Schroedinger equation from conservative diffusion processes and the establishment of (several) stochastic variational principles leading to the Schroedinger equation under the assumption of a kinematics described by Nelson's diffusion processes. Mathematically, the variational principle can be considered as a stochastic optimal control problem linked to the forward-backward stochastic differential equations of Nelson's stochastic mechanics. The Hamilton-Jacobi-Bellmann equation of this control problem is the Schroedinger equation. We present the mathematical background and how to turn it into a numerical scheme for analyzing a quantum system without using the Schroedinger equation and exemplify the approach for a simple 1d problem.

  12. Optimal Computing Budget Allocation for Particle Swarm Optimization in Stochastic Optimization.

    Science.gov (United States)

    Zhang, Si; Xu, Jie; Lee, Loo Hay; Chew, Ek Peng; Wong, Wai Peng; Chen, Chun-Hung

    2017-04-01

    Particle Swarm Optimization (PSO) is a popular metaheuristic for deterministic optimization. Originated in the interpretations of the movement of individuals in a bird flock or fish school, PSO introduces the concept of personal best and global best to simulate the pattern of searching for food by flocking and successfully translate the natural phenomena to the optimization of complex functions. Many real-life applications of PSO cope with stochastic problems. To solve a stochastic problem using PSO, a straightforward approach is to equally allocate computational effort among all particles and obtain the same number of samples of fitness values. This is not an efficient use of computational budget and leaves considerable room for improvement. This paper proposes a seamless integration of the concept of optimal computing budget allocation (OCBA) into PSO to improve the computational efficiency of PSO for stochastic optimization problems. We derive an asymptotically optimal allocation rule to intelligently determine the number of samples for all particles such that the PSO algorithm can efficiently select the personal best and global best when there is stochastic estimation noise in fitness values. We also propose an easy-to-implement sequential procedure. Numerical tests show that our new approach can obtain much better results using the same amount of computational effort.

  13. Stochastic modeling and control system designs of the NASA/MSFC Ground Facility for large space structures: The maximum entropy/optimal projection approach

    Science.gov (United States)

    Hsia, Wei-Shen

    1986-01-01

    In the Control Systems Division of the Systems Dynamics Laboratory of the NASA/MSFC, a Ground Facility (GF), in which the dynamics and control system concepts being considered for Large Space Structures (LSS) applications can be verified, was designed and built. One of the important aspects of the GF is to design an analytical model which will be as close to experimental data as possible so that a feasible control law can be generated. Using Hyland's Maximum Entropy/Optimal Projection Approach, a procedure was developed in which the maximum entropy principle is used for stochastic modeling and the optimal projection technique is used for a reduced-order dynamic compensator design for a high-order plant.

  14. Sparse Learning with Stochastic Composite Optimization.

    Science.gov (United States)

    Zhang, Weizhong; Zhang, Lijun; Jin, Zhongming; Jin, Rong; Cai, Deng; Li, Xuelong; Liang, Ronghua; He, Xiaofei

    2017-06-01

    In this paper, we study Stochastic Composite Optimization (SCO) for sparse learning that aims to learn a sparse solution from a composite function. Most of the recent SCO algorithms have already reached the optimal expected convergence rate O(1/λT), but they often fail to deliver sparse solutions at the end either due to the limited sparsity regularization during stochastic optimization (SO) or due to the limitation in online-to-batch conversion. Even when the objective function is strongly convex, their high probability bounds can only attain O(√{log(1/δ)/T}) with δ is the failure probability, which is much worse than the expected convergence rate. To address these limitations, we propose a simple yet effective two-phase Stochastic Composite Optimization scheme by adding a novel powerful sparse online-to-batch conversion to the general Stochastic Optimization algorithms. We further develop three concrete algorithms, OptimalSL, LastSL and AverageSL, directly under our scheme to prove the effectiveness of the proposed scheme. Both the theoretical analysis and the experiment results show that our methods can really outperform the existing methods at the ability of sparse learning and at the meantime we can improve the high probability bound to approximately O(log(log(T)/δ)/λT).

  15. Advances in stochastic and deterministic global optimization

    CERN Document Server

    Zhigljavsky, Anatoly; Žilinskas, Julius

    2016-01-01

    Current research results in stochastic and deterministic global optimization including single and multiple objectives are explored and presented in this book by leading specialists from various fields. Contributions include applications to multidimensional data visualization, regression, survey calibration, inventory management, timetabling, chemical engineering, energy systems, and competitive facility location. Graduate students, researchers, and scientists in computer science, numerical analysis, optimization, and applied mathematics will be fascinated by the theoretical, computational, and application-oriented aspects of stochastic and deterministic global optimization explored in this book. This volume is dedicated to the 70th birthday of Antanas Žilinskas who is a leading world expert in global optimization. Professor Žilinskas's research has concentrated on studying models for the objective function, the development and implementation of efficient algorithms for global optimization with single and mu...

  16. Optimal Control and Optimization of Stochastic Supply Chain Systems

    CERN Document Server

    Song, Dong-Ping

    2013-01-01

    Optimal Control and Optimization of Stochastic Supply Chain Systems examines its subject in the context of the presence of a variety of uncertainties. Numerous examples with intuitive illustrations and tables are provided, to demonstrate the structural characteristics of the optimal control policies in various stochastic supply chains and to show how to make use of these characteristics to construct easy-to-operate sub-optimal policies.                 In Part I, a general introduction to stochastic supply chain systems is provided. Analytical models for various stochastic supply chain systems are formulated and analysed in Part II. In Part III the structural knowledge of the optimal control policies obtained in Part II is utilized to construct easy-to-operate sub-optimal control policies for various stochastic supply chain systems accordingly. Finally, Part IV discusses the optimisation of threshold-type control policies and their robustness. A key feature of the book is its tying together of ...

  17. Fuzzy Stochastic Optimization Theory, Models and Applications

    CERN Document Server

    Wang, Shuming

    2012-01-01

    Covering in detail both theoretical and practical perspectives, this book is a self-contained and systematic depiction of current fuzzy stochastic optimization that deploys the fuzzy random variable as a core mathematical tool to model the integrated fuzzy random uncertainty. It proceeds in an orderly fashion from the requisite theoretical aspects of the fuzzy random variable to fuzzy stochastic optimization models and their real-life case studies.   The volume reflects the fact that randomness and fuzziness (or vagueness) are two major sources of uncertainty in the real world, with significant implications in a number of settings. In industrial engineering, management and economics, the chances are high that decision makers will be confronted with information that is simultaneously probabilistically uncertain and fuzzily imprecise, and optimization in the form of a decision must be made in an environment that is doubly uncertain, characterized by a co-occurrence of randomness and fuzziness. This book begins...

  18. Dynamic optimization deterministic and stochastic models

    CERN Document Server

    Hinderer, Karl; Stieglitz, Michael

    2016-01-01

    This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.

  19. Optimal Land Use Management for Soil Erosion Control by Using an Interval-Parameter Fuzzy Two-Stage Stochastic Programming Approach

    Science.gov (United States)

    Han, Jing-Cheng; Huang, Guo-He; Zhang, Hua; Li, Zhong

    2013-09-01

    Soil erosion is one of the most serious environmental and public health problems, and such land degradation can be effectively mitigated through performing land use transitions across a watershed. Optimal land use management can thus provide a way to reduce soil erosion while achieving the maximum net benefit. However, optimized land use allocation schemes are not always successful since uncertainties pertaining to soil erosion control are not well presented. This study applied an interval-parameter fuzzy two-stage stochastic programming approach to generate optimal land use planning strategies for soil erosion control based on an inexact optimization framework, in which various uncertainties were reflected. The modeling approach can incorporate predefined soil erosion control policies, and address inherent system uncertainties expressed as discrete intervals, fuzzy sets, and probability distributions. The developed model was demonstrated through a case study in the Xiangxi River watershed, China's Three Gorges Reservoir region. Land use transformations were employed as decision variables, and based on these, the land use change dynamics were yielded for a 15-year planning horizon. Finally, the maximum net economic benefit with an interval value of [1.197, 6.311] × 109 was obtained as well as corresponding land use allocations in the three planning periods. Also, the resulting soil erosion amount was found to be decreased and controlled at a tolerable level over the watershed. Thus, results confirm that the developed model is a useful tool for implementing land use management as not only does it allow local decision makers to optimize land use allocation, but can also help to answer how to accomplish land use changes.

  20. Optimal land use management for soil erosion control by using an interval-parameter fuzzy two-stage stochastic programming approach.

    Science.gov (United States)

    Han, Jing-Cheng; Huang, Guo-He; Zhang, Hua; Li, Zhong

    2013-09-01

    Soil erosion is one of the most serious environmental and public health problems, and such land degradation can be effectively mitigated through performing land use transitions across a watershed. Optimal land use management can thus provide a way to reduce soil erosion while achieving the maximum net benefit. However, optimized land use allocation schemes are not always successful since uncertainties pertaining to soil erosion control are not well presented. This study applied an interval-parameter fuzzy two-stage stochastic programming approach to generate optimal land use planning strategies for soil erosion control based on an inexact optimization framework, in which various uncertainties were reflected. The modeling approach can incorporate predefined soil erosion control policies, and address inherent system uncertainties expressed as discrete intervals, fuzzy sets, and probability distributions. The developed model was demonstrated through a case study in the Xiangxi River watershed, China's Three Gorges Reservoir region. Land use transformations were employed as decision variables, and based on these, the land use change dynamics were yielded for a 15-year planning horizon. Finally, the maximum net economic benefit with an interval value of [1.197, 6.311] × 10(9) $ was obtained as well as corresponding land use allocations in the three planning periods. Also, the resulting soil erosion amount was found to be decreased and controlled at a tolerable level over the watershed. Thus, results confirm that the developed model is a useful tool for implementing land use management as not only does it allow local decision makers to optimize land use allocation, but can also help to answer how to accomplish land use changes.

  1. Stochastic Finite Elements in Reliability-Based Structural Optimization

    DEFF Research Database (Denmark)

    Sørensen, John Dalsgaard; Engelund, S.

    1995-01-01

    Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect to optimi......Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...... to optimization variables can be performed. A computer implementation is described and an illustrative example is given....

  2. Stochastic approach for radionuclides quantification

    Science.gov (United States)

    Clement, A.; Saurel, N.; Perrin, G.

    2018-01-01

    Gamma spectrometry is a passive non-destructive assay used to quantify radionuclides present in more or less complex objects. Basic methods using empirical calibration with a standard in order to quantify the activity of nuclear materials by determining the calibration coefficient are useless on non-reproducible, complex and single nuclear objects such as waste packages. Package specifications as composition or geometry change from one package to another and involve a high variability of objects. Current quantification process uses numerical modelling of the measured scene with few available data such as geometry or composition. These data are density, material, screen, geometric shape, matrix composition, matrix and source distribution. Some of them are strongly dependent on package data knowledge and operator backgrounds. The French Commissariat à l'Energie Atomique (CEA) is developing a new methodology to quantify nuclear materials in waste packages and waste drums without operator adjustment and internal package configuration knowledge. This method suggests combining a global stochastic approach which uses, among others, surrogate models available to simulate the gamma attenuation behaviour, a Bayesian approach which considers conditional probability densities of problem inputs, and Markov Chains Monte Carlo algorithms (MCMC) which solve inverse problems, with gamma ray emission radionuclide spectrum, and outside dimensions of interest objects. The methodology is testing to quantify actinide activity in different kind of matrix, composition, and configuration of sources standard in terms of actinide masses, locations and distributions. Activity uncertainties are taken into account by this adjustment methodology.

  3. Stochastic optimization of loading pattern for PWR

    International Nuclear Information System (INIS)

    Smuc, T.; Pevec, D.

    1994-01-01

    The application of stochastic optimization methods in solving in-core fuel management problems is restrained by the need for a large number of proposed solutions loading patterns, if a high quality final solution is wanted. Proposed loading patterns have to be evaluated by core neutronics simulator, which can impose unrealistic computer time requirements. A new loading pattern optimization code Monte Carlo Loading Pattern Search has been developed by coupling the simulated annealing optimization algorithm with a fast one-and-a-half dimensional core depletion simulator. The structure of the optimization method provides more efficient performance and allows the user to empty precious experience in the search process, thus reducing the search space size. Hereinafter, we discuss the characteristics of the method and illustrate them on the results obtained by solving the PWR reload problem. (authors). 7 refs., 1 tab., 1 fig

  4. Stochastic Finite Elements in Reliability-Based Structural Optimization

    DEFF Research Database (Denmark)

    Sørensen, John Dalsgaard; Engelund, S.

    Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect to optimi......Application of stochastic finite elements in structural optimization is considered. It is shown how stochastic fields modelling e.g. the modulus of elasticity can be discretized in stochastic variables and how a sensitivity analysis of the reliability of a structural system with respect...

  5. Stochastic optimal control of single neuron spike trains

    DEFF Research Database (Denmark)

    Iolov, Alexandre; Ditlevsen, Susanne; Longtin, Andrë

    2014-01-01

    stimulation of a neuron to achieve a target spike train under the physiological constraint to not damage tissue. Approach. We pose a stochastic optimal control problem to precisely specify the spike times in a leaky integrate-and-fire (LIF) model of a neuron with noise assumed to be of intrinsic or synaptic...... origin. In particular, we allow for the noise to be of arbitrary intensity. The optimal control problem is solved using dynamic programming when the controller has access to the voltage (closed-loop control), and using a maximum principle for the transition density when the controller only has access...... to the spike times (open-loop control). Main results. We have developed a stochastic optimal control algorithm to obtain precise spike times. It is applicable in both the supra-threshold and sub-threshold regimes, under open-loop and closed-loop conditions and with an arbitrary noise intensity; the accuracy...

  6. Stochastic resonance a mathematical approach in the small noise limit

    CERN Document Server

    Herrmann, Samuel; Pavlyukevich, Ilya; Peithmann, Dierk

    2013-01-01

    Stochastic resonance is a phenomenon arising in a wide spectrum of areas in the sciences ranging from physics through neuroscience to chemistry and biology. This book presents a mathematical approach to stochastic resonance which is based on a large deviations principle (LDP) for randomly perturbed dynamical systems with a weak inhomogeneity given by an exogenous periodicity of small frequency. Resonance, the optimal tuning between period length and noise amplitude, is explained by optimizing the LDP's rate function. The authors show that not all physical measures of tuning quality are robust with respect to dimension reduction. They propose measures of tuning quality based on exponential transition rates explained by large deviations techniques and show that these measures are robust. The book sheds some light on the shortcomings and strengths of different concepts used in the theory and applications of stochastic resonance without attempting to give a comprehensive overview of the many facets of stochastic ...

  7. Stochastic maintenance optimization at Candu power plants

    International Nuclear Information System (INIS)

    Doyle, E.K.; Duchesne, T.; Lee, C.G.; Cho, D.I.

    2004-01-01

    The use of various innovative maintenance optimization techniques at Bruce has lead to cost effective preventive maintenance applications for complex systems as previously reported at ICONE 6 in New Orleans (1996). Further refinement of the station maintenance strategy was evaluated via the applicability of statistical analysis of historical failure data. The viability of stochastic methods in Candu maintenance was illustrated at ICONE 10 in Washington DC (2002). The next phase consists of investigating the validity of using subjective elicitation techniques to obtain component lifetime distributions. This technique provides access to the elusive failure statistics, the lack of which is often referred to in the literature as the principal impediment preventing the use of stochastic methods in large industry. At the same time the technique allows very valuable information to be captured from the fast retiring 'baby boom generation'. Initial indications have been quite positive. The current reality of global competition necessitates the pursuit of all financial optimizers. The next construction phase in the power generation industry will soon begin on a worldwide basis. With the relatively high initial capital cost of new nuclear generation all possible avenues of financial optimization must be evaluated and implemented. (authors)

  8. Qualitative and Quantitative Integrated Modeling for Stochastic Simulation and Optimization

    Directory of Open Access Journals (Sweden)

    Xuefeng Yan

    2013-01-01

    Full Text Available The simulation and optimization of an actual physics system are usually constructed based on the stochastic models, which have both qualitative and quantitative characteristics inherently. Most modeling specifications and frameworks find it difficult to describe the qualitative model directly. In order to deal with the expert knowledge, uncertain reasoning, and other qualitative information, a qualitative and quantitative combined modeling specification was proposed based on a hierarchical model structure framework. The new modeling approach is based on a hierarchical model structure which includes the meta-meta model, the meta-model and the high-level model. A description logic system is defined for formal definition and verification of the new modeling specification. A stochastic defense simulation was developed to illustrate how to model the system and optimize the result. The result shows that the proposed method can describe the complex system more comprehensively, and the survival probability of the target is higher by introducing qualitative models into quantitative simulation.

  9. Stochastic Recursive Algorithms for Optimization Simultaneous Perturbation Methods

    CERN Document Server

    Bhatnagar, S; Prashanth, L A

    2013-01-01

    Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from sim...

  10. Deterministic and stochastic approach for safety and reliability optimization of captive power plant maintenance scheduling using GA/SA-based hybrid techniques: A comparison of results

    International Nuclear Information System (INIS)

    Mohanta, Dusmanta Kumar; Sadhu, Pradip Kumar; Chakrabarti, R.

    2007-01-01

    This paper presents a comparison of results for optimization of captive power plant maintenance scheduling using genetic algorithm (GA) as well as hybrid GA/simulated annealing (SA) techniques. As utilities catered by captive power plants are very sensitive to power failure, therefore both deterministic and stochastic reliability objective functions have been considered to incorporate statutory safety regulations for maintenance of boilers, turbines and generators. The significant contribution of this paper is to incorporate stochastic feature of generating units and that of load using levelized risk method. Another significant contribution of this paper is to evaluate confidence interval for loss of load probability (LOLP) because some variations from optimum schedule are anticipated while executing maintenance schedules due to different real-life unforeseen exigencies. Such exigencies are incorporated in terms of near-optimum schedules obtained from hybrid GA/SA technique during the final stages of convergence. Case studies corroborate that same optimum schedules are obtained using GA and hybrid GA/SA for respective deterministic and stochastic formulations. The comparison of results in terms of interval of confidence for LOLP indicates that levelized risk method adequately incorporates the stochastic nature of power system as compared with levelized reserve method. Also the interval of confidence for LOLP denotes the possible risk in a quantified manner and it is of immense use from perspective of captive power plants intended for quality power

  11. Optimization of stochastic discrete systems and control on complex networks computational networks

    CERN Document Server

    Lozovanu, Dmitrii

    2014-01-01

    This book presents the latest findings on stochastic dynamic programming models and on solving optimal control problems in networks. It includes the authors' new findings on determining the optimal solution of discrete optimal control problems in networks and on solving game variants of Markov decision problems in the context of computational networks. First, the book studies the finite state space of Markov processes and reviews the existing methods and algorithms for determining the main characteristics in Markov chains, before proposing new approaches based on dynamic programming and combinatorial methods. Chapter two is dedicated to infinite horizon stochastic discrete optimal control models and Markov decision problems with average and expected total discounted optimization criteria, while Chapter three develops a special game-theoretical approach to Markov decision processes and stochastic discrete optimal control problems. In closing, the book's final chapter is devoted to finite horizon stochastic con...

  12. Optimal control of stochastic difference Volterra equations an introduction

    CERN Document Server

    Shaikhet, Leonid

    2015-01-01

    This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not only on their current state but also on their past history; it is an introduction to the mathematical theory of optimal control for stochastic difference Volterra equations of neutral type. As such, it will be of much interest to researchers interested in modelling processes in physics, mechanics, automatic regulation, economics and finance, biology, sociology and medicine for all of which such equations are very popular tools. The text deals with problems of optimal control such as meeting given performance criteria, and stabilization, extending them to neutral stochastic difference Volterra equations. In particular, it contrasts the difference analogues of solutions to optimal control and optimal estimation problems for stochastic integral Volterra equations with optimal solutions for corresponding problems in stochastic difference Volterra equations. Optimal Control of Stochastic Difference Volterra Equation...

  13. Lithium-ion battery capacity fading dynamics modelling for formulation optimization: A stochastic approach to accelerate the design process

    International Nuclear Information System (INIS)

    Tao, Laifa; Cheng, Yujie; Lu, Chen; Su, Yuzhuan; Chong, Jin; Jin, Haizu; Lin, Yongshou; Noktehdan, Azadeh

    2017-01-01

    Highlights: •The model is linked to known physicochemical degradation processes and material properties. •Aging dynamics of various battery formulations can be understood by the proposed model. •Large number of experiments will be reduced to accelerate the battery design process. •This approach can describe batteries under various operating conditions. •The proposed model is simple and easily implemented. -- Abstract: A five-state nonhomogeneous Markov chain model, which is an effective and promising way to accelerate the Li-ion battery design process by investigating the capacity fading dynamics of different formulations during the battery design phase, is reported. The parameters of this model are linked to known physicochemical degradation dynamics and material properties. Herein, the states and behaviors of the active materials in Li-ion batteries are modelled. To verify the efficiency of the proposed model, a dataset from approximately 3 years of cycling capacity fading experiments of various formulations using several different materials provided by Contemporary Amperex Technology Limited (CATL), as well as a NASA dataset, are employed. The capabilities of the proposed model for different amounts (50%, 70%, and 90%) of available experimental capacity data are tested and analyzed to assist with the final design determination for manufacturers. The average relative errors of life cycling prediction acquired from these tests are less than 2.4%, 0.8%, and 0.3%, even when only 50%, 70%, and 90% of the data, respectively, is available for different anode materials, electrolyte materials, and individual batteries. Furthermore, the variance is 0.518% when only 50% of the data are available; i.e., one can save at least 50% of the total experimental time and cost with an accuracy greater than 97% in the design phase, which demonstrates an effective and promising way to accelerate the Li-ion battery design process. The qualitative and quantitative analyses

  14. Stochastic Optimization of Wind Turbine Power Factor Using Stochastic Model of Wind Power

    DEFF Research Database (Denmark)

    Chen, Peiyuan; Siano, Pierluigi; Bak-Jensen, Birgitte

    2010-01-01

    This paper proposes a stochastic optimization algorithm that aims to minimize the expectation of the system power losses by controlling wind turbine (WT) power factors. This objective of the optimization is subject to the probability constraints of bus voltage and line current requirements....... The optimization algorithm utilizes the stochastic models of wind power generation (WPG) and load demand to take into account their stochastic variation. The stochastic model of WPG is developed on the basis of a limited autoregressive integrated moving average (LARIMA) model by introducing a crosscorrelation...... structure to the LARIMA model. The proposed stochastic optimization is carried out on a 69-bus distribution system. Simulation results confirm that, under various combinations of WPG and load demand, the system power losses are considerably reduced with the optimal setting of WT power factor as compared...

  15. Optimal management strategies in variable environments: Stochastic optimal control methods

    Science.gov (United States)

    Williams, B.K.

    1985-01-01

    Dynamic optimization was used to investigate the optimal defoliation of salt desert shrubs in north-western Utah. Management was formulated in the context of optimal stochastic control theory, with objective functions composed of discounted or time-averaged biomass yields. Climatic variability and community patterns of salt desert shrublands make the application of stochastic optimal control both feasible and necessary. A primary production model was used to simulate shrub responses and harvest yields under a variety of climatic regimes and defoliation patterns. The simulation results then were used in an optimization model to determine optimal defoliation strategies. The latter model encodes an algorithm for finite state, finite action, infinite discrete time horizon Markov decision processes. Three questions were addressed: (i) What effect do changes in weather patterns have on optimal management strategies? (ii) What effect does the discounting of future returns have? (iii) How do the optimal strategies perform relative to certain fixed defoliation strategies? An analysis was performed for the three shrub species, winterfat (Ceratoides lanata), shadscale (Atriplex confertifolia) and big sagebrush (Artemisia tridentata). In general, the results indicate substantial differences among species in optimal control strategies, which are associated with differences in physiological and morphological characteristics. Optimal policies for big sagebrush varied less with variation in climate, reserve levels and discount rates than did either shadscale or winterfat. This was attributed primarily to the overwintering of photosynthetically active tissue and to metabolic activity early in the growing season. Optimal defoliation of shadscale and winterfat generally was more responsive to differences in plant vigor and climate, reflecting the sensitivity of these species to utilization and replenishment of carbohydrate reserves. Similarities could be seen in the influence of both

  16. A pseudo-optimal inexact stochastic interval T2 fuzzy sets approach for energy and environmental systems planning under uncertainty: A case study for Xiamen City of China

    International Nuclear Information System (INIS)

    Jin, L.; Huang, G.H.; Fan, Y.R.; Wang, L.; Wu, T.

    2015-01-01

    Highlights: • Propose a new energy PIS-IT2FSLP model for Xiamen City under uncertainties. • Analyze the energy supply, demand, and its flow structure of this city. • Use real energy statistics to prove the superiority of PIS-IT2FSLP method. • Obtain optimal solutions that reflect environmental requirements. • Help local authorities devise an optimal energy strategy for this local area. - Abstract: In this study, a new Pseudo-optimal Inexact Stochastic Interval Type-2 Fuzzy Sets Linear Programming (PIS-IT2FSLP) energy model is developed to support energy system planning and environment requirements under uncertainties for Xiamen City. The PIS-IT2FSLP model is based on an integration of interval Type 2 (T2) Fuzzy Sets (FS) boundary programming and stochastic linear programming techniques, enables it to have robust abilities to the tackle uncertainties expressed as T2 FS intervals and probabilistic distributions within a general optimization framework. This new model can sophisticatedly facilitate system analysis of energy supply and energy conversion processes, and environmental requirements as well as provide capacity expansion options with multiple periods. The PIS-IT2FSLP model was applied to a real case study of Xiamen energy systems. Based on a robust two-step solution algorithm, reasonable solutions have been obtained, which reflect tradeoffs between economic and environmental requirements, and among seasonal volatility energy demands of the right hand side constraints of Xiamen energy system. Thus, the lower and upper solutions of PIS-IT2FSLP would then help local energy authorities adjust current energy patterns, and discover an optimal energy strategy for the development of Xiamen City

  17. Gas contract portfolio management: a stochastic programming approach

    International Nuclear Information System (INIS)

    Haurie, A.; Smeers, Y.; Zaccour, G.

    1991-01-01

    This paper deals with a stochastic programming model which complements long range market simulation models generating scenarios concerning the evolution of demand and prices for gas in different market segments. Agas company has to negociate contracts with lengths going from one to twenty years. This stochastic model is designed to assess the risk associated with committing the gas production capacity of the company to these market segments. Different approaches are presented to overcome the difficulties associated with the very large size of the resulting optimization problem

  18. Optimizing ZigBee Security using Stochastic Model Checking

    DEFF Research Database (Denmark)

    Yuksel, Ender; Nielson, Hanne Riis; Nielson, Flemming

    , we identify an important gap in the specification on key updates, and present a methodology for determining optimal key update policies and security parameters. We exploit the stochastic model checking approach using the probabilistic model checker PRISM, and assess the security needs for realistic......ZigBee is a fairly new but promising wireless sensor network standard that offers the advantages of simple and low resource communication. Nevertheless, security is of great concern to ZigBee, and enhancements are prescribed in the latest ZigBee specication: ZigBee-2007. In this technical report...

  19. Using linear programming to analyze and optimize stochastic flow lines

    DEFF Research Database (Denmark)

    Helber, Stefan; Schimmelpfeng, Katja; Stolletz, Raik

    2011-01-01

    This paper presents a linear programming approach to analyze and optimize flow lines with limited buffer capacities and stochastic processing times. The basic idea is to solve a huge but simple linear program that models an entire simulation run of a multi-stage production process in discrete time...... programming and hence allows us to solve buffer allocation problems. We show under which conditions our method works well by comparing its results to exact values for two-machine models and approximate simulation results for longer lines....

  20. A diffusion-based approach to stochastic individual growth and energy budget, with consequences to life-history optimization and population dynamics.

    Science.gov (United States)

    Filin, I

    2009-06-01

    Using diffusion processes, I model stochastic individual growth, given exogenous hazards and starvation risk. By maximizing survival to final size, optimal life histories (e.g. switching size for habitat/dietary shift) are determined by two ratios: mean growth rate over growth variance (diffusion coefficient) and mortality rate over mean growth rate; all are size dependent. For example, switching size decreases with either ratio, if both are positive. I provide examples and compare with previous work on risk-sensitive foraging and the energy-predation trade-off. I then decompose individual size into reversibly and irreversibly growing components, e.g. reserves and structure. I provide a general expression for optimal structural growth, when reserves grow stochastically. I conclude that increased growth variance of reserves delays structural growth (raises threshold size for its commencement) but may eventually lead to larger structures. The effect depends on whether the structural trait is related to foraging or defence. Implications for population dynamics are discussed.

  1. Convergence of Sample Path Optimal Policies for Stochastic Dynamic Programming

    National Research Council Canada - National Science Library

    Fu, Michael C; Jin, Xing

    2005-01-01

    .... These results have practical implications for Monte Carlo simulation-based solution approaches to stochastic dynamic programming problems where it is impractical to extract the explicit transition...

  2. Local Approximation and Hierarchical Methods for Stochastic Optimization

    Science.gov (United States)

    Cheng, Bolong

    In this thesis, we present local and hierarchical approximation methods for two classes of stochastic optimization problems: optimal learning and Markov decision processes. For the optimal learning problem class, we introduce a locally linear model with radial basis function for estimating the posterior mean of the unknown objective function. The method uses a compact representation of the function which avoids storing the entire history, as is typically required by nonparametric methods. We derive a knowledge gradient policy with the locally parametric model, which maximizes the expected value of information. We show the policy is asymptotically optimal in theory, and experimental works suggests that the method can reliably find the optimal solution on a range of test functions. For the Markov decision processes problem class, we are motivated by an application where we want to co-optimize a battery for multiple revenue, in particular energy arbitrage and frequency regulation. The nature of this problem requires the battery to make charging and discharging decisions at different time scales while accounting for the stochastic information such as load demand, electricity prices, and regulation signals. Computing the exact optimal policy becomes intractable due to the large state space and the number of time steps. We propose two methods to circumvent the computation bottleneck. First, we propose a nested MDP model that structure the co-optimization problem into smaller sub-problems with reduced state space. This new model allows us to understand how the battery behaves down to the two-second dynamics (that of the frequency regulation market). Second, we introduce a low-rank value function approximation for backward dynamic programming. This new method only requires computing the exact value function for a small subset of the state space and approximate the entire value function via low-rank matrix completion. We test these methods on historical price data from the

  3. Optimal Stochastic Modeling and Control of Flexible Structures

    Science.gov (United States)

    1988-09-01

    1.37] and McLane [1.18] considered multivariable systems and derived their optimal control characteristics. Kleinman, Gorman and Zaborsky considered...Leondes [1.72,1.73] studied various aspects of multivariable linear stochastic, discrete-time systems that are partly deterministic, and partly stochastic...June 1966. 1.8. A.V. Balaknishnan, Applied Functional Analaysis , 2nd ed., New York, N.Y.: Springer-Verlag, 1981 1.9. Peter S. Maybeck, Stochastic

  4. Design and analysis of stochastic DSS query optimizers in a distributed database system

    Directory of Open Access Journals (Sweden)

    Manik Sharma

    2016-07-01

    Full Text Available Query optimization is a stimulating task of any database system. A number of heuristics have been applied in recent times, which proposed new algorithms for substantially improving the performance of a query. The hunt for a better solution still continues. The imperishable developments in the field of Decision Support System (DSS databases are presenting data at an exceptional rate. The massive volume of DSS data is consequential only when it is able to access and analyze by distinctive researchers. Here, an innovative stochastic framework of DSS query optimizer is proposed to further optimize the design of existing query optimization genetic approaches. The results of Entropy Based Restricted Stochastic Query Optimizer (ERSQO are compared with the results of Exhaustive Enumeration Query Optimizer (EAQO, Simple Genetic Query Optimizer (SGQO, Novel Genetic Query Optimizer (NGQO and Restricted Stochastic Query Optimizer (RSQO. In terms of Total Costs, EAQO outperforms SGQO, NGQO, RSQO and ERSQO. However, stochastic approaches dominate in terms of runtime. The Total Costs produced by ERSQO is better than SGQO, NGQO and RGQO by 12%, 8% and 5% respectively. Moreover, the effect of replicating data on the Total Costs of DSS query is also examined. In addition, the statistical analysis revealed a 2-tailed significant correlation between the number of join operations and the Total Costs of distributed DSS query. Finally, in regard to the consistency of stochastic query optimizers, the results of SGQO, NGQO, RSQO and ERSQO are 96.2%, 97.2%, 97.45 and 97.8% consistent respectively.

  5. Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control

    International Nuclear Information System (INIS)

    Masiero, Federica

    2005-01-01

    Semilinear parabolic differential equations are solved in a mild sense in an infinite-dimensional Hilbert space. Applications to stochastic optimal control problems are studied by solving the associated Hamilton-Jacobi-Bellman equation. These results are applied to some controlled stochastic partial differential equations

  6. Stochastic optimization-based study of dimerization kinetics

    Indian Academy of Sciences (India)

    To this end, we study dimerization kinetics of protein as a model system. We follow the dimerization kinetics using a stochastic simulation algorithm and ... optimization; dimerization kinetics; sensitivity analysis; stochastic simulation ... tion in large molecules and clusters, or the design ..... An unbiased strategy of allocating.

  7. Stochastic approach to equilibrium and nonequilibrium thermodynamics.

    Science.gov (United States)

    Tomé, Tânia; de Oliveira, Mário J

    2015-04-01

    We develop the stochastic approach to thermodynamics based on stochastic dynamics, which can be discrete (master equation) and continuous (Fokker-Planck equation), and on two assumptions concerning entropy. The first is the definition of entropy itself and the second the definition of entropy production rate, which is non-negative and vanishes in thermodynamic equilibrium. Based on these assumptions, we study interacting systems with many degrees of freedom in equilibrium or out of thermodynamic equilibrium and how the macroscopic laws are derived from the stochastic dynamics. These studies include the quasiequilibrium processes; the convexity of the equilibrium surface; the monotonic time behavior of thermodynamic potentials, including entropy; the bilinear form of the entropy production rate; the Onsager coefficients and reciprocal relations; and the nonequilibrium steady states of chemical reactions.

  8. Stochastic Control of Energy Efficient Buildings: A Semidefinite Programming Approach

    Energy Technology Data Exchange (ETDEWEB)

    Ma, Xiao [ORNL; Dong, Jin [ORNL; Djouadi, Seddik M [ORNL; Nutaro, James J [ORNL; Kuruganti, Teja [ORNL

    2015-01-01

    The key goal in energy efficient buildings is to reduce energy consumption of Heating, Ventilation, and Air- Conditioning (HVAC) systems while maintaining a comfortable temperature and humidity in the building. This paper proposes a novel stochastic control approach for achieving joint performance and power control of HVAC. We employ a constrained Stochastic Linear Quadratic Control (cSLQC) by minimizing a quadratic cost function with a disturbance assumed to be Gaussian. The problem is formulated to minimize the expected cost subject to a linear constraint and a probabilistic constraint. By using cSLQC, the problem is reduced to a semidefinite optimization problem, where the optimal control can be computed efficiently by Semidefinite programming (SDP). Simulation results are provided to demonstrate the effectiveness and power efficiency by utilizing the proposed control approach.

  9. Optimal configuration of microstructure in ferroelectric materials by stochastic optimization

    Science.gov (United States)

    Jayachandran, K. P.; Guedes, J. M.; Rodrigues, H. C.

    2010-07-01

    An optimization procedure determining the ideal configuration at the microstructural level of ferroelectric (FE) materials is applied to maximize piezoelectricity. Piezoelectricity in ceramic FEs differs significantly from that of single crystals because of the presence of crystallites (grains) possessing crystallographic axes aligned imperfectly. The piezoelectric properties of a polycrystalline (ceramic) FE is inextricably related to the grain orientation distribution (texture). The set of combination of variables, known as solution space, which dictates the texture of a ceramic is unlimited and hence the choice of the optimal solution which maximizes the piezoelectricity is complicated. Thus, a stochastic global optimization combined with homogenization is employed for the identification of the optimal granular configuration of the FE ceramic microstructure with optimum piezoelectric properties. The macroscopic equilibrium piezoelectric properties of polycrystalline FE is calculated using mathematical homogenization at each iteration step. The configuration of grains characterized by its orientations at each iteration is generated using a randomly selected set of orientation distribution parameters. The optimization procedure applied to the single crystalline phase compares well with the experimental data. Apparent enhancement of piezoelectric coefficient d33 is observed in an optimally oriented BaTiO3 single crystal. Based on the good agreement of results with the published data in single crystals, we proceed to apply the methodology in polycrystals. A configuration of crystallites, simultaneously constraining the orientation distribution of the c-axis (polar axis) while incorporating ab-plane randomness, which would multiply the overall piezoelectricity in ceramic BaTiO3 is also identified. The orientation distribution of the c-axes is found to be a narrow Gaussian distribution centered around 45°. The piezoelectric coefficient in such a ceramic is found to

  10. Optimal condition-based maintenance decisions for systems with dependent stochastic degradation of components

    International Nuclear Information System (INIS)

    Hong, H.P.; Zhou, W.; Zhang, S.; Ye, W.

    2014-01-01

    Components in engineered systems are subjected to stochastic deterioration due to the operating environmental conditions, and the uncertainty in material properties. The components need to be inspected and possibly replaced based on preventive or failure replacement criteria to provide the intended and safe operation of the system. In the present study, we investigate the influence of dependent stochastic degradation of multiple components on the optimal maintenance decisions. We use copula to model the dependent stochastic degradation of components, and formulate the optimal decision problem based on the minimum expected cost rule and the stochastic dominance rules. The latter is used to cope with decision maker's risk attitude. We illustrate the developed probabilistic analysis approach and the influence of the dependency of the stochastic degradation on the preferred decisions through numerical examples

  11. A stochastic optimal feedforward and feedback control methodology for superagility

    Science.gov (United States)

    Halyo, Nesim; Direskeneli, Haldun; Taylor, Deborah B.

    1992-01-01

    A new control design methodology is developed: Stochastic Optimal Feedforward and Feedback Technology (SOFFT). Traditional design techniques optimize a single cost function (which expresses the design objectives) to obtain both the feedforward and feedback control laws. This approach places conflicting demands on the control law such as fast tracking versus noise atttenuation/disturbance rejection. In the SOFFT approach, two cost functions are defined. The feedforward control law is designed to optimize one cost function, the feedback optimizes the other. By separating the design objectives and decoupling the feedforward and feedback design processes, both objectives can be achieved fully. A new measure of command tracking performance, Z-plots, is also developed. By analyzing these plots at off-nominal conditions, the sensitivity or robustness of the system in tracking commands can be predicted. Z-plots provide an important tool for designing robust control systems. The Variable-Gain SOFFT methodology was used to design a flight control system for the F/A-18 aircraft. It is shown that SOFFT can be used to expand the operating regime and provide greater performance (flying/handling qualities) throughout the extended flight regime. This work was performed under the NASA SBIR program. ICS plans to market the software developed as a new module in its commercial CACSD software package: ACET.

  12. GIS-based approach for optimal siting and sizing of renewables considering techno-environmental constraints and the stochastic nature of meteorological inputs

    Science.gov (United States)

    Daskalou, Olympia; Karanastasi, Maria; Markonis, Yannis; Dimitriadis, Panayiotis; Koukouvinos, Antonis; Efstratiadis, Andreas; Koutsoyiannis, Demetris

    2016-04-01

    Following the legislative EU targets and taking advantage of its high renewable energy potential, Greece can obtain significant benefits from developing its water, solar and wind energy resources. In this context we present a GIS-based methodology for the optimal sizing and siting of solar and wind energy systems at the regional scale, which is tested in the Prefecture of Thessaly. First, we assess the wind and solar potential, taking into account the stochastic nature of the associated meteorological processes (i.e. wind speed and solar radiation, respectively), which is essential component for both planning (i.e., type selection and sizing of photovoltaic panels and wind turbines) and management purposes (i.e., real-time operation of the system). For the optimal siting, we assess the efficiency and economic performance of the energy system, also accounting for a number of constraints, associated with topographic limitations (e.g., terrain slope, proximity to road and electricity grid network, etc.), the environmental legislation and other land use constraints. Based on this analysis, we investigate favorable alternatives using technical, environmental as well as financial criteria. The final outcome is GIS maps that depict the available energy potential and the optimal layout for photovoltaic panels and wind turbines over the study area. We also consider a hypothetical scenario of future development of the study area, in which we assume the combined operation of the above renewables with major hydroelectric dams and pumped-storage facilities, thus providing a unique hybrid renewable system, extended at the regional scale.

  13. Evaluation of a binary optimization approach to find the optimum locations of energy storage devices in a power grid with stochastically varying loads and wind generation

    Science.gov (United States)

    Dar, Zamiyad

    method with a multi period stochastically optimized economic dispatch of the same power system with storage device at locations proposed by our method. We observe a small gap in profit values arising due to the effect of storage device on market prices. However, we observe that the ranking of different locations in terms of profitability remains almost unchanged. This leads us to conclude that our method can successfully predict the optimum locations for installation of storage units in a complex grid using only the publicly available electricity market data.

  14. Stochastic Robust Mathematical Programming Model for Power System Optimization

    Energy Technology Data Exchange (ETDEWEB)

    Liu, Cong; Changhyeok, Lee; Haoyong, Chen; Mehrotra, Sanjay

    2016-01-01

    This paper presents a stochastic robust framework for two-stage power system optimization problems with uncertainty. The model optimizes the probabilistic expectation of different worst-case scenarios with ifferent uncertainty sets. A case study of unit commitment shows the effectiveness of the proposed model and algorithms.

  15. A method for stochastic constrained optimization using derivative-free surrogate pattern search and collocation

    International Nuclear Information System (INIS)

    Sankaran, Sethuraman; Audet, Charles; Marsden, Alison L.

    2010-01-01

    Recent advances in coupling novel optimization methods to large-scale computing problems have opened the door to tackling a diverse set of physically realistic engineering design problems. A large computational overhead is associated with computing the cost function for most practical problems involving complex physical phenomena. Such problems are also plagued with uncertainties in a diverse set of parameters. We present a novel stochastic derivative-free optimization approach for tackling such problems. Our method extends the previously developed surrogate management framework (SMF) to allow for uncertainties in both simulation parameters and design variables. The stochastic collocation scheme is employed for stochastic variables whereas Kriging based surrogate functions are employed for the cost function. This approach is tested on four numerical optimization problems and is shown to have significant improvement in efficiency over traditional Monte-Carlo schemes. Problems with multiple probabilistic constraints are also discussed.

  16. A stochastic approach to anelastic creep

    International Nuclear Information System (INIS)

    Venkataraman, G.

    1976-01-01

    Anelastic creep or the time-dependent yielding or a material subjected to external stresses has been found to be of great importantance in technology in the recent years, particularly in engineering structures including nuclear reactors wherein structural members may be under stress. The physics aspects underlying this phenomenon is dealt with in detail. The basics of time-dependent elasticity, constitutive relation, network models, constitutive equation in the frequency domain and its mearurements, and stochastic approach to creep are discussed. (K.B.)

  17. Generating optimized stochastic power management strategies for electric car components

    Energy Technology Data Exchange (ETDEWEB)

    Fruth, Matthias [TraceTronic GmbH, Dresden (Germany); Bastian, Steve [Technische Univ. Dresden (Germany)

    2012-11-01

    With the increasing prevalence of electric vehicles, reducing the power consumption of car components becomes a necessity. For the example of a novel traffic-light assistance system, which makes speed recommendations based on the expected length of red-light phases, power-management strategies are used to control under which conditions radio communication, positioning systems and other components are switched to low-power (e.g. sleep) or high-power (e.g. idle/busy) states. We apply dynamic power management, an optimization technique well-known from other domains, in order to compute energy-optimal power-management strategies, sometimes resulting in these strategies being stochastic. On the example of the traffic-light assistant, we present a MATLAB/Simulink-implemented framework for the generation, simulation and formal analysis of optimized power-management strategies, which is based on this technique. We study capabilities and limitations of this approach and sketch further applications in the automotive domain. (orig.)

  18. Reconnecting Stochastic Methods With Hydrogeological Applications: A Utilitarian Uncertainty Analysis and Risk Assessment Approach for the Design of Optimal Monitoring Networks

    Science.gov (United States)

    Bode, Felix; Ferré, Ty; Zigelli, Niklas; Emmert, Martin; Nowak, Wolfgang

    2018-03-01

    Collaboration between academics and practitioners promotes knowledge transfer between research and industry, with both sides benefiting greatly. However, academic approaches are often not feasible given real-world limits on time, cost and data availability, especially for risk and uncertainty analyses. Although the need for uncertainty quantification and risk assessment are clear, there are few published studies examining how scientific methods can be used in practice. In this work, we introduce possible strategies for transferring and communicating academic approaches to real-world applications, countering the current disconnect between increasingly sophisticated academic methods and methods that work and are accepted in practice. We analyze a collaboration between academics and water suppliers in Germany who wanted to design optimal groundwater monitoring networks for drinking-water well catchments. Our key conclusions are: to prefer multiobjective over single-objective optimization; to replace Monte-Carlo analyses by scenario methods; and to replace data-hungry quantitative risk assessment by easy-to-communicate qualitative methods. For improved communication, it is critical to set up common glossaries of terms to avoid misunderstandings, use striking visualization to communicate key concepts, and jointly and continually revisit the project objectives. Ultimately, these approaches and recommendations are simple and utilitarian enough to be transferred directly to other practical water resource related problems.

  19. Optimal Maintenance for Stochastically Degrading Staellite Constellations

    National Research Council Canada - National Science Library

    Cook, Timothy J

    2005-01-01

    .... Previous work has developed a methodology to compute an optimal replacement policy for a satellite constellation in which satellites were viewed as binary entities, either operational or failed...

  20. Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

    International Nuclear Information System (INIS)

    Pham, H.

    2002-01-01

    This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature

  1. Stochastic approaches to inflation model building

    International Nuclear Information System (INIS)

    Ramirez, Erandy; Liddle, Andrew R.

    2005-01-01

    While inflation gives an appealing explanation of observed cosmological data, there are a wide range of different inflation models, providing differing predictions for the initial perturbations. Typically models are motivated either by fundamental physics considerations or by simplicity. An alternative is to generate large numbers of models via a random generation process, such as the flow equations approach. The flow equations approach is known to predict a definite structure to the observational predictions. In this paper, we first demonstrate a more efficient implementation of the flow equations exploiting an analytic solution found by Liddle (2003). We then consider alternative stochastic methods of generating large numbers of inflation models, with the aim of testing whether the structures generated by the flow equations are robust. We find that while typically there remains some concentration of points in the observable plane under the different methods, there is significant variation in the predictions amongst the methods considered

  2. A Connection between Singular Stochastic Control and Optimal Stopping

    International Nuclear Information System (INIS)

    Espen Benth, Fred; Reikvam, Kristin

    2003-01-01

    We show that the value function of a singular stochastic control problem is equal to the integral of the value function of an associated optimal stopping problem. The connection is proved for a general class of diffusions using the method of viscosity solutions

  3. Optimal Tax Reduction by Depreciation : A Stochastic Model

    NARCIS (Netherlands)

    Berg, M.; De Waegenaere, A.M.B.; Wielhouwer, J.L.

    1996-01-01

    This paper focuses on the choice of a depreciation method, when trying to minimize the expected value of the present value of future tax payments.In a quite general model that allows for stochastic future cash- ows and a tax structure with tax brackets, we determine the optimal choice between the

  4. An Approach to Stochastic Peridynamic Theory.

    Energy Technology Data Exchange (ETDEWEB)

    Demmie, Paul N.

    2018-04-01

    In many material systems, man-made or natural, we have an incomplete knowledge of geometric or material properties, which leads to uncertainty in predicting their performance under dynamic loading. Given the uncertainty and a high degree of spatial variability in properties of materials subjected to impact, a stochastic theory of continuum mechanics would be useful for modeling dynamic response of such systems. Peridynamic theory is such a theory. It is formulated as an integro- differential equation that does not employ spatial derivatives, and provides for a consistent formulation of both deformation and failure of materials. We discuss an approach to stochastic peridynamic theory and illustrate the formulation with examples of impact loading of geological materials with uncorrelated or correlated material properties. We examine wave propagation and damage to the material. The most salient feature is the absence of spallation, referred to as disorder toughness, which generalizes similar results from earlier quasi-static damage mechanics. Acknowledgements This research was made possible by the support from DTRA grant HDTRA1-08-10-BRCWM. I thank Dr. Martin Ostoja-Starzewski for introducing me to the mechanics of random materials and collaborating with me throughout and after this DTRA project.

  5. A stochastic approach to chemical evolution

    International Nuclear Information System (INIS)

    Copi, C.J.

    1997-01-01

    Observations of elemental abundances in the Galaxy have repeatedly shown an intrinsic scatter as a function of time and metallicity. The standard approach to chemical evolution does not attempt to address this scatter in abundances since only the mean evolution is followed. In this work, the scatter is addressed via a stochastic approach to solving chemical evolution models. Three simple chemical evolution scenarios are studied using this stochastic approach: a closed box model, an infall model, and an outflow model. These models are solved for the solar neighborhood in a Monte Carlo fashion. The evolutionary history of one particular region is determined randomly based on the star formation rate and the initial mass function. Following the evolution in an ensemble of such regions leads to the predicted spread in abundances expected, based solely on different evolutionary histories of otherwise identical regions. In this work, 13 isotopes are followed, including the light elements, the CNO elements, a few α-elements, and iron. It is found that the predicted spread in abundances for a 10 5 M circle-dot region is in good agreement with observations for the α-elements. For CN, the agreement is not as good, perhaps indicating the need for more physics input for low-mass stellar evolution. Similarly for the light elements, the predicted scatter is quite small, which is in contradiction to the observations of 3 He in HII regions. The models are tuned for the solar neighborhood so that good agreement with HII regions is not expected. This has important implications for low-mass stellar evolution and on using chemical evolution to determine the primordial light-element abundances in order to test big bang nucleosynthesis. copyright 1997 The American Astronomical Society

  6. Enhancement of Stochastic Resonance Using Optimization Theory

    National Research Council Canada - National Science Library

    Wu, Xingxing; Jiang, Zhong-Ping; Repperger, Daniel W; Guo, Yi

    2006-01-01

    .... The further improvement of the maximal normalized power norm of the bistable double-well dynamic system with white Gaussian noise input can be converted to an optimization problem with constraints...

  7. Stochastic network optimization with application to communication and queueing systems

    CERN Document Server

    Neely, Michael

    2010-01-01

    This text presents a modern theory of analysis, control, and optimization for dynamic networks. Mathematical techniques of Lyapunov drift and Lyapunov optimization are developed and shown to enable constrained optimization of time averages in general stochastic systems. The focus is on communication and queueing systems, including wireless networks with time-varying channels, mobility, and randomly arriving traffic. A simple drift-plus-penalty framework is used to optimize time averages such as throughput, throughput-utility, power, and distortion. Explicit performance-delay tradeoffs are prov

  8. Stochastic Optimal Prediction with Application to Averaged Euler Equations

    Energy Technology Data Exchange (ETDEWEB)

    Bell, John [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Chorin, Alexandre J. [Univ. of California, Berkeley, CA (United States); Crutchfield, William [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2017-04-24

    Optimal prediction (OP) methods compensate for a lack of resolution in the numerical solution of complex problems through the use of an invariant measure as a prior measure in the Bayesian sense. In first-order OP, unresolved information is approximated by its conditional expectation with respect to the invariant measure. In higher-order OP, unresolved information is approximated by a stochastic estimator, leading to a system of random or stochastic differential equations. We explain the ideas through a simple example, and then apply them to the solution of Averaged Euler equations in two space dimensions.

  9. Adaptively optimizing stochastic resonance in visual system

    Science.gov (United States)

    Yang, Tao

    1998-08-01

    Recent psychophysics experiment has showed that the noise strength could affect the perceived image quality. This work gives an adaptive process for achieving the optimal perceived image quality in a simple image perception array, which is a simple model of an image sensor. A reference image from memory is used for constructing a cost function and defining the optimal noise strength where the cost function gets its minimum point. The reference image is a binary image, which is used to define the background and the object. Finally, an adaptive algorithm is proposed for searching the optimal noise strength. Computer experimental results show that if the reference image is a thresholded version of the sub-threshold input image then the output of the sensor array gives an optimal output, in which the background and the object have the biggest contrast. If the reference image is different from a thresholded version of the sub-threshold input image then the output usually gives a sub-optimal contrast between the object and the background.

  10. Centralized Stochastic Optimal Control of Complex Systems

    Energy Technology Data Exchange (ETDEWEB)

    Malikopoulos, Andreas [ORNL

    2015-01-01

    In this paper we address the problem of online optimization of the supervisory power management control in parallel hybrid electric vehicles (HEVs). We model HEV operation as a controlled Markov chain using the long-run expected average cost per unit time criterion, and we show that the control policy yielding the Pareto optimal solution minimizes the average cost criterion online. The effectiveness of the proposed solution is validated through simulation and compared to the solution derived with dynamic programming using the average cost criterion.

  11. Stochastic Optimal Control for Online Seller under Reputational Mechanisms

    Directory of Open Access Journals (Sweden)

    Milan Bradonjić

    2015-12-01

    Full Text Available In this work we propose and analyze a model which addresses the pulsing behavior of sellers in an online auction (store. This pulsing behavior is observed when sellers switch between advertising and processing states. We assert that a seller switches her state in order to maximize her profit, and further that this switch can be identified through the seller’s reputation. We show that for each seller there is an optimal reputation, i.e., the reputation at which the seller should switch her state in order to maximize her total profit. We design a stochastic behavioral model for an online seller, which incorporates the dynamics of resource allocation and reputation. The design of the model is optimized by using a stochastic advertising model from [1] and used effectively in the Stochastic Optimal Control of Advertising [2]. This model of reputation is combined with the effect of online reputation on sales price empirically verified in [3]. We derive the Hamilton-Jacobi-Bellman (HJB differential equation, whose solution relates optimal wealth level to a seller’s reputation. We formulate both a full model, as well as a reduced model with fewer parameters, both of which have the same qualitative description of the optimal seller behavior. Coincidentally, the reduced model has a closed form analytical solution that we construct.

  12. Efficient Output Solution for Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences

    Directory of Open Access Journals (Sweden)

    Sie Long Kek

    2015-01-01

    Full Text Available A computational approach is proposed for solving the discrete time nonlinear stochastic optimal control problem. Our aim is to obtain the optimal output solution of the original optimal control problem through solving the simplified model-based optimal control problem iteratively. In our approach, the adjusted parameters are introduced into the model used such that the differences between the real system and the model used can be computed. Particularly, system optimization and parameter estimation are integrated interactively. On the other hand, the output is measured from the real plant and is fed back into the parameter estimation problem to establish a matching scheme. During the calculation procedure, the iterative solution is updated in order to approximate the true optimal solution of the original optimal control problem despite model-reality differences. For illustration, a wastewater treatment problem is studied and the results show the efficiency of the approach proposed.

  13. Robust Topology Optimization Based on Stochastic Collocation Methods under Loading Uncertainties

    Directory of Open Access Journals (Sweden)

    Qinghai Zhao

    2015-01-01

    Full Text Available A robust topology optimization (RTO approach with consideration of loading uncertainties is developed in this paper. The stochastic collocation method combined with full tensor product grid and Smolyak sparse grid transforms the robust formulation into a weighted multiple loading deterministic problem at the collocation points. The proposed approach is amenable to implementation in existing commercial topology optimization software package and thus feasible to practical engineering problems. Numerical examples of two- and three-dimensional topology optimization problems are provided to demonstrate the proposed RTO approach and its applications. The optimal topologies obtained from deterministic and robust topology optimization designs under tensor product grid and sparse grid with different levels are compared with one another to investigate the pros and cons of optimization algorithm on final topologies, and an extensive Monte Carlo simulation is also performed to verify the proposed approach.

  14. Stochastic Turing Patterns: Analysis of Compartment-Based Approaches

    KAUST Repository

    Cao, Yang; Erban, Radek

    2014-01-01

    © 2014, Society for Mathematical Biology. Turing patterns can be observed in reaction-diffusion systems where chemical species have different diffusion constants. In recent years, several studies investigated the effects of noise on Turing patterns and showed that the parameter regimes, for which stochastic Turing patterns are observed, can be larger than the parameter regimes predicted by deterministic models, which are written in terms of partial differential equations (PDEs) for species concentrations. A common stochastic reaction-diffusion approach is written in terms of compartment-based (lattice-based) models, where the domain of interest is divided into artificial compartments and the number of molecules in each compartment is simulated. In this paper, the dependence of stochastic Turing patterns on the compartment size is investigated. It has previously been shown (for relatively simpler systems) that a modeler should not choose compartment sizes which are too small or too large, and that the optimal compartment size depends on the diffusion constant. Taking these results into account, we propose and study a compartment-based model of Turing patterns where each chemical species is described using a different set of compartments. It is shown that the parameter regions where spatial patterns form are different from the regions obtained by classical deterministic PDE-based models, but they are also different from the results obtained for the stochastic reaction-diffusion models which use a single set of compartments for all chemical species. In particular, it is argued that some previously reported results on the effect of noise on Turing patterns in biological systems need to be reinterpreted.

  15. Stochastic Turing Patterns: Analysis of Compartment-Based Approaches

    KAUST Repository

    Cao, Yang

    2014-11-25

    © 2014, Society for Mathematical Biology. Turing patterns can be observed in reaction-diffusion systems where chemical species have different diffusion constants. In recent years, several studies investigated the effects of noise on Turing patterns and showed that the parameter regimes, for which stochastic Turing patterns are observed, can be larger than the parameter regimes predicted by deterministic models, which are written in terms of partial differential equations (PDEs) for species concentrations. A common stochastic reaction-diffusion approach is written in terms of compartment-based (lattice-based) models, where the domain of interest is divided into artificial compartments and the number of molecules in each compartment is simulated. In this paper, the dependence of stochastic Turing patterns on the compartment size is investigated. It has previously been shown (for relatively simpler systems) that a modeler should not choose compartment sizes which are too small or too large, and that the optimal compartment size depends on the diffusion constant. Taking these results into account, we propose and study a compartment-based model of Turing patterns where each chemical species is described using a different set of compartments. It is shown that the parameter regions where spatial patterns form are different from the regions obtained by classical deterministic PDE-based models, but they are also different from the results obtained for the stochastic reaction-diffusion models which use a single set of compartments for all chemical species. In particular, it is argued that some previously reported results on the effect of noise on Turing patterns in biological systems need to be reinterpreted.

  16. Stochastic Optimization for Nuclear Facility Deployment Scenarios

    Science.gov (United States)

    Hays, Ross Daniel

    Single-use, low-enriched uranium oxide fuel, consumed through several cycles in a light-water reactor (LWR) before being disposed, has become the dominant source of commercial-scale nuclear electric generation in the United States and throughout the world. However, it is not without its drawbacks and is not the only potential nuclear fuel cycle available. Numerous alternative fuel cycles have been proposed at various times which, through the use of different reactor and recycling technologies, offer to counteract many of the perceived shortcomings with regards to waste management, resource utilization, and proliferation resistance. However, due to the varying maturity levels of these technologies, the complicated material flow feedback interactions their use would require, and the large capital investments in the current technology, one should not deploy these advanced designs without first investigating the potential costs and benefits of so doing. As the interactions among these systems can be complicated, and the ways in which they may be deployed are many, the application of automated numerical optimization to the simulation of the fuel cycle could potentially be of great benefit to researchers and interested policy planners. To investigate the potential of these methods, a computational program has been developed that applies a parallel, multi-objective simulated annealing algorithm to a computational optimization problem defined by a library of relevant objective functions applied to the Ver ifiable Fuel Cycle Simulati on Model (VISION, developed at the Idaho National Laboratory). The VISION model, when given a specified fuel cycle deployment scenario, computes the numbers and types of, and construction, operation, and utilization schedules for, the nuclear facilities required to meet a predetermined electric power demand function. Additionally, it calculates the location and composition of the nuclear fuels within the fuel cycle, from initial mining through

  17. A Proposed Stochastic Finite Difference Approach Based on Homogenous Chaos Expansion

    Directory of Open Access Journals (Sweden)

    O. H. Galal

    2013-01-01

    Full Text Available This paper proposes a stochastic finite difference approach, based on homogenous chaos expansion (SFDHC. The said approach can handle time dependent nonlinear as well as linear systems with deterministic or stochastic initial and boundary conditions. In this approach, included stochastic parameters are modeled as second-order stochastic processes and are expanded using Karhunen-Loève expansion, while the response function is approximated using homogenous chaos expansion. Galerkin projection is used in converting the original stochastic partial differential equation (PDE into a set of coupled deterministic partial differential equations and then solved using finite difference method. Two well-known equations were used for efficiency validation of the method proposed. First one being the linear diffusion equation with stochastic parameter and the second is the nonlinear Burger's equation with stochastic parameter and stochastic initial and boundary conditions. In both of these examples, the probability distribution function of the response manifested close conformity to the results obtained from Monte Carlo simulation with optimized computational cost.

  18. Symmetries of stochastic differential equations: A geometric approach

    Energy Technology Data Exchange (ETDEWEB)

    De Vecchi, Francesco C., E-mail: francesco.devecchi@unimi.it; Ugolini, Stefania, E-mail: stefania.ugolini@unimi.it [Dipartimento di Matematica, Università degli Studi di Milano, via Saldini 50, Milano (Italy); Morando, Paola, E-mail: paola.morando@unimi.it [DISAA, Università degli Studi di Milano, via Celoria 2, Milano (Italy)

    2016-06-15

    A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an algebra of strong symmetries for a modified SDE is proved under suitable regularity assumptions. This general approach is applied to a stochastic version of a two dimensional symmetric ordinary differential equation and to the case of two dimensional Brownian motion.

  19. Discrete stochastic processes and optimal filtering

    CERN Document Server

    Bertein, Jean-Claude

    2012-01-01

    Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which ar

  20. Stochastic Averaging for Constrained Optimization With Application to Online Resource Allocation

    Science.gov (United States)

    Chen, Tianyi; Mokhtari, Aryan; Wang, Xin; Ribeiro, Alejandro; Giannakis, Georgios B.

    2017-06-01

    Existing approaches to resource allocation for nowadays stochastic networks are challenged to meet fast convergence and tolerable delay requirements. The present paper leverages online learning advances to facilitate stochastic resource allocation tasks. By recognizing the central role of Lagrange multipliers, the underlying constrained optimization problem is formulated as a machine learning task involving both training and operational modes, with the goal of learning the sought multipliers in a fast and efficient manner. To this end, an order-optimal offline learning approach is developed first for batch training, and it is then generalized to the online setting with a procedure termed learn-and-adapt. The novel resource allocation protocol permeates benefits of stochastic approximation and statistical learning to obtain low-complexity online updates with learning errors close to the statistical accuracy limits, while still preserving adaptation performance, which in the stochastic network optimization context guarantees queue stability. Analysis and simulated tests demonstrate that the proposed data-driven approach improves the delay and convergence performance of existing resource allocation schemes.

  1. Stochastic Optimization Model to STudy the Operational Impacts of High Wind Penetrations in Ireland

    DEFF Research Database (Denmark)

    Meibom, Peter; Barth, R.; Hasche, B.

    2011-01-01

    A stochastic mixed integer linear optimization scheduling model minimizing system operation costs and treating load and wind power production as stochastic inputs is presented. The schedules are updated in a rolling manner as more up-to-date information becomes available. This is a fundamental...... change relative to day-ahead unit commitment approaches. The need for reserves dependent on forecast horizon and share of wind power has been estimated with a statistical model combining load and wind power forecast errors with scenarios of forced outages. The model is used to study operational impacts...

  2. COOMA: AN OBJECT-ORIENTED STOCHASTIC OPTIMIZATION ALGORITHM

    Directory of Open Access Journals (Sweden)

    Stanislav Alexandrovich Tavridovich

    2017-09-01

    Full Text Available Stochastic optimization methods such as genetic algorithm, particle swarm optimization algorithm, and others are successfully used to solve optimization problems. They are all based on similar ideas and need minimal adaptation when being implemented. But several factors complicate the application of stochastic search methods in practice: multimodality of the objective function, optimization with constraints, finding the best parameter configuration of the algorithm, the increasing of the searching space, etc. This paper proposes a new Cascade Object Optimization and Modification Algorithm (COOMA which develops the best ideas of known stochastic optimization methods and can be applied to a wide variety of real-world problems described in the terms of object-oriented models with practically any types of parameters, variables, and associations between objects. The objects of different classes are organized in pools and pools form the hierarchical structure according to the associations between classes. The algorithm is also executed according to the pool structure: the methods of the upper-level pools before changing their objects call the analogous methods of all their subpools. The algorithm starts with initialization step and then passes through a number of iterations during which the objects are modified until the stop criteria are satisfied. The objects are modified using movement, replication and mutation operations. Two-level version of COOMA realizes a built-in self-adaptive mechanism. The optimization statistics for a number of test problems shows that COOMA is able to solve multi-level problems (with objects of different associated classes, problems with multimodal fitness functions and systems of constraints. COOMA source code on Java is available on request.

  3. Stochastic search in structural optimization - Genetic algorithms and simulated annealing

    Science.gov (United States)

    Hajela, Prabhat

    1993-01-01

    An account is given of illustrative applications of genetic algorithms and simulated annealing methods in structural optimization. The advantages of such stochastic search methods over traditional mathematical programming strategies are emphasized; it is noted that these methods offer a significantly higher probability of locating the global optimum in a multimodal design space. Both genetic-search and simulated annealing can be effectively used in problems with a mix of continuous, discrete, and integer design variables.

  4. MEASURING INFLATION THROUGH STOCHASTIC APPROACH TO INDEX NUMBERS FOR PAKISTAN

    Directory of Open Access Journals (Sweden)

    Zahid Asghar

    2010-09-01

    Full Text Available This study attempts to estimate the rate of inflation in Pakistan through stochastic approach to index numbers which provides not only point estimate but also confidence interval for the rate of inflation. There are two types of approaches to index number theory namely: the functional economic approaches and the stochastic approach. The attraction of stochastic approach is that it estimates the rate of inflation in which uncertainty and statistical ideas play a major roll of screening index numbers. We have used extended stochastic approach to index numbers for measuring inflation by allowing for the systematic changes in the relative prices. We use CPI data covering the period July 2001--March 2008 for Pakistan.

  5. Essays on variational approximation techniques for stochastic optimization problems

    Science.gov (United States)

    Deride Silva, Julio A.

    This dissertation presents five essays on approximation and modeling techniques, based on variational analysis, applied to stochastic optimization problems. It is divided into two parts, where the first is devoted to equilibrium problems and maxinf optimization, and the second corresponds to two essays in statistics and uncertainty modeling. Stochastic optimization lies at the core of this research as we were interested in relevant equilibrium applications that contain an uncertain component, and the design of a solution strategy. In addition, every stochastic optimization problem relies heavily on the underlying probability distribution that models the uncertainty. We studied these distributions, in particular, their design process and theoretical properties such as their convergence. Finally, the last aspect of stochastic optimization that we covered is the scenario creation problem, in which we described a procedure based on a probabilistic model to create scenarios for the applied problem of power estimation of renewable energies. In the first part, Equilibrium problems and maxinf optimization, we considered three Walrasian equilibrium problems: from economics, we studied a stochastic general equilibrium problem in a pure exchange economy, described in Chapter 3, and a stochastic general equilibrium with financial contracts, in Chapter 4; finally from engineering, we studied an infrastructure planning problem in Chapter 5. We stated these problems as belonging to the maxinf optimization class and, in each instance, we provided an approximation scheme based on the notion of lopsided convergence and non-concave duality. This strategy is the foundation of the augmented Walrasian algorithm, whose convergence is guaranteed by lopsided convergence, that was implemented computationally, obtaining numerical results for relevant examples. The second part, Essays about statistics and uncertainty modeling, contains two essays covering a convergence problem for a sequence

  6. Stochastic Thermodynamics: A Dynamical Systems Approach

    Directory of Open Access Journals (Sweden)

    Tanmay Rajpurohit

    2017-12-01

    Full Text Available In this paper, we develop an energy-based, large-scale dynamical system model driven by Markov diffusion processes to present a unified framework for statistical thermodynamics predicated on a stochastic dynamical systems formalism. Specifically, using a stochastic state space formulation, we develop a nonlinear stochastic compartmental dynamical system model characterized by energy conservation laws that is consistent with statistical thermodynamic principles. In particular, we show that the difference between the average supplied system energy and the average stored system energy for our stochastic thermodynamic model is a martingale with respect to the system filtration. In addition, we show that the average stored system energy is equal to the mean energy that can be extracted from the system and the mean energy that can be delivered to the system in order to transfer it from a zero energy level to an arbitrary nonempty subset in the state space over a finite stopping time.

  7. Stochastic analysis and robust optimization for a deck lid inner panel stamping

    International Nuclear Information System (INIS)

    Hou, Bo; Wang, Wurong; Li, Shuhui; Lin, Zhongqin; Xia, Z. Cedric

    2010-01-01

    FE-simulation and optimization are widely used in the stamping process to improve design quality and shorten development cycle. However, the current simulation and optimization may lead to non-robust results due to not considering the variation of material and process parameters. In this study, a novel stochastic analysis and robust optimization approach is proposed to improve the stamping robustness, where the uncertainties are involved to reflect manufacturing reality. A meta-model based stochastic analysis method is developed, where FE-simulation, uniform design and response surface methodology (RSM) are used to construct meta-model, based on which Monte-Carlo simulation is performed to predict the influence of input parameters variation on the final product quality. By applying the stochastic analysis, uniform design and RSM, the mean and the standard deviation (SD) of product quality are calculated as functions of the controllable process parameters. The robust optimization model composed of mean and SD is constructed and solved, the result of which is compared with the deterministic one to show its advantages. It is demonstrated that the product quality variations are reduced significantly, and quality targets (reject rate) are achieved under the robust optimal solution. The developed approach offers rapid and reliable results for engineers to deal with potential stamping problems during the early phase of product and tooling design, saving more time and resources.

  8. Optimal protocols and optimal transport in stochastic thermodynamics.

    Science.gov (United States)

    Aurell, Erik; Mejía-Monasterio, Carlos; Muratore-Ginanneschi, Paolo

    2011-06-24

    Thermodynamics of small systems has become an important field of statistical physics. Such systems are driven out of equilibrium by a control, and the question is naturally posed how such a control can be optimized. We show that optimization problems in small system thermodynamics are solved by (deterministic) optimal transport, for which very efficient numerical methods have been developed, and of which there are applications in cosmology, fluid mechanics, logistics, and many other fields. We show, in particular, that minimizing expected heat released or work done during a nonequilibrium transition in finite time is solved by the Burgers equation and mass transport by the Burgers velocity field. Our contribution hence considerably extends the range of solvable optimization problems in small system thermodynamics.

  9. Adaptive optics stochastic optical reconstruction microscopy (AO-STORM) by particle swarm optimization.

    Science.gov (United States)

    Tehrani, Kayvan F; Zhang, Yiwen; Shen, Ping; Kner, Peter

    2017-11-01

    Stochastic optical reconstruction microscopy (STORM) can achieve resolutions of better than 20nm imaging single fluorescently labeled cells. However, when optical aberrations induced by larger biological samples degrade the point spread function (PSF), the localization accuracy and number of localizations are both reduced, destroying the resolution of STORM. Adaptive optics (AO) can be used to correct the wavefront, restoring the high resolution of STORM. A challenge for AO-STORM microscopy is the development of robust optimization algorithms which can efficiently correct the wavefront from stochastic raw STORM images. Here we present the implementation of a particle swarm optimization (PSO) approach with a Fourier metric for real-time correction of wavefront aberrations during STORM acquisition. We apply our approach to imaging boutons 100 μm deep inside the central nervous system (CNS) of Drosophila melanogaster larvae achieving a resolution of 146 nm.

  10. Structural factoring approach for analyzing stochastic networks

    Science.gov (United States)

    Hayhurst, Kelly J.; Shier, Douglas R.

    1991-01-01

    The problem of finding the distribution of the shortest path length through a stochastic network is investigated. A general algorithm for determining the exact distribution of the shortest path length is developed based on the concept of conditional factoring, in which a directed, stochastic network is decomposed into an equivalent set of smaller, generally less complex subnetworks. Several network constructs are identified and exploited to reduce significantly the computational effort required to solve a network problem relative to complete enumeration. This algorithm can be applied to two important classes of stochastic path problems: determining the critical path distribution for acyclic networks and the exact two-terminal reliability for probabilistic networks. Computational experience with the algorithm was encouraging and allowed the exact solution of networks that have been previously analyzed only by approximation techniques.

  11. Necessary optimality conditions of the second oder in a stochastic optimal control problem with delay argument

    Directory of Open Access Journals (Sweden)

    Rashad O. Mastaliev

    2016-12-01

    Full Text Available The optimal control problem of nonlinear stochastic systems which mathematical model is given by Ito stochastic differential equation with delay argument is considered. Assuming that the concerned region is open for the control by the first and the second variation (classical sense of the quality functional we obtain the necessary optimality condition of the first and the second order. In the particular case we receive the stochastic analog of the Legendre—Clebsch condition and some constructively verified conclusions from the second order necessary condition. We investigate the Legendre–Clebsch conditions for the degeneration case and obtain the necessary conditions of optimality for a special control, in the classical sense.

  12. Switching neuronal state: optimal stimuli revealed using a stochastically-seeded gradient algorithm.

    Science.gov (United States)

    Chang, Joshua; Paydarfar, David

    2014-12-01

    Inducing a switch in neuronal state using energy optimal stimuli is relevant to a variety of problems in neuroscience. Analytical techniques from optimal control theory can identify such stimuli; however, solutions to the optimization problem using indirect variational approaches can be elusive in models that describe neuronal behavior. Here we develop and apply a direct gradient-based optimization algorithm to find stimulus waveforms that elicit a change in neuronal state while minimizing energy usage. We analyze standard models of neuronal behavior, the Hodgkin-Huxley and FitzHugh-Nagumo models, to show that the gradient-based algorithm: (1) enables automated exploration of a wide solution space, using stochastically generated initial waveforms that converge to multiple locally optimal solutions; and (2) finds optimal stimulus waveforms that achieve a physiological outcome condition, without a priori knowledge of the optimal terminal condition of all state variables. Analysis of biological systems using stochastically-seeded gradient methods can reveal salient dynamical mechanisms underlying the optimal control of system behavior. The gradient algorithm may also have practical applications in future work, for example, finding energy optimal waveforms for therapeutic neural stimulation that minimizes power usage and diminishes off-target effects and damage to neighboring tissue.

  13. Real-Time Demand Side Management Algorithm Using Stochastic Optimization

    Directory of Open Access Journals (Sweden)

    Moses Amoasi Acquah

    2018-05-01

    Full Text Available A demand side management technique is deployed along with battery energy-storage systems (BESS to lower the electricity cost by mitigating the peak load of a building. Most of the existing methods rely on manual operation of the BESS, or even an elaborate building energy-management system resorting to a deterministic method that is susceptible to unforeseen growth in demand. In this study, we propose a real-time optimal operating strategy for BESS based on density demand forecast and stochastic optimization. This method takes into consideration uncertainties in demand when accounting for an optimal BESS schedule, making it robust compared to the deterministic case. The proposed method is verified and tested against existing algorithms. Data obtained from a real site in South Korea is used for verification and testing. The results show that the proposed method is effective, even for the cases where the forecasted demand deviates from the observed demand.

  14. An intelligent stochastic optimization routine for nuclear fuel cycle design

    International Nuclear Information System (INIS)

    Parks, G.T.

    1990-01-01

    A simulated annealing (Metropolis algorithm) optimization routine named AMETROP, which has been developed for use on realistic nuclear fuel cycle problems, is introduced. Each stage of the algorithm is described and the means by which it overcomes or avoids the difficulties posed to conventional optimization routines by such problems are explained. Special attention is given to innovations that enhance AMETROP's performance both through artificial intelligence features, in which the routine uses the accumulation of data to influence its future actions, and through a family of simple performance aids, which allow the designer to use his heuristic knowledge to guide the routine's essentially random search. Using examples from a typical fuel cycle optimization problem, the performance of the stochastic Metropolis algorithm is compared to that of the only suitable deterministic routine in a standard software library, showing AMETROP to have many advantages

  15. Initiating stochastic maintenance optimization at Candu Power Plants

    International Nuclear Information System (INIS)

    Doyle, E.K.

    2003-01-01

    As previously reported at ICONE 6 in New Orleans (1996), the use of various innovative maintenance optimization techniques at Bruce has lead to cost effective preventive maintenance applications for complex systems. Further cost refinement of the station maintenance strategy is being evaluated via the applicability of statistical analysis of historical failure data. Since the statistical evaluation was initiated in 1999 significant progress has been made in demonstrating the viability of stochastic methods in Candu maintenance. Some of the relevant results were presented at ICONE 10 in Washington DC (2002). Success with the graphical displays and the relatively easy to implement stochastic computer programs was sufficient to move the program along to the next significant phase. This next phase consists of investigating the validity of using subjective elicitation techniques to obtain component lifetime distributions. This technique provides access to the elusive failure statistics, the lack of which is often referred to in the literature as the principle impediment preventing the use of stochastic methods in large industry. At the same time the technique allows very valuable information to be captured from the fast retiring 'baby boom generation'. Initial indications have been quite positive. (author)

  16. Stochastic Modelling and Optimization of Complex Infrastructure Systems

    DEFF Research Database (Denmark)

    Thoft-Christensen, Palle

    In this paper it is shown that recent progress in stochastic modelling and optimization in combination with advanced computer systems has now made it possible to improve the design and the maintenance strategies for infrastructure systems. The paper concentrates on highway networks and single large...... bridges. united states has perhaps the largest highway networks in the world with more than 0.5 million highway bridges; see Chase, S.B. 1999. About 40% of these bridges are considered deficient and more than $50 billion is estimated needed to correct the deficiencies; see Roberts, J.E. 2001...

  17. Computing the optimal path in stochastic dynamical systems

    International Nuclear Information System (INIS)

    Bauver, Martha; Forgoston, Eric; Billings, Lora

    2016-01-01

    In stochastic systems, one is often interested in finding the optimal path that maximizes the probability of escape from a metastable state or of switching between metastable states. Even for simple systems, it may be impossible to find an analytic form of the optimal path, and in high-dimensional systems, this is almost always the case. In this article, we formulate a constructive methodology that is used to compute the optimal path numerically. The method utilizes finite-time Lyapunov exponents, statistical selection criteria, and a Newton-based iterative minimizing scheme. The method is applied to four examples. The first example is a two-dimensional system that describes a single population with internal noise. This model has an analytical solution for the optimal path. The numerical solution found using our computational method agrees well with the analytical result. The second example is a more complicated four-dimensional system where our numerical method must be used to find the optimal path. The third example, although a seemingly simple two-dimensional system, demonstrates the success of our method in finding the optimal path where other numerical methods are known to fail. In the fourth example, the optimal path lies in six-dimensional space and demonstrates the power of our method in computing paths in higher-dimensional spaces.

  18. Markovian approach: From Ising model to stochastic radiative transfer

    International Nuclear Information System (INIS)

    Kassianov, E.; Veron, D.

    2009-01-01

    The origin of the Markovian approach can be traced back to 1906; however, it gained explicit recognition in the last few decades. This overview outlines some important applications of the Markovian approach, which illustrate its immense prestige, respect, and success. These applications include examples in the statistical physics, astronomy, mathematics, computational science and the stochastic transport problem. In particular, the overview highlights important contributions made by Pomraning and Titov to the neutron and radiation transport theory in a stochastic medium with homogeneous statistics. Using simple probabilistic assumptions (Markovian approximation), they have introduced a simplified, but quite realistic, representation of the neutron/radiation transfer through a two-component discrete stochastic mixture. New concepts and methodologies introduced by these two distinguished scientists allow us to generalize the Markovian treatment to the stochastic medium with inhomogeneous statistics and demonstrate its improved predictive performance for the down-welling shortwave fluxes. (authors)

  19. ALOPEX stochastic optimization for pumping management in fresh water coastal aquifers

    International Nuclear Information System (INIS)

    Stratis, P N; Saridakis, Y G; Zakynthinaki, M S; Papadopoulou, E P

    2014-01-01

    Saltwater intrusion in freshwater aquifers is a problem of increasing significance in areas nearby the coastline. Apart from natural disastrous phenomena, such as earthquakes or floods, intense pumping human activities over the aquifer areas may change the chemical composition of the freshwater aquifer. Working towards the direction of real time management of freshwater pumping from coastal aquifers, we have considered the deployment of the stochastic optimization Algorithm of Pattern Extraction (ALOPEX), coupled with several penalty strategies that produce convenient management policies. The present study, which further extents recently derived results, considers the analytical solution of a classical model for underground flow and the ALOPEX stochastic optimization technique to produce an efficient approach for pumping management over coastal aquifers. Numerical experimentation also includes a case study at Vathi area on the Greek island of Kalymnos, to compare with known results in the literature as well as to demonstrate different management strategies

  20. A stochastic programming approach to manufacturing flow control

    OpenAIRE

    Haurie, Alain; Moresino, Francesco

    2012-01-01

    This paper proposes and tests an approximation of the solution of a class of piecewise deterministic control problems, typically used in the modeling of manufacturing flow processes. This approximation uses a stochastic programming approach on a suitably discretized and sampled system. The method proceeds through two stages: (i) the Hamilton-Jacobi-Bellman (HJB) dynamic programming equations for the finite horizon continuous time stochastic control problem are discretized over a set of sample...

  1. Annealing evolutionary stochastic approximation Monte Carlo for global optimization

    KAUST Repository

    Liang, Faming

    2010-01-01

    outperform simulated annealing, the genetic algorithm, annealing stochastic approximation Monte Carlo, and some other metaheuristics in function optimization. © 2010 Springer Science+Business Media, LLC.

  2. Stochastic Modeling and Optimization in a Microgrid: A Survey

    Directory of Open Access Journals (Sweden)

    Hao Liang

    2014-03-01

    Full Text Available The future smart grid is expected to be an interconnected network of small-scale and self-contained microgrids, in addition to a large-scale electric power backbone. By utilizing microsources, such as renewable energy sources and combined heat and power plants, microgrids can supply electrical and heat loads in local areas in an economic and environment friendly way. To better adopt the intermittent and weather-dependent renewable power generation, energy storage devices, such as batteries, heat buffers and plug-in electric vehicles (PEVs with vehicle-to-grid systems can be integrated in microgrids. However, significant technical challenges arise in the planning, operation and control of microgrids, due to the randomness in renewable power generation, the buffering effect of energy storage devices and the high mobility of PEVs. The two-way communication functionalities of the future smart grid provide an opportunity to address these challenges, by offering the communication links for microgrid status information collection. However, how to utilize stochastic modeling and optimization tools for efficient, reliable and economic planning, operation and control of microgrids remains an open issue. In this paper, we investigate the key features of microgrids and provide a comprehensive literature survey on the stochastic modeling and optimization tools for a microgrid. Future research directions are also identified.

  3. Stochastic inflation: Quantum phase-space approach

    International Nuclear Information System (INIS)

    Habib, S.

    1992-01-01

    In this paper a quantum-mechanical phase-space picture is constructed for coarse-grained free quantum fields in an inflationary universe. The appropriate stochastic quantum Liouville equation is derived. Explicit solutions for the phase-space quantum distribution function are found for the cases of power-law and exponential expansions. The expectation values of dynamical variables with respect to these solutions are compared to the corresponding cutoff regularized field-theoretic results (we do not restrict ourselves only to left-angle Φ 2 right-angle). Fair agreement is found provided the coarse-graining scale is kept within certain limits. By focusing on the full phase-space distribution function rather than a reduced distribution it is shown that the thermodynamic interpretation of the stochastic formalism faces several difficulties (e.g., there is no fluctuation-dissipation theorem). The coarse graining does not guarantee an automatic classical limit as quantum correlations turn out to be crucial in order to get results consistent with standard quantum field theory. Therefore, the method does not by itself constitute an explanation of the quantum to classical transition in the early Universe. In particular, we argue that the stochastic equations do not lead to decoherence

  4. Stochastic simulation and robust design optimization of integrated photonic filters

    Directory of Open Access Journals (Sweden)

    Weng Tsui-Wei

    2016-07-01

    Full Text Available Manufacturing variations are becoming an unavoidable issue in modern fabrication processes; therefore, it is crucial to be able to include stochastic uncertainties in the design phase. In this paper, integrated photonic coupled ring resonator filters are considered as an example of significant interest. The sparsity structure in photonic circuits is exploited to construct a sparse combined generalized polynomial chaos model, which is then used to analyze related statistics and perform robust design optimization. Simulation results show that the optimized circuits are more robust to fabrication process variations and achieve a reduction of 11%–35% in the mean square errors of the 3 dB bandwidth compared to unoptimized nominal designs.

  5. A stochastic discrete optimization model for designing container terminal facilities

    Science.gov (United States)

    Zukhruf, Febri; Frazila, Russ Bona; Burhani, Jzolanda Tsavalista

    2017-11-01

    As uncertainty essentially affect the total transportation cost, it remains important in the container terminal that incorporates several modes and transshipments process. This paper then presents a stochastic discrete optimization model for designing the container terminal, which involves the decision of facilities improvement action. The container terminal operation model is constructed by accounting the variation of demand and facilities performance. In addition, for illustrating the conflicting issue that practically raises in the terminal operation, the model also takes into account the possible increment delay of facilities due to the increasing number of equipment, especially the container truck. Those variations expectantly reflect the uncertainty issue in the container terminal operation. A Monte Carlo simulation is invoked to propagate the variations by following the observed distribution. The problem is constructed within the framework of the combinatorial optimization problem for investigating the optimal decision of facilities improvement. A new variant of glow-worm swarm optimization (GSO) is thus proposed for solving the optimization, which is rarely explored in the transportation field. The model applicability is tested by considering the actual characteristics of the container terminal.

  6. Stochastic Fractional Programming Approach to a Mean and Variance Model of a Transportation Problem

    Directory of Open Access Journals (Sweden)

    V. Charles

    2011-01-01

    Full Text Available In this paper, we propose a stochastic programming model, which considers a ratio of two nonlinear functions and probabilistic constraints. In the former, only expected model has been proposed without caring variability in the model. On the other hand, in the variance model, the variability played a vital role without concerning its counterpart, namely, the expected model. Further, the expected model optimizes the ratio of two linear cost functions where as variance model optimize the ratio of two non-linear functions, that is, the stochastic nature in the denominator and numerator and considering expectation and variability as well leads to a non-linear fractional program. In this paper, a transportation model with stochastic fractional programming (SFP problem approach is proposed, which strikes the balance between previous models available in the literature.

  7. Topologically determined optimal stochastic resonance responses of spatially embedded networks

    International Nuclear Information System (INIS)

    Gosak, Marko; Marhl, Marko; Korosak, Dean

    2011-01-01

    We have analyzed the stochastic resonance phenomenon on spatial networks of bistable and excitable oscillators, which are connected according to their location and the amplitude of external forcing. By smoothly altering the network topology from a scale-free (SF) network with dominating long-range connections to a network where principally only adjacent oscillators are connected, we reveal that besides an optimal noise intensity, there is also a most favorable interaction topology at which the best correlation between the response of the network and the imposed weak external forcing is achieved. For various distributions of the amplitudes of external forcing, the optimal topology is always found in the intermediate regime between the highly heterogeneous SF network and the strong geometric regime. Our findings thus indicate that a suitable number of hubs and with that an optimal ratio between short- and long-range connections is necessary in order to obtain the best global response of a spatial network. Furthermore, we link the existence of the optimal interaction topology to a critical point indicating the transition from a long-range interactions-dominated network to a more lattice-like network structure.

  8. NN-Based Implicit Stochastic Optimization of Multi-Reservoir Systems Management

    Directory of Open Access Journals (Sweden)

    Matteo Sangiorgio

    2018-03-01

    Full Text Available Multi-reservoir systems management is complex because of the uncertainty on future events and the variety of purposes, usually conflicting, of the involved actors. An efficient management of these systems can help improving resource allocation, preventing political crisis and reducing the conflicts between the stakeholders. Bellman stochastic dynamic programming (SDP is the most famous among the many proposed approaches to solve this optimal control problem. Unfortunately, SDP is affected by the curse of dimensionality: computational effort increases exponentially with the complexity of the considered system (i.e., number of reservoirs, and the problem rapidly becomes intractable. This paper proposes an implicit stochastic optimization approach for the solution of the reservoir management problem. The core idea is using extremely flexible functions, such as artificial neural networks (NN, for designing release rules which approximate the optimal policies obtained by an open-loop approach. These trained NNs can then be used to take decisions in real time. The approach thus requires a sufficiently long series of historical or synthetic inflows, and the definition of a compromise solution to be approximated. This work analyzes with particular emphasis the importance of the information which represents the input of the control laws, investigating the effects of different degrees of completeness. The methodology is applied to the Nile River basin considering the main management objectives (minimization of the irrigation water deficit and maximization of the hydropower production, but can be easily adopted also in other cases.

  9. Optimizing continuous cover management of boreal forest when timber prices and tree growth are stochastic

    Directory of Open Access Journals (Sweden)

    Timo Pukkala

    2015-03-01

    Full Text Available Background Decisions on forest management are made under risk and uncertainty because the stand development cannot be predicted exactly and future timber prices are unknown. Deterministic calculations may lead to biased advice on optimal forest management. The study optimized continuous cover management of boreal forest in a situation where tree growth, regeneration, and timber prices include uncertainty. Methods Both anticipatory and adaptive optimization approaches were used. The adaptive approach optimized the reservation price function instead of fixed cutting years. The future prices of different timber assortments were described by cross-correlated auto-regressive models. The high variation around ingrowth model was simulated using a model that describes the cross- and autocorrelations of the regeneration results of different species and years. Tree growth was predicted with individual tree models, the predictions of which were adjusted on the basis of a climate-induced growth trend, which was stochastic. Residuals of the deterministic diameter growth model were also simulated. They consisted of random tree factors and cross- and autocorrelated temporal terms. Results Of the analyzed factors, timber price caused most uncertainty in the calculation of the net present value of a certain management schedule. Ingrowth and climate trend were less significant sources of risk and uncertainty than tree growth. Stochastic anticipatory optimization led to more diverse post-cutting stand structures than obtained in deterministic optimization. Cutting interval was shorter when risk and uncertainty were included in the analyses. Conclusions Adaptive optimization and management led to 6%–14% higher net present values than obtained in management that was based on anticipatory optimization. Increasing risk aversion of the forest landowner led to earlier cuttings in a mature stand. The effect of risk attitude on optimization results was small.

  10. Demand side management scheme in smart grid with cloud computing approach using stochastic dynamic programming

    Directory of Open Access Journals (Sweden)

    S. Sofana Reka

    2016-09-01

    Full Text Available This paper proposes a cloud computing framework in smart grid environment by creating small integrated energy hub supporting real time computing for handling huge storage of data. A stochastic programming approach model is developed with cloud computing scheme for effective demand side management (DSM in smart grid. Simulation results are obtained using GUI interface and Gurobi optimizer in Matlab in order to reduce the electricity demand by creating energy networks in a smart hub approach.

  11. Stochastic Approaches Within a High Resolution Rapid Refresh Ensemble

    Science.gov (United States)

    Jankov, I.

    2017-12-01

    It is well known that global and regional numerical weather prediction (NWP) ensemble systems are under-dispersive, producing unreliable and overconfident ensemble forecasts. Typical approaches to alleviate this problem include the use of multiple dynamic cores, multiple physics suite configurations, or a combination of the two. While these approaches may produce desirable results, they have practical and theoretical deficiencies and are more difficult and costly to maintain. An active area of research that promotes a more unified and sustainable system is the use of stochastic physics. Stochastic approaches include Stochastic Parameter Perturbations (SPP), Stochastic Kinetic Energy Backscatter (SKEB), and Stochastic Perturbation of Physics Tendencies (SPPT). The focus of this study is to assess model performance within a convection-permitting ensemble at 3-km grid spacing across the Contiguous United States (CONUS) using a variety of stochastic approaches. A single physics suite configuration based on the operational High-Resolution Rapid Refresh (HRRR) model was utilized and ensemble members produced by employing stochastic methods. Parameter perturbations (using SPP) for select fields were employed in the Rapid Update Cycle (RUC) land surface model (LSM) and Mellor-Yamada-Nakanishi-Niino (MYNN) Planetary Boundary Layer (PBL) schemes. Within MYNN, SPP was applied to sub-grid cloud fraction, mixing length, roughness length, mass fluxes and Prandtl number. In the RUC LSM, SPP was applied to hydraulic conductivity and tested perturbing soil moisture at initial time. First iterative testing was conducted to assess the initial performance of several configuration settings (e.g. variety of spatial and temporal de-correlation lengths). Upon selection of the most promising candidate configurations using SPP, a 10-day time period was run and more robust statistics were gathered. SKEB and SPPT were included in additional retrospective tests to assess the impact of using

  12. Optimal Rules for Single Machine Scheduling with Stochastic Breakdowns

    Directory of Open Access Journals (Sweden)

    Jinwei Gu

    2014-01-01

    Full Text Available This paper studies the problem of scheduling a set of jobs on a single machine subject to stochastic breakdowns, where jobs have to be restarted if preemptions occur because of breakdowns. The breakdown process of the machine is independent of the jobs processed on the machine. The processing times required to complete the jobs are constants if no breakdown occurs. The machine uptimes are independently and identically distributed (i.i.d. and are subject to a uniform distribution. It is proved that the Longest Processing Time first (LPT rule minimizes the expected makespan. For the large-scale problem, it is also showed that the Shortest Processing Time first (SPT rule is optimal to minimize the expected total completion times of all jobs.

  13. Stochastic optimized life cycle models for risk mitigation in power system applications

    International Nuclear Information System (INIS)

    Sageder, A.

    1998-01-01

    This ork shows the relevance of stochastic optimization in complex power system applications. It was proven that usual deterministic mean value models not only predict inaccurate results but are also most often on the risky side. The change in the market effects all kind of evaluation processes (e.g. fuel type and technology but especially financial engineering evaluations) in the endeavor of a strict risk mitigation comparison. But not only IPPs also traditional Utilities dash for risk/return optimized investment opportunities. In this study I developed a 2-phase model which can support a decision-maker in finding optimal solutions on investment and profitability. It has to be stated, that in this study no objective function will be optimized in an algorithmically way. On the one hand focus is laid on finding optimal solutions out of different choices (highest return at lowest possible risk); on the other hand the endeavor was to provide a decision makers with a better assessment of the likelihood of outcomes on investment considerations. The first (deterministic) phase computes in a Total Cost of Ownership (TCO) approach (Life cycle Calculation; DCF method). Most of the causal relations (day of operation, escalation of personal expanses, inflation, depreciation period, etc.) are defined within this phase. The second (stochastic) phase is a total new way in optimizing risk/return relations. With the some decision theory mathematics an expected value of stochastic solutions can be calculated. Furthermore probability function have to be defined out of historical data. The model not only supports profitability analysis (including regress and sensitivity analysis) but also supports a decision-maker in a decision process. Emphasis was laid on risk-return analysis, which can give the decision-maker first hand informations of the type of risk return problem (risk concave, averse or linear). Five important parameters were chosen which have the characteristics of typical

  14. A two-stage stochastic programming model for the optimal design of distributed energy systems

    International Nuclear Information System (INIS)

    Zhou, Zhe; Zhang, Jianyun; Liu, Pei; Li, Zheng; Georgiadis, Michael C.; Pistikopoulos, Efstratios N.

    2013-01-01

    Highlights: ► The optimal design of distributed energy systems under uncertainty is studied. ► A stochastic model is developed using genetic algorithm and Monte Carlo method. ► The proposed system possesses inherent robustness under uncertainty. ► The inherent robustness is due to energy storage facilities and grid connection. -- Abstract: A distributed energy system is a multi-input and multi-output energy system with substantial energy, economic and environmental benefits. The optimal design of such a complex system under energy demand and supply uncertainty poses significant challenges in terms of both modelling and corresponding solution strategies. This paper proposes a two-stage stochastic programming model for the optimal design of distributed energy systems. A two-stage decomposition based solution strategy is used to solve the optimization problem with genetic algorithm performing the search on the first stage variables and a Monte Carlo method dealing with uncertainty in the second stage. The model is applied to the planning of a distributed energy system in a hotel. Detailed computational results are presented and compared with those generated by a deterministic model. The impacts of demand and supply uncertainty on the optimal design of distributed energy systems are systematically investigated using proposed modelling framework and solution approach.

  15. Comparison of Traditional Design Nonlinear Programming Optimization and Stochastic Methods for Structural Design

    Science.gov (United States)

    Patnaik, Surya N.; Pai, Shantaram S.; Coroneos, Rula M.

    2010-01-01

    Structural design generated by traditional method, optimization method and the stochastic design concept are compared. In the traditional method, the constraints are manipulated to obtain the design and weight is back calculated. In design optimization, the weight of a structure becomes the merit function with constraints imposed on failure modes and an optimization algorithm is used to generate the solution. Stochastic design concept accounts for uncertainties in loads, material properties, and other parameters and solution is obtained by solving a design optimization problem for a specified reliability. Acceptable solutions were produced by all the three methods. The variation in the weight calculated by the methods was modest. Some variation was noticed in designs calculated by the methods. The variation may be attributed to structural indeterminacy. It is prudent to develop design by all three methods prior to its fabrication. The traditional design method can be improved when the simplified sensitivities of the behavior constraint is used. Such sensitivity can reduce design calculations and may have a potential to unify the traditional and optimization methods. Weight versus reliabilitytraced out an inverted-S-shaped graph. The center of the graph corresponded to mean valued design. A heavy design with weight approaching infinity could be produced for a near-zero rate of failure. Weight can be reduced to a small value for a most failure-prone design. Probabilistic modeling of load and material properties remained a challenge.

  16. Flow injection analysis simulations and diffusion coefficient determination by stochastic and deterministic optimization methods.

    Science.gov (United States)

    Kucza, Witold

    2013-07-25

    Stochastic and deterministic simulations of dispersion in cylindrical channels on the Poiseuille flow have been presented. The random walk (stochastic) and the uniform dispersion (deterministic) models have been used for computations of flow injection analysis responses. These methods coupled with the genetic algorithm and the Levenberg-Marquardt optimization methods, respectively, have been applied for determination of diffusion coefficients. The diffusion coefficients of fluorescein sodium, potassium hexacyanoferrate and potassium dichromate have been determined by means of the presented methods and FIA responses that are available in literature. The best-fit results agree with each other and with experimental data thus validating both presented approaches. Copyright © 2013 The Author. Published by Elsevier B.V. All rights reserved.

  17. Stochastic Optimal Dispatch of Virtual Power Plant considering Correlation of Distributed Generations

    Directory of Open Access Journals (Sweden)

    Jie Yu

    2015-01-01

    Full Text Available Virtual power plant (VPP is an aggregation of multiple distributed generations, energy storage, and controllable loads. Affected by natural conditions, the uncontrollable distributed generations within VPP, such as wind and photovoltaic generations, are extremely random and relative. Considering the randomness and its correlation of uncontrollable distributed generations, this paper constructs the chance constraints stochastic optimal dispatch of VPP including stochastic variables and its random correlation. The probability distributions of independent wind and photovoltaic generations are described by empirical distribution functions, and their joint probability density model is established by Frank-copula function. And then, sample average approximation (SAA is applied to convert the chance constrained stochastic optimization model into a deterministic optimization model. Simulation cases are calculated based on the AIMMS. Simulation results of this paper mathematic model are compared with the results of deterministic optimization model without stochastic variables and stochastic optimization considering stochastic variables but not random correlation. Furthermore, this paper analyzes how SAA sampling frequency and the confidence level influence the results of stochastic optimization. The numerical example results show the effectiveness of the stochastic optimal dispatch of VPP considering the randomness and its correlations of distributed generations.

  18. A Constructive Sharp Approach to Functional Quantization of Stochastic Processes

    OpenAIRE

    Junglen, Stefan; Luschgy, Harald

    2010-01-01

    We present a constructive approach to the functional quantization problem of stochastic processes, with an emphasis on Gaussian processes. The approach is constructive, since we reduce the infinite-dimensional functional quantization problem to a finite-dimensional quantization problem that can be solved numerically. Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.

  19. Minimal representation of matrix valued white stochastic processes and U–D factorisation of algorithms for optimal control

    NARCIS (Netherlands)

    Willigenburg, van L.G.; Koning, de W.L.

    2013-01-01

    Two different descriptions are used in the literature to formulate the optimal dynamic output feedback control problem for linear dynamical systems with white stochastic parameters and quadratic criteria, called the optimal compensation problem. One describes the matrix valued white stochastic

  20. Selective adsorption resonances: Quantum and stochastic approaches

    International Nuclear Information System (INIS)

    Sanz, A.S.; Miret-Artes, S.

    2007-01-01

    In this review we cover recent advances in the theory of the selective adsorption phenomenon that appears in light atom/molecule scattering off solid surfaces. Due to the universal van der Waals attractive interaction incoming gas particles can get trapped by the surface, this giving rise to the formation of quasi-bound states or resonances. The knowledge of the position and width of these resonances provides relevant direct information about the nature of the gas-surface interaction as well as about the evaporation and desorption mechanisms. This information can be obtained by means of a plethora of theoretical methods developed in both the energy and time domains, which we analyze and discuss here in detail. In particular, special emphasis is given to close-coupling, wave-packet, and trajectory-based formalisms. Furthermore, a novel description of selective adsorption resonances from a stochastic quantum perspective within the density matrix and Langevin formalisms, when correlations and fluctuations of the surface (considered as a thermal bath) are taken into account, is also proposed and discussed

  1. Stochastic search, optimization and regression with energy applications

    Science.gov (United States)

    Hannah, Lauren A.

    Designing clean energy systems will be an important task over the next few decades. One of the major roadblocks is a lack of mathematical tools to economically evaluate those energy systems. However, solutions to these mathematical problems are also of interest to the operations research and statistical communities in general. This thesis studies three problems that are of interest to the energy community itself or provide support for solution methods: R&D portfolio optimization, nonparametric regression and stochastic search with an observable state variable. First, we consider the one stage R&D portfolio optimization problem to avoid the sequential decision process associated with the multi-stage. The one stage problem is still difficult because of a non-convex, combinatorial decision space and a non-convex objective function. We propose a heuristic solution method that uses marginal project values---which depend on the selected portfolio---to create a linear objective function. In conjunction with the 0-1 decision space, this new problem can be solved as a knapsack linear program. This method scales well to large decision spaces. We also propose an alternate, provably convergent algorithm that does not exploit problem structure. These methods are compared on a solid oxide fuel cell R&D portfolio problem. Next, we propose Dirichlet Process mixtures of Generalized Linear Models (DPGLM), a new method of nonparametric regression that accommodates continuous and categorical inputs, and responses that can be modeled by a generalized linear model. We prove conditions for the asymptotic unbiasedness of the DP-GLM regression mean function estimate. We also give examples for when those conditions hold, including models for compactly supported continuous distributions and a model with continuous covariates and categorical response. We empirically analyze the properties of the DP-GLM and why it provides better results than existing Dirichlet process mixture regression

  2. Application of stochastic optimization to nuclear power plant asset management decisions

    International Nuclear Information System (INIS)

    Morton, D.; Koc, A.; Hess, S. M.

    2013-01-01

    We describe the development and application of stochastic optimization models and algorithms to address an issue of critical importance in the strategic allocation of resources; namely, the selection of a portfolio of capital investment projects under the constraints of a limited and uncertain budget. This issue is significant and one that faces decision-makers across all industries. The objective of this strategic decision process is generally self evident - to maximize the value obtained from the portfolio of selected projects (with value usually measured in terms of the portfolio's net present value). However, heretofore, many organizations have developed processes to make these investment decisions using simplistic rule-based rank-ordering schemes. This approach has the significant limitation of not accounting for the (often large) uncertainties in the costs or economic benefits associated with the candidate projects or in the uncertainties in the actual funds available to be expended over the projected period of time. As a result, the simple heuristic approaches that typically are employed in industrial practice generate outcomes that are non-optimal and do not achieve the level of benefits intended. In this paper we describe the results of research performed to utilize stochastic optimization models and algorithms to address this limitation by explicitly incorporating the evaluation of uncertainties in the analysis and decision making process. (authors)

  3. Application of stochastic optimization to nuclear power plant asset management decisions

    Energy Technology Data Exchange (ETDEWEB)

    Morton, D. [Graduate Program in Operations Research and Industrial Engineering, University of Texas at Austin, Austin, TX, 78712 (United States); Koc, A. [IBM T.J. Watson Research Center, Business Analytics and Mathematical Sciences Dept., 1101 Kitchawan Rd., Yorktown Heights, NY, 10598 (United States); Hess, S. M. [Electric Power Research Institute, 300 Baywood Road, West Chester, PA, 19382 (United States)

    2013-07-01

    We describe the development and application of stochastic optimization models and algorithms to address an issue of critical importance in the strategic allocation of resources; namely, the selection of a portfolio of capital investment projects under the constraints of a limited and uncertain budget. This issue is significant and one that faces decision-makers across all industries. The objective of this strategic decision process is generally self evident - to maximize the value obtained from the portfolio of selected projects (with value usually measured in terms of the portfolio's net present value). However, heretofore, many organizations have developed processes to make these investment decisions using simplistic rule-based rank-ordering schemes. This approach has the significant limitation of not accounting for the (often large) uncertainties in the costs or economic benefits associated with the candidate projects or in the uncertainties in the actual funds available to be expended over the projected period of time. As a result, the simple heuristic approaches that typically are employed in industrial practice generate outcomes that are non-optimal and do not achieve the level of benefits intended. In this paper we describe the results of research performed to utilize stochastic optimization models and algorithms to address this limitation by explicitly incorporating the evaluation of uncertainties in the analysis and decision making process. (authors)

  4. Stochastic optimal control in infinite dimension dynamic programming and HJB equations

    CERN Document Server

    Fabbri, Giorgio; Święch, Andrzej

    2017-01-01

    Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite ...

  5. HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION

    OpenAIRE

    Manfred Gilli, Evis Kellezi

    2000-01-01

    The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.

  6. Understanding and Optimizing Asynchronous Low-Precision Stochastic Gradient Descent

    Science.gov (United States)

    De Sa, Christopher; Feldman, Matthew; Ré, Christopher; Olukotun, Kunle

    2018-01-01

    Stochastic gradient descent (SGD) is one of the most popular numerical algorithms used in machine learning and other domains. Since this is likely to continue for the foreseeable future, it is important to study techniques that can make it run fast on parallel hardware. In this paper, we provide the first analysis of a technique called Buckwild! that uses both asynchronous execution and low-precision computation. We introduce the DMGC model, the first conceptualization of the parameter space that exists when implementing low-precision SGD, and show that it provides a way to both classify these algorithms and model their performance. We leverage this insight to propose and analyze techniques to improve the speed of low-precision SGD. First, we propose software optimizations that can increase throughput on existing CPUs by up to 11×. Second, we propose architectural changes, including a new cache technique we call an obstinate cache, that increase throughput beyond the limits of current-generation hardware. We also implement and analyze low-precision SGD on the FPGA, which is a promising alternative to the CPU for future SGD systems. PMID:29391770

  7. OPTIMAL TRAINING POLICY FOR PROMOTION - STOCHASTIC MODELS OF MANPOWER SYSTEMS

    Directory of Open Access Journals (Sweden)

    V.S.S. Yadavalli

    2012-01-01

    Full Text Available In this paper, the optimal planning of manpower training programmes in a manpower system with two grades is discussed. The planning of manpower training within a given organization involves a trade-off between training costs and expected return. These planning problems are examined through models that reflect the random nature of manpower movement in two grades. To be specific, the system consists of two grades, grade 1 and grade 2. Any number of persons in grade 2 can be sent for training and after the completion of training, they will stay in grade 2 and will be given promotion as and when vacancies arise in grade 1. Vacancies arise in grade 1 only by wastage. A person in grade 1 can leave the system with probability p. Vacancies are filled with persons in grade 2 who have completed the training. It is assumed that there is a perfect passing rate and that the sizes of both grades are fixed. Assuming that the planning horizon is finite and is T, the underlying stochastic process is identified as a finite state Markov chain and using dynamic programming, a policy is evolved to determine how many persons should be sent for training at any time k so as to minimize the total expected cost for the entire planning period T.

  8. Robust Portfolio Optimization using CAPM Approach

    Directory of Open Access Journals (Sweden)

    mohsen gharakhani

    2013-08-01

    Full Text Available In this paper, a new robust model of multi-period portfolio problem has been developed. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and robust optimization. Applying these techniques to multi-period portfolio problem may increase the problem size in a way that the resulting model is intractable. In this paper, a novel approach has been proposed to formulate multi-period portfolio problem as an uncertain linear program assuming that asset return follows the single-index factor model. Robust optimization technique has been also used to solve the problem. In order to evaluate the performance of the proposed model, a numerical example has been applied using simulated data.

  9. Reliability-Based Shape Optimization using Stochastic Finite Element Methods

    DEFF Research Database (Denmark)

    Enevoldsen, Ib; Sørensen, John Dalsgaard; Sigurdsson, G.

    1991-01-01

    stochastic fields (e.g. loads and material parameters such as Young's modulus and the Poisson ratio). In this case stochastic finite element techniques combined with FORM analysis can be used to obtain measures of the reliability of the structural systems, see Der Kiureghian & Ke (6) and Liu & Der Kiureghian...

  10. Stochastic approach and fluctuation theorem for charge transport in diodes

    Science.gov (United States)

    Gu, Jiayin; Gaspard, Pierre

    2018-05-01

    A stochastic approach for charge transport in diodes is developed in consistency with the laws of electricity, thermodynamics, and microreversibility. In this approach, the electron and hole densities are ruled by diffusion-reaction stochastic partial differential equations and the electric field generated by the charges is determined with the Poisson equation. These equations are discretized in space for the numerical simulations of the mean density profiles, the mean electric potential, and the current-voltage characteristics. Moreover, the full counting statistics of the carrier current and the measured total current including the contribution of the displacement current are investigated. On the basis of local detailed balance, the fluctuation theorem is shown to hold for both currents.

  11. Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk

    Directory of Open Access Journals (Sweden)

    Tina Engler

    2014-12-01

    Full Text Available We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor’s expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion utility functions.

  12. A stochastic multi-agent optimization model for energy infrastructure planning under uncertainty and competition.

    Science.gov (United States)

    2017-07-04

    This paper presents a stochastic multi-agent optimization model that supports energy infrastruc- : ture planning under uncertainty. The interdependence between dierent decision entities in the : system is captured in an energy supply chain network, w...

  13. Stochastic optimization under risk constraint and utility functions

    International Nuclear Information System (INIS)

    Seck, B.

    2008-09-01

    In a context of concurrence and emergence of energy markets, the production of electricity is affected by the new sources of risks which are the price variations on the energy markets. These new sources of risks generate a new risk: the market risk. In this research, the author explores the possibility of introducing constraints, expressed by measurements of risk, into the process of optimization of electricity production when financial contracts are signed on the energy market. The author makes the distinction between the engineering approach (taking the risk into account by risk measurements) and the economist approach (taking the risk into account by utility functions). After an overview of these both approaches in a static framework, he gives an economical formulation (a Maccheroni type one) for a static optimization problem under a risk constraint when the risk measurement is written under the form of an expected infimum like the variance, the 'conditional value at risk', and so on. The obtained results are then extended to a dynamic optimization framework under risk constraints. A numerical application of this approach is presented to solve a problem of electricity production management under a constraint of 'conditional value at risk' on a middle term

  14. Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers

    Science.gov (United States)

    Hou, Yumei; Sethi, Suresh P.; Zhang, Hanqin; Zhang, Qing

    2006-05-01

    We consider a production planning problem for a jobshop with unreliable machines producing a number of products. There are upper and lower bounds on intermediate parts and an upper bound on finished parts. The machine capacities are modelled as finite state Markov chains. The objective is to choose the rate of production so as to minimize the total discounted cost of inventory and production. Finding an optimal control policy for this problem is difficult. Instead, we derive an asymptotic approximation by letting the rates of change of the machine states approach infinity. The asymptotic analysis leads to a limiting problem in which the stochastic machine capacities are replaced by their equilibrium mean capacities. The value function for the original problem is shown to converge to the value function of the limiting problem. The convergence rate of the value function together with the error estimate for the constructed asymptotic optimal production policies are established.

  15. Stochastic Optimal Control of Parallel Hybrid Electric Vehicles

    Directory of Open Access Journals (Sweden)

    Feiyan Qin

    2017-02-01

    Full Text Available Energy management strategies (EMSs in hybrid electric vehicles (HEVs are highly related to the fuel economy and emission performances. However, EMS constitutes a challenging problem due to the complex structure of a HEV and the unknown or partially known driving cycles. To meet this problem, this paper adopts a stochastic dynamic programming (SDP method for the EMS of a specially designed vehicle, a pre-transmission single-shaft torque-coupling parallel HEV. In this parallel HEV, the auto clutch output is connected to the transmission input through an electric motor, which benefits an efficient motor assist operation. In this EMS, demanded torque of driver is modeled as a one-state Markov process to represent the uncertainty of future driving situations. The obtained EMS has been evaluated with ADVISOR2002 over two standard government drive cycles and a self-defined one, and compared with a dynamic programming (DP one and a rule-based one. Simulation results have shown the real-time performance of the proposed approach, and potential vehicle performance improvement relative to the rule-based one.

  16. Multistage Stochastic Programming and its Applications in Energy Systems Modeling and Optimization

    Science.gov (United States)

    Golari, Mehdi

    Electric energy constitutes one of the most crucial elements to almost every aspect of life of people. The modern electric power systems face several challenges such as efficiency, economics, sustainability, and reliability. Increase in electrical energy demand, distributed generations, integration of uncertain renewable energy resources, and demand side management are among the main underlying reasons of such growing complexity. Additionally, the elements of power systems are often vulnerable to failures because of many reasons, such as system limits, weak conditions, unexpected events, hidden failures, human errors, terrorist attacks, and natural disasters. One common factor complicating the operation of electrical power systems is the underlying uncertainties from the demands, supplies and failures of system components. Stochastic programming provides a mathematical framework for decision making under uncertainty. It enables a decision maker to incorporate some knowledge of the intrinsic uncertainty into the decision making process. In this dissertation, we focus on application of two-stage and multistage stochastic programming approaches to electric energy systems modeling and optimization. Particularly, we develop models and algorithms addressing the sustainability and reliability issues in power systems. First, we consider how to improve the reliability of power systems under severe failures or contingencies prone to cascading blackouts by so called islanding operations. We present a two-stage stochastic mixed-integer model to find optimal islanding operations as a powerful preventive action against cascading failures in case of extreme contingencies. Further, we study the properties of this problem and propose efficient solution methods to solve this problem for large-scale power systems. We present the numerical results showing the effectiveness of the model and investigate the performance of the solution methods. Next, we address the sustainability issue

  17. Performance improvement of optical CDMA networks with stochastic artificial bee colony optimization technique

    Science.gov (United States)

    Panda, Satyasen

    2018-05-01

    This paper proposes a modified artificial bee colony optimization (ABC) algorithm based on levy flight swarm intelligence referred as artificial bee colony levy flight stochastic walk (ABC-LFSW) optimization for optical code division multiple access (OCDMA) network. The ABC-LFSW algorithm is used to solve asset assignment problem based on signal to noise ratio (SNR) optimization in OCDM networks with quality of service constraints. The proposed optimization using ABC-LFSW algorithm provides methods for minimizing various noises and interferences, regulating the transmitted power and optimizing the network design for improving the power efficiency of the optical code path (OCP) from source node to destination node. In this regard, an optical system model is proposed for improving the network performance with optimized input parameters. The detailed discussion and simulation results based on transmitted power allocation and power efficiency of OCPs are included. The experimental results prove the superiority of the proposed network in terms of power efficiency and spectral efficiency in comparison to networks without any power allocation approach.

  18. Error performance analysis in K-tier uplink cellular networks using a stochastic geometric approach

    KAUST Repository

    Afify, Laila H.; Elsawy, Hesham; Al-Naffouri, Tareq Y.; Alouini, Mohamed-Slim

    2015-01-01

    -in-Distribution approach that utilizes stochastic geometric tools to account for the network geometry in the performance characterization. Different from the other stochastic geometry models adopted in the literature, the developed analysis accounts for important

  19. A stochastic approach to multi-gene expression dynamics

    International Nuclear Information System (INIS)

    Ochiai, T.; Nacher, J.C.; Akutsu, T.

    2005-01-01

    In the last years, tens of thousands gene expression profiles for cells of several organisms have been monitored. Gene expression is a complex transcriptional process where mRNA molecules are translated into proteins, which control most of the cell functions. In this process, the correlation among genes is crucial to determine the specific functions of genes. Here, we propose a novel multi-dimensional stochastic approach to deal with the gene correlation phenomena. Interestingly, our stochastic framework suggests that the study of the gene correlation requires only one theoretical assumption-Markov property-and the experimental transition probability, which characterizes the gene correlation system. Finally, a gene expression experiment is proposed for future applications of the model

  20. A Data-Driven Stochastic Reactive Power Optimization Considering Uncertainties in Active Distribution Networks and Decomposition Method

    DEFF Research Database (Denmark)

    Ding, Tao; Yang, Qingrun; Yang, Yongheng

    2018-01-01

    To address the uncertain output of distributed generators (DGs) for reactive power optimization in active distribution networks, the stochastic programming model is widely used. The model is employed to find an optimal control strategy with minimum expected network loss while satisfying all......, in this paper, a data-driven modeling approach is introduced to assume that the probability distribution from the historical data is uncertain within a confidence set. Furthermore, a data-driven stochastic programming model is formulated as a two-stage problem, where the first-stage variables find the optimal...... control for discrete reactive power compensation equipment under the worst probability distribution of the second stage recourse. The second-stage variables are adjusted to uncertain probability distribution. In particular, this two-stage problem has a special structure so that the second-stage problem...

  1. Horsetail matching: a flexible approach to optimization under uncertainty

    Science.gov (United States)

    Cook, L. W.; Jarrett, J. P.

    2018-04-01

    It is important to design engineering systems to be robust with respect to uncertainties in the design process. Often, this is done by considering statistical moments, but over-reliance on statistical moments when formulating a robust optimization can produce designs that are stochastically dominated by other feasible designs. This article instead proposes a formulation for optimization under uncertainty that minimizes the difference between a design's cumulative distribution function and a target. A standard target is proposed that produces stochastically non-dominated designs, but the formulation also offers enough flexibility to recover existing approaches for robust optimization. A numerical implementation is developed that employs kernels to give a differentiable objective function. The method is applied to algebraic test problems and a robust transonic airfoil design problem where it is compared to multi-objective, weighted-sum and density matching approaches to robust optimization; several advantages over these existing methods are demonstrated.

  2. Simple Planar Truss (Linear, Nonlinear and Stochastic Approach

    Directory of Open Access Journals (Sweden)

    Frydrýšek Karel

    2016-11-01

    Full Text Available This article deals with a simple planar and statically determinate pin-connected truss. It demonstrates the processes and methods of derivations and solutions according to 1st and 2nd order theories. The article applies linear and nonlinear approaches and their simplifications via a Maclaurin series. Programming connected with the stochastic Simulation-Based Reliability Method (i.e. the direct Monte Carlo approach is used to conduct a probabilistic reliability assessment (i.e. a calculation of the probability that plastic deformation will occur in members of the truss.

  3. A numerical scheme for optimal transition paths of stochastic chemical kinetic systems

    International Nuclear Information System (INIS)

    Liu Di

    2008-01-01

    We present a new framework for finding the optimal transition paths of metastable stochastic chemical kinetic systems with large system size. The optimal transition paths are identified to be the most probable paths according to the Large Deviation Theory of stochastic processes. Dynamical equations for the optimal transition paths are derived using the variational principle. A modified Minimum Action Method (MAM) is proposed as a numerical scheme to solve the optimal transition paths. Applications to Gene Regulatory Networks such as the toggle switch model and the Lactose Operon Model in Escherichia coli are presented as numerical examples

  4. A stochastic optimization model under modeling uncertainty and parameter certainty for groundwater remediation design--part I. Model development.

    Science.gov (United States)

    He, L; Huang, G H; Lu, H W

    2010-04-15

    Solving groundwater remediation optimization problems based on proxy simulators can usually yield optimal solutions differing from the "true" ones of the problem. This study presents a new stochastic optimization model under modeling uncertainty and parameter certainty (SOMUM) and the associated solution method for simultaneously addressing modeling uncertainty associated with simulator residuals and optimizing groundwater remediation processes. This is a new attempt different from the previous modeling efforts. The previous ones focused on addressing uncertainty in physical parameters (i.e. soil porosity) while this one aims to deal with uncertainty in mathematical simulator (arising from model residuals). Compared to the existing modeling approaches (i.e. only parameter uncertainty is considered), the model has the advantages of providing mean-variance analysis for contaminant concentrations, mitigating the effects of modeling uncertainties on optimal remediation strategies, offering confidence level of optimal remediation strategies to system designers, and reducing computational cost in optimization processes. 2009 Elsevier B.V. All rights reserved.

  5. A stochastic optimization model under modeling uncertainty and parameter certainty for groundwater remediation design-Part I. Model development

    Energy Technology Data Exchange (ETDEWEB)

    He, L., E-mail: li.he@ryerson.ca [Department of Civil Engineering, Faculty of Engineering, Architecture and Science, Ryerson University, 350 Victoria Street, Toronto, Ontario, M5B 2K3 (Canada); Huang, G.H. [Environmental Systems Engineering Program, Faculty of Engineering, University of Regina, Regina, Saskatchewan, S4S 0A2 (Canada); College of Urban Environmental Sciences, Peking University, Beijing 100871 (China); Lu, H.W. [Environmental Systems Engineering Program, Faculty of Engineering, University of Regina, Regina, Saskatchewan, S4S 0A2 (Canada)

    2010-04-15

    Solving groundwater remediation optimization problems based on proxy simulators can usually yield optimal solutions differing from the 'true' ones of the problem. This study presents a new stochastic optimization model under modeling uncertainty and parameter certainty (SOMUM) and the associated solution method for simultaneously addressing modeling uncertainty associated with simulator residuals and optimizing groundwater remediation processes. This is a new attempt different from the previous modeling efforts. The previous ones focused on addressing uncertainty in physical parameters (i.e. soil porosity) while this one aims to deal with uncertainty in mathematical simulator (arising from model residuals). Compared to the existing modeling approaches (i.e. only parameter uncertainty is considered), the model has the advantages of providing mean-variance analysis for contaminant concentrations, mitigating the effects of modeling uncertainties on optimal remediation strategies, offering confidence level of optimal remediation strategies to system designers, and reducing computational cost in optimization processes.

  6. The stochastic system approach for estimating dynamic treatments effect.

    Science.gov (United States)

    Commenges, Daniel; Gégout-Petit, Anne

    2015-10-01

    The problem of assessing the effect of a treatment on a marker in observational studies raises the difficulty that attribution of the treatment may depend on the observed marker values. As an example, we focus on the analysis of the effect of a HAART on CD4 counts, where attribution of the treatment may depend on the observed marker values. This problem has been treated using marginal structural models relying on the counterfactual/potential response formalism. Another approach to causality is based on dynamical models, and causal influence has been formalized in the framework of the Doob-Meyer decomposition of stochastic processes. Causal inference however needs assumptions that we detail in this paper and we call this approach to causality the "stochastic system" approach. First we treat this problem in discrete time, then in continuous time. This approach allows incorporating biological knowledge naturally. When working in continuous time, the mechanistic approach involves distinguishing the model for the system and the model for the observations. Indeed, biological systems live in continuous time, and mechanisms can be expressed in the form of a system of differential equations, while observations are taken at discrete times. Inference in mechanistic models is challenging, particularly from a numerical point of view, but these models can yield much richer and reliable results.

  7. Optimal Stochastic Control Problem for General Linear Dynamical Systems in Neuroscience

    Directory of Open Access Journals (Sweden)

    Yan Chen

    2017-01-01

    Full Text Available This paper considers a d-dimensional stochastic optimization problem in neuroscience. Suppose the arm’s movement trajectory is modeled by high-order linear stochastic differential dynamic system in d-dimensional space, the optimal trajectory, velocity, and variance are explicitly obtained by using stochastic control method, which allows us to analytically establish exact relationships between various quantities. Moreover, the optimal trajectory is almost a straight line for a reaching movement; the optimal velocity bell-shaped and the optimal variance are consistent with the experimental Fitts law; that is, the longer the time of a reaching movement, the higher the accuracy of arriving at the target position, and the results can be directly applied to designing a reaching movement performed by a robotic arm in a more general environment.

  8. Topology optimization approaches

    DEFF Research Database (Denmark)

    Sigmund, Ole; Maute, Kurt

    2013-01-01

    Topology optimization has undergone a tremendous development since its introduction in the seminal paper by Bendsøe and Kikuchi in 1988. By now, the concept is developing in many different directions, including “density”, “level set”, “topological derivative”, “phase field”, “evolutionary...

  9. Stochastic optimization of laboratory test workflow at metallurgical testing centers

    Directory of Open Access Journals (Sweden)

    F. Tošenovský

    2016-10-01

    Full Text Available The objective of the paper is to present a way to shorten the time required to perform laboratory tests of materials in metallurgy. The paper finds a relation between the time to perform a test of materials and the number of technicians carrying out the test. The relation can be used to optimize the number of technicians. The approach is based on probability theory, as the amount of material to be tested is unknown in advance, and uses powerful modelling techniques involving the generalized estimating equations.

  10. Trip-oriented stochastic optimal energy management strategy for plug-in hybrid electric bus

    International Nuclear Information System (INIS)

    Du, Yongchang; Zhao, Yue; Wang, Qinpu; Zhang, Yuanbo; Xia, Huaicheng

    2016-01-01

    A trip-oriented stochastic optimal energy management strategy for plug-in hybrid electric bus is presented in this paper, which includes the offline stochastic dynamic programming part and the online implementation part performed by equivalent consumption minimization strategy. In the offline part, historical driving cycles of the fixed route are divided into segments according to the position of bus stops, and then a segment-based stochastic driving condition model based on Markov chain is built. With the segment-based stochastic model obtained, the control set for real-time implemented equivalent consumption minimization strategy can be achieved by solving the offline stochastic dynamic programming problem. Results of stochastic dynamic programming are converted into a 3-dimensional lookup table of parameters for online implemented equivalent consumption minimization strategy. The proposed strategy is verified by both simulation and hardware-in-loop test of real-world driving cycle on an urban bus route. Simulation results show that the proposed method outperforms both the well-tuned equivalent consumption minimization strategy and the rule-based strategy in terms of fuel economy, and even proved to be close to the optimal result obtained by dynamic programming. Furthermore, the practical application potential of the proposed control method was proved by hardware-in-loop test. - Highlights: • A stochastic problem was formed based on a stochastic segment-based driving condition model. • Offline stochastic dynamic programming was employed to solve the stochastic problem. • The instant power split decision was made by the online equivalent consumption minimization strategy. • Good performance in fuel economy of the proposed method was verified by simulation results. • Practical application potential of the proposed method was verified by the hardware-in-loop test results.

  11. Optimal investment models with stochastic volatility: the time ...

    African Journals Online (AJOL)

    Therefore, a transform is primordial to express the value function in terms of a semilinear PDE with quadratic growth on the derivative term. Some proofs for the existence of smooth solution to this equation have been provided for this equation by Pham [11]. In that paper they illustrated some common stochastic volatility ...

  12. Mortgage Loan Portfolio Optimization Using Multi-Stage Stochastic Programming

    DEFF Research Database (Denmark)

    Rasmussen, Kourosh Marjani; Clausen, Jens

    2007-01-01

    We consider the dynamics of the Danish mortgage loan system and propose several models to reflect the choices of a mortgagor as well as his attitude towards risk. The models are formulated as multi stage stochastic integer programs, which are difficult to solve for more than 10 stages. Scenario...

  13. Optimal adaptive control for a class of stochastic systems

    NARCIS (Netherlands)

    Bagchi, Arunabha; Chen, Han-Fu

    1995-01-01

    We study linear-quadratic adaptive tracking problems for a special class of stochastic systems expressed in the state-space form. This is a long-standing problem in the control of aircraft flying through atmospheric turbulence. Using an ELS-based algorithm and introducing dither in the control law

  14. Optimal Stochastic Advertising Strategies for the U.S. Beef Industry

    OpenAIRE

    Kun C. Lee; Stanley Schraufnagel; Earl O. Heady

    1982-01-01

    An important decision variable in the promotional strategy for the beef sector is the optimal level of advertising expenditures over time. Optimal stochastic and deterministic advertising expenditures are derived for the U.S. beef industry for the period `1966 through 1980. They are compared with historical levels and gains realized by optimal advertising strategies are measured. Finally, the optimal advertising expenditures in the future are forecasted.

  15. Lifetime distribution in thermal fatigue - a stochastic geometry approach

    International Nuclear Information System (INIS)

    Kullig, E.; Michel, B.

    1996-02-01

    The present report describes the interpretation approach for crack patterns which are generated on the smooth surface of austenitic specimens under thermal fatigue loading. A framework for the fracture mechanics characterization of equibiaxially loaded branched surface cracks is developed which accounts also for crack interaction effects. Advanced methods for the statistical evaluation of crack patterns using suitable characteristic quantities are developed. An efficient simulation procedure allows to identify the impact of different variables of the stochastic crack growth model with respect to the generated crack patterns. (orig.) [de

  16. Perturbative approach to non-Markovian stochastic Schroedinger equations

    International Nuclear Information System (INIS)

    Gambetta, Jay; Wiseman, H.M.

    2002-01-01

    In this paper we present a perturbative procedure that allows one to numerically solve diffusive non-Markovian stochastic Schroedinger equations, for a wide range of memory functions. To illustrate this procedure numerical results are presented for a classically driven two-level atom immersed in an environment with a simple memory function. It is observed that as the order of the perturbation is increased the numerical results for the ensemble average state ρ red (t) approach the exact reduced state found via Imamog-barlu ' s enlarged system method [Phys. Rev. A 50, 3650 (1994)

  17. Modeling and Optimization of the Multiobjective Stochastic Joint Replenishment and Delivery Problem under Supply Chain Environment

    Directory of Open Access Journals (Sweden)

    Lin Wang

    2013-01-01

    Full Text Available As a practical inventory and transportation problem, it is important to synthesize several objectives for the joint replenishment and delivery (JRD decision. In this paper, a new multiobjective stochastic JRD (MSJRD of the one-warehouse and n-retailer systems considering the balance of service level and total cost simultaneously is proposed. The goal of this problem is to decide the reasonable replenishment interval, safety stock factor, and traveling routing. Secondly, two approaches are designed to handle this complex multi-objective optimization problem. Linear programming (LP approach converts the multi-objective to single objective, while a multi-objective evolution algorithm (MOEA solves a multi-objective problem directly. Thirdly, three intelligent optimization algorithms, differential evolution algorithm (DE, hybrid DE (HDE, and genetic algorithm (GA, are utilized in LP-based and MOEA-based approaches. Results of the MSJRD with LP-based and MOEA-based approaches are compared by a contrastive numerical example. To analyses the nondominated solution of MOEA, a metric is also used to measure the distribution of the last generation solution. Results show that HDE outperforms DE and GA whenever LP or MOEA is adopted.

  18. Optimal timing of joint replacement using mathematical programming and stochastic programming models.

    Science.gov (United States)

    Keren, Baruch; Pliskin, Joseph S

    2011-12-01

    The optimal timing for performing radical medical procedures as joint (e.g., hip) replacement must be seriously considered. In this paper we show that under deterministic assumptions the optimal timing for joint replacement is a solution of a mathematical programming problem, and under stochastic assumptions the optimal timing can be formulated as a stochastic programming problem. We formulate deterministic and stochastic models that can serve as decision support tools. The results show that the benefit from joint replacement surgery is heavily dependent on timing. Moreover, for a special case where the patient's remaining life is normally distributed along with a normally distributed survival of the new joint, the expected benefit function from surgery is completely solved. This enables practitioners to draw the expected benefit graph, to find the optimal timing, to evaluate the benefit for each patient, to set priorities among patients and to decide if joint replacement should be performed and when.

  19. Estimation of an Optimal Stimulus Amplitude for Using Vestibular Stochastic Stimulation to Improve Balance Function

    Science.gov (United States)

    Goel, R.; Kofman, I.; DeDios, Y. E.; Jeevarajan, J.; Stepanyan, V.; Nair, M.; Congdon, S.; Fregia, M.; Peters, B.; Cohen, H.; hide

    2015-01-01

    Sensorimotor changes such as postural and gait instabilities can affect the functional performance of astronauts when they transition across different gravity environments. We are developing a method, based on stochastic resonance (SR), to enhance information transfer by applying non-zero levels of external noise on the vestibular system (vestibular stochastic resonance, VSR). The goal of this project was to determine optimal levels of stimulation for SR applications by using a defined vestibular threshold of motion detection.

  20. Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications

    Directory of Open Access Journals (Sweden)

    Jingtao Shi

    2013-01-01

    Full Text Available This paper is concerned with the relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example of the main result.

  1. Feedback optimal control of dynamic stochastic two-machine flowshop with a finite buffer

    Directory of Open Access Journals (Sweden)

    Thang Diep

    2010-06-01

    Full Text Available This paper examines the optimization of production involving a tandem two-machine system producing a single part type, with each machine being subject to random breakdowns and repairs. An analytical model is formulated with a view to solving an optimal stochastic production problem of the system with machines having up-downtime non-exponential distributions. The model developed is obtained by using a dynamic programming approach and a semi-Markov process. The control problem aims to find the production rates needed by the machines to meet the demand rate, through a minimization of the inventory/shortage cost. Using the Bellman principle, the optimality conditions obtained satisfy the Hamilton-Jacobi-Bellman equation, which depends on time and system states, and ultimately, leads to a feedback control. Consequently, the new model enables us to improve the coefficient of variation (CVup/down to be less than one while it is equal to one in Markov model. Heuristics methods are used to involve the problem because of the difficulty of the analytical model using several states, and to show what control law should be used in each system state (i.e., including Kanban, feedback and CONWIP control. Numerical methods are used to solve the optimality conditions and to show how a machine should produce.

  2. A review on condition-based maintenance optimization models for stochastically deteriorating system

    International Nuclear Information System (INIS)

    Alaswad, Suzan; Xiang, Yisha

    2017-01-01

    Condition-based maintenance (CBM) is a maintenance strategy that collects and assesses real-time information, and recommends maintenance decisions based on the current condition of the system. In recent decades, research on CBM has been rapidly growing due to the rapid development of computer-based monitoring technologies. Research studies have proven that CBM, if planned properly, can be effective in improving equipment reliability at reduced costs. This paper presents a review of CBM literature with emphasis on mathematical modeling and optimization approaches. We focus this review on important aspects of the CBM, such as optimization criteria, inspection frequency, maintenance degree, solution methodology, etc. Since the modeling choice for the stochastic deterioration process greatly influences CBM strategy decisions, this review classifies the literature on CBM models based on the underlying deterioration processes, namely discrete- and continuous-state deterioration, and proportional hazard model. CBM models for multi-unit systems are also reviewed in this paper. This paper provides useful references for CBM management professionals and researchers working on CBM modeling and optimization. - Highlights: • A review on Condition-based maintenance (CBM) optimization models is presented. • The CBM models are classified based on the underlying deterioration processes. • Existing CBM models for both single- and multi-unit systems are reviewed. • Future essential research directions on CBM are identified.

  3. Reliability-Based Topology Optimization Using Stochastic Response Surface Method with Sparse Grid Design

    Directory of Open Access Journals (Sweden)

    Qinghai Zhao

    2015-01-01

    Full Text Available A mathematical framework is developed which integrates the reliability concept into topology optimization to solve reliability-based topology optimization (RBTO problems under uncertainty. Two typical methodologies have been presented and implemented, including the performance measure approach (PMA and the sequential optimization and reliability assessment (SORA. To enhance the computational efficiency of reliability analysis, stochastic response surface method (SRSM is applied to approximate the true limit state function with respect to the normalized random variables, combined with the reasonable design of experiments generated by sparse grid design, which was proven to be an effective and special discretization technique. The uncertainties such as material property and external loads are considered on three numerical examples: a cantilever beam, a loaded knee structure, and a heat conduction problem. Monte-Carlo simulations are also performed to verify the accuracy of the failure probabilities computed by the proposed approach. Based on the results, it is demonstrated that application of SRSM with SGD can produce an efficient reliability analysis in RBTO which enables a more reliable design than that obtained by DTO. It is also found that, under identical accuracy, SORA is superior to PMA in view of computational efficiency.

  4. Approaching complexity by stochastic methods: From biological systems to turbulence

    Energy Technology Data Exchange (ETDEWEB)

    Friedrich, Rudolf [Institute for Theoretical Physics, University of Muenster, D-48149 Muenster (Germany); Peinke, Joachim [Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Sahimi, Muhammad [Mork Family Department of Chemical Engineering and Materials Science, University of Southern California, Los Angeles, CA 90089-1211 (United States); Reza Rahimi Tabar, M., E-mail: mohammed.r.rahimi.tabar@uni-oldenburg.de [Department of Physics, Sharif University of Technology, Tehran 11155-9161 (Iran, Islamic Republic of); Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Fachbereich Physik, Universitaet Osnabrueck, Barbarastrasse 7, 49076 Osnabrueck (Germany)

    2011-09-15

    This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.

  5. Approaching complexity by stochastic methods: From biological systems to turbulence

    International Nuclear Information System (INIS)

    Friedrich, Rudolf; Peinke, Joachim; Sahimi, Muhammad; Reza Rahimi Tabar, M.

    2011-01-01

    This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.

  6. The two-regime method for optimizing stochastic reaction-diffusion simulations

    KAUST Repository

    Flegg, M. B.; Chapman, S. J.; Erban, R.

    2011-01-01

    Spatial organization and noise play an important role in molecular systems biology. In recent years, a number of software packages have been developed for stochastic spatio-temporal simulation, ranging from detailed molecular-based approaches

  7. The ESPAT tool: a general-purpose DSS shell for solving stochastic optimization problems in complex river-aquifer systems

    Science.gov (United States)

    Macian-Sorribes, Hector; Pulido-Velazquez, Manuel; Tilmant, Amaury

    2015-04-01

    Stochastic programming methods are better suited to deal with the inherent uncertainty of inflow time series in water resource management. However, one of the most important hurdles in their use in practical implementations is the lack of generalized Decision Support System (DSS) shells, usually based on a deterministic approach. The purpose of this contribution is to present a general-purpose DSS shell, named Explicit Stochastic Programming Advanced Tool (ESPAT), able to build and solve stochastic programming problems for most water resource systems. It implements a hydro-economic approach, optimizing the total system benefits as the sum of the benefits obtained by each user. It has been coded using GAMS, and implements a Microsoft Excel interface with a GAMS-Excel link that allows the user to introduce the required data and recover the results. Therefore, no GAMS skills are required to run the program. The tool is divided into four modules according to its capabilities: 1) the ESPATR module, which performs stochastic optimization procedures in surface water systems using a Stochastic Dual Dynamic Programming (SDDP) approach; 2) the ESPAT_RA module, which optimizes coupled surface-groundwater systems using a modified SDDP approach; 3) the ESPAT_SDP module, capable of performing stochastic optimization procedures in small-size surface systems using a standard SDP approach; and 4) the ESPAT_DET module, which implements a deterministic programming procedure using non-linear programming, able to solve deterministic optimization problems in complex surface-groundwater river basins. The case study of the Mijares river basin (Spain) is used to illustrate the method. It consists in two reservoirs in series, one aquifer and four agricultural demand sites currently managed using historical (XIV century) rights, which give priority to the most traditional irrigation district over the XX century agricultural developments. Its size makes it possible to use either the SDP or

  8. Revisiting the cape cod bacteria injection experiment using a stochastic modeling approach

    Science.gov (United States)

    Maxwell, R.M.; Welty, C.; Harvey, R.W.

    2007-01-01

    Bromide and resting-cell bacteria tracer tests conducted in a sandy aquifer at the U.S. Geological Survey Cape Cod site in 1987 were reinterpreted using a three-dimensional stochastic approach. Bacteria transport was coupled to colloid filtration theory through functional dependence of local-scale colloid transport parameters upon hydraulic conductivity and seepage velocity in a stochastic advection - dispersion/attachment - detachment model. Geostatistical information on the hydraulic conductivity (K) field that was unavailable at the time of the original test was utilized as input. Using geostatistical parameters, a groundwater flow and particle-tracking model of conservative solute transport was calibrated to the bromide-tracer breakthrough data. An optimization routine was employed over 100 realizations to adjust the mean and variance ofthe natural-logarithm of hydraulic conductivity (InK) field to achieve best fit of a simulated, average bromide breakthrough curve. A stochastic particle-tracking model for the bacteria was run without adjustments to the local-scale colloid transport parameters. Good predictions of mean bacteria breakthrough were achieved using several approaches for modeling components of the system. Simulations incorporating the recent Tufenkji and Elimelech (Environ. Sci. Technol. 2004, 38, 529-536) correlation equation for estimating single collector efficiency were compared to those using the older Rajagopalan and Tien (AIChE J. 1976, 22, 523-533) model. Both appeared to work equally well at predicting mean bacteria breakthrough using a constant mean bacteria diameter for this set of field conditions. Simulations using a distribution of bacterial cell diameters available from original field notes yielded a slight improvement in the model and data agreement compared to simulations using an average bacterial diameter. The stochastic approach based on estimates of local-scale parameters for the bacteria-transport process reasonably captured

  9. Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices

    Science.gov (United States)

    Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah@Rozita

    2014-06-01

    Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stable information ratio.

  10. Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices

    Energy Technology Data Exchange (ETDEWEB)

    Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah Rozita [School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor (Malaysia)

    2014-06-19

    Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stable information ratio.

  11. Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices

    International Nuclear Information System (INIS)

    Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah Rozita

    2014-01-01

    Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stable information ratio

  12. A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment

    Directory of Open Access Journals (Sweden)

    Tak Kuen Siu

    2015-01-01

    Full Text Available An optimal asset allocation problem for a quite general class of utility functions is discussed in a simple two-state Markovian regime-switching model, where the appreciation rate of a risky share changes over time according to the state of a hidden economy. As usual, standard filtering theory is used to transform a financial model with hidden information into one with complete information, where a martingale approach is applied to discuss the optimal asset allocation problem. Using a martingale representation coupled with stochastic flows of diffeomorphisms for the filtering equation, the integrand in the martingale representation is identified which gives rise to an optimal portfolio strategy under some differentiability conditions.

  13. AN ADAPTIVE OPTIMAL KALMAN FILTER FOR STOCHASTIC VIBRATION CONTROL SYSTEM WITH UNKNOWN NOISE VARIANCES

    Institute of Scientific and Technical Information of China (English)

    Li Shu; Zhuo Jiashou; Ren Qingwen

    2000-01-01

    In this paper, an optimal criterion is presented for adaptive Kalman filter in a control sys tem with unknown variances of stochastic vibration by constructing a function of noise variances and minimizing the function. We solve the model and measure variances by using DFP optimal method to guarantee the results of Kalman filter to be optimized. Finally, the control of vibration can be implemented by LQG method.

  14. Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio

    OpenAIRE

    Lorig, Matthew; Sircar, Ronnie

    2015-01-01

    We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the `implied Sharpe ratio' and derive a series approximation for this quantity. The zeroth-order approximation of the value function and optimal investment strategy correspond to those obtained by Merton (1969) when the risky...

  15. Optimal control strategy for an impulsive stochastic competition system with time delays and jumps

    Science.gov (United States)

    Liu, Lidan; Meng, Xinzhu; Zhang, Tonghua

    2017-07-01

    Driven by both white and jump noises, a stochastic delayed model with two competitive species in a polluted environment is proposed and investigated. By using the comparison theorem of stochastic differential equations and limit superior theory, sufficient conditions for persistence in mean and extinction of two species are established. In addition, we obtain that the system is asymptotically stable in distribution by using ergodic method. Furthermore, the optimal harvesting effort and the maximum of expectation of sustainable yield (ESY) are derived from Hessian matrix method and optimal harvesting theory of differential equations. Finally, some numerical simulations are provided to illustrate the theoretical results.

  16. Maximum likelihood approach for several stochastic volatility models

    International Nuclear Information System (INIS)

    Camprodon, Jordi; Perelló, Josep

    2012-01-01

    Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log-price dynamics. We apply this method to the simplest versions of the expOU, the OU and the Heston stochastic volatility models and we study their performance in terms of the log-price probability, the volatility probability, and its Mean First-Passage Time. The approach has some predictive power on the future returns amplitude by only knowing the current volatility. The assumed models do not consider long-range volatility autocorrelation and the asymmetric return-volatility cross-correlation but the method still yields very naturally these two important stylized facts. We apply the method to different market indices and with a good performance in all cases. (paper)

  17. Stochastic network interdiction optimization via capacitated network reliability modeling and probabilistic solution discovery

    International Nuclear Information System (INIS)

    Ramirez-Marquez, Jose Emmanuel; Rocco S, Claudio M.

    2009-01-01

    This paper introduces an evolutionary optimization approach that can be readily applied to solve stochastic network interdiction problems (SNIP). The network interdiction problem solved considers the minimization of the cost associated with an interdiction strategy such that the maximum flow that can be transmitted between a source node and a sink node for a fixed network design is greater than or equal to a given reliability requirement. Furthermore, the model assumes that the nominal capacity of each network link and the cost associated with their interdiction can change from link to link and that such interdiction has a probability of being successful. This version of the SNIP is for the first time modeled as a capacitated network reliability problem allowing for the implementation of computation and solution techniques previously unavailable. The solution process is based on an evolutionary algorithm that implements: (1) Monte-Carlo simulation, to generate potential network interdiction strategies, (2) capacitated network reliability techniques to analyze strategies' source-sink flow reliability and, (3) an evolutionary optimization technique to define, in probabilistic terms, how likely a link is to appear in the final interdiction strategy. Examples for different sizes of networks are used throughout the paper to illustrate the approach

  18. Stochastic optimization of a multi-feedstock lignocellulosic-based bioethanol supply chain under multiple uncertainties

    International Nuclear Information System (INIS)

    Osmani, Atif; Zhang, Jun

    2013-01-01

    An integrated multi-feedstock (i.e. switchgrass and crop residue) lignocellulosic-based bioethanol supply chain is studied under jointly occurring uncertainties in switchgrass yield, crop residue purchase price, bioethanol demand and sales price. A two-stage stochastic mathematical model is proposed to maximize expected profit by optimizing the strategic and tactical decisions. A case study based on ND (North Dakota) state in the U.S. demonstrates that in a stochastic environment it is cost effective to meet 100% of ND's annual gasoline demand from bioethanol by using switchgrass as a primary and crop residue as a secondary biomass feedstock. Although results show that the financial performance is degraded as variability of the uncertain parameters increases, the proposed stochastic model increasingly outperforms the deterministic model under uncertainties. The locations of biorefineries (i.e. first-stage integer variables) are insensitive to the uncertainties. Sensitivity analysis shows that “mean” value of stochastic parameters has a significant impact on the expected profit and optimal values of first-stage continuous variables. Increase in level of mean ethanol demand and mean sale price results in higher bioethanol production. When mean switchgrass yield is at low level and mean crop residue price is at high level, all the available marginal land is used for switchgrass cultivation. - Highlights: • Two-stage stochastic MILP model for maximizing profit of a multi-feedstock lignocellulosic-based bioethanol supply chain. • Multiple uncertainties in switchgrass yield, crop residue purchase price, bioethanol demand, and bioethanol sale price. • Proposed stochastic model outperforms the traditional deterministic model under uncertainties. • Stochastic parameters significantly affect marginal land allocation for switchgrass cultivation and bioethanol production. • Location of biorefineries is found to be insensitive to the stochastic environment

  19. Scenario-based stochastic optimal operation of wind, photovoltaic, pump-storage hybrid system in frequency- based pricing

    International Nuclear Information System (INIS)

    Zare Oskouei, Morteza; Sadeghi Yazdankhah, Ahmad

    2015-01-01

    Highlights: • Two-stage objective function is proposed for optimization problem. • Hourly-based optimal contractual agreement is calculated. • Scenario-based stochastic optimization problem is solved. • Improvement of system frequency by utilizing PSH unit. - Abstract: This paper proposes the operating strategy of a micro grid connected wind farm, photovoltaic and pump-storage hybrid system. The strategy consists of two stages. In the first stage, the optimal hourly contractual agreement is determined. The second stage corresponds to maximizing its profit by adapting energy management strategy of wind and photovoltaic in coordination with optimum operating schedule of storage device under frequency based pricing for a day ahead electricity market. The pump-storage hydro plant is utilized to minimize unscheduled interchange flow and maximize the system benefit by participating in frequency control based on energy price. Because of uncertainties in power generation of renewable sources and market prices, generation scheduling is modeled by a stochastic optimization problem. Uncertainties of parameters are modeled by scenario generation and scenario reduction method. A powerful optimization algorithm is proposed using by General Algebraic Modeling System (GAMS)/CPLEX. In order to verify the efficiency of the method, the algorithm is applied to various scenarios with different wind and photovoltaic power productions in a day ahead electricity market. The numerical results demonstrate the effectiveness of the proposed approach.

  20. Optimizing signal recycling for detecting a stochastic gravitational-wave background

    Science.gov (United States)

    Tao, Duo; Christensen, Nelson

    2018-06-01

    Signal recycling is applied in laser interferometers such as the Advanced Laser Interferometer Gravitational-Wave Observatory (aLIGO) to increase their sensitivity to gravitational waves. In this study, signal recycling configurations for detecting a stochastic gravitational wave background are optimized based on aLIGO parameters. Optimal transmission of the signal recycling mirror (SRM) and detuning phase of the signal recycling cavity under a fixed laser power and low-frequency cutoff are calculated. Based on the optimal configurations, the compatibility with a binary neutron star (BNS) search is discussed. Then, different laser powers and low-frequency cutoffs are considered. Two models for the dimensionless energy density of gravitational waves , the flat model and the model, are studied. For a stochastic background search, it is found that an interferometer using signal recycling has a better sensitivity than an interferometer not using it. The optimal stochastic search configurations are typically found when both the SRM transmission and the signal recycling detuning phase are low. In this region, the BNS range mostly lies between 160 and 180 Mpc. When a lower laser power is used the optimal signal recycling detuning phase increases, the optimal SRM transmission increases and the optimal sensitivity improves. A reduced low-frequency cutoff gives a better sensitivity limit. For both models of , a typical optimal sensitivity limit on the order of 10‑10 is achieved at a reference frequency of Hz.

  1. Spreading dynamics on complex networks: a general stochastic approach.

    Science.gov (United States)

    Noël, Pierre-André; Allard, Antoine; Hébert-Dufresne, Laurent; Marceau, Vincent; Dubé, Louis J

    2014-12-01

    Dynamics on networks is considered from the perspective of Markov stochastic processes. We partially describe the state of the system through network motifs and infer any missing data using the available information. This versatile approach is especially well adapted for modelling spreading processes and/or population dynamics. In particular, the generality of our framework and the fact that its assumptions are explicitly stated suggests that it could be used as a common ground for comparing existing epidemics models too complex for direct comparison, such as agent-based computer simulations. We provide many examples for the special cases of susceptible-infectious-susceptible and susceptible-infectious-removed dynamics (e.g., epidemics propagation) and we observe multiple situations where accurate results may be obtained at low computational cost. Our perspective reveals a subtle balance between the complex requirements of a realistic model and its basic assumptions.

  2. A Q-Learning Approach to Flocking With UAVs in a Stochastic Environment.

    Science.gov (United States)

    Hung, Shao-Ming; Givigi, Sidney N

    2017-01-01

    In the past two decades, unmanned aerial vehicles (UAVs) have demonstrated their efficacy in supporting both military and civilian applications, where tasks can be dull, dirty, dangerous, or simply too costly with conventional methods. Many of the applications contain tasks that can be executed in parallel, hence the natural progression is to deploy multiple UAVs working together as a force multiplier. However, to do so requires autonomous coordination among the UAVs, similar to swarming behaviors seen in animals and insects. This paper looks at flocking with small fixed-wing UAVs in the context of a model-free reinforcement learning problem. In particular, Peng's Q(λ) with a variable learning rate is employed by the followers to learn a control policy that facilitates flocking in a leader-follower topology. The problem is structured as a Markov decision process, where the agents are modeled as small fixed-wing UAVs that experience stochasticity due to disturbances such as winds and control noises, as well as weight and balance issues. Learned policies are compared to ones solved using stochastic optimal control (i.e., dynamic programming) by evaluating the average cost incurred during flight according to a cost function. Simulation results demonstrate the feasibility of the proposed learning approach at enabling agents to learn how to flock in a leader-follower topology, while operating in a nonstationary stochastic environment.

  3. Empirical Estimates in Stochastic Optimization via Distribution Tails

    Czech Academy of Sciences Publication Activity Database

    Kaňková, Vlasta

    2010-01-01

    Roč. 46, č. 3 (2010), s. 459-471 ISSN 0023-5954. [International Conference on Mathematical Methods in Economy and Industry. České Budějovice, 15.06.2009-18.06.2009] R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/08/0107; GA MŠk(CZ) LC06075 Institutional research plan: CEZ:AV0Z10750506 Keywords : Stochastic programming problems * Stability * Wasserstein metric * L_1 norm * Lipschitz property * Empirical estimates * Convergence rate * Exponential tails * Heavy tails * Pareto distribution * Risk functional * Empirical quantiles Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.461, year: 2010

  4. A stochastic security approach to energy and spinning reserve scheduling considering demand response program

    International Nuclear Information System (INIS)

    Partovi, Farzad; Nikzad, Mehdi; Mozafari, Babak; Ranjbar, Ali Mohamad

    2011-01-01

    In this paper a new algorithm for allocating energy and determining the optimum amount of network active power reserve capacity and the share of generating units and demand side contribution in providing reserve capacity requirements for day-ahead market is presented. In the proposed method, the optimum amount of reserve requirement is determined based on network security set by operator. In this regard, Expected Load Not Supplied (ELNS) is used to evaluate system security in each hour. The proposed method has been implemented over the IEEE 24-bus test system and the results are compared with a deterministic security approach, which considers certain and fixed amount of reserve capacity in each hour. This comparison is done from economic and technical points of view. The promising results show the effectiveness of the proposed model which is formulated as mixed integer linear programming (MILP) and solved by GAMS software. -- Highlights: → Determination of optimal spinning reserve capacity requirement in order to satisfy desired security level set by system operator based on stochastic approach. → Scheduling energy and spinning reserve markets simultaneously. → Comparing the stochastic approach with deterministic approach to determine the advantages and disadvantages of each. → Examine the effect of demand response participation in reserve market to provide spinning reserve.

  5. Learning and anticipation in online dynamic optimization with evolutionary algorithms: The stochastic case

    NARCIS (Netherlands)

    P.A.N. Bosman (Peter); J.A. La Poutré (Han); D. Thierens (Dirk)

    2007-01-01

    htmlabstractThe focus of this paper is on how to design evolutionary algorithms (EAs) for solving stochastic dynamic optimization problems online, i.e. as time goes by. For a proper design, the EA must not only be capable of tracking shifting optima, it must also take into account the future

  6. Stochastic quasi-gradient based optimization algorithms for dynamic reliability applications

    International Nuclear Information System (INIS)

    Bourgeois, F.; Labeau, P.E.

    2001-01-01

    On one hand, PSA results are increasingly used in decision making, system management and optimization of system design. On the other hand, when severe accidental transients are considered, dynamic reliability appears appropriate to account for the complex interaction between the transitions between hardware configurations, the operator behavior and the dynamic evolution of the system. This paper presents an exploratory work in which the estimation of the system unreliability in a dynamic context is coupled with an optimization algorithm to determine the 'best' safety policy. Because some reliability parameters are likely to be distributed, the cost function to be minimized turns out to be a random variable. Stochastic programming techniques are therefore envisioned to determine an optimal strategy. Monte Carlo simulation is used at all stages of the computations, from the estimation of the system unreliability to that of the stochastic quasi-gradient. The optimization algorithm is illustrated on a HNO 3 supply system

  7. Scalable algorithms for optimal control of stochastic PDEs

    KAUST Repository

    Ghattas, Omar

    2016-01-07

    We present methods for the optimal control of systems governed by partial differential equations with infinite-dimensional uncertain parameters. We consider an objective function that involves the mean and variance of the control objective, leading to a risk-averse optimal control formulation. To make the optimal control problem computationally tractable, we employ a local quadratic approximation of the objective with respect to the uncertain parameter. This enables computation of the mean and variance of the control objective analytically. The resulting risk-averse optimization problem is formulated as a PDE-constrained optimization problem with constraints given by the forward and adjoint PDEs for the first and second-order derivatives of the quantity of interest with respect to the uncertain parameter, and with an objective that involves the trace of a covariance-preconditioned Hessian (of the objective with respect to the uncertain parameters) operator. A randomized trace estimator is used to make tractable the trace computation. Adjoint-based techniques are used to derive an expression for the infinite-dimensional gradient of the risk-averse objective function via the Lagrangian, leading to a quasi-Newton method for solution of the optimal control problem. A specific problem of optimal control of a linear elliptic PDE that describes flow of a fluid in a porous medium with uncertain permeability field is considered. We present numerical results to study the consequences of the local quadratic approximation and the efficiency of the method.

  8. Scalable algorithms for optimal control of stochastic PDEs

    KAUST Repository

    Ghattas, Omar; Alexanderian, Alen; Petra, Noemi; Stadler, Georg

    2016-01-01

    We present methods for the optimal control of systems governed by partial differential equations with infinite-dimensional uncertain parameters. We consider an objective function that involves the mean and variance of the control objective, leading to a risk-averse optimal control formulation. To make the optimal control problem computationally tractable, we employ a local quadratic approximation of the objective with respect to the uncertain parameter. This enables computation of the mean and variance of the control objective analytically. The resulting risk-averse optimization problem is formulated as a PDE-constrained optimization problem with constraints given by the forward and adjoint PDEs for the first and second-order derivatives of the quantity of interest with respect to the uncertain parameter, and with an objective that involves the trace of a covariance-preconditioned Hessian (of the objective with respect to the uncertain parameters) operator. A randomized trace estimator is used to make tractable the trace computation. Adjoint-based techniques are used to derive an expression for the infinite-dimensional gradient of the risk-averse objective function via the Lagrangian, leading to a quasi-Newton method for solution of the optimal control problem. A specific problem of optimal control of a linear elliptic PDE that describes flow of a fluid in a porous medium with uncertain permeability field is considered. We present numerical results to study the consequences of the local quadratic approximation and the efficiency of the method.

  9. A stochastic approach for automatic generation of urban drainage systems.

    Science.gov (United States)

    Möderl, M; Butler, D; Rauch, W

    2009-01-01

    Typically, performance evaluation of new developed methodologies is based on one or more case studies. The investigation of multiple real world case studies is tedious and time consuming. Moreover extrapolating conclusions from individual investigations to a general basis is arguable and sometimes even wrong. In this article a stochastic approach is presented to evaluate new developed methodologies on a broader basis. For the approach the Matlab-tool "Case Study Generator" is developed which generates a variety of different virtual urban drainage systems automatically using boundary conditions e.g. length of urban drainage system, slope of catchment surface, etc. as input. The layout of the sewer system is based on an adapted Galton-Watson branching process. The sub catchments are allocated considering a digital terrain model. Sewer system components are designed according to standard values. In total, 10,000 different virtual case studies of urban drainage system are generated and simulated. Consequently, simulation results are evaluated using a performance indicator for surface flooding. Comparison between results of the virtual and two real world case studies indicates the promise of the method. The novelty of the approach is that it is possible to get more general conclusions in contrast to traditional evaluations with few case studies.

  10. A random walk approach to stochastic neutron transport

    International Nuclear Information System (INIS)

    Mulatier, Clelia de

    2015-01-01

    One of the key goals of nuclear reactor physics is to determine the distribution of the neutron population within a reactor core. This population indeed fluctuates due to the stochastic nature of the interactions of the neutrons with the nuclei of the surrounding medium: scattering, emission of neutrons from fission events and capture by nuclear absorption. Due to these physical mechanisms, the stochastic process performed by neutrons is a branching random walk. For most applications, the neutron population considered is very large, and all physical observables related to its behaviour, such as the heat production due to fissions, are well characterised by their average values. Generally, these mean quantities are governed by the classical neutron transport equation, called linear Boltzmann equation. During my PhD, using tools from branching random walks and anomalous diffusion, I have tackled two aspects of neutron transport that cannot be approached by the linear Boltzmann equation. First, thanks to the Feynman-Kac backward formalism, I have characterised the phenomenon of 'neutron clustering' that has been highlighted for low-density configuration of neutrons and results from strong fluctuations in space and time of the neutron population. Then, I focused on several properties of anomalous (non-exponential) transport, that can model neutron transport in strongly heterogeneous and disordered media, such as pebble-bed reactors. One of the novel aspects of this work is that problems are treated in the presence of boundaries. Indeed, even though real systems are finite (confined geometries), most of previously existing results were obtained for infinite systems. (author) [fr

  11. Constrained Optimization via Stochastic approximation with a simultaneous perturbation gradient approximation

    DEFF Research Database (Denmark)

    Sadegh, Payman

    1997-01-01

    This paper deals with a projection algorithm for stochastic approximation using simultaneous perturbation gradient approximation for optimization under inequality constraints where no direct gradient of the loss function is available and the inequality constraints are given as explicit functions...... of the optimization parameters. It is shown that, under application of the projection algorithm, the parameter iterate converges almost surely to a Kuhn-Tucker point, The procedure is illustrated by a numerical example, (C) 1997 Elsevier Science Ltd....

  12. Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process

    Science.gov (United States)

    Yan, Wei; Chang, Yuwen

    2016-12-01

    Considering the stochastic exchange rate, this paper is concerned with the dynamic portfolio selection in financial market. The optimal investment problem is formulated as a continuous-time mathematical model under mean-variance criterion. These processes follow jump-diffusion processes (Weiner process and Poisson process). Then the corresponding Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and its efferent frontier is obtained. Moreover, the optimal strategy is also derived under safety-first criterion.

  13. SLFP: a stochastic linear fractional programming approach for sustainable waste management.

    Science.gov (United States)

    Zhu, H; Huang, G H

    2011-12-01

    A stochastic linear fractional programming (SLFP) approach is developed for supporting sustainable municipal solid waste management under uncertainty. The SLFP method can solve ratio optimization problems associated with random information, where chance-constrained programming is integrated into a linear fractional programming framework. It has advantages in: (1) comparing objectives of two aspects, (2) reflecting system efficiency, (3) dealing with uncertainty expressed as probability distributions, and (4) providing optimal-ratio solutions under different system-reliability conditions. The method is applied to a case study of waste flow allocation within a municipal solid waste (MSW) management system. The obtained solutions are useful for identifying sustainable MSW management schemes with maximized system efficiency under various constraint-violation risks. The results indicate that SLFP can support in-depth analysis of the interrelationships among system efficiency, system cost and system-failure risk. Copyright © 2011 Elsevier Ltd. All rights reserved.

  14. Optimal Design and Operation of In-Situ Chemical Oxidation Using Stochastic Cost Optimization Toolkit

    Science.gov (United States)

    Kim, U.; Parker, J.; Borden, R. C.

    2014-12-01

    In-situ chemical oxidation (ISCO) has been applied at many dense non-aqueous phase liquid (DNAPL) contaminated sites. A stirred reactor-type model was developed that considers DNAPL dissolution using a field-scale mass transfer function, instantaneous reaction of oxidant with aqueous and adsorbed contaminant and with readily oxidizable natural oxygen demand ("fast NOD"), and second-order kinetic reactions with "slow NOD." DNAPL dissolution enhancement as a function of oxidant concentration and inhibition due to manganese dioxide precipitation during permanganate injection are included in the model. The DNAPL source area is divided into multiple treatment zones with different areas, depths, and contaminant masses based on site characterization data. The performance model is coupled with a cost module that involves a set of unit costs representing specific fixed and operating costs. Monitoring of groundwater and/or soil concentrations in each treatment zone is employed to assess ISCO performance and make real-time decisions on oxidant reinjection or ISCO termination. Key ISCO design variables include the oxidant concentration to be injected, time to begin performance monitoring, groundwater and/or soil contaminant concentrations to trigger reinjection or terminate ISCO, number of monitoring wells or geoprobe locations per treatment zone, number of samples per sampling event and location, and monitoring frequency. Design variables for each treatment zone may be optimized to minimize expected cost over a set of Monte Carlo simulations that consider uncertainty in site parameters. The model is incorporated in the Stochastic Cost Optimization Toolkit (SCOToolkit) program, which couples the ISCO model with a dissolved plume transport model and with modules for other remediation strategies. An example problem is presented that illustrates design tradeoffs required to deal with characterization and monitoring uncertainty. Monitoring soil concentration changes during ISCO

  15. Optimal Resource Management in a Stochastic Schaefer Model

    OpenAIRE

    Richard Hartman

    2008-01-01

    This paper incorporates uncertainty into the growth function of the Schaefer model for the optimal management of a biological resource. There is a critical value for the biological stock, and it is optimal to do no harvesting if the biological stock is below that critical value and to exert whatever harvesting effort is necessary to prevent the stock from rising above that critical value. The introduction of uncertainty increases the critical value of the stock.

  16. Stochastic optimal charging of electric-drive vehicles with renewable energy

    International Nuclear Information System (INIS)

    Pantoš, Miloš

    2011-01-01

    The paper presents the stochastic optimization algorithm that may eventually be used by electric energy suppliers to coordinate charging of electric-drive vehicles (EDVs) in order to maximize the use of renewable energy in transportation. Due to the stochastic nature of transportation patterns, the Monte Carlo simulation is applied to model uncertainties presented by numerous scenarios. To reduce the problem complexity, the simulated driving patterns are not individually considered in the optimization but clustered into fleets using the GAMS/SCENRED tool. Uncertainties of production of renewable energy sources (RESs) are presented by statistical central moments that are further considered in Hong’s 2-point + 1 estimation method in order to define estimate points considered in the optimization. Case studies illustrate the application of the proposed optimization in achieving maximal exploitation of RESs in transportation by EDVs. -- Highlights: ► Optimization model for EDV charging applying linear programming. ► Formation of EDV fleets based on the driving patterns assessment applying the GAMS/SCENRED. ► Consideration of uncertainties of RES production and energy prices in the market. ► Stochastic optimization. ► Application of Hong’s 2-point + 1 estimation method.

  17. Alternative Approaches to Technical Efficiency Estimation in the Stochastic Frontier Model

    OpenAIRE

    Acquah, H. de-Graft; Onumah, E. E.

    2014-01-01

    Estimating the stochastic frontier model and calculating technical efficiency of decision making units are of great importance in applied production economic works. This paper estimates technical efficiency from the stochastic frontier model using Jondrow, and Battese and Coelli approaches. In order to compare alternative methods, simulated data with sample sizes of 60 and 200 are generated from stochastic frontier model commonly applied to agricultural firms. Simulated data is employed to co...

  18. Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems

    Czech Academy of Sciences Publication Activity Database

    Šmíd, Martin

    2012-01-01

    Roč. 19, č. 30 (2012), s. 153-169 ISSN 1212-074X R&D Projects: GA ČR GAP402/11/0150; GA ČR GAP402/10/0956; GA ČR GA402/09/0965 Institutional research plan: CEZ:AV0Z10750506 Institutional support: RVO:67985556 Keywords : Stochastic programming * approximation * stratified sampling Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2013/E/smid-unit stratified sampling as a tool for approximation of stochastic optimization problems.pdf

  19. Performance for the hybrid method using stochastic and deterministic searching for shape optimization of electromagnetic devices

    International Nuclear Information System (INIS)

    Yokose, Yoshio; Noguchi, So; Yamashita, Hideo

    2002-01-01

    Stochastic methods and deterministic methods are used for the problem of optimization of electromagnetic devices. The Genetic Algorithms (GAs) are used for one stochastic method in multivariable designs, and the deterministic method uses the gradient method, which is applied sensitivity of the objective function. These two techniques have benefits and faults. In this paper, the characteristics of those techniques are described. Then, research evaluates the technique by which two methods are used together. Next, the results of the comparison are described by applying each method to electromagnetic devices. (Author)

  20. A perturbed martingale approach to global optimization

    Energy Technology Data Exchange (ETDEWEB)

    Sarkar, Saikat [Computational Mechanics Lab, Department of Civil Engineering, Indian Institute of Science, Bangalore 560012 (India); Roy, Debasish, E-mail: royd@civil.iisc.ernet.in [Computational Mechanics Lab, Department of Civil Engineering, Indian Institute of Science, Bangalore 560012 (India); Vasu, Ram Mohan [Department of Instrumentation and Applied Physics, Indian Institute of Science, Bangalore 560012 (India)

    2014-08-01

    A new global stochastic search, guided mainly through derivative-free directional information computable from the sample statistical moments of the design variables within a Monte Carlo setup, is proposed. The search is aided by imparting to the directional update term additional layers of random perturbations referred to as ‘coalescence’ and ‘scrambling’. A selection step, constituting yet another avenue for random perturbation, completes the global search. The direction-driven nature of the search is manifest in the local extremization and coalescence components, which are posed as martingale problems that yield gain-like update terms upon discretization. As anticipated and numerically demonstrated, to a limited extent, against the problem of parameter recovery given the chaotic response histories of a couple of nonlinear oscillators, the proposed method appears to offer a more rational, more accurate and faster alternative to most available evolutionary schemes, prominently the particle swarm optimization. - Highlights: • Evolutionary global optimization is posed as a perturbed martingale problem. • Resulting search via additive updates is a generalization over Gateaux derivatives. • Additional layers of random perturbation help avoid trapping at local extrema. • The approach ensures efficient design space exploration and high accuracy. • The method is numerically assessed via parameter recovery of chaotic oscillators.

  1. Simulated Stochastic Approximation Annealing for Global Optimization With a Square-Root Cooling Schedule

    KAUST Repository

    Liang, Faming

    2014-04-03

    Simulated annealing has been widely used in the solution of optimization problems. As known by many researchers, the global optima cannot be guaranteed to be located by simulated annealing unless a logarithmic cooling schedule is used. However, the logarithmic cooling schedule is so slow that no one can afford to use this much CPU time. This article proposes a new stochastic optimization algorithm, the so-called simulated stochastic approximation annealing algorithm, which is a combination of simulated annealing and the stochastic approximation Monte Carlo algorithm. Under the framework of stochastic approximation, it is shown that the new algorithm can work with a cooling schedule in which the temperature can decrease much faster than in the logarithmic cooling schedule, for example, a square-root cooling schedule, while guaranteeing the global optima to be reached when the temperature tends to zero. The new algorithm has been tested on a few benchmark optimization problems, including feed-forward neural network training and protein-folding. The numerical results indicate that the new algorithm can significantly outperform simulated annealing and other competitors. Supplementary materials for this article are available online.

  2. Optimal stochastic reactive power scheduling in a microgrid considering voltage droop scheme of DGs and uncertainty of wind farms

    International Nuclear Information System (INIS)

    Khorramdel, Benyamin; Raoofat, Mahdi

    2012-01-01

    Distributed Generators (DGs) in a microgrid may operate in three different reactive power control strategies, including PV, PQ and voltage droop schemes. This paper proposes a new stochastic programming approach for reactive power scheduling of a microgrid, considering the uncertainty of wind farms. The proposed algorithm firstly finds the expected optimal operating point of each DG in V-Q plane while the wind speed is a probabilistic variable. A multi-objective function with goals of loss minimization, reactive power reserve maximization and voltage security margin maximization is optimized using a four-stage multi-objective nonlinear programming. Then, using Monte Carlo simulation enhanced by scenario reduction technique, the proposed algorithm simulates actual condition and finds optimal operating strategy of DGs. Also, if any DGs are scheduled to operate in voltage droop scheme, the optimum droop is determined. Also, in the second part of the research, to enhance the optimality of the results, PSO algorithm is used for the multi-objective optimization problem. Numerical examples on IEEE 34-bus test system including two wind turbines are studied. The results show the benefits of voltage droop scheme for mitigating the impacts of the uncertainty of wind. Also, the results show preference of PSO method in the proposed approach. -- Highlights: ► Reactive power scheduling in a microgrid considering loss and voltage security. ► Stochastic nature of wind farms affects reactive power scheduling and is considered. ► Advantages of using the voltage droop characteristics of DGs in voltage security are shown. ► Power loss, voltage security and VAR reserve are three goals of a multi-objective optimization. ► Monte Carlo method with scenario reduction is used to determine optimal control strategy of DGs.

  3. Optimization of Aeroengine Shop Visit Decisions Based on Remaining Useful Life and Stochastic Repair Time

    Directory of Open Access Journals (Sweden)

    Jing Cai

    2016-01-01

    Full Text Available Considering the wide application of condition-based maintenance in aeroengine maintenance practice, it becomes possible for aeroengines to carry out their preventive maintenance in just-in-time (JIT manner by reasonably planning their shop visits (SVs. In this study, an approach is proposed to make aeroengine SV decisions following the concept of JIT. Firstly, a state space model (SSM for aeroengine based on exhaust gas temperature margin is developed to predict the remaining useful life (RUL of aeroengine. Secondly, the effect of SV decisions on risk and service level (SL is analyzed, and an optimization of the aeroengine SV decisions based on RUL and stochastic repair time is performed to carry out JIT manner with the requirement of safety and SL. Finally, a case study considering two CFM-56 aeroengines is presented to demonstrate the proposed approach. The results show that predictive accuracy of RUL with SSM is higher than with linear regression, and the process of SV decisions is simple and feasible for airlines to improve the inventory management level of their aeroengines.

  4. Annealing evolutionary stochastic approximation Monte Carlo for global optimization

    KAUST Repository

    Liang, Faming

    2010-04-08

    In this paper, we propose a new algorithm, the so-called annealing evolutionary stochastic approximation Monte Carlo (AESAMC) algorithm as a general optimization technique, and study its convergence. AESAMC possesses a self-adjusting mechanism, whose target distribution can be adapted at each iteration according to the current samples. Thus, AESAMC falls into the class of adaptive Monte Carlo methods. This mechanism also makes AESAMC less trapped by local energy minima than nonadaptive MCMC algorithms. Under mild conditions, we show that AESAMC can converge weakly toward a neighboring set of global minima in the space of energy. AESAMC is tested on multiple optimization problems. The numerical results indicate that AESAMC can potentially outperform simulated annealing, the genetic algorithm, annealing stochastic approximation Monte Carlo, and some other metaheuristics in function optimization. © 2010 Springer Science+Business Media, LLC.

  5. Adaptive optimal stochastic state feedback control of resistive wall modes in tokamaks

    International Nuclear Information System (INIS)

    Sun, Z.; Sen, A.K.; Longman, R.W.

    2006-01-01

    An adaptive optimal stochastic state feedback control is developed to stabilize the resistive wall mode (RWM) instability in tokamaks. The extended least-square method with exponential forgetting factor and covariance resetting is used to identify (experimentally determine) the time-varying stochastic system model. A Kalman filter is used to estimate the system states. The estimated system states are passed on to an optimal state feedback controller to construct control inputs. The Kalman filter and the optimal state feedback controller are periodically redesigned online based on the identified system model. This adaptive controller can stabilize the time-dependent RWM in a slowly evolving tokamak discharge. This is accomplished within a time delay of roughly four times the inverse of the growth rate for the time-invariant model used

  6. Two-stage stochastic day-ahead optimal resource scheduling in a distribution network with intensive use of distributed energy resources

    DEFF Research Database (Denmark)

    Sousa, Tiago; Ghazvini, Mohammad Ali Fotouhi; Morais, Hugo

    2015-01-01

    The integration of renewable sources and electric vehicles will introduce new uncertainties to the optimal resource scheduling, namely at the distribution level. These uncertainties are mainly originated by the power generated by renewables sources and by the electric vehicles charge requirements....... This paper proposes a two-state stochastic programming approach to solve the day-ahead optimal resource scheduling problem. The case study considers a 33-bus distribution network with 66 distributed generation units and 1000 electric vehicles....

  7. An Optimal Stochastic Investment and Consumption Strategy with ...

    African Journals Online (AJOL)

    This paper considers a single investor who owns a production plant that generates units of consumption goods in a capitalist economy. The goal is to choose optimal investment and consumption policies that maximize the finite horizon expected discounted logarithmic utility of consumption and terminal wealth. A dynamical ...

  8. Tail-constraining stochastic linear–quadratic control: a large deviation and statistical physics approach

    International Nuclear Information System (INIS)

    Chertkov, Michael; Kolokolov, Igor; Lebedev, Vladimir

    2012-01-01

    The standard definition of the stochastic risk-sensitive linear–quadratic (RS-LQ) control depends on the risk parameter, which is normally left to be set exogenously. We reconsider the classical approach and suggest two alternatives, resolving the spurious freedom naturally. One approach consists in seeking for the minimum of the tail of the probability distribution function (PDF) of the cost functional at some large fixed value. Another option suggests minimizing the expectation value of the cost functional under a constraint on the value of the PDF tail. Under the assumption of resulting control stability, both problems are reduced to static optimizations over a stationary control matrix. The solutions are illustrated using the examples of scalar and 1D chain (string) systems. The large deviation self-similar asymptotic of the cost functional PDF is analyzed. (paper)

  9. Biological Inspired Stochastic Optimization Technique (PSO for DOA and Amplitude Estimation of Antenna Arrays Signal Processing in RADAR Communication System

    Directory of Open Access Journals (Sweden)

    Khurram Hammed

    2016-01-01

    Full Text Available This paper presents a stochastic global optimization technique known as Particle Swarm Optimization (PSO for joint estimation of amplitude and direction of arrival of the targets in RADAR communication system. The proposed scheme is an excellent optimization methodology and a promising approach for solving the DOA problems in communication systems. Moreover, PSO is quite suitable for real time scenario and easy to implement in hardware. In this study, uniform linear array is used and targets are supposed to be in far field of the arrays. Formulation of the fitness function is based on mean square error and this function requires a single snapshot to obtain the best possible solution. To check the accuracy of the algorithm, all of the results are taken by varying the number of antenna elements and targets. Finally, these results are compared with existing heuristic techniques to show the accuracy of PSO.

  10. Finite approximations in discrete-time stochastic control quantized models and asymptotic optimality

    CERN Document Server

    Saldi, Naci; Yüksel, Serdar

    2018-01-01

    In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original mo...

  11. Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

    OpenAIRE

    Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan

    2016-01-01

    The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG) package, which has precoded modules for op...

  12. Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

    OpenAIRE

    Neslihan Fidan Keçeci; Viktor Kuzmenko; Stan Uryasev

    2016-01-01

    The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG) package, which has precoded modules for op...

  13. STOCHASTIC MODELING OF OPTIMIZED CREDIT STRATEGY OF A DISTRIBUTING COMPANY ON THE PHARMACEUTICAL MARKET

    Directory of Open Access Journals (Sweden)

    M. Boychuk

    2015-10-01

    Full Text Available The activity of distribution companies is multifaceted. Ihey establish contacts with producers and consumers, determine the range of prices of medicines, do promotions, hold stocks of pharmaceuticals and take risks in their further selling.Their internal problems are complicated by the political crisis in the country, decreased purchasing power of national currency, and the rise in interest rates on loans. Therefore the usage of stochastic models of dynamic systems for the research into optimizing the management of pharmaceutical products distribution companies taking into account credit payments is of great current interest. A stochastic model of the optimal credit strategy of a pharmaceutical distributor in the market of pharmaceutical products has been constructed in the article considering credit payments and income limitations. From the mathematical point of view the obtained problem is the one of stochastic optimal control where the amount of monetary credit is the control and the amount of pharmaceutical product is the solution curve. The model allows to identify the optimal cash loan and the corresponding optimal quantity of pharmaceutical product that comply with the differential model of the existing quantity of pharmaceutical products in the form of Ito; the condition of the existing initial stock of pharmaceutical products; the limitation on the amount of credit and profit received from the product selling and maximize the average integral income. The research of the stochastic optimal control problem involves the construction of the left process of crediting with determination of the shift point of that control, the choice of the right crediting process and the formation of the optimal credit process. It was found that the optimal control of the credit amount and the shift point of that control are the determined values and don’t depend on the coefficient in the Wiener process and the optimal trajectory of the amount of

  14. An Improved Asymptotic Sampling Approach For Stochastic Finite Element Stiffness of a Laterally Loaded Monopile

    DEFF Research Database (Denmark)

    Vahdatirad, Mohammadjavad; Bayat, Mehdi; Andersen, Lars Vabbersgaard

    2012-01-01

    In this study a stochastic approach is conducted to obtain the horizontal and rotational stiffness of an offshore monopile foundation. A nonlinear stochastic p-y curve is integrated into a finite element scheme for calculation of the monopile response in over-consolidated clay having spatial...

  15. Adaptive Decision Making Using Probabilistic Programming and Stochastic Optimization

    Science.gov (United States)

    2018-01-01

    world optimization problems (and hence 16 Approved for Public Release (PA); Distribution Unlimited Pred. demand (uncertain; discrete ...simplify the setting, we further assume that the demands are discrete , taking on values d1, . . . , dk with probabilities (conditional on x) (pθ)i ≡ p...Tyrrell Rockafellar. Implicit functions and solution mappings. Springer Monogr. Math ., 2009. Anthony V Fiacco and Yo Ishizuka. Sensitivity and stability

  16. A remark on multiobjective stochastic optimization via strongly convex functions

    Czech Academy of Sciences Publication Activity Database

    Kaňková, Vlasta

    2016-01-01

    Roč. 24, č. 2 (2016), s. 309-333 ISSN 1435-246X R&D Projects: GA ČR GA13-14445S Institutional support: RVO:67985556 Keywords : Stochasticmultiobjective optimization problem * Efficient solution * Wasserstein metric and L_1 norm * Stability and empirical estimates Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.659, year: 2016 http://library.utia.cas.cz/separaty/2015/E/kankova-0450553.pdf

  17. Solving complex maintenance planning optimization problems using stochastic simulation and multi-criteria fuzzy decision making

    International Nuclear Information System (INIS)

    Tahvili, Sahar; Österberg, Jonas; Silvestrov, Sergei; Biteus, Jonas

    2014-01-01

    One of the most important factors in the operations of many cooperations today is to maximize profit and one important tool to that effect is the optimization of maintenance activities. Maintenance activities is at the largest level divided into two major areas, corrective maintenance (CM) and preventive maintenance (PM). When optimizing maintenance activities, by a maintenance plan or policy, we seek to find the best activities to perform at each point in time, be it PM or CM. We explore the use of stochastic simulation, genetic algorithms and other tools for solving complex maintenance planning optimization problems in terms of a suggested framework model based on discrete event simulation

  18. Solving complex maintenance planning optimization problems using stochastic simulation and multi-criteria fuzzy decision making

    Energy Technology Data Exchange (ETDEWEB)

    Tahvili, Sahar [Mälardalen University (Sweden); Österberg, Jonas; Silvestrov, Sergei [Division of Applied Mathematics, Mälardalen University (Sweden); Biteus, Jonas [Scania CV (Sweden)

    2014-12-10

    One of the most important factors in the operations of many cooperations today is to maximize profit and one important tool to that effect is the optimization of maintenance activities. Maintenance activities is at the largest level divided into two major areas, corrective maintenance (CM) and preventive maintenance (PM). When optimizing maintenance activities, by a maintenance plan or policy, we seek to find the best activities to perform at each point in time, be it PM or CM. We explore the use of stochastic simulation, genetic algorithms and other tools for solving complex maintenance planning optimization problems in terms of a suggested framework model based on discrete event simulation.

  19. Oriented stochastic data envelopment models: ranking comparison to stochastic frontier approach

    Czech Academy of Sciences Publication Activity Database

    Brázdik, František

    -, č. 271 (2005), s. 1-46 ISSN 1211-3298 Institutional research plan: CEZ:AV0Z70850503 Keywords : stochastic data envelopment analysis * linear programming * rice farm Subject RIV: AH - Economics http://www.cerge-ei.cz/pdf/wp/Wp271.pdf

  20. Optimizing Green Computing Awareness for Environmental Sustainability and Economic Security as a Stochastic Optimization Problem

    Directory of Open Access Journals (Sweden)

    Emmanuel Okewu

    2017-10-01

    Full Text Available The role of automation in sustainable development is not in doubt. Computerization in particular has permeated every facet of human endeavour, enhancing the provision of information for decision-making that reduces cost of operation, promotes productivity and socioeconomic prosperity and cohesion. Hence, a new field called information and communication technology for development (ICT4D has emerged. Nonetheless, the need to ensure environmentally friendly computing has led to this research study with particular focus on green computing in Africa. This is against the backdrop that the continent is feared to suffer most from the vulnerability of climate change and the impact of environmental risk. Using Nigeria as a test case, this paper gauges the green computing awareness level of Africans via sample survey. It also attempts to institutionalize green computing maturity model with a view to optimizing the level of citizens awareness amid inherent uncertainties like low bandwidth, poor network and erratic power in an emerging African market. Consequently, we classified the problem as a stochastic optimization problem and applied metaheuristic search algorithm to determine the best sensitization strategy. Although there are alternative ways of promoting green computing education, the metaheuristic search we conducted indicated that an online real-time solution that not only drives but preserves timely conversations on electronic waste (e-waste management and energy saving techniques among the citizenry is cutting edge. The authors therefore reviewed literature, gathered requirements, modelled the proposed solution using Universal Modelling Language (UML and developed a prototype. The proposed solution is a web-based multi-tier e-Green computing system that educates computer users on innovative techniques of managing computers and accessories in an environmentally friendly way. We found out that such a real-time web-based interactive forum does not

  1. Using genetic algorithm to solve a new multi-period stochastic optimization model

    Science.gov (United States)

    Zhang, Xin-Li; Zhang, Ke-Cun

    2009-09-01

    This paper presents a new asset allocation model based on the CVaR risk measure and transaction costs. Institutional investors manage their strategic asset mix over time to achieve favorable returns subject to various uncertainties, policy and legal constraints, and other requirements. One may use a multi-period portfolio optimization model in order to determine an optimal asset mix. Recently, an alternative stochastic programming model with simulated paths was proposed by Hibiki [N. Hibiki, A hybrid simulation/tree multi-period stochastic programming model for optimal asset allocation, in: H. Takahashi, (Ed.) The Japanese Association of Financial Econometrics and Engineering, JAFFE Journal (2001) 89-119 (in Japanese); N. Hibiki A hybrid simulation/tree stochastic optimization model for dynamic asset allocation, in: B. Scherer (Ed.), Asset and Liability Management Tools: A Handbook for Best Practice, Risk Books, 2003, pp. 269-294], which was called a hybrid model. However, the transaction costs weren't considered in that paper. In this paper, we improve Hibiki's model in the following aspects: (1) The risk measure CVaR is introduced to control the wealth loss risk while maximizing the expected utility; (2) Typical market imperfections such as short sale constraints, proportional transaction costs are considered simultaneously. (3) Applying a genetic algorithm to solve the resulting model is discussed in detail. Numerical results show the suitability and feasibility of our methodology.

  2. Productive efficiency of tea industry: A stochastic frontier approach

    African Journals Online (AJOL)

    USER

    2010-06-21

    Jun 21, 2010 ... Key words: Technical efficiency, stochastic frontier, translog ... present low performance of the tea industry in Bangladesh. ... The Technical inefficiency effect .... administrative, technical, clerical, sales and purchase staff.

  3. A decoupled approach to filter design for stochastic systems

    Science.gov (United States)

    Barbata, A.; Zasadzinski, M.; Ali, H. Souley; Messaoud, H.

    2016-08-01

    This paper presents a new theorem to guarantee the almost sure exponential stability for a class of stochastic triangular systems by studying only the stability of each diagonal subsystems. This result allows to solve the filtering problem of the stochastic systems with multiplicative noises by using the almost sure exponential stability concept. Two kinds of observers are treated: the full-order and reduced-order cases.

  4. Path probability of stochastic motion: A functional approach

    Science.gov (United States)

    Hattori, Masayuki; Abe, Sumiyoshi

    2016-06-01

    The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a tube/band, the center of which is stipulated by a given path, is analytically evaluated in a way analogous to continuous measurements in quantum mechanics. Then, the formalism developed here is applied to the stochastic dynamics of stock price in finance.

  5. Optimal routing of hazardous substances in time-varying, stochastic transportation networks

    International Nuclear Information System (INIS)

    Woods, A.L.; Miller-Hooks, E.; Mahmassani, H.S.

    1998-07-01

    This report is concerned with the selection of routes in a network along which to transport hazardous substances, taking into consideration several key factors pertaining to the cost of transport and the risk of population exposure in the event of an accident. Furthermore, the fact that travel time and the risk measures are not constant over time is explicitly recognized in the routing decisions. Existing approaches typically assume static conditions, possibly resulting in inefficient route selection and unnecessary risk exposure. The report described the application of recent advances in network analysis methodologies to the problem of routing hazardous substances. Several specific problem formulations are presented, reflecting different degrees of risk aversion on the part of the decision-maker, as well as different possible operational scenarios. All procedures explicitly consider travel times and travel costs (including risk measures) to be stochastic time-varying quantities. The procedures include both exact algorithms, which may require extensive computational effort in some situations, as well as more efficient heuristics that may not guarantee a Pareto-optimal solution. All procedures are systematically illustrated for an example application using the Texas highway network, for both normal and incident condition scenarios. The application illustrates the trade-offs between the information obtained in the solution and computational efficiency, and highlights the benefits of incorporating these procedures in a decision-support system for hazardous substance shipment routing decisions

  6. An Optimization Model for Kardeh Reservoir Operation Using Interval-Parameter, Multi-stage, Stochastic Programming

    Directory of Open Access Journals (Sweden)

    Fatemeh Rastegaripour

    2010-09-01

    Full Text Available The present study investigates water allocation of Kardeh Reservoir to domestic and agricultural users using an Interval Parameter, Multi-stage, Stochastic Programming (IMSLP under uncertainty. The advantages of the method include its dynamics nature, use of a pre-defined policy in its optimization process, and the use of interval parameter and probability under uncertainty conditions. Additionally, it offers different decision-making alternatives for different scenarios of water shortage. The required data were collected from Khorasan Razavi Regional Water Organization and from the Water and Wastewater Co. for the period 1988-2007. Results showed that, under the worst conditions, the water deficits expected to occur for each of the next 3 years will be 1.9, 2.55, and 3.11 million cubic meters for the domestic use and 0.22, 0.32, 0.75 million cubic meters for irrigation. Approximate reductions of 0.5, 0.7, and 1 million cubic meters in the monthly consumption of the urban community and enhanced irrigation efficiencies of about 6, 11, and 20% in the agricultural sector are recommended as approaches for combating the water shortage over the next 3 years.

  7. Conservative diffusions: a constructive approach to Nelson's stochastic mechanics

    International Nuclear Information System (INIS)

    Carlen, E.A.

    1984-01-01

    In Nelson's stochastic mechanics, quantum phenomena are described in terms of diffusions instead of wave functions; this thesis is a study of that description. Concern here is with the possibility of describing, as opposed to explaining, quantum phenomena in terms of diffusions. In this direction, the following questions arise: ''Do the diffusion of stochastic mechanics - which are formally given by stochastic differential equations with extremely singular coefficients - really exist.'' Given that they exist, one can ask, ''Do these diffusions have physically reasonable paths to study the behavior of physical systems.'' These are the questions treated in this thesis. In Chapter 1, stochastic mechanics and diffusion theory are reviewed, using the Guerra-Morato variational principle to establish the connection with the Schroedinger equation. Chapter II settles the first of the questions raised above. Using PDE methods, the diffusions of stochastic mechanics are constructed. The result is sufficiently general to be of independent mathematical interest. In Chapter III, potential scattering in stochastic mechanics is treated and direct probabilistic methods of studying quantum scattering problems are discussed. The results provide a solid YES in answer to the second question raised above

  8. Evaluation of the need for stochastic optimization of out-of-core nuclear fuel management decisions

    International Nuclear Information System (INIS)

    Thomas, R.L. Jr.

    1989-01-01

    Work has been completed on utilizing mathematical optimization techniques to optimize out-of-core nuclear fuel management decisions. The objective of such optimization is to minimize the levelized fuel cycle cost over some planning horizon. Typical decision variables include feed enrichments and number of assemblies, burnable poison requirements, and burned fuel to reinsert for every cycle in the planning horizon. Engineering constraints imposed consist of such items as discharge burnup limits, maximum enrichment limit, and target cycle energy productions. Earlier the authors reported on the development of the OCEON code, which employs the integer Monte Carlo Programming method as the mathematical optimization method. The discharge burnpups, and feed enrichment and burnable poison requirements are evaluated, initially employing a linear reactivity core physics model and refined using a coarse mesh nodal model. The economic evaluation is completed using a modification of the CINCAS methodology. Interest now is to assess the need for stochastic optimization, which will account for cost components and cycle energy production uncertainties. The implication of the present studies is that stochastic optimization in regard to cost component uncertainties need not be completed since deterministic optimization will identify nearly the same family of near-optimum cycling schemes

  9. Convergence of quasi-optimal Stochastic Galerkin methods for a class of PDES with random coefficients

    KAUST Repository

    Beck, Joakim; Nobile, Fabio; Tamellini, Lorenzo; Tempone, Raul

    2014-01-01

    In this work we consider quasi-optimal versions of the Stochastic Galerkin method for solving linear elliptic PDEs with stochastic coefficients. In particular, we consider the case of a finite number N of random inputs and an analytic dependence of the solution of the PDE with respect to the parameters in a polydisc of the complex plane CN. We show that a quasi-optimal approximation is given by a Galerkin projection on a weighted (anisotropic) total degree space and prove a (sub)exponential convergence rate. As a specific application we consider a thermal conduction problem with non-overlapping inclusions of random conductivity. Numerical results show the sharpness of our estimates. © 2013 Elsevier Ltd. All rights reserved.

  10. Convergence of quasi-optimal Stochastic Galerkin methods for a class of PDES with random coefficients

    KAUST Repository

    Beck, Joakim

    2014-03-01

    In this work we consider quasi-optimal versions of the Stochastic Galerkin method for solving linear elliptic PDEs with stochastic coefficients. In particular, we consider the case of a finite number N of random inputs and an analytic dependence of the solution of the PDE with respect to the parameters in a polydisc of the complex plane CN. We show that a quasi-optimal approximation is given by a Galerkin projection on a weighted (anisotropic) total degree space and prove a (sub)exponential convergence rate. As a specific application we consider a thermal conduction problem with non-overlapping inclusions of random conductivity. Numerical results show the sharpness of our estimates. © 2013 Elsevier Ltd. All rights reserved.

  11. On selection of optimal stochastic model for accelerated life testing

    International Nuclear Information System (INIS)

    Volf, P.; Timková, J.

    2014-01-01

    This paper deals with the problem of proper lifetime model selection in the context of statistical reliability analysis. Namely, we consider regression models describing the dependence of failure intensities on a covariate, for instance, a stressor. Testing the model fit is standardly based on the so-called martingale residuals. Their analysis has already been studied by many authors. Nevertheless, the Bayes approach to the problem, in spite of its advantages, is just developing. We shall present the Bayes procedure of estimation in several semi-parametric regression models of failure intensity. Then, our main concern is the Bayes construction of residual processes and goodness-of-fit tests based on them. The method is illustrated with both artificial and real-data examples. - Highlights: • Statistical survival and reliability analysis and Bayes approach. • Bayes semi-parametric regression modeling in Cox's and AFT models. • Bayes version of martingale residuals and goodness-of-fit test

  12. Reflecting metallic metasurfaces designed with stochastic optimization as waveplates for manipulating light polarization

    Science.gov (United States)

    Haberko, Jakub; Wasylczyk, Piotr

    2018-03-01

    We demonstrate that a stochastic optimization algorithm with a properly chosen, weighted fitness function, following a global variation of parameters upon each step can be used to effectively design reflective polarizing optical elements. Two sub-wavelength metallic metasurfaces, corresponding to broadband half- and quarter-waveplates are demonstrated with simple structure topology, a uniform metallic coating and with the design suited for the currently available microfabrication techniques, such as ion milling or 3D printing.

  13. Optimization of advanced gas-cooled reactor fuel performance by a stochastic method

    International Nuclear Information System (INIS)

    Parks, G.T.

    1987-01-01

    A brief description is presented of a model representing the in-core behaviour of a single advanced gas-cooled reactor fuel channel, developed specifically for optimization studies. The performances of the only suitable Numerical Algorithms Group (NAG) library package and a Metropolis algorithm routine on this problem are discussed and contrasted. It is concluded that, for the problem in question, the stochastic Metropolis algorithm has distinct advantages over the deterministic NAG routine. (author)

  14. Stochastic optimization of subprime residential mortgage loan funding and its risks / by B. de Waal

    OpenAIRE

    De Waal, Bernadine

    2010-01-01

    The subprime mortgage crisis (SMC) is an ongoing housing and nancial crisis that was triggered by a marked increase in mortgage delinquencies and foreclosures in the U.S. It has had major adverse consequences for banks and nancial markets around the globe since it became apparent in 2007. In our research, we examine an originator's (OR's) nonlinear stochastic optimal control problem related to choices regarding deposit inflow rates and marketable securities allocation. Here, ...

  15. Investments in the LNG Value Chain: A Multistage Stochastic Optimization Model focusing on Floating Liquefaction Units

    OpenAIRE

    Røstad, Lars Dybsjord; Erichsen, Jeanette Christine

    2012-01-01

    In this thesis, we have developed a strategic optimization model of investments in infrastructure in the LNG value chain. The focus is on floating LNG production units: when they are a viable solution and what value they add to the LNG value chain. First a deterministic model is presented with focus on describing the value chain, before it is expanded to a multistage stochastic model with uncertain field sizes and gas prices. The objective is to maximize expected discounted profits through op...

  16. Stochastic processes, optimization, and control theory a volume in honor of Suresh Sethi

    CERN Document Server

    Yan, Houmin

    2006-01-01

    This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

  17. Material discovery by combining stochastic surface walking global optimization with a neural network.

    Science.gov (United States)

    Huang, Si-Da; Shang, Cheng; Zhang, Xiao-Jie; Liu, Zhi-Pan

    2017-09-01

    While the underlying potential energy surface (PES) determines the structure and other properties of a material, it has been frustrating to predict new materials from theory even with the advent of supercomputing facilities. The accuracy of the PES and the efficiency of PES sampling are two major bottlenecks, not least because of the great complexity of the material PES. This work introduces a "Global-to-Global" approach for material discovery by combining for the first time a global optimization method with neural network (NN) techniques. The novel global optimization method, named the stochastic surface walking (SSW) method, is carried out massively in parallel for generating a global training data set, the fitting of which by the atom-centered NN produces a multi-dimensional global PES; the subsequent SSW exploration of large systems with the analytical NN PES can provide key information on the thermodynamics and kinetics stability of unknown phases identified from global PESs. We describe in detail the current implementation of the SSW-NN method with particular focuses on the size of the global data set and the simultaneous energy/force/stress NN training procedure. An important functional material, TiO 2 , is utilized as an example to demonstrate the automated global data set generation, the improved NN training procedure and the application in material discovery. Two new TiO 2 porous crystal structures are identified, which have similar thermodynamics stability to the common TiO 2 rutile phase and the kinetics stability for one of them is further proved from SSW pathway sampling. As a general tool for material simulation, the SSW-NN method provides an efficient and predictive platform for large-scale computational material screening.

  18. Stochastic modelling of turbulent combustion for design optimization of gas turbine combustors

    Science.gov (United States)

    Mehanna Ismail, Mohammed Ali

    The present work covers the development and the implementation of an efficient algorithm for the design optimization of gas turbine combustors. The purpose is to explore the possibilities and indicate constructive suggestions for optimization techniques as alternative methods for designing gas turbine combustors. The algorithm is general to the extent that no constraints are imposed on the combustion phenomena or on the combustor configuration. The optimization problem is broken down into two elementary problems: the first is the optimum search algorithm, and the second is the turbulent combustion model used to determine the combustor performance parameters. These performance parameters constitute the objective and physical constraints in the optimization problem formulation. The examination of both turbulent combustion phenomena and the gas turbine design process suggests that the turbulent combustion model represents a crucial part of the optimization algorithm. The basic requirements needed for a turbulent combustion model to be successfully used in a practical optimization algorithm are discussed. In principle, the combustion model should comply with the conflicting requirements of high fidelity, robustness and computational efficiency. To that end, the problem of turbulent combustion is discussed and the current state of the art of turbulent combustion modelling is reviewed. According to this review, turbulent combustion models based on the composition PDF transport equation are found to be good candidates for application in the present context. However, these models are computationally expensive. To overcome this difficulty, two different models based on the composition PDF transport equation were developed: an improved Lagrangian Monte Carlo composition PDF algorithm and the generalized stochastic reactor model. Improvements in the Lagrangian Monte Carlo composition PDF model performance and its computational efficiency were achieved through the

  19. Stability analysis of stochastic delayed cellular neural networks by LMI approach

    International Nuclear Information System (INIS)

    Zhu Wenli; Hu Jin

    2006-01-01

    Some sufficient mean square exponential stability conditions for a class of stochastic DCNN model are obtained via the LMI approach. These conditions improve and generalize some existing global asymptotic stability conditions for DCNN model

  20. Stochastic congestion management in power markets using efficient scenario approaches

    International Nuclear Information System (INIS)

    Esmaili, Masoud; Amjady, Nima; Shayanfar, Heidar Ali

    2010-01-01

    Congestion management in electricity markets is traditionally performed using deterministic values of system parameters assuming a fixed network configuration. In this paper, a stochastic programming framework is proposed for congestion management considering the power system uncertainties comprising outage of generating units and transmission branches. The Forced Outage Rate of equipment is employed in the stochastic programming. Using the Monte Carlo simulation, possible scenarios of power system operating states are generated and a probability is assigned to each scenario. The performance of the ordinary as well as Lattice rank-1 and rank-2 Monte Carlo simulations is evaluated in the proposed congestion management framework. As a tradeoff between computation time and accuracy, scenario reduction based on the standard deviation of accepted scenarios is adopted. The stochastic congestion management solution is obtained by aggregating individual solutions of accepted scenarios. Congestion management using the proposed stochastic framework provides a more realistic solution compared with traditional deterministic solutions. Results of testing the proposed stochastic congestion management on the 24-bus reliability test system indicate the efficiency of the proposed framework.

  1. Stochastic rainfall modeling in West Africa: Parsimonious approaches for domestic rainwater harvesting assessment

    Science.gov (United States)

    Cowden, Joshua R.; Watkins, David W., Jr.; Mihelcic, James R.

    2008-10-01

    SummarySeveral parsimonious stochastic rainfall models are developed and compared for application to domestic rainwater harvesting (DRWH) assessment in West Africa. Worldwide, improved water access rates are lowest for Sub-Saharan Africa, including the West African region, and these low rates have important implications on the health and economy of the region. Domestic rainwater harvesting (DRWH) is proposed as a potential mechanism for water supply enhancement, especially for the poor urban households in the region, which is essential for development planning and poverty alleviation initiatives. The stochastic rainfall models examined are Markov models and LARS-WG, selected due to availability and ease of use for water planners in the developing world. A first-order Markov occurrence model with a mixed exponential amount model is selected as the best option for unconditioned Markov models. However, there is no clear advantage in selecting Markov models over the LARS-WG model for DRWH in West Africa, with each model having distinct strengths and weaknesses. A multi-model approach is used in assessing DRWH in the region to illustrate the variability associated with the rainfall models. It is clear DRWH can be successfully used as a water enhancement mechanism in West Africa for certain times of the year. A 200 L drum storage capacity could potentially optimize these simple, small roof area systems for many locations in the region.

  2. Stochastic frontier model approach for measuring stock market efficiency with different distributions.

    Science.gov (United States)

    Hasan, Md Zobaer; Kamil, Anton Abdulbasah; Mustafa, Adli; Baten, Md Azizul

    2012-01-01

    The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time-varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.

  3. Stochastic frontier model approach for measuring stock market efficiency with different distributions.

    Directory of Open Access Journals (Sweden)

    Md Zobaer Hasan

    Full Text Available The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time-varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.

  4. Optimal design of distributed energy resource systems based on two-stage stochastic programming

    International Nuclear Information System (INIS)

    Yang, Yun; Zhang, Shijie; Xiao, Yunhan

    2017-01-01

    Highlights: • A two-stage stochastic programming model is built to design DER systems under uncertainties. • Uncertain energy demands have a significant effect on the optimal design. • Uncertain energy prices and renewable energy intensity have little effect on the optimal design. • The economy is overestimated if the system is designed without considering the uncertainties. • The uncertainty in energy prices has the significant and greatest effect on the economy. - Abstract: Multiple uncertainties exist in the optimal design of distributed energy resource (DER) systems. The expected energy, economic, and environmental benefits may not be achieved and a deficit in energy supply may occur if the uncertainties are not handled properly. This study focuses on the optimal design of DER systems with consideration of the uncertainties. A two-stage stochastic programming model is built in consideration of the discreteness of equipment capacities, equipment partial load operation and output bounds as well as of the influence of ambient temperature on gas turbine performance. The stochastic model is then transformed into its deterministic equivalent and solved. For an illustrative example, the model is applied to a hospital in Lianyungang, China. Comparative studies are performed to evaluate the effect of the uncertainties in load demands, energy prices, and renewable energy intensity separately and simultaneously on the system’s economy and optimal design. Results show that the uncertainties in load demands have a significant effect on the optimal system design, whereas the uncertainties in energy prices and renewable energy intensity have almost no effect. Results regarding economy show that it is obviously overestimated if the system is designed without considering the uncertainties.

  5. LIBRJMCMC: AN OPEN-SOURCE GENERIC C++ LIBRARY FOR STOCHASTIC OPTIMIZATION

    Directory of Open Access Journals (Sweden)

    M. Brédif

    2012-07-01

    Full Text Available The librjmcmc is an open source C++ library that solves optimization problems using a stochastic framework. The library is primarily intended for but not limited to research purposes in computer vision, photogrammetry and remote sensing, as it has initially been developed in the context of extracting building footprints from digital elevation models using a marked point process of rectangles. It has been designed to be both highly modular and extensible, and have computational times comparable to a code specifically designed for a particular application, thanks to the powerful paradigms of metaprogramming and generic programming. The proposed stochastic optimization is built on the coupling of a stochastic Reversible-Jump Markov Chain Monte Carlo (RJMCMC sampler and a simulated annealing relaxation. This framework allows, with theoretical guarantees, the optimization of an unrestricted objective function without requiring any initial solution. The modularity of our library allows the processing of any kind of input data, whether they are 1D signals (e.g. LiDAR or SAR waveforms, 2D images, 3D point clouds... The library user has just to define a few modules describing its domain specific context: the encoding of a configuration (e.g. its object type in a marked point process context, reversible jump kernels (e.g. birth, death, modifications..., the optimized energies (e.g. data and regularization terms and the probabilized search space given by the reference process. Similar to this extensibility in the application domain, concepts are clearly and orthogonally separated such that it is straightforward to customize the convergence test, the temperature schedule, or to add visitors enabling visual feedback during the optimization. The library offers dedicated modules for marked point processes, allowing the user to optimize a Maximum A Posteriori (MAP criterion with an image data term energy on a marked point process of rectangles.

  6. Information-theoretic model selection for optimal prediction of stochastic dynamical systems from data

    Science.gov (United States)

    Darmon, David

    2018-03-01

    In the absence of mechanistic or phenomenological models of real-world systems, data-driven models become necessary. The discovery of various embedding theorems in the 1980s and 1990s motivated a powerful set of tools for analyzing deterministic dynamical systems via delay-coordinate embeddings of observations of their component states. However, in many branches of science, the condition of operational determinism is not satisfied, and stochastic models must be brought to bear. For such stochastic models, the tool set developed for delay-coordinate embedding is no longer appropriate, and a new toolkit must be developed. We present an information-theoretic criterion, the negative log-predictive likelihood, for selecting the embedding dimension for a predictively optimal data-driven model of a stochastic dynamical system. We develop a nonparametric estimator for the negative log-predictive likelihood and compare its performance to a recently proposed criterion based on active information storage. Finally, we show how the output of the model selection procedure can be used to compare candidate predictors for a stochastic system to an information-theoretic lower bound.

  7. Classical and Impulse Stochastic Control on the Optimization of Dividends with Residual Capital at Bankruptcy

    Directory of Open Access Journals (Sweden)

    Peimin Chen

    2017-01-01

    Full Text Available In this paper, we consider the optimization problem of dividends for the terminal bankruptcy model, in which some money would be returned to shareholders at the state of terminal bankruptcy, while accounting for the tax rate and transaction cost for dividend payout. Maximization of both expected total discounted dividends before bankruptcy and expected discounted returned money at the state of terminal bankruptcy becomes a mixed classical-impulse stochastic control problem. In order to solve this problem, we reduce it to quasi-variational inequalities with a nonzero boundary condition. We explicitly construct and verify solutions of these inequalities and present the value function together with the optimal policy.

  8. Stochastic multi-objective model for optimal energy exchange optimization of networked microgrids with presence of renewable generation under risk-based strategies.

    Science.gov (United States)

    Gazijahani, Farhad Samadi; Ravadanegh, Sajad Najafi; Salehi, Javad

    2018-02-01

    The inherent volatility and unpredictable nature of renewable generations and load demand pose considerable challenges for energy exchange optimization of microgrids (MG). To address these challenges, this paper proposes a new risk-based multi-objective energy exchange optimization for networked MGs from economic and reliability standpoints under load consumption and renewable power generation uncertainties. In so doing, three various risk-based strategies are distinguished by using conditional value at risk (CVaR) approach. The proposed model is specified as a two-distinct objective function. The first function minimizes the operation and maintenance costs, cost of power transaction between upstream network and MGs as well as power loss cost, whereas the second function minimizes the energy not supplied (ENS) value. Furthermore, the stochastic scenario-based approach is incorporated into the approach in order to handle the uncertainty. Also, Kantorovich distance scenario reduction method has been implemented to reduce the computational burden. Finally, non-dominated sorting genetic algorithm (NSGAII) is applied to minimize the objective functions simultaneously and the best solution is extracted by fuzzy satisfying method with respect to risk-based strategies. To indicate the performance of the proposed model, it is performed on the modified IEEE 33-bus distribution system and the obtained results show that the presented approach can be considered as an efficient tool for optimal energy exchange optimization of MGs. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.

  9. Optimal operating rules definition in complex water resource systems combining fuzzy logic, expert criteria and stochastic programming

    Science.gov (United States)

    Macian-Sorribes, Hector; Pulido-Velazquez, Manuel

    2016-04-01

    This contribution presents a methodology for defining optimal seasonal operating rules in multireservoir systems coupling expert criteria and stochastic optimization. Both sources of information are combined using fuzzy logic. The structure of the operating rules is defined based on expert criteria, via a joint expert-technician framework consisting in a series of meetings, workshops and surveys carried out between reservoir managers and modelers. As a result, the decision-making process used by managers can be assessed and expressed using fuzzy logic: fuzzy rule-based systems are employed to represent the operating rules and fuzzy regression procedures are used for forecasting future inflows. Once done that, a stochastic optimization algorithm can be used to define optimal decisions and transform them into fuzzy rules. Finally, the optimal fuzzy rules and the inflow prediction scheme are combined into a Decision Support System for making seasonal forecasts and simulate the effect of different alternatives in response to the initial system state and the foreseen inflows. The approach presented has been applied to the Jucar River Basin (Spain). Reservoir managers explained how the system is operated, taking into account the reservoirs' states at the beginning of the irrigation season and the inflows previewed during that season. According to the information given by them, the Jucar River Basin operating policies were expressed via two fuzzy rule-based (FRB) systems that estimate the amount of water to be allocated to the users and how the reservoir storages should be balanced to guarantee those deliveries. A stochastic optimization model using Stochastic Dual Dynamic Programming (SDDP) was developed to define optimal decisions, which are transformed into optimal operating rules embedding them into the two FRBs previously created. As a benchmark, historical records are used to develop alternative operating rules. A fuzzy linear regression procedure was employed to

  10. Numerical Approach to Spatial Deterministic-Stochastic Models Arising in Cell Biology.

    Science.gov (United States)

    Schaff, James C; Gao, Fei; Li, Ye; Novak, Igor L; Slepchenko, Boris M

    2016-12-01

    Hybrid deterministic-stochastic methods provide an efficient alternative to a fully stochastic treatment of models which include components with disparate levels of stochasticity. However, general-purpose hybrid solvers for spatially resolved simulations of reaction-diffusion systems are not widely available. Here we describe fundamentals of a general-purpose spatial hybrid method. The method generates realizations of a spatially inhomogeneous hybrid system by appropriately integrating capabilities of a deterministic partial differential equation solver with a popular particle-based stochastic simulator, Smoldyn. Rigorous validation of the algorithm is detailed, using a simple model of calcium 'sparks' as a testbed. The solver is then applied to a deterministic-stochastic model of spontaneous emergence of cell polarity. The approach is general enough to be implemented within biologist-friendly software frameworks such as Virtual Cell.

  11. Methods and models in mathematical biology deterministic and stochastic approaches

    CERN Document Server

    Müller, Johannes

    2015-01-01

    This book developed from classes in mathematical biology taught by the authors over several years at the Technische Universität München. The main themes are modeling principles, mathematical principles for the analysis of these models, and model-based analysis of data. The key topics of modern biomathematics are covered: ecology, epidemiology, biochemistry, regulatory networks, neuronal networks, and population genetics. A variety of mathematical methods are introduced, ranging from ordinary and partial differential equations to stochastic graph theory and  branching processes. A special emphasis is placed on the interplay between stochastic and deterministic models.

  12. Adaptive Urban Stormwater Management Using a Two-stage Stochastic Optimization Model

    Science.gov (United States)

    Hung, F.; Hobbs, B. F.; McGarity, A. E.

    2014-12-01

    In many older cities, stormwater results in combined sewer overflows (CSOs) and consequent water quality impairments. Because of the expense of traditional approaches for controlling CSOs, cities are considering the use of green infrastructure (GI) to reduce runoff and pollutants. Examples of GI include tree trenches, rain gardens, green roofs, and rain barrels. However, the cost and effectiveness of GI are uncertain, especially at the watershed scale. We present a two-stage stochastic extension of the Stormwater Investment Strategy Evaluation (StormWISE) model (A. McGarity, JWRPM, 2012, 111-24) to explicitly model and optimize these uncertainties in an adaptive management framework. A two-stage model represents the immediate commitment of resources ("here & now") followed by later investment and adaptation decisions ("wait & see"). A case study is presented for Philadelphia, which intends to extensively deploy GI over the next two decades (PWD, "Green City, Clean Water - Implementation and Adaptive Management Plan," 2011). After first-stage decisions are made, the model updates the stochastic objective and constraints (learning). We model two types of "learning" about GI cost and performance. One assumes that learning occurs over time, is automatic, and does not depend on what has been done in stage one (basic model). The other considers learning resulting from active experimentation and learning-by-doing (advanced model). Both require expert probability elicitations, and learning from research and monitoring is modelled by Bayesian updating (as in S. Jacobi et al., JWRPM, 2013, 534-43). The model allocates limited financial resources to GI investments over time to achieve multiple objectives with a given reliability. Objectives include minimizing construction and O&M costs; achieving nutrient, sediment, and runoff volume targets; and community concerns, such as aesthetics, CO2 emissions, heat islands, and recreational values. CVaR (Conditional Value at Risk) and

  13. Optimal exploitation of a renewable resource with stochastic nonconvex technology: An analysis of extinction and survival

    International Nuclear Information System (INIS)

    Mitra, Tapan; Roy, Santanu

    1992-11-01

    This paper analyzes the possibilities of extinction and survival of a renewable resource whose technology of reproduction is both stochastic and nonconvex. In particular, the production function is subject to random shocks over time and is allowed to be nonconcave, though it eventually exhibits bounded growth. The existence of a minimum biomass below which the resource can only decrease, is allowed for. Society harvests a part of the current stock every time period over an infinite horizon so as to maximize the expected discounted sum of one period social utilities from the harvested resource. The social utility function is strictly concave. The stochastic process of optimal stocks generated by the optimal stationary policy is analyzed. The nonconvexity in the optimization problem implies that the optimal policy functions are not 'well behaved'. The behaviour of the probability of extinction (and the expected time to extinction), as a function of initial stock, is characterized for various possible configurations of the optimal policy and the technology. Sufficient conditions on the utility and production functions and the rate of impatience, are specified in order to ensure survival of the resource with probability one from some stock level (the minimum safe standard of conservation). Sufficient conditions for almost sure extinction and almost sure survival from all stock levels are also specified. These conditions are related to the corresponding conditions derived in models with deterministic and/or convex technology. 4 figs., 29 refs

  14. Optimal exploitation of a renewable resource with stochastic nonconvex technology: An analysis of extinction and survival

    Energy Technology Data Exchange (ETDEWEB)

    Mitra, Tapan [Department of Economics, Cornell University, Ithaca, NY (United States); Roy, Santanu [Econometric Institute, Erasmus University, Rotterdam (Netherlands)

    1992-11-01

    This paper analyzes the possibilities of extinction and survival of a renewable resource whose technology of reproduction is both stochastic and nonconvex. In particular, the production function is subject to random shocks over time and is allowed to be nonconcave, though it eventually exhibits bounded growth. The existence of a minimum biomass below which the resource can only decrease, is allowed for. Society harvests a part of the current stock every time period over an infinite horizon so as to maximize the expected discounted sum of one period social utilities from the harvested resource. The social utility function is strictly concave. The stochastic process of optimal stocks generated by the optimal stationary policy is analyzed. The nonconvexity in the optimization problem implies that the optimal policy functions are not `well behaved`. The behaviour of the probability of extinction (and the expected time to extinction), as a function of initial stock, is characterized for various possible configurations of the optimal policy and the technology. Sufficient conditions on the utility and production functions and the rate of impatience, are specified in order to ensure survival of the resource with probability one from some stock level (the minimum safe standard of conservation). Sufficient conditions for almost sure extinction and almost sure survival from all stock levels are also specified. These conditions are related to the corresponding conditions derived in models with deterministic and/or convex technology. 4 figs., 29 refs.

  15. Intelligent stochastic optimization routine for in-core fuel cycle design

    International Nuclear Information System (INIS)

    Parks, G.T.

    1988-01-01

    Any reactor fuel management strategy must specify the fuel design, batch sizes, loading configurations, and operational procedures for each cycle. To permit detailed design studies, the complex core characteristics must necessarily be computer modeled. Thus, the identification of an optimal fuel cycle design represents an optimization problem with a nonlinear objective function (OF), nonlinear safety constraints, many control variables, and no direct derivative information. Most available library routines cannot tackle such problems; this paper introduces an intelligent stochastic optimization routine that can. There has been considerable interest recently in the application of stochastic methods to difficult optimization problems, based on the statistical mechanics algorithms originally attributed to Metropolis. Previous work showed that, in optimizing the performance of a British advanced gas-cooled reactor fuel stringer, a rudimentary version of the Metropolis algorithm performed as efficiently as the only suitable routine in the Numerical Algorithms Group library. Since then the performance of the Metropolis algorithm has been considerably enhanced by the introduction of self-tuning capabilities by which the routine adjusts its control parameters and search pattern as it progresses. Both features can be viewed as examples of artificial intelligence, in which the routine uses the accumulation of data, or experience, to guide its future actions

  16. Stochastic Change Detection based on an Active Fault Diagnosis Approach

    DEFF Research Database (Denmark)

    Poulsen, Niels Kjølstad; Niemann, Hans Henrik

    2007-01-01

    The focus in this paper is on stochastic change detection applied in connection with active fault diagnosis (AFD). An auxiliary input signal is applied in AFD. This signal injection in the system will in general allow to obtain a fast change detection/isolation by considering the output or an err...

  17. A stochastic-programming approach to integrated asset and liability ...

    African Journals Online (AJOL)

    This increase in complexity has provided an impetus for the investigation into integrated asset- and liability-management frameworks that could realistically address dynamic portfolio allocation in a risk-controlled way. In this paper the authors propose a multi-stage dynamic stochastic-programming model for the integrated ...

  18. Multi-objective optimal power flow for active distribution network considering the stochastic characteristic of photovoltaic

    Science.gov (United States)

    Zhou, Bao-Rong; Liu, Si-Liang; Zhang, Yong-Jun; Yi, Ying-Qi; Lin, Xiao-Ming

    2017-05-01

    To mitigate the impact on the distribution networks caused by the stochastic characteristic and high penetration of photovoltaic, a multi-objective optimal power flow model is proposed in this paper. The regulation capability of capacitor, inverter of photovoltaic and energy storage system embedded in active distribution network are considered to minimize the expected value of active power the T loss and probability of voltage violation in this model. Firstly, a probabilistic power flow based on cumulant method is introduced to calculate the value of the objectives. Secondly, NSGA-II algorithm is adopted for optimization to obtain the Pareto optimal solutions. Finally, the best compromise solution can be achieved through fuzzy membership degree method. By the multi-objective optimization calculation of IEEE34-node distribution network, the results show that the model can effectively improve the voltage security and economy of the distribution network on different levels of photovoltaic penetration.

  19. Optimal reducibility of all W states equivalent under stochastic local operations and classical communication

    Energy Technology Data Exchange (ETDEWEB)

    Rana, Swapan; Parashar, Preeti [Physics and Applied Mathematics Unit, Indian Statistical Institute, 203 BT Road, Kolkata (India)

    2011-11-15

    We show that all multipartite pure states that are stochastic local operation and classical communication (SLOCC) equivalent to the N-qubit W state can be uniquely determined (among arbitrary states) from their bipartite marginals. We also prove that only (N-1) of the bipartite marginals are sufficient and that this is also the optimal number. Thus, contrary to the Greenberger-Horne-Zeilinger (GHZ) class, W-type states preserve their reducibility under SLOCC. We also study the optimal reducibility of some larger classes of states. The generic Dicke states |GD{sub N}{sup l}> are shown to be optimally determined by their (l+1)-partite marginals. The class of ''G'' states (superposition of W and W) are shown to be optimally determined by just two (N-2)-partite marginals.

  20. Fat versus Thin Threading Approach on GPUs: Application to Stochastic Simulation of Chemical Reactions

    KAUST Repository

    Klingbeil, Guido; Erban, Radek; Giles, Mike; Maini, Philip K.

    2012-01-01

    We explore two different threading approaches on a graphics processing unit (GPU) exploiting two different characteristics of the current GPU architecture. The fat thread approach tries to minimize data access time by relying on shared memory and registers potentially sacrificing parallelism. The thin thread approach maximizes parallelism and tries to hide access latencies. We apply these two approaches to the parallel stochastic simulation of chemical reaction systems using the stochastic simulation algorithm (SSA) by Gillespie [14]. In these cases, the proposed thin thread approach shows comparable performance while eliminating the limitation of the reaction system's size. © 2006 IEEE.

  1. Fat versus Thin Threading Approach on GPUs: Application to Stochastic Simulation of Chemical Reactions

    KAUST Repository

    Klingbeil, Guido

    2012-02-01

    We explore two different threading approaches on a graphics processing unit (GPU) exploiting two different characteristics of the current GPU architecture. The fat thread approach tries to minimize data access time by relying on shared memory and registers potentially sacrificing parallelism. The thin thread approach maximizes parallelism and tries to hide access latencies. We apply these two approaches to the parallel stochastic simulation of chemical reaction systems using the stochastic simulation algorithm (SSA) by Gillespie [14]. In these cases, the proposed thin thread approach shows comparable performance while eliminating the limitation of the reaction system\\'s size. © 2006 IEEE.

  2. A chance-constrained stochastic approach to intermodal container routing problems.

    Science.gov (United States)

    Zhao, Yi; Liu, Ronghui; Zhang, Xi; Whiteing, Anthony

    2018-01-01

    We consider a container routing problem with stochastic time variables in a sea-rail intermodal transportation system. The problem is formulated as a binary integer chance-constrained programming model including stochastic travel times and stochastic transfer time, with the objective of minimising the expected total cost. Two chance constraints are proposed to ensure that the container service satisfies ship fulfilment and cargo on-time delivery with pre-specified probabilities. A hybrid heuristic algorithm is employed to solve the binary integer chance-constrained programming model. Two case studies are conducted to demonstrate the feasibility of the proposed model and to analyse the impact of stochastic variables and chance-constraints on the optimal solution and total cost.

  3. Feasibility of Stochastic Voltage/VAr Optimization Considering Renewable Energy Resources for Smart Grid

    Science.gov (United States)

    Momoh, James A.; Salkuti, Surender Reddy

    2016-06-01

    This paper proposes a stochastic optimization technique for solving the Voltage/VAr control problem including the load demand and Renewable Energy Resources (RERs) variation. The RERs often take along some inputs like stochastic behavior. One of the important challenges i. e., Voltage/VAr control is a prime source for handling power system complexity and reliability, hence it is the fundamental requirement for all the utility companies. There is a need for the robust and efficient Voltage/VAr optimization technique to meet the peak demand and reduction of system losses. The voltages beyond the limit may damage costly sub-station devices and equipments at consumer end as well. Especially, the RERs introduces more disturbances and some of the RERs are not even capable enough to meet the VAr demand. Therefore, there is a strong need for the Voltage/VAr control in RERs environment. This paper aims at the development of optimal scheme for Voltage/VAr control involving RERs. In this paper, Latin Hypercube Sampling (LHS) method is used to cover full range of variables by maximally satisfying the marginal distribution. Here, backward scenario reduction technique is used to reduce the number of scenarios effectively and maximally retain the fitting accuracy of samples. The developed optimization scheme is tested on IEEE 24 bus Reliability Test System (RTS) considering the load demand and RERs variation.

  4. A genetic-algorithm-aided stochastic optimization model for regional air quality management under uncertainty.

    Science.gov (United States)

    Qin, Xiaosheng; Huang, Guohe; Liu, Lei

    2010-01-01

    A genetic-algorithm-aided stochastic optimization (GASO) model was developed in this study for supporting regional air quality management under uncertainty. The model incorporated genetic algorithm (GA) and Monte Carlo simulation techniques into a general stochastic chance-constrained programming (CCP) framework and allowed uncertainties in simulation and optimization model parameters to be considered explicitly in the design of least-cost strategies. GA was used to seek the optimal solution of the management model by progressively evaluating the performances of individual solutions. Monte Carlo simulation was used to check the feasibility of each solution. A management problem in terms of regional air pollution control was studied to demonstrate the applicability of the proposed method. Results of the case study indicated the proposed model could effectively communicate uncertainties into the optimization process and generate solutions that contained a spectrum of potential air pollutant treatment options with risk and cost information. Decision alternatives could be obtained by analyzing tradeoffs between the overall pollutant treatment cost and the system-failure risk due to inherent uncertainties.

  5. Stochastic optimization of energy hub operation with consideration of thermal energy market and demand response

    International Nuclear Information System (INIS)

    Vahid-Pakdel, M.J.; Nojavan, Sayyad; Mohammadi-ivatloo, B.; Zare, Kazem

    2017-01-01

    Highlights: • Studying heating market impact on energy hub operation considering price uncertainty. • Investigating impact of implementation of heat demand response on hub operation. • Presenting stochastic method to consider wind generation and prices uncertainties. - Abstract: Multi carrier energy systems or energy hubs has provided more flexibility for energy management systems. On the other hand, due to mutual impact of different energy carriers in energy hubs, energy management studies become more challengeable. The initial patterns of energy demands from grids point of view can be modified by optimal scheduling of energy hubs. In this work, optimal operation of multi carrier energy system has been studied in the presence of wind farm, electrical and thermal storage systems, electrical and thermal demand response programs, electricity market and thermal energy market. Stochastic programming is implemented for modeling the system uncertainties such as demands, market prices and wind speed. It is shown that adding new source of heat energy for providing demand of consumers with market mechanism changes the optimal operation point of multi carrier energy system. Presented mixed integer linear formulation for the problem has been solved by executing CPLEX solver of GAMS optimization software. Simulation results shows that hub’s operation cost reduces up to 4.8% by enabling the option of using thermal energy market for meeting heat demand.

  6. Simulation of the stochastic wave loads using a physical modeling approach

    DEFF Research Database (Denmark)

    Liu, W.F.; Sichani, Mahdi Teimouri; Nielsen, Søren R.K.

    2013-01-01

    In analyzing stochastic dynamic systems, analysis of the system uncertainty due to randomness in the loads plays a crucial role. Typically time series of the stochastic loads are simulated using traditional random phase method. This approach combined with fast Fourier transform algorithm makes...... reliability or its uncertainty. Moreover applicability of the probability density evolution method on engineering problems faces critical difficulties when the system embeds too many random variables. Hence it is useful to devise a method which can make realization of the stochastic load processes with low...

  7. Solving Unconstrained Global Optimization Problems via Hybrid Swarm Intelligence Approaches

    Directory of Open Access Journals (Sweden)

    Jui-Yu Wu

    2013-01-01

    Full Text Available Stochastic global optimization (SGO algorithms such as the particle swarm optimization (PSO approach have become popular for solving unconstrained global optimization (UGO problems. The PSO approach, which belongs to the swarm intelligence domain, does not require gradient information, enabling it to overcome this limitation of traditional nonlinear programming methods. Unfortunately, PSO algorithm implementation and performance depend on several parameters, such as cognitive parameter, social parameter, and constriction coefficient. These parameters are tuned by using trial and error. To reduce the parametrization of a PSO method, this work presents two efficient hybrid SGO approaches, namely, a real-coded genetic algorithm-based PSO (RGA-PSO method and an artificial immune algorithm-based PSO (AIA-PSO method. The specific parameters of the internal PSO algorithm are optimized using the external RGA and AIA approaches, and then the internal PSO algorithm is applied to solve UGO problems. The performances of the proposed RGA-PSO and AIA-PSO algorithms are then evaluated using a set of benchmark UGO problems. Numerical results indicate that, besides their ability to converge to a global minimum for each test UGO problem, the proposed RGA-PSO and AIA-PSO algorithms outperform many hybrid SGO algorithms. Thus, the RGA-PSO and AIA-PSO approaches can be considered alternative SGO approaches for solving standard-dimensional UGO problems.

  8. A Three-Stage Optimization Algorithm for the Stochastic Parallel Machine Scheduling Problem with Adjustable Production Rates

    Directory of Open Access Journals (Sweden)

    Rui Zhang

    2013-01-01

    Full Text Available We consider a parallel machine scheduling problem with random processing/setup times and adjustable production rates. The objective functions to be minimized consist of two parts; the first part is related with the due date performance (i.e., the tardiness of the jobs, while the second part is related with the setting of machine speeds. Therefore, the decision variables include both the production schedule (sequences of jobs and the production rate of each machine. The optimization process, however, is significantly complicated by the stochastic factors in the manufacturing system. To address the difficulty, a simulation-based three-stage optimization framework is presented in this paper for high-quality robust solutions to the integrated scheduling problem. The first stage (crude optimization is featured by the ordinal optimization theory, the second stage (finer optimization is implemented with a metaheuristic called differential evolution, and the third stage (fine-tuning is characterized by a perturbation-based local search. Finally, computational experiments are conducted to verify the effectiveness of the proposed approach. Sensitivity analysis and practical implications are also discussed.

  9. Multi-criteria multi-stakeholder decision analysis using a fuzzy-stochastic approach for hydrosystem management

    Science.gov (United States)

    Subagadis, Y. H.; Schütze, N.; Grundmann, J.

    2014-09-01

    The conventional methods used to solve multi-criteria multi-stakeholder problems are less strongly formulated, as they normally incorporate only homogeneous information at a time and suggest aggregating objectives of different decision-makers avoiding water-society interactions. In this contribution, Multi-Criteria Group Decision Analysis (MCGDA) using a fuzzy-stochastic approach has been proposed to rank a set of alternatives in water management decisions incorporating heterogeneous information under uncertainty. The decision making framework takes hydrologically, environmentally, and socio-economically motivated conflicting objectives into consideration. The criteria related to the performance of the physical system are optimized using multi-criteria simulation-based optimization, and fuzzy linguistic quantifiers have been used to evaluate subjective criteria and to assess stakeholders' degree of optimism. The proposed methodology is applied to find effective and robust intervention strategies for the management of a coastal hydrosystem affected by saltwater intrusion due to excessive groundwater extraction for irrigated agriculture and municipal use. Preliminary results show that the MCGDA based on a fuzzy-stochastic approach gives useful support for robust decision-making and is sensitive to the decision makers' degree of optimism.

  10. Multi-criteria multi-stakeholder decision analysis using a fuzzy-stochastic approach for hydrosystem management

    Directory of Open Access Journals (Sweden)

    Y. H. Subagadis

    2014-09-01

    Full Text Available The conventional methods used to solve multi-criteria multi-stakeholder problems are less strongly formulated, as they normally incorporate only homogeneous information at a time and suggest aggregating objectives of different decision-makers avoiding water–society interactions. In this contribution, Multi-Criteria Group Decision Analysis (MCGDA using a fuzzy-stochastic approach has been proposed to rank a set of alternatives in water management decisions incorporating heterogeneous information under uncertainty. The decision making framework takes hydrologically, environmentally, and socio-economically motivated conflicting objectives into consideration. The criteria related to the performance of the physical system are optimized using multi-criteria simulation-based optimization, and fuzzy linguistic quantifiers have been used to evaluate subjective criteria and to assess stakeholders' degree of optimism. The proposed methodology is applied to find effective and robust intervention strategies for the management of a coastal hydrosystem affected by saltwater intrusion due to excessive groundwater extraction for irrigated agriculture and municipal use. Preliminary results show that the MCGDA based on a fuzzy-stochastic approach gives useful support for robust decision-making and is sensitive to the decision makers' degree of optimism.

  11. Food Environment and Weight Outcomes: A Stochastic Frontier Approach

    OpenAIRE

    Li, Xun; Lopez, Rigoberto A.

    2013-01-01

    Food environment includes the presence of supermarkets, restaurants, warehouse clubs and supercenters, and other food outlets. This paper evaluates weight outcomes from a food environment using a stochastic production frontier and an equation for the determinants of efficiency, where the explanatory variables of the efficiency term include food environment indicators. Using individual consumer data and food environment data from New England counties, empirical results indicate that fruit and ...

  12. A unified approach to stochastic integration on the real line

    DEFF Research Database (Denmark)

    Basse-O'Connor, Andreas; Graversen, Svend-Erik; Pedersen, Jan

    Stochastic integration on the predictable σ-field with respect to σ-finite L0-valued measures, also known as formal semimartingales, is studied. In particular, the triplet of such measures is introduced and used to characterize the set of integrable processes. Special attention is given to Lévy...... processes indexed by the real line. Surprisingly, many of the basic properties break down in this situation compared to the usual R+ case....

  13. Robust synthetic biology design: stochastic game theory approach.

    Science.gov (United States)

    Chen, Bor-Sen; Chang, Chia-Hung; Lee, Hsiao-Ching

    2009-07-15

    Synthetic biology is to engineer artificial biological systems to investigate natural biological phenomena and for a variety of applications. However, the development of synthetic gene networks is still difficult and most newly created gene networks are non-functioning due to uncertain initial conditions and disturbances of extra-cellular environments on the host cell. At present, how to design a robust synthetic gene network to work properly under these uncertain factors is the most important topic of synthetic biology. A robust regulation design is proposed for a stochastic synthetic gene network to achieve the prescribed steady states under these uncertain factors from the minimax regulation perspective. This minimax regulation design problem can be transformed to an equivalent stochastic game problem. Since it is not easy to solve the robust regulation design problem of synthetic gene networks by non-linear stochastic game method directly, the Takagi-Sugeno (T-S) fuzzy model is proposed to approximate the non-linear synthetic gene network via the linear matrix inequality (LMI) technique through the Robust Control Toolbox in Matlab. Finally, an in silico example is given to illustrate the design procedure and to confirm the efficiency and efficacy of the proposed robust gene design method. http://www.ee.nthu.edu.tw/bschen/SyntheticBioDesign_supplement.pdf.

  14. Stochastic partial differential equations a modeling, white noise functional approach

    CERN Document Server

    Holden, Helge; Ubøe, Jan; Zhang, Tusheng

    1996-01-01

    This book is based on research that, to a large extent, started around 1990, when a research project on fluid flow in stochastic reservoirs was initiated by a group including some of us with the support of VISTA, a research coopera­ tion between the Norwegian Academy of Science and Letters and Den norske stats oljeselskap A.S. (Statoil). The purpose of the project was to use stochastic partial differential equations (SPDEs) to describe the flow of fluid in a medium where some of the parameters, e.g., the permeability, were stochastic or "noisy". We soon realized that the theory of SPDEs at the time was insufficient to handle such equations. Therefore it became our aim to develop a new mathematically rigorous theory that satisfied the following conditions. 1) The theory should be physically meaningful and realistic, and the corre­ sponding solutions should make sense physically and should be useful in applications. 2) The theory should be general enough to handle many of the interesting SPDEs that occur in r...

  15. Probabilistic safety assessment and optimal control of hazardous technological systems. A marked point process approach

    International Nuclear Information System (INIS)

    Holmberg, J.

    1997-04-01

    The thesis models risk management as an optimal control problem for a stochastic process. The approach classes the decisions made by management into three categories according to the control methods of a point process: (1) planned process lifetime, (2) modification of the design, and (3) operational decisions. The approach is used for optimization of plant shutdown criteria and surveillance test strategies of a hypothetical nuclear power plant

  16. Probabilistic safety assessment and optimal control of hazardous technological systems. A marked point process approach

    Energy Technology Data Exchange (ETDEWEB)

    Holmberg, J [VTT Automation, Espoo (Finland)

    1997-04-01

    The thesis models risk management as an optimal control problem for a stochastic process. The approach classes the decisions made by management into three categories according to the control methods of a point process: (1) planned process lifetime, (2) modification of the design, and (3) operational decisions. The approach is used for optimization of plant shutdown criteria and surveillance test strategies of a hypothetical nuclear power plant. 62 refs. The thesis includes also five previous publications by author.

  17. Optimizing basin-scale coupled water quantity and water quality management with stochastic dynamic programming

    DEFF Research Database (Denmark)

    Davidsen, Claus; Liu, Suxia; Mo, Xingguo

    2015-01-01

    Few studies address water quality in hydro-economic models, which often focus primarily on optimal allocation of water quantities. Water quality and water quantity are closely coupled, and optimal management with focus solely on either quantity or quality may cause large costs in terms of the oth......-er component. In this study, we couple water quality and water quantity in a joint hydro-economic catchment-scale optimization problem. Stochastic dynamic programming (SDP) is used to minimize the basin-wide total costs arising from water allocation, water curtailment and water treatment. The simple water...... quality module can handle conservative pollutants, first order depletion and non-linear reactions. For demonstration purposes, we model pollutant releases as biochemical oxygen demand (BOD) and use the Streeter-Phelps equation for oxygen deficit to compute the resulting min-imum dissolved oxygen...

  18. Stochastic Optimal Wind Power Bidding Strategy in Short-Term Electricity Market

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2012-01-01

    Due to the fluctuating nature and non-perfect forecast of the wind power, the wind power owners are penalized for the imbalance costs of the regulation, when they trade wind power in the short-term liberalized electricity market. Therefore, in this paper a formulation of an imbalance cost...... minimization problem for trading wind power in the short-term electricity market is described, to help the wind power owners optimize their bidding strategy. Stochastic optimization and a Monte Carlo method are adopted to find the optimal bidding strategy for trading wind power in the short-term electricity...... market in order to deal with the uncertainty of the regulation price, the activated regulation of the power system and the forecasted wind power generation. The Danish short-term electricity market and a wind farm in western Denmark are chosen as study cases due to the high wind power penetration here...

  19. Unit Commitment Towards Decarbonized Network Facing Fixed and Stochastic Resources Applying Water Cycle Optimization

    Directory of Open Access Journals (Sweden)

    Heba-Allah I. ElAzab

    2018-05-01

    Full Text Available This paper presents a trustworthy unit commitment study to schedule both Renewable Energy Resources (RERs with conventional power plants to potentially decarbonize the electrical network. The study has employed a system with three IEEE thermal (coal-fired power plants as dispatchable distributed generators, one wind plant, one solar plant as stochastic distributed generators, and Plug-in Electric Vehicles (PEVs which can work either loads or generators based on their charging schedule. This paper investigates the unit commitment scheduling objective to minimize the Combined Economic Emission Dispatch (CEED. To reduce combined emission costs, integrating more renewable energy resources (RER and PEVs, there is an essential need to decarbonize the existing system. Decarbonizing the system means reducing the percentage of CO2 emissions. The uncertain behavior of wind and solar energies causes imbalance penalty costs. PEVs are proposed to overcome the intermittent nature of wind and solar energies. It is important to optimally integrate and schedule stochastic resources including the wind and solar energies, and PEVs charge and discharge processes with dispatched resources; the three IEEE thermal (coal-fired power plants. The Water Cycle Optimization Algorithm (WCOA is an efficient and intelligent meta-heuristic technique employed to solve the economically emission dispatch problem for both scheduling dispatchable and stochastic resources. The goal of this study is to obtain the solution for unit commitment to minimize the combined cost function including CO2 emission costs applying the Water Cycle Optimization Algorithm (WCOA. To validate the WCOA technique, the results are compared with the results obtained from applying the Dynamic Programming (DP algorithm, which is considered as a conventional numerical technique, and with the Genetic Algorithm (GA as a meta-heuristic technique.

  20. Analytical study on the criticality of the stochastic optimal velocity model

    International Nuclear Information System (INIS)

    Kanai, Masahiro; Nishinari, Katsuhiro; Tokihiro, Tetsuji

    2006-01-01

    In recent works, we have proposed a stochastic cellular automaton model of traffic flow connecting two exactly solvable stochastic processes, i.e., the asymmetric simple exclusion process and the zero range process, with an additional parameter. It is also regarded as an extended version of the optimal velocity model, and moreover it shows particularly notable properties. In this paper, we report that when taking optimal velocity function to be a step function, all of the flux-density graph (i.e. the fundamental diagram) can be estimated. We first find that the fundamental diagram consists of two line segments resembling an inversed-λ form, and next identify their end-points from a microscopic behaviour of vehicles. It is notable that by using a microscopic parameter which indicates a driver's sensitivity to the traffic situation, we give an explicit formula for the critical point at which a traffic jam phase arises. We also compare these analytical results with those of the optimal velocity model, and point out the crucial differences between them

  1. A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework

    Directory of Open Access Journals (Sweden)

    Pavel V. Shevchenko

    2016-07-01

    Full Text Available In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal/sub-optimal policyholder behavior, and in the presence of taxes. For numerical valuation of these contracts in the case of simple risky asset process, we develop a direct integration method based on the Gauss-Hermite quadratures with a one-dimensional cubic spline for calculation of the expected contract value, and a bi-cubic spline interpolation for applying the jump conditions across the contract cashflow event times. This method is easier to implement and faster when compared to the partial differential equation methods if the transition density (or its moments of the risky asset underlying the contract is known in closed form between the event times. We present accurate numerical results for pricing of a Guaranteed Minimum Accumulation Benefit (GMAB guarantee available on the market that can serve as a numerical benchmark for practitioners and researchers developing pricing of variable annuity guarantees to assess the accuracy of their numerical implementation.

  2. A review of simheuristics: Extending metaheuristics to deal with stochastic combinatorial optimization problems

    Directory of Open Access Journals (Sweden)

    Angel A. Juan

    2015-12-01

    Full Text Available Many combinatorial optimization problems (COPs encountered in real-world logistics, transportation, production, healthcare, financial, telecommunication, and computing applications are NP-hard in nature. These real-life COPs are frequently characterized by their large-scale sizes and the need for obtaining high-quality solutions in short computing times, thus requiring the use of metaheuristic algorithms. Metaheuristics benefit from different random-search and parallelization paradigms, but they frequently assume that the problem inputs, the underlying objective function, and the set of optimization constraints are deterministic. However, uncertainty is all around us, which often makes deterministic models oversimplified versions of real-life systems. After completing an extensive review of related work, this paper describes a general methodology that allows for extending metaheuristics through simulation to solve stochastic COPs. ‘Simheuristics’ allow modelers for dealing with real-life uncertainty in a natural way by integrating simulation (in any of its variants into a metaheuristic-driven framework. These optimization-driven algorithms rely on the fact that efficient metaheuristics already exist for the deterministic version of the corresponding COP. Simheuristics also facilitate the introduction of risk and/or reliability analysis criteria during the assessment of alternative high-quality solutions to stochastic COPs. Several examples of applications in different fields illustrate the potential of the proposed methodology.

  3. Stochastic Optimal Regulation Service Strategy for a Wind Farm Participating in the Electricity Market

    DEFF Research Database (Denmark)

    Zhang, Baohua; Hu, Weihao; Chen, Zhe

    2015-01-01

    in the stochastic optimization to deal with the uncertainty of the up regulation price and the up regulation activation of the power system.The Danish short-term electricity market and a wind farm in western Denmark are chosen to evaluate the effect of the proposed strategy. Simulation results showthe proposed......As modern wind farmshave the ability to provideregulation service for the power system, wind power plant operators may be motivated to participate in the regulating market to maximize their profit.In this paper, anoptimal regulation servicestrategy for a wind farm to participate...... strategy can increase the revenue of wind farms by leavinga certain amount of wind powerfor regulation service....

  4. Comparative analysis of cogeneration power plants optimization based on stochastic method using superstructure and process simulator

    Energy Technology Data Exchange (ETDEWEB)

    Araujo, Leonardo Rodrigues de [Instituto Federal do Espirito Santo, Vitoria, ES (Brazil)], E-mail: leoaraujo@ifes.edu.br; Donatelli, Joao Luiz Marcon [Universidade Federal do Espirito Santo (UFES), Vitoria, ES (Brazil)], E-mail: joaoluiz@npd.ufes.br; Silva, Edmar Alino da Cruz [Instituto Tecnologico de Aeronautica (ITA/CTA), Sao Jose dos Campos, SP (Brazil); Azevedo, Joao Luiz F. [Instituto de Aeronautica e Espaco (CTA/IAE/ALA), Sao Jose dos Campos, SP (Brazil)

    2010-07-01

    Thermal systems are essential in facilities such as thermoelectric plants, cogeneration plants, refrigeration systems and air conditioning, among others, in which much of the energy consumed by humanity is processed. In a world with finite natural sources of fuels and growing energy demand, issues related with thermal system design, such as cost estimative, design complexity, environmental protection and optimization are becoming increasingly important. Therefore the need to understand the mechanisms that degrade energy, improve energy sources use, reduce environmental impacts and also reduce project, operation and maintenance costs. In recent years, a consistent development of procedures and techniques for computational design of thermal systems has occurred. In this context, the fundamental objective of this study is a performance comparative analysis of structural and parametric optimization of a cogeneration system using stochastic methods: genetic algorithm and simulated annealing. This research work uses a superstructure, modelled in a process simulator, IPSEpro of SimTech, in which the appropriate design case studied options are included. Accordingly, the cogeneration system optimal configuration is determined as a consequence of the optimization process, restricted within the configuration options included in the superstructure. The optimization routines are written in MsExcel Visual Basic, in order to work perfectly coupled to the simulator process. At the end of the optimization process, the system optimal configuration, given the characteristics of each specific problem, should be defined. (author)

  5. A primal-dual decomposition based interior point approach to two-stage stochastic linear programming

    NARCIS (Netherlands)

    A.B. Berkelaar (Arjan); C.L. Dert (Cees); K.P.B. Oldenkamp; S. Zhang (Shuzhong)

    1999-01-01

    textabstractDecision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool developed to deal with optimization with uncertainties that has found applications in, e.g. finance, such as asset-liability and bond-portfolio management.

  6. A new approach for controlling a hybrid stochastic manufacturing / remanufacturing system with inventories and different leadtimes

    NARCIS (Netherlands)

    Kiesmüller, G.P.

    2003-01-01

    This paper addresses the control problem of a stochastic recovery system with two stocking points and different leadtimes for production and remanufacturing. For such systems the optimal control policy for a linear cost model is not known. Therefore, in the literature several heuristic policies are

  7. A generic methodology for the optimisation of sewer systems using stochastic programming and self-optimizing control

    DEFF Research Database (Denmark)

    Maurico-Iglesias, Miguel; Castro, Ignacio Montero; Mollerup, Ane Loft

    2015-01-01

    . Such controller is aimed at keeping the system close to the optimal performance, thanks to an optimal selection of controlled variables. The definition of an optimal performance was carried out by a two-stage optimisation (stochastic and deterministic) to take into account both the overflow during the current......The design of sewer system control is a complex task given the large size of the sewer networks, the transient dynamics of the water flow and the stochastic nature of rainfall. This contribution presents a generic methodology for the design of a self-optimising controller in sewer systems...

  8. Numerical Methods for Stochastic Computations A Spectral Method Approach

    CERN Document Server

    Xiu, Dongbin

    2010-01-01

    The first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC meth

  9. A Stochastic Reliability Model for Application in a Multidisciplinary Optimization of a Low Pressure Turbine Blade Made of Titanium Aluminide

    Directory of Open Access Journals (Sweden)

    Christian Dresbach

    Full Text Available Abstract Currently, there are a lot of research activities dealing with gamma titanium aluminide (γ-TiAl alloys as new materials for low pressure turbine (LPT blades. Even though the scatter in mechanical properties of such intermetallic alloys is more distinctive as in conventional metallic alloys, stochastic investigations on γ -TiAl alloys are very rare. For this reason, we analyzed the scatter in static and dynamic mechanical properties of the cast alloy Ti-48Al-2Cr-2Nb. It was found that this alloy shows a size effect in strength which is less pronounced than the size effect of brittle materials. A weakest-link approach is enhanced for describing a scalable size effect under multiaxial stress states and implemented in a post processing tool for reliability analysis of real components. The presented approach is a first applicable reliability model for semi-brittle materials. The developed reliability tool was integrated into a multidisciplinary optimization of the geometry of a LPT blade. Some processes of the optimization were distributed in a wide area network, so that specialized tools for each discipline could be employed. The optimization results show that it is possible to increase the aerodynamic efficiency and the structural mechanics reliability at the same time, while ensuring the blade can be manufactured in an investment casting process.

  10. Inexact stochastic risk-aversion optimal day-ahead dispatch model for electricity system management with wind power under uncertainty

    International Nuclear Information System (INIS)

    Ji, Ling; Huang, Guo-He; Huang, Lu-Cheng; Xie, Yu-Lei; Niu, Dong-Xiao

    2016-01-01

    High penetration of wind power generation and deregulated electricity market brings a great challenge to the electricity system operators. It is crucial to make optimal strategy among various generation units and spinning reserve for supporting the system safety operation. By integrating interval two-stage programming and stochastic robust programming, this paper proposes a novel robust model for day-ahead dispatch and risk-aversion management under uncertainties. In the proposed model, the uncertainties are expressed as interval values with different scenario probability. The proposed method requires low computation, and still retains the complete information. A case study is to validate the effectiveness of this approach. Facing the uncertainties of future demand and electricity price, the system operators need to make optimal dispatch strategy for thermal power units and wind turbine, and arrange proper spinning reserve and flexible demand response program to mitigate wind power forecasting error. The optimal strategies provide the system operators with better trade-off between the maximum benefits and the minimum system risk. In additional, two different market rules are compared. The results show that extra financial penalty for the wind power dispatch deviation is another efficient way to enhance the risk consciousness of decision makers and lead to more conservative strategy. - Highlights: • An inexact two-stage stochastic robust programming model for electricity system with wind power penetration. • Uncertainties expressed as discrete intervals and probability distributions. • Demand response program was introduced to adjust the deviation in real-time market. • Financial penalty for imbalance risk from wind power generation was evaluated.

  11. Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting

    NARCIS (Netherlands)

    Hadzi-Vaskov, M.; Kool, C.J.M.

    2007-01-01

    This paper presents a robustness check of the stochastic discount factor approach to international (bilateral) risk-sharing given in Brandt, Cochrane, and Santa-Clara (2006). We demonstrate two main inherent limitations of the bilateral SDF approach to international risk-sharing. First, the discount

  12. A two-stage stochastic programming approach for operating multi-energy systems

    DEFF Research Database (Denmark)

    Zeng, Qing; Fang, Jiakun; Chen, Zhe

    2017-01-01

    This paper provides a two-stage stochastic programming approach for joint operating multi-energy systems under uncertainty. Simulation is carried out in a test system to demonstrate the feasibility and efficiency of the proposed approach. The test energy system includes a gas subsystem with a gas...

  13. Adaptively Constrained Stochastic Model Predictive Control for the Optimal Dispatch of Microgrid

    Directory of Open Access Journals (Sweden)

    Xiaogang Guo

    2018-01-01

    Full Text Available In this paper, an adaptively constrained stochastic model predictive control (MPC is proposed to achieve less-conservative coordination between energy storage units and uncertain renewable energy sources (RESs in a microgrid (MG. Besides the economic objective of MG operation, the limits of state-of-charge (SOC and discharging/charging power of the energy storage unit are formulated as chance constraints when accommodating uncertainties of RESs, considering mild violations of these constraints are allowed during long-term operation, and a closed-loop online update strategy is performed to adaptively tighten or relax constraints according to the actual deviation probability of violation level from the desired one as well as the current change rate of deviation probability. Numerical studies show that the proposed adaptively constrained stochastic MPC for MG optimal operation is much less conservative compared with the scenario optimization based robust MPC, and also presents a better convergence performance to the desired constraint violation level than other online update strategies.

  14. Risk averse optimal operation of a virtual power plant using two stage stochastic programming

    International Nuclear Information System (INIS)

    Tajeddini, Mohammad Amin; Rahimi-Kian, Ashkan; Soroudi, Alireza

    2014-01-01

    VPP (Virtual Power Plant) is defined as a cluster of energy conversion/storage units which are centrally operated in order to improve the technical and economic performance. This paper addresses the optimal operation of a VPP considering the risk factors affecting its daily operation profits. The optimal operation is modelled in both day ahead and balancing markets as a two-stage stochastic mixed integer linear programming in order to maximize a GenCo (generation companies) expected profit. Furthermore, the CVaR (Conditional Value at Risk) is used as a risk measure technique in order to control the risk of low profit scenarios. The uncertain parameters, including the PV power output, wind power output and day-ahead market prices are modelled through scenarios. The proposed model is successfully applied to a real case study to show its applicability and the results are presented and thoroughly discussed. - Highlights: • Virtual power plant modelling considering a set of energy generating and conversion units. • Uncertainty modelling using two stage stochastic programming technique. • Risk modelling using conditional value at risk. • Flexible operation of renewable energy resources. • Electricity price uncertainty in day ahead energy markets

  15. Adaptive Near-Optimal Multiuser Detection Using a Stochastic and Hysteretic Hopfield Net Receiver

    Directory of Open Access Journals (Sweden)

    Gábor Jeney

    2003-01-01

    Full Text Available This paper proposes a novel adaptive MUD algorithm for a wide variety (practically any kind of interference limited systems, for example, code division multiple access (CDMA. The algorithm is based on recently developed neural network techniques and can perform near optimal detection in the case of unknown channel characteristics. The proposed algorithm consists of two main blocks; one estimates the symbols sent by the transmitters, the other identifies each channel of the corresponding communication links. The estimation of symbols is carried out either by a stochastic Hopfield net (SHN or by a hysteretic neural network (HyNN or both. The channel identification is based on either the self-organizing feature map (SOM or the learning vector quantization (LVQ. The combination of these two blocks yields a powerful real-time detector with near optimal performance. The performance is analyzed by extensive simulations.

  16. A measure theoretical approach to quantum stochastic processes

    Energy Technology Data Exchange (ETDEWEB)

    Waldenfels, Wilhelm von

    2014-04-01

    Authored by a leading researcher in the field. Self-contained presentation of the subject matter. Examines a number of worked examples in detail. This monograph takes as starting point that abstract quantum stochastic processes can be understood as a quantum field theory in one space and in one time coordinate. As a result it is appropriate to represent operators as power series of creation and annihilation operators in normal-ordered form, which can be achieved using classical measure theory. Considering in detail four basic examples (e.g. a two-level atom coupled to a heat bath of oscillators), in each case the Hamiltonian of the associated one-parameter strongly continuous group is determined and the spectral decomposition is explicitly calculated in the form of generalized eigen-vectors. Advanced topics include the theory of the Hudson-Parthasarathy equation and the amplified oscillator problem. To that end, a chapter on white noise calculus has also been included.

  17. Modeling collective emotions: a stochastic approach based on Brownian agents

    International Nuclear Information System (INIS)

    Schweitzer, F.

    2010-01-01

    We develop a agent-based framework to model the emergence of collective emotions, which is applied to online communities. Agents individual emotions are described by their valence and arousal. Using the concept of Brownian agents, these variables change according to a stochastic dynamics, which also considers the feedback from online communication. Agents generate emotional information, which is stored and distributed in a field modeling the online medium. This field affects the emotional states of agents in a non-linear manner. We derive conditions for the emergence of collective emotions, observable in a bimodal valence distribution. Dependent on a saturated or a super linear feedback between the information field and the agent's arousal, we further identify scenarios where collective emotions only appear once or in a repeated manner. The analytical results are illustrated by agent-based computer simulations. Our framework provides testable hypotheses about the emergence of collective emotions, which can be verified by data from online communities. (author)

  18. Hospital efficiency and transaction costs: a stochastic frontier approach.

    Science.gov (United States)

    Ludwig, Martijn; Groot, Wim; Van Merode, Frits

    2009-07-01

    The make-or-buy decision of organizations is an important issue in the transaction cost theory, but is usually not analyzed from an efficiency perspective. Hospitals frequently have to decide whether to outsource or not. The main question we address is: Is the make-or-buy decision affected by the efficiency of hospitals? A one-stage stochastic cost frontier equation is estimated for Dutch hospitals. The make-or-buy decisions of ten different hospital services are used as explanatory variables to explain efficiency of hospitals. It is found that for most services the make-or-buy decision is not related to efficiency. Kitchen services are an important exception to this. Large hospitals tend to outsource less, which is supported by efficiency reasons. For most hospital services, outsourcing does not significantly affect the efficiency of hospitals. The focus on the make-or-buy decision may therefore be less important than often assumed.

  19. A measure theoretical approach to quantum stochastic processes

    CERN Document Server

    Von Waldenfels, Wilhelm

    2014-01-01

    This monograph takes as starting point that abstract quantum stochastic processes can be understood as a quantum field theory in one space and in one time coordinate. As a result it is appropriate to represent operators as power series of creation and annihilation operators in normal-ordered form, which can be achieved using classical measure theory. Considering in detail four basic examples (e.g. a two-level atom coupled to a heat bath of oscillators), in each case the Hamiltonian of the associated one-parameter strongly continuous group is determined and the spectral decomposition is explicitly calculated in the form of generalized eigen-vectors. Advanced topics include the theory of the Hudson-Parthasarathy equation and the amplified oscillator problem. To that end, a chapter on white noise calculus has also been included.

  20. Optimal Strategy for Integrated Dynamic Inventory Control and Supplier Selection in Unknown Environment via Stochastic Dynamic Programming

    International Nuclear Information System (INIS)

    Sutrisno; Widowati; Solikhin

    2016-01-01

    In this paper, we propose a mathematical model in stochastic dynamic optimization form to determine the optimal strategy for an integrated single product inventory control problem and supplier selection problem where the demand and purchasing cost parameters are random. For each time period, by using the proposed model, we decide the optimal supplier and calculate the optimal product volume purchased from the optimal supplier so that the inventory level will be located at some point as close as possible to the reference point with minimal cost. We use stochastic dynamic programming to solve this problem and give several numerical experiments to evaluate the model. From the results, for each time period, the proposed model was generated the optimal supplier and the inventory level was tracked the reference point well. (paper)

  1. Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach

    International Nuclear Information System (INIS)

    Ferrari, Giorgio; Riedel, Frank; Steg, Jan-Henrik

    2017-01-01

    In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private consumption and irreversible contributions to increase the level of some public good. We investigate the corresponding social planner problem and the case of strategic interaction between the agents, i.e. the public good contribution game. We show existence and uniqueness of the social planner’s optimal policy, we characterize it by necessary and sufficient stochastic Kuhn–Tucker conditions and we provide its expression in terms of the unique optional solution of a stochastic backward equation. Similar stochastic first order conditions prove to be very useful for studying any Nash equilibria of the public good contribution game. In the symmetric case they allow us to prove (qualitative) uniqueness of the Nash equilibrium, which we again construct as the unique optional solution of a stochastic backward equation. We finally also provide a detailed analysis of the so-called free rider effect.

  2. Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach

    Energy Technology Data Exchange (ETDEWEB)

    Ferrari, Giorgio, E-mail: giorgio.ferrari@uni-bielefeld.de; Riedel, Frank, E-mail: frank.riedel@uni-bielefeld.de; Steg, Jan-Henrik, E-mail: jsteg@uni-bielefeld.de [Bielefeld University, Center for Mathematical Economics (Germany)

    2017-06-15

    In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private consumption and irreversible contributions to increase the level of some public good. We investigate the corresponding social planner problem and the case of strategic interaction between the agents, i.e. the public good contribution game. We show existence and uniqueness of the social planner’s optimal policy, we characterize it by necessary and sufficient stochastic Kuhn–Tucker conditions and we provide its expression in terms of the unique optional solution of a stochastic backward equation. Similar stochastic first order conditions prove to be very useful for studying any Nash equilibria of the public good contribution game. In the symmetric case they allow us to prove (qualitative) uniqueness of the Nash equilibrium, which we again construct as the unique optional solution of a stochastic backward equation. We finally also provide a detailed analysis of the so-called free rider effect.

  3. Optimizing conjunctive use of surface water and groundwater resources with stochastic dynamic programming

    DEFF Research Database (Denmark)

    Davidsen, Claus; Liu, Suxia; Mo, Xinguo

    2014-01-01

    . A stochastic dynamic programming (SDP) approach is used to minimize the basin-wide total costs arising from water allocations and water curtailments. Dynamic allocation problems with inclusion of groundwater resources proved to be more complex to solve with SDP than pure surface water allocation problems due...... to head-dependent pumping costs. These dynamic pumping costs strongly affect the total costs and can lead to non-convexity of the future cost function. The water user groups (agriculture, industry, domestic) are characterized by inelastic demands and fixed water allocation and water supply curtailment...

  4. The two-regime method for optimizing stochastic reaction-diffusion simulations

    KAUST Repository

    Flegg, M. B.

    2011-10-19

    Spatial organization and noise play an important role in molecular systems biology. In recent years, a number of software packages have been developed for stochastic spatio-temporal simulation, ranging from detailed molecular-based approaches to less detailed compartment-based simulations. Compartment-based approaches yield quick and accurate mesoscopic results, but lack the level of detail that is characteristic of the computationally intensive molecular-based models. Often microscopic detail is only required in a small region (e.g. close to the cell membrane). Currently, the best way to achieve microscopic detail is to use a resource-intensive simulation over the whole domain. We develop the two-regime method (TRM) in which a molecular-based algorithm is used where desired and a compartment-based approach is used elsewhere. We present easy-to-implement coupling conditions which ensure that the TRM results have the same accuracy as a detailed molecular-based model in the whole simulation domain. Therefore, the TRM combines strengths of previously developed stochastic reaction-diffusion software to efficiently explore the behaviour of biological models. Illustrative examples and the mathematical justification of the TRM are also presented.

  5. Optimization of environmental management strategies through a dynamic stochastic possibilistic multiobjective program

    Energy Technology Data Exchange (ETDEWEB)

    Zhang, Xiaodong, E-mail: xiaodong.zhang@beg.utexas.edu [Bureau of Economic Geology, Jackson School of Geosciences, The University of Texas at Austin, Austin, TX 78713 (United States); Huang, Gordon [Institute of Energy, Environment and Sustainable Communities, University of Regina, Regina, Saskatchewan S4S 0A2 (Canada)

    2013-02-15

    Highlights: ► A dynamic stochastic possibilistic multiobjective programming model is developed. ► Greenhouse gas emission control is considered. ► Three planning scenarios are analyzed and compared. ► Optimal decision schemes under three scenarios and different p{sub i} levels are obtained. ► Tradeoffs between economics and environment are reflected. -- Abstract: Greenhouse gas (GHG) emissions from municipal solid waste (MSW) management facilities have become a serious environmental issue. In MSW management, not only economic objectives but also environmental objectives should be considered simultaneously. In this study, a dynamic stochastic possibilistic multiobjective programming (DSPMP) model is developed for supporting MSW management and associated GHG emission control. The DSPMP model improves upon the existing waste management optimization methods through incorporation of fuzzy possibilistic programming and chance-constrained programming into a general mixed-integer multiobjective linear programming (MOP) framework where various uncertainties expressed as fuzzy possibility distributions and probability distributions can be effectively reflected. Two conflicting objectives are integrally considered, including minimization of total system cost and minimization of total GHG emissions from waste management facilities. Three planning scenarios are analyzed and compared, representing different preferences of the decision makers for economic development and environmental-impact (i.e. GHG-emission) issues in integrated MSW management. Optimal decision schemes under three scenarios and different p{sub i} levels (representing the probability that the constraints would be violated) are generated for planning waste flow allocation and facility capacity expansions as well as GHG emission control. The results indicate that economic and environmental tradeoffs can be effectively reflected through the proposed DSPMP model. The generated decision variables can help

  6. Understanding Innovation Engines: Automated Creativity and Improved Stochastic Optimization via Deep Learning.

    Science.gov (United States)

    Nguyen, A; Yosinski, J; Clune, J

    2016-01-01

    The Achilles Heel of stochastic optimization algorithms is getting trapped on local optima. Novelty Search mitigates this problem by encouraging exploration in all interesting directions by replacing the performance objective with a reward for novel behaviors. This reward for novel behaviors has traditionally required a human-crafted, behavioral distance function. While Novelty Search is a major conceptual breakthrough and outperforms traditional stochastic optimization on certain problems, it is not clear how to apply it to challenging, high-dimensional problems where specifying a useful behavioral distance function is difficult. For example, in the space of images, how do you encourage novelty to produce hawks and heroes instead of endless pixel static? Here we propose a new algorithm, the Innovation Engine, that builds on Novelty Search by replacing the human-crafted behavioral distance with a Deep Neural Network (DNN) that can recognize interesting differences between phenotypes. The key insight is that DNNs can recognize similarities and differences between phenotypes at an abstract level, wherein novelty means interesting novelty. For example, a DNN-based novelty search in the image space does not explore in the low-level pixel space, but instead creates a pressure to create new types of images (e.g., churches, mosques, obelisks, etc.). Here, we describe the long-term vision for the Innovation Engine algorithm, which involves many technical challenges that remain to be solved. We then implement a simplified version of the algorithm that enables us to explore some of the algorithm's key motivations. Our initial results, in the domain of images, suggest that Innovation Engines could ultimately automate the production of endless streams of interesting solutions in any domain: for example, producing intelligent software, robot controllers, optimized physical components, and art.

  7. A new approach to stochastic transport via the functional Volterra expansion

    International Nuclear Information System (INIS)

    Ziya Akcasu, A.; Corngold, N.

    2005-01-01

    In this paper we present a new algorithm (FDA) for the calculation of the mean and the variance of the flux in stochastic transport when the transport equation contains a spatially random parameter θ(r), such as the density of the medium. The approach is based on the renormalized functional Volterra expansion of the flux around its mean. The attractive feature of the approach is that it explicitly displays the functional dependence of the flux on the products of θ(r i ), and hence enables one to take ensemble averages directly to calculate the moments of the flux in terms of the correlation functions of the underlying random process. The renormalized deterministic transport equation for the mean flux has been obtained to the second order in θ(r), and a functional relationship between the variance and the mean flux has been derived to calculate the variance to this order. The feasibility and accuracy of FDA has been demonstrated in the case of stochastic diffusion, using the diffusion equation with a spatially random diffusion coefficient. The connection of FDA with the well-established approximation schemes in the field of stochastic linear differential equations, such as the Bourret approximation, developed by Van Kampen using cumulant expansion, and by Terwiel using projection operator formalism, which has recently been extended to stochastic transport by Corngold. We hope that FDA's potential will be explored numerically in more realistic applications of the stochastic transport. (authors)

  8. A Stochastic Inversion Method for Potential Field Data: Ant Colony Optimization

    Science.gov (United States)

    Liu, Shuang; Hu, Xiangyun; Liu, Tianyou

    2014-07-01

    Simulating natural ants' foraging behavior, the ant colony optimization (ACO) algorithm performs excellently in combinational optimization problems, for example the traveling salesman problem and the quadratic assignment problem. However, the ACO is seldom used to inverted for gravitational and magnetic data. On the basis of the continuous and multi-dimensional objective function for potential field data optimization inversion, we present the node partition strategy ACO (NP-ACO) algorithm for inversion of model variables of fixed shape and recovery of physical property distributions of complicated shape models. We divide the continuous variables into discrete nodes and ants directionally tour the nodes by use of transition probabilities. We update the pheromone trails by use of Gaussian mapping between the objective function value and the quantity of pheromone. It can analyze the search results in real time and promote the rate of convergence and precision of inversion. Traditional mapping, including the ant-cycle system, weaken the differences between ant individuals and lead to premature convergence. We tested our method by use of synthetic data and real data from scenarios involving gravity and magnetic anomalies. The inverted model variables and recovered physical property distributions were in good agreement with the true values. The ACO algorithm for binary representation imaging and full imaging can recover sharper physical property distributions than traditional linear inversion methods. The ACO has good optimization capability and some excellent characteristics, for example robustness, parallel implementation, and portability, compared with other stochastic metaheuristics.

  9. Volatile decision dynamics: experiments, stochastic description, intermittency control and traffic optimization

    Science.gov (United States)

    Helbing, Dirk; Schönhof, Martin; Kern, Daniel

    2002-06-01

    The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc, they normally make decisions based on aggregate rather than complete information, such as TV news or stock market indices. In related experiments, we have observed a volatile decision dynamics and far-from-optimal payoff distributions. We have also identified methods of information presentation that can considerably improve the overall performance of the system. In order to determine optimal strategies of decision guidance by means of user-specific recommendations, a stochastic behavioural description is developed. These strategies manage to increase the adaptibility to changing conditions and to reduce the deviation from the time-dependent user equilibrium, thereby enhancing the average and individual payoffs. Hence, our guidance strategies can increase the performance of all users by reducing overreaction and stabilizing the decision dynamics. These results are highly significant for predicting decision behaviour, for reaching optimal behavioural distributions by decision support systems and for information service providers. One of the promising fields of application is traffic optimization.

  10. A model based on stochastic dynamic programming for determining China's optimal strategic petroleum reserve policy

    International Nuclear Information System (INIS)

    Zhang Xiaobing; Fan Ying; Wei Yiming

    2009-01-01

    China's Strategic Petroleum Reserve (SPR) is currently being prepared. But how large the optimal stockpile size for China should be, what the best acquisition strategies are, how to release the reserve if a disruption occurs, and other related issues still need to be studied in detail. In this paper, we develop a stochastic dynamic programming model based on a total potential cost function of establishing SPRs to evaluate the optimal SPR policy for China. Using this model, empirical results are presented for the optimal size of China's SPR and the best acquisition and drawdown strategies for a few specific cases. The results show that with comprehensive consideration, the optimal SPR size for China is around 320 million barrels. This size is equivalent to about 90 days of net oil import amount in 2006 and should be reached in the year 2017, three years earlier than the national goal, which implies that the need for China to fill the SPR is probably more pressing; the best stockpile release action in a disruption is related to the disruption levels and expected continuation probabilities. The information provided by the results will be useful for decision makers.

  11. Stochastic Optimization in The Power Management of Bottled Water Production Planning

    Science.gov (United States)

    Antoro, Budi; Nababan, Esther; Mawengkang, Herman

    2018-01-01

    This paper review a model developed to minimize production costs on bottled water production planning through stochastic optimization. As we know, that planning a management means to achieve the goal that have been applied, since each management level in the organization need a planning activities. The built models is a two-stage stochastic models that aims to minimize the cost on production of bottled water by observing that during the production process, neither interfernce nor vice versa occurs. The models were develop to minimaze production cost, assuming the availability of packing raw materials used considered to meet for each kind of bottles. The minimum cost for each kind production of bottled water are expressed in the expectation of each production with a scenario probability. The probability of uncertainly is a representation of the number of productions and the timing of power supply interruption. This is to ensure that the number of interruption that occur does not exceed the limit of the contract agreement that has been made by the company with power suppliers.

  12. Stochastic algorithm for channel optimized vector quantization: application to robust narrow-band speech coding

    International Nuclear Information System (INIS)

    Bouzid, M.; Benkherouf, H.; Benzadi, K.

    2011-01-01

    In this paper, we propose a stochastic joint source-channel scheme developed for efficient and robust encoding of spectral speech LSF parameters. The encoding system, named LSF-SSCOVQ-RC, is an LSF encoding scheme based on a reduced complexity stochastic split vector quantizer optimized for noisy channel. For transmissions over noisy channel, we will show first that our LSF-SSCOVQ-RC encoder outperforms the conventional LSF encoder designed by the split vector quantizer. After that, we applied the LSF-SSCOVQ-RC encoder (with weighted distance) for the robust encoding of LSF parameters of the 2.4 Kbits/s MELP speech coder operating over a noisy/noiseless channel. The simulation results will show that the proposed LSF encoder, incorporated in the MELP, ensure better performances than the original MELP MSVQ of 25 bits/frame; especially when the transmission channel is highly disturbed. Indeed, we will show that the LSF-SSCOVQ-RC yields significant improvement to the LSFs encoding performances by ensuring reliable transmissions over noisy channel.

  13. The role of stochasticity in an information-optimal neural population code

    International Nuclear Information System (INIS)

    Stocks, N G; Nikitin, A P; McDonnell, M D; Morse, R P

    2009-01-01

    In this paper we consider the optimisation of Shannon mutual information (MI) in the context of two model neural systems. The first is a stochastic pooling network (population) of McCulloch-Pitts (MP) type neurons (logical threshold units) subject to stochastic forcing; the second is (in a rate coding paradigm) a population of neurons that each displays Poisson statistics (the so called 'Poisson neuron'). The mutual information is optimised as a function of a parameter that characterises the 'noise level'-in the MP array this parameter is the standard deviation of the noise; in the population of Poisson neurons it is the window length used to determine the spike count. In both systems we find that the emergent neural architecture and, hence, code that maximises the MI is strongly influenced by the noise level. Low noise levels leads to a heterogeneous distribution of neural parameters (diversity), whereas, medium to high noise levels result in the clustering of neural parameters into distinct groups that can be interpreted as subpopulations. In both cases the number of subpopulations increases with a decrease in noise level. Our results suggest that subpopulations are a generic feature of an information optimal neural population.

  14. The role of stochasticity in an information-optimal neural population code

    Energy Technology Data Exchange (ETDEWEB)

    Stocks, N G; Nikitin, A P [School of Engineering, University of Warwick, Coventry CV4 7AL (United Kingdom); McDonnell, M D [Institute for Telecommunications Research, University of South Australia, SA 5095 (Australia); Morse, R P, E-mail: n.g.stocks@warwick.ac.u [School of Life and Health Sciences, Aston University, Birmingham B4 7ET (United Kingdom)

    2009-12-01

    In this paper we consider the optimisation of Shannon mutual information (MI) in the context of two model neural systems. The first is a stochastic pooling network (population) of McCulloch-Pitts (MP) type neurons (logical threshold units) subject to stochastic forcing; the second is (in a rate coding paradigm) a population of neurons that each displays Poisson statistics (the so called 'Poisson neuron'). The mutual information is optimised as a function of a parameter that characterises the 'noise level'-in the MP array this parameter is the standard deviation of the noise; in the population of Poisson neurons it is the window length used to determine the spike count. In both systems we find that the emergent neural architecture and, hence, code that maximises the MI is strongly influenced by the noise level. Low noise levels leads to a heterogeneous distribution of neural parameters (diversity), whereas, medium to high noise levels result in the clustering of neural parameters into distinct groups that can be interpreted as subpopulations. In both cases the number of subpopulations increases with a decrease in noise level. Our results suggest that subpopulations are a generic feature of an information optimal neural population.

  15. Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

    Directory of Open Access Journals (Sweden)

    Neslihan Fidan Keçeci

    2016-10-01

    Full Text Available The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG package, which has precoded modules for optimization with SSD constraints, mean-variance and minimum variance portfolio optimization. We have done in-sample and out-of-sample simulations for portfolios of stocks from the Dow Jones, S&P 100 and DAX indices. The considered portfolios’ SSD dominate the Dow Jones, S&P 100 and DAX indices. Simulation demonstrated a superior performance of portfolios with SD constraints, versus mean-variance and minimum variance portfolios.

  16. Handover management in dense cellular networks: A stochastic geometry approach

    KAUST Repository

    Arshad, Rabe; Elsawy, Hesham; Sorour, Sameh; Al-Naffouri, Tareq Y.; Alouini, Mohamed-Slim

    2016-01-01

    Cellular operators are continuously densifying their networks to cope with the ever-increasing capacity demand. Furthermore, an extreme densification phase for cellular networks is foreseen to fulfill the ambitious fifth generation (5G) performance requirements. Network densification improves spectrum utilization and network capacity by shrinking base stations' (BSs) footprints and reusing the same spectrum more frequently over the spatial domain. However, network densification also increases the handover (HO) rate, which may diminish the capacity gains for mobile users due to HO delays. In highly dense 5G cellular networks, HO delays may neutralize or even negate the gains offered by network densification. In this paper, we present an analytical paradigm, based on stochastic geometry, to quantify the effect of HO delay on the average user rate in cellular networks. To this end, we propose a flexible handover scheme to reduce HO delay in case of highly dense cellular networks. This scheme allows skipping the HO procedure with some BSs along users' trajectories. The performance evaluation and testing of this scheme for only single HO skipping shows considerable gains in many practical scenarios. © 2016 IEEE.

  17. Handover management in dense cellular networks: A stochastic geometry approach

    KAUST Repository

    Arshad, Rabe

    2016-07-26

    Cellular operators are continuously densifying their networks to cope with the ever-increasing capacity demand. Furthermore, an extreme densification phase for cellular networks is foreseen to fulfill the ambitious fifth generation (5G) performance requirements. Network densification improves spectrum utilization and network capacity by shrinking base stations\\' (BSs) footprints and reusing the same spectrum more frequently over the spatial domain. However, network densification also increases the handover (HO) rate, which may diminish the capacity gains for mobile users due to HO delays. In highly dense 5G cellular networks, HO delays may neutralize or even negate the gains offered by network densification. In this paper, we present an analytical paradigm, based on stochastic geometry, to quantify the effect of HO delay on the average user rate in cellular networks. To this end, we propose a flexible handover scheme to reduce HO delay in case of highly dense cellular networks. This scheme allows skipping the HO procedure with some BSs along users\\' trajectories. The performance evaluation and testing of this scheme for only single HO skipping shows considerable gains in many practical scenarios. © 2016 IEEE.

  18. A Stochastic Approach to Noise Modeling for Barometric Altimeters

    Directory of Open Access Journals (Sweden)

    Angelo Maria Sabatini

    2013-11-01

    Full Text Available The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes, we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.

  19. A stochastic approach to the derivation of exemption and clearance levels

    International Nuclear Information System (INIS)

    Deckert, A.

    1997-01-01

    Deciding what clearance levels are appropriate for a particular waste stream inherently involves a number of uncertainties. Some of these uncertainties can be quantified using stochastic modeling techniques, which can aid the process of decision making. In this presentation the German approach to dealing with the uncertainties involved in setting clearance levels is addressed. (author)

  20. Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes

    NARCIS (Netherlands)

    Hadzi-Vaskov, M.; Kool, C.J.M.

    2007-01-01

    This paper presents evidence of the stochastic discount factor approach to international risk-sharing applied to fixed exchange rate regimes. We calculate risk-sharing indices for two episodes of fixed or very rigid exchange rates: the Eurozone before and after the introduction of the Euro, and

  1. Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

    NARCIS (Netherlands)

    H.H. Lean (Hooi Hooi); M.J. McAleer (Michael); W.-K. Wong (Wing-Keung)

    2010-01-01

    textabstractThis paper examines the market efficiency of oil spot and futures prices by using a stochastic dominance (SD) approach. As there is no evidence of an SD relationship between oil spot and futures, we conclude that there is no arbitrage opportunity between these two markets, and that both

  2. Continuous strong Markov processes in dimension one a stochastic calculus approach

    CERN Document Server

    Assing, Sigurd

    1998-01-01

    The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.

  3. Backward Stochastic Riccati Equations and Infinite Horizon L-Q Optimal Control with Infinite Dimensional State Space and Random Coefficients

    International Nuclear Information System (INIS)

    Guatteri, Giuseppina; Tessitore, Gianmario

    2008-01-01

    We study the Riccati equation arising in a class of quadratic optimal control problems with infinite dimensional stochastic differential state equation and infinite horizon cost functional. We allow the coefficients, both in the state equation and in the cost, to be random.In such a context backward stochastic Riccati equations are backward stochastic differential equations in the whole positive real axis that involve quadratic non-linearities and take values in a non-Hilbertian space. We prove existence of a minimal non-negative solution and, under additional assumptions, its uniqueness. We show that such a solution allows to perform the synthesis of the optimal control and investigate its attractivity properties. Finally the case where the coefficients are stationary is addressed and an example concerning a controlled wave equation in random media is proposed

  4. Stochastic optimal control as non-equilibrium statistical mechanics: calculus of variations over density and current

    Science.gov (United States)

    Chernyak, Vladimir Y.; Chertkov, Michael; Bierkens, Joris; Kappen, Hilbert J.

    2014-01-01

    In stochastic optimal control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive), for a system participating in forced and controlled Langevin dynamics. We extend the SOC problem by introducing an additional cost-of-dynamics, characterized by a vector potential. We propose derivation of the generalized gauge-invariant Hamilton-Jacobi-Bellman equation as a variation over density and current, suggest hydrodynamic interpretation and discuss examples, e.g., ergodic control of a particle-within-a-circle, illustrating non-equilibrium space-time complexity.

  5. Study on Stochastic Optimal Electric Power Procurement Strategies with Uncertain Market Prices

    Science.gov (United States)

    Sakchai, Siripatanakulkhajorn; Saisho, Yuichi; Fujii, Yasumasa; Yamaji, Kenji

    The player in deregulated electricity markets can be categorized into three groups of GENCO (Generator Companies), TRNASCO (Transmission Companies), DISCO (Distribution Companies). This research focuses on the role of Distribution Companies, which purchase electricity from market at randomly fluctuating prices, and provide it to their customers at given fixed prices. Therefore Distribution companies have to take the risk stemming from price fluctuation of electricity instead of the customers. This entails the necessity to develop a certain method to make an optimal strategy for electricity procurement. In such a circumstance, this research has the purpose for proposing the mathematical method based on stochastic dynamic programming to evaluate the value of a long-term bilateral contract of electricity trade, and also a project of combination of the bilateral contract and power generation with their own generators for procuring electric power in deregulated market.

  6. On the stochastic approach to marine population dynamics

    Directory of Open Access Journals (Sweden)

    Eduardo Ferrandis

    2007-03-01

    Full Text Available The purpose of this article is to deepen and structure the statistical basis of marine population dynamics. The starting point is the correspondence between the concepts of mortality, survival and lifetime distribution. This is the kernel of the possibilities that survival analysis techniques offer to marine population dynamics. A rigorous definition of survival and mortality based on their properties and their probabilistic versions is briefly presented. Some well established models for lifetime distribution, which generalise the usual simple exponential distribution, might be used with their corresponding survivals and mortalities. A critical review of some published models is also made, including original models proposed in the way opened by Caddy (1991 and Sparholt (1990, which allow for a continuously decreasing natural mortality. Considering these elements, the pure death process dealt with in the literature is used as a theoretical basis for the evolution of a marine cohort. The elaboration of this process is based on Chiang´s study of the probability distribution of the life table (Chiang, 1960 and provides specific structured models for stock evolution as a Markovian process. These models may introduce new ideas in the line of thinking developed by Gudmundsson (1987 and Sampson (1990 in order to model the evolution of a marine cohort by stochastic processes. The suitable approximation of these processes by means of Gaussian processes may allow theoretical and computational multivariate Gaussian analysis to be applied to the probabilistic treatment of fisheries issues. As a consequence, the necessary catch equation appears as a stochastic integral with respect to the mentioned Markovian process of the stock. The solution of this equation is available when the mortalities are proportional, hence the use of the proportional hazards model (Cox, 1959. The assumption of these proportional mortalities leads naturally to the construction of a

  7. Towards Stochastic Optimization-Based Electric Vehicle Penetration in a Novel Archipelago Microgrid

    Directory of Open Access Journals (Sweden)

    Qingyu Yang

    2016-06-01

    Full Text Available Due to the advantage of avoiding upstream disturbance and voltage fluctuation from a power transmission system, Islanded Micro-Grids (IMG have attracted much attention. In this paper, we first propose a novel self-sufficient Cyber-Physical System (CPS supported by Internet of Things (IoT techniques, namely “archipelago micro-grid (MG”, which integrates the power grid and sensor networks to make the grid operation effective and is comprised of multiple MGs while disconnected with the utility grid. The Electric Vehicles (EVs are used to replace a portion of Conventional Vehicles (CVs to reduce CO 2 emission and operation cost. Nonetheless, the intermittent nature and uncertainty of Renewable Energy Sources (RESs remain a challenging issue in managing energy resources in the system. To address these issues, we formalize the optimal EV penetration problem as a two-stage Stochastic Optimal Penetration (SOP model, which aims to minimize the emission and operation cost in the system. Uncertainties coming from RESs (e.g., wind, solar, and load demand are considered in the stochastic model and random parameters to represent those uncertainties are captured by the Monte Carlo-based method. To enable the reasonable deployment of EVs in each MGs, we develop two scheduling schemes, namely Unlimited Coordinated Scheme (UCS and Limited Coordinated Scheme (LCS, respectively. An extensive simulation study based on a modified 9 bus system with three MGs has been carried out to show the effectiveness of our proposed schemes. The evaluation data indicates that our proposed strategy can reduce both the environmental pollution created by CO 2 emissions and operation costs in UCS and LCS.

  8. Towards Stochastic Optimization-Based Electric Vehicle Penetration in a Novel Archipelago Microgrid.

    Science.gov (United States)

    Yang, Qingyu; An, Dou; Yu, Wei; Tan, Zhengan; Yang, Xinyu

    2016-06-17

    Due to the advantage of avoiding upstream disturbance and voltage fluctuation from a power transmission system, Islanded Micro-Grids (IMG) have attracted much attention. In this paper, we first propose a novel self-sufficient Cyber-Physical System (CPS) supported by Internet of Things (IoT) techniques, namely "archipelago micro-grid (MG)", which integrates the power grid and sensor networks to make the grid operation effective and is comprised of multiple MGs while disconnected with the utility grid. The Electric Vehicles (EVs) are used to replace a portion of Conventional Vehicles (CVs) to reduce CO 2 emission and operation cost. Nonetheless, the intermittent nature and uncertainty of Renewable Energy Sources (RESs) remain a challenging issue in managing energy resources in the system. To address these issues, we formalize the optimal EV penetration problem as a two-stage Stochastic Optimal Penetration (SOP) model, which aims to minimize the emission and operation cost in the system. Uncertainties coming from RESs (e.g., wind, solar, and load demand) are considered in the stochastic model and random parameters to represent those uncertainties are captured by the Monte Carlo-based method. To enable the reasonable deployment of EVs in each MGs, we develop two scheduling schemes, namely Unlimited Coordinated Scheme (UCS) and Limited Coordinated Scheme (LCS), respectively. An extensive simulation study based on a modified 9 bus system with three MGs has been carried out to show the effectiveness of our proposed schemes. The evaluation data indicates that our proposed strategy can reduce both the environmental pollution created by CO 2 emissions and operation costs in UCS and LCS.

  9. Dynamical System Approaches to Combinatorial Optimization

    DEFF Research Database (Denmark)

    Starke, Jens

    2013-01-01

    of large times as an asymptotically stable point of the dynamics. The obtained solutions are often not globally optimal but good approximations of it. Dynamical system and neural network approaches are appropriate methods for distributed and parallel processing. Because of the parallelization......Several dynamical system approaches to combinatorial optimization problems are described and compared. These include dynamical systems derived from penalty methods; the approach of Hopfield and Tank; self-organizing maps, that is, Kohonen networks; coupled selection equations; and hybrid methods...... thereof can be used as models for many industrial problems like manufacturing planning and optimization of flexible manufacturing systems. This is illustrated for an example in distributed robotic systems....

  10. An efficient scenario-based stochastic programming framework for multi-objective optimal micro-grid operation

    International Nuclear Information System (INIS)

    Niknam, Taher; Azizipanah-Abarghooee, Rasoul; Narimani, Mohammad Rasoul

    2012-01-01

    Highlights: ► Proposes a stochastic model for optimal energy management. ► Consider uncertainties related to the forecasted values for load demand. ► Consider uncertainties of forecasted values of output power of wind and photovoltaic units. ► Consider uncertainties of forecasted values of market price. ► Present an improved multi-objective teaching–learning-based optimization. -- Abstract: This paper proposes a stochastic model for optimal energy management with the goal of cost and emission minimization. In this model, the uncertainties related to the forecasted values for load demand, available output power of wind and photovoltaic units and market price are modeled by a scenario-based stochastic programming. In the presented method, scenarios are generated by a roulette wheel mechanism based on probability distribution functions of the input random variables. Through this method, the inherent stochastic nature of the proposed problem is released and the problem is decomposed into a deterministic problem. An improved multi-objective teaching–learning-based optimization is implemented to yield the best expected Pareto optimal front. In the proposed stochastic optimization method, a novel self adaptive probabilistic modification strategy is offered to improve the performance of the presented algorithm. Also, a set of non-dominated solutions are stored in a repository during the simulation process. Meanwhile, the size of the repository is controlled by usage of a fuzzy-based clustering technique. The best expected compromise solution stored in the repository is selected via the niching mechanism in a way that solutions are encouraged to seek the lesser explored regions. The proposed framework is applied in a typical grid-connected micro grid in order to verify its efficiency and feasibility.

  11. Monthly Optimal Reservoirs Operation for Multicrop Deficit Irrigation under Fuzzy Stochastic Uncertainties

    Directory of Open Access Journals (Sweden)

    Liudong Zhang

    2014-01-01

    Full Text Available An uncertain monthly reservoirs operation and multicrop deficit irrigation model was proposed under conjunctive use of underground and surface water for water resources optimization management. The objective is to maximize the total crop yield of the entire irrigation districts. Meanwhile, ecological water remained for the downstream demand. Because of the shortage of water resources, the monthly crop water production function was adopted for multiperiod deficit irrigation management. The model reflects the characteristics of water resources repetitive transformation in typical inland rivers irrigation system. The model was used as an example for water resources optimization management in Shiyang River Basin, China. Uncertainties in reservoir management shown as fuzzy probability were treated through chance-constraint parameter for decision makers. Necessity of dominance (ND was used to analyse the advantages of the method. The optimization results including reservoirs real-time operation policy, deficit irrigation management, and the available water resource allocation could be used to provide decision support for local irrigation management. Besides, the strategies obtained could help with the risk analysis of reservoirs operation stochastically.

  12. A polynomial-chaos-expansion-based building block approach for stochastic analysis of photonic circuits

    Science.gov (United States)

    Waqas, Abi; Melati, Daniele; Manfredi, Paolo; Grassi, Flavia; Melloni, Andrea

    2018-02-01

    The Building Block (BB) approach has recently emerged in photonic as a suitable strategy for the analysis and design of complex circuits. Each BB can be foundry related and contains a mathematical macro-model of its functionality. As well known, statistical variations in fabrication processes can have a strong effect on their functionality and ultimately affect the yield. In order to predict the statistical behavior of the circuit, proper analysis of the uncertainties effects is crucial. This paper presents a method to build a novel class of Stochastic Process Design Kits for the analysis of photonic circuits. The proposed design kits directly store the information on the stochastic behavior of each building block in the form of a generalized-polynomial-chaos-based augmented macro-model obtained by properly exploiting stochastic collocation and Galerkin methods. Using this approach, we demonstrate that the augmented macro-models of the BBs can be calculated once and stored in a BB (foundry dependent) library and then used for the analysis of any desired circuit. The main advantage of this approach, shown here for the first time in photonics, is that the stochastic moments of an arbitrary photonic circuit can be evaluated by a single simulation only, without the need for repeated simulations. The accuracy and the significant speed-up with respect to the classical Monte Carlo analysis are verified by means of classical photonic circuit example with multiple uncertain variables.

  13. Bionic optimization in structural design stochastically based methods to improve the performance of parts and assemblies

    CERN Document Server

    Gekeler, Simon

    2016-01-01

    The book provides suggestions on how to start using bionic optimization methods, including pseudo-code examples of each of the important approaches and outlines of how to improve them. The most efficient methods for accelerating the studies are discussed. These include the selection of size and generations of a study’s parameters, modification of these driving parameters, switching to gradient methods when approaching local maxima, and the use of parallel working hardware. Bionic Optimization means finding the best solution to a problem using methods found in nature. As Evolutionary Strategies and Particle Swarm Optimization seem to be the most important methods for structural optimization, we primarily focus on them. Other methods such as neural nets or ant colonies are more suited to control or process studies, so their basic ideas are outlined in order to motivate readers to start using them. A set of sample applications shows how Bionic Optimization works in practice. From academic studies on simple fra...

  14. Resolution of the stochastic strategy spatial prisoner's dilemma by means of particle swarm optimization.

    Directory of Open Access Journals (Sweden)

    Jianlei Zhang

    Full Text Available We study the evolution of cooperation among selfish individuals in the stochastic strategy spatial prisoner's dilemma game. We equip players with the particle swarm optimization technique, and find that it may lead to highly cooperative states even if the temptations to defect are strong. The concept of particle swarm optimization was originally introduced within a simple model of social dynamics that can describe the formation of a swarm, i.e., analogous to a swarm of bees searching for a food source. Essentially, particle swarm optimization foresees changes in the velocity profile of each player, such that the best locations are targeted and eventually occupied. In our case, each player keeps track of the highest payoff attained within a local topological neighborhood and its individual highest payoff. Thus, players make use of their own memory that keeps score of the most profitable strategy in previous actions, as well as use of the knowledge gained by the swarm as a whole, to find the best available strategy for themselves and the society. Following extensive simulations of this setup, we find a significant increase in the level of cooperation for a wide range of parameters, and also a full resolution of the prisoner's dilemma. We also demonstrate extreme efficiency of the optimization algorithm when dealing with environments that strongly favor the proliferation of defection, which in turn suggests that swarming could be an important phenomenon by means of which cooperation can be sustained even under highly unfavorable conditions. We thus present an alternative way of understanding the evolution of cooperative behavior and its ubiquitous presence in nature, and we hope that this study will be inspirational for future efforts aimed in this direction.

  15. Stochastic optimal foraging: tuning intensive and extensive dynamics in random searches.

    Directory of Open Access Journals (Sweden)

    Frederic Bartumeus

    Full Text Available Recent theoretical developments had laid down the proper mathematical means to understand how the structural complexity of search patterns may improve foraging efficiency. Under information-deprived scenarios and specific landscape configurations, Lévy walks and flights are known to lead to high search efficiencies. Based on a one-dimensional comparative analysis we show a mechanism by which, at random, a searcher can optimize the encounter with close and distant targets. The mechanism consists of combining an optimal diffusivity (optimally enhanced diffusion with a minimal diffusion constant. In such a way the search dynamics adequately balances the tension between finding close and distant targets, while, at the same time, shifts the optimal balance towards relatively larger close-to-distant target encounter ratios. We find that introducing a multiscale set of reorientations ensures both a thorough local space exploration without oversampling and a fast spreading dynamics at the large scale. Lévy reorientation patterns account for these properties but other reorientation strategies providing similar statistical signatures can mimic or achieve comparable efficiencies. Hence, the present work unveils general mechanisms underlying efficient random search, beyond the Lévy model. Our results suggest that animals could tune key statistical movement properties (e.g. enhanced diffusivity, minimal diffusion constant to cope with the very general problem of balancing out intensive and extensive random searching. We believe that theoretical developments to mechanistically understand stochastic search strategies, such as the one here proposed, are crucial to develop an empirically verifiable and comprehensive animal foraging theory.

  16. Optimization of environmental management strategies through a dynamic stochastic possibilistic multiobjective program.

    Science.gov (United States)

    Zhang, Xiaodong; Huang, Gordon

    2013-02-15

    Greenhouse gas (GHG) emissions from municipal solid waste (MSW) management facilities have become a serious environmental issue. In MSW management, not only economic objectives but also environmental objectives should be considered simultaneously. In this study, a dynamic stochastic possibilistic multiobjective programming (DSPMP) model is developed for supporting MSW management and associated GHG emission control. The DSPMP model improves upon the existing waste management optimization methods through incorporation of fuzzy possibilistic programming and chance-constrained programming into a general mixed-integer multiobjective linear programming (MOP) framework where various uncertainties expressed as fuzzy possibility distributions and probability distributions can be effectively reflected. Two conflicting objectives are integrally considered, including minimization of total system cost and minimization of total GHG emissions from waste management facilities. Three planning scenarios are analyzed and compared, representing different preferences of the decision makers for economic development and environmental-impact (i.e. GHG-emission) issues in integrated MSW management. Optimal decision schemes under three scenarios and different p(i) levels (representing the probability that the constraints would be violated) are generated for planning waste flow allocation and facility capacity expansions as well as GHG emission control. The results indicate that economic and environmental tradeoffs can be effectively reflected through the proposed DSPMP model. The generated decision variables can help the decision makers justify and/or adjust their waste management strategies based on their implicit knowledge and preferences. Copyright © 2012 Elsevier B.V. All rights reserved.

  17. Stochastic Optimized Relevance Feedback Particle Swarm Optimization for Content Based Image Retrieval

    Directory of Open Access Journals (Sweden)

    Muhammad Imran

    2014-01-01

    Full Text Available One of the major challenges for the CBIR is to bridge the gap between low level features and high level semantics according to the need of the user. To overcome this gap, relevance feedback (RF coupled with support vector machine (SVM has been applied successfully. However, when the feedback sample is small, the performance of the SVM based RF is often poor. To improve the performance of RF, this paper has proposed a new technique, namely, PSO-SVM-RF, which combines SVM based RF with particle swarm optimization (PSO. The aims of this proposed technique are to enhance the performance of SVM based RF and also to minimize the user interaction with the system by minimizing the RF number. The PSO-SVM-RF was tested on the coral photo gallery containing 10908 images. The results obtained from the experiments showed that the proposed PSO-SVM-RF achieved 100% accuracy in 8 feedback iterations for top 10 retrievals and 80% accuracy in 6 iterations for 100 top retrievals. This implies that with PSO-SVM-RF technique high accuracy rate is achieved at a small number of iterations.

  18. Fuzzy Stochastic Optimal Guaranteed Cost Control of Bio-Economic Singular Markovian Jump Systems.

    Science.gov (United States)

    Li, Li; Zhang, Qingling; Zhu, Baoyan

    2015-11-01

    This paper establishes a bio-economic singular Markovian jump model by considering the price of the commodity as a Markov chain. The controller is designed for this system such that its biomass achieves the specified range with the least cost in a finite-time. Firstly, this system is described by Takagi-Sugeno fuzzy model. Secondly, a new design method of fuzzy state-feedback controllers is presented to ensure not only the regularity, nonimpulse, and stochastic singular finite-time boundedness of this kind of systems, but also an upper bound achieved for the cost function in the form of strict linear matrix inequalities. Finally, two examples including a practical example of eel seedling breeding are given to illustrate the merit and usability of the approach proposed in this paper.

  19. Economic policy optimization based on both one stochastic model and the parametric control theory

    Science.gov (United States)

    Ashimov, Abdykappar; Borovskiy, Yuriy; Onalbekov, Mukhit

    2016-06-01

    A nonlinear dynamic stochastic general equilibrium model with financial frictions is developed to describe two interacting national economies in the environment of the rest of the world. Parameters of nonlinear model are estimated based on its log-linearization by the Bayesian approach. The nonlinear model is verified by retroprognosis, estimation of stability indicators of mappings specified by the model, and estimation the degree of coincidence for results of internal and external shocks' effects on macroeconomic indicators on the basis of the estimated nonlinear model and its log-linearization. On the base of the nonlinear model, the parametric control problems of economic growth and volatility of macroeconomic indicators of Kazakhstan are formulated and solved for two exchange rate regimes (free floating and managed floating exchange rates)

  20. Stochastic Computational Approach for Complex Nonlinear Ordinary Differential Equations

    International Nuclear Information System (INIS)

    Khan, Junaid Ali; Raja, Muhammad Asif Zahoor; Qureshi, Ijaz Mansoor

    2011-01-01

    We present an evolutionary computational approach for the solution of nonlinear ordinary differential equations (NLODEs). The mathematical modeling is performed by a feed-forward artificial neural network that defines an unsupervised error. The training of these networks is achieved by a hybrid intelligent algorithm, a combination of global search with genetic algorithm and local search by pattern search technique. The applicability of this approach ranges from single order NLODEs, to systems of coupled differential equations. We illustrate the method by solving a variety of model problems and present comparisons with solutions obtained by exact methods and classical numerical methods. The solution is provided on a continuous finite time interval unlike the other numerical techniques with comparable accuracy. With the advent of neuroprocessors and digital signal processors the method becomes particularly interesting due to the expected essential gains in the execution speed. (general)

  1. PERFORMANCE COMPARISON OF SCENARIO-GENERATION METHODS APPLIED TO A STOCHASTIC OPTIMIZATION ASSET-LIABILITY MANAGEMENT MODEL

    Directory of Open Access Journals (Sweden)

    Alan Delgado de Oliveira

    Full Text Available ABSTRACT In this paper, we provide an empirical discussion of the differences among some scenario tree-generation approaches for stochastic programming. We consider the classical Monte Carlo sampling and Moment matching methods. Moreover, we test the Resampled average approximation, which is an adaptation of Monte Carlo sampling and Monte Carlo with naive allocation strategy as the benchmark. We test the empirical effects of each approach on the stability of the problem objective function and initial portfolio allocation, using a multistage stochastic chance-constrained asset-liability management (ALM model as the application. The Moment matching and Resampled average approximation are more stable than the other two strategies.

  2. Testing the robustness of deterministic models of optimal dynamic pricing and lot-sizing for deteriorating items under stochastic conditions

    DEFF Research Database (Denmark)

    Ghoreishi, Maryam

    2018-01-01

    Many models within the field of optimal dynamic pricing and lot-sizing models for deteriorating items assume everything is deterministic and develop a differential equation as the core of analysis. Two prominent examples are the papers by Rajan et al. (Manag Sci 38:240–262, 1992) and Abad (Manag......, we will try to expose the model by Abad (1996) and Rajan et al. (1992) to stochastic inputs; however, designing these stochastic inputs such that they as closely as possible are aligned with the assumptions of those papers. We do our investigation through a numerical test where we test the robustness...... of the numerical results reported in Rajan et al. (1992) and Abad (1996) in a simulation model. Our numerical results seem to confirm that the results stated in these papers are indeed robust when being imposed to stochastic inputs....

  3. A generic methodology for the optimisation of sewer systems using stochastic programming and self-optimizing control.

    Science.gov (United States)

    Mauricio-Iglesias, Miguel; Montero-Castro, Ignacio; Mollerup, Ane L; Sin, Gürkan

    2015-05-15

    The design of sewer system control is a complex task given the large size of the sewer networks, the transient dynamics of the water flow and the stochastic nature of rainfall. This contribution presents a generic methodology for the design of a self-optimising controller in sewer systems. Such controller is aimed at keeping the system close to the optimal performance, thanks to an optimal selection of controlled variables. The definition of an optimal performance was carried out by a two-stage optimisation (stochastic and deterministic) to take into account both the overflow during the current rain event as well as the expected overflow given the probability of a future rain event. The methodology is successfully applied to design an optimising control strategy for a subcatchment area in Copenhagen. The results are promising and expected to contribute to the advance of the operation and control problem of sewer systems. Copyright © 2015 Elsevier Ltd. All rights reserved.

  4. Modified Convolutional Neural Network Based on Dropout and the Stochastic Gradient Descent Optimizer

    Directory of Open Access Journals (Sweden)

    Jing Yang

    2018-03-01

    Full Text Available This study proposes a modified convolutional neural network (CNN algorithm that is based on dropout and the stochastic gradient descent (SGD optimizer (MCNN-DS, after analyzing the problems of CNNs in extracting the convolution features, to improve the feature recognition rate and reduce the time-cost of CNNs. The MCNN-DS has a quadratic CNN structure and adopts the rectified linear unit as the activation function to avoid the gradient problem and accelerate convergence. To address the overfitting problem, the algorithm uses an SGD optimizer, which is implemented by inserting a dropout layer into the all-connected and output layers, to minimize cross entropy. This study used the datasets MNIST, HCL2000, and EnglishHand as the benchmark data, analyzed the performance of the SGD optimizer under different learning parameters, and found that the proposed algorithm exhibited good recognition performance when the learning rate was set to [0.05, 0.07]. The performances of WCNN, MLP-CNN, SVM-ELM, and MCNN-DS were compared. Statistical results showed the following: (1 For the benchmark MNIST, the MCNN-DS exhibited a high recognition rate of 99.97%, and the time-cost of the proposed algorithm was merely 21.95% of MLP-CNN, and 10.02% of SVM-ELM; (2 Compared with SVM-ELM, the average improvement in the recognition rate of MCNN-DS was 2.35% for the benchmark HCL2000, and the time-cost of MCNN-DS was only 15.41%; (3 For the EnglishHand test set, the lowest recognition rate of the algorithm was 84.93%, the highest recognition rate was 95.29%, and the average recognition rate was 89.77%.

  5. Effects of extrinsic mortality on the evolution of aging: a stochastic modeling approach.

    Directory of Open Access Journals (Sweden)

    Maxim Nikolaievich Shokhirev

    Full Text Available The evolutionary theories of aging are useful for gaining insights into the complex mechanisms underlying senescence. Classical theories argue that high levels of extrinsic mortality should select for the evolution of shorter lifespans and earlier peak fertility. Non-classical theories, in contrast, posit that an increase in extrinsic mortality could select for the evolution of longer lifespans. Although numerous studies support the classical paradigm, recent data challenge classical predictions, finding that high extrinsic mortality can select for the evolution of longer lifespans. To further elucidate the role of extrinsic mortality in the evolution of aging, we implemented a stochastic, agent-based, computational model. We used a simulated annealing optimization approach to predict which model parameters predispose populations to evolve longer or shorter lifespans in response to increased levels of predation. We report that longer lifespans evolved in the presence of rising predation if the cost of mating is relatively high and if energy is available in excess. Conversely, we found that dramatically shorter lifespans evolved when mating costs were relatively low and food was relatively scarce. We also analyzed the effects of increased predation on various parameters related to density dependence and energy allocation. Longer and shorter lifespans were accompanied by increased and decreased investments of energy into somatic maintenance, respectively. Similarly, earlier and later maturation ages were accompanied by increased and decreased energetic investments into early fecundity, respectively. Higher predation significantly decreased the total population size, enlarged the shared resource pool, and redistributed energy reserves for mature individuals. These results both corroborate and refine classical predictions, demonstrating a population-level trade-off between longevity and fecundity and identifying conditions that produce both

  6. Technical Efficiency in the Chilean Agribusiness Sector - a Stochastic Meta-Frontier Approach

    OpenAIRE

    Larkner, Sebastian; Brenes Muñoz, Thelma; Aedo, Edinson Rivera; Brümmer, Bernhard

    2013-01-01

    The Chilean economy is strongly export-oriented, which is also true for the Chilean agribusiness industry. This paper investigates the technical efficiency of the Chilean food processing industry between 2001 and 2007. We use a dataset from the 2,471 of firms in food processing industry. The observations are from the ‘Annual National Industrial Survey’. A stochastic meta-frontier approach is used in order to analyse the drivers of technical efficiency. We include variables capturing the effec...

  7. Tuning of an optimal fuzzy PID controller with stochastic algorithms for networked control systems with random time delay.

    Science.gov (United States)

    Pan, Indranil; Das, Saptarshi; Gupta, Amitava

    2011-01-01

    An optimal PID and an optimal fuzzy PID have been tuned by minimizing the Integral of Time multiplied Absolute Error (ITAE) and squared controller output for a networked control system (NCS). The tuning is attempted for a higher order and a time delay system using two stochastic algorithms viz. the Genetic Algorithm (GA) and two variants of Particle Swarm Optimization (PSO) and the closed loop performances are compared. The paper shows that random variation in network delay can be handled efficiently with fuzzy logic based PID controllers over conventional PID controllers. Copyright © 2010 ISA. Published by Elsevier Ltd. All rights reserved.

  8. Stochastic Loewner evolution as an approach to conformal field theory

    International Nuclear Information System (INIS)

    Mueller-Lohmann, Annekathrin

    2008-01-01

    The main focus on this work lies on the relationship between two-dimensional boundary Conformal Field Theories (BCFTs) and SCHRAMM-LOEWNER Evolutions (SLEs) as motivated by their connection to the scaling limit of Statistical Physics models at criticality. The BCFT approach used for the past 25 years is based on the algebraic formulation of local objects such as fields and their correlations in these models. Introduced in 1999, SLE describes the physical properties from a probabilistic point of view, studying measures on growing curves, i.e. global objects such as cluster interfaces. After a short motivation of the topic, followed by a more detailed introduction to two-dimensional boundary Conformal Field Theory and SCHRAMM-LOEWNER Evolution, we present the results of our original work. We extend the method of obtaining SLE variants for a change of measure of the single SLE to derive the most general BCFT model that can be related to SLE. Moreover, we interpret the change of the measure in the context of physics and Probability Theory. In addition, we discuss the meaning of bulk fields in BCFT as bulk force-points for the SLE variant SLE (κ, vector ρ). Furthermore, we investigate the short-distance expansion of the boundary condition changing fields, creating cluster interfaces that can be described by SLE, with other boundary or bulk fields. Thereby we derive new SLE martingales related to the existence of boundary fields with vanishing descendant on level three. We motivate that the short-distance scaling law of these martingales as adjustment of the measure can be interpreted as the SLE probability of curves coming close to the location of the second field. Finally, we extend the algebraic κ-relation for the allowed variances in multiple SLE, arising due to the commutation requirement of the infinitesimal growth operators, to the joint growth of two SLE traces. The analysis straightforwardly suggests the form of the infinitesimal LOEWNER mapping of joint

  9. A time consistent risk averse three-stage stochastic mixed integer optimization model for power generation capacity expansion

    International Nuclear Information System (INIS)

    Pisciella, P.; Vespucci, M.T.; Bertocchi, M.; Zigrino, S.

    2016-01-01

    We propose a multi-stage stochastic optimization model for the generation capacity expansion problem of a price-taker power producer. Uncertainties regarding the evolution of electricity prices and fuel costs play a major role in long term investment decisions, therefore the objective function represents a trade-off between expected profit and risk. The Conditional Value at Risk is the risk measure used and is defined by a nested formulation that guarantees time consistency in the multi-stage model. The proposed model allows one to determine a long term expansion plan which takes into account uncertainty, while the LCoE approach, currently used by decision makers, only allows one to determine which technology should be chosen for the next power plant to be built. A sensitivity analysis is performed with respect to the risk weighting factor and budget amount. - Highlights: • We propose a time consistent risk averse multi-stage model for capacity expansion. • We introduce a case study with uncertainty on electricity prices and fuel costs. • Increased budget moves the investment from gas towards renewables and then coal. • Increased risk aversion moves the investment from coal towards renewables. • Time inconsistency leads to a profit gap between planned and implemented policies.

  10. Stochastic dynamics of resistive switching: fluctuations lead to optimal particle number

    International Nuclear Information System (INIS)

    Radtke, Paul K; Schimansky-Geier, Lutz; Hazel, Andrew L; Straube, Arthur V

    2017-01-01

    Resistive switching (RS) is one of the foremost candidates for building novel types of non-volatile random access memories. Any practical implementation of such a memory cell calls for a strong miniaturization, at which point fluctuations start playing a role that cannot be neglected. A detailed understanding of switching mechanisms and reliability is essential. For this reason, we formulate a particle model based on the stochastic motion of oxygen vacancies. It allows us to investigate fluctuations in the resistance states of a switch with two active zones. The vacancies’ dynamics are governed by a master equation. Upon the application of a voltage pulse, the vacancies travel collectively through the switch. By deriving a generalized Burgers equation we can interpret this collective motion as nonlinear traveling waves, and numerically verify this result. Further, we define binary logical states by means of the underlying vacancy distributions, and establish a framework of writing and reading such memory element with voltage pulses. Considerations about the discriminability of these operations under fluctuations together with the markedness of the RS effect itself lead to the conclusion, that an intermediate vacancy number is optimal for performance. (paper)

  11. Stochastic dynamics of resistive switching: fluctuations lead to optimal particle number

    Science.gov (United States)

    Radtke, Paul K.; Hazel, Andrew L.; Straube, Arthur V.; Schimansky-Geier, Lutz

    2017-09-01

    Resistive switching (RS) is one of the foremost candidates for building novel types of non-volatile random access memories. Any practical implementation of such a memory cell calls for a strong miniaturization, at which point fluctuations start playing a role that cannot be neglected. A detailed understanding of switching mechanisms and reliability is essential. For this reason, we formulate a particle model based on the stochastic motion of oxygen vacancies. It allows us to investigate fluctuations in the resistance states of a switch with two active zones. The vacancies’ dynamics are governed by a master equation. Upon the application of a voltage pulse, the vacancies travel collectively through the switch. By deriving a generalized Burgers equation we can interpret this collective motion as nonlinear traveling waves, and numerically verify this result. Further, we define binary logical states by means of the underlying vacancy distributions, and establish a framework of writing and reading such memory element with voltage pulses. Considerations about the discriminability of these operations under fluctuations together with the markedness of the RS effect itself lead to the conclusion, that an intermediate vacancy number is optimal for performance.

  12. Optimal Linear Responses for Markov Chains and Stochastically Perturbed Dynamical Systems

    Science.gov (United States)

    Antown, Fadi; Dragičević, Davor; Froyland, Gary

    2018-03-01

    The linear response of a dynamical system refers to changes to properties of the system when small external perturbations are applied. We consider the little-studied question of selecting an optimal perturbation so as to (i) maximise the linear response of the equilibrium distribution of the system, (ii) maximise the linear response of the expectation of a specified observable, and (iii) maximise the linear response of the rate of convergence of the system to the equilibrium distribution. We also consider the inhomogeneous, sequential, or time-dependent situation where the governing dynamics is not stationary and one wishes to select a sequence of small perturbations so as to maximise the overall linear response at some terminal time. We develop the theory for finite-state Markov chains, provide explicit solutions for some illustrative examples, and numerically apply our theory to stochastically perturbed dynamical systems, where the Markov chain is replaced by a matrix representation of an approximate annealed transfer operator for the random dynamical system.

  13. Inverse problem for particle size distributions of atmospheric aerosols using stochastic particle swarm optimization

    International Nuclear Information System (INIS)

    Yuan Yuan; Yi Hongliang; Shuai Yong; Wang Fuqiang; Tan Heping

    2010-01-01

    As a part of resolving optical properties in atmosphere radiative transfer calculations, this paper focuses on obtaining aerosol optical thicknesses (AOTs) in the visible and near infrared wave band through indirect method by gleaning the values of aerosol particle size distribution parameters. Although various inverse techniques have been applied to obtain values for these parameters, we choose a stochastic particle swarm optimization (SPSO) algorithm to perform an inverse calculation. Computational performances of different inverse methods are investigated and the influence of swarm size on the inverse problem of computation particles is examined. Next, computational efficiencies of various particle size distributions and the influences of the measured errors on computational accuracy are compared. Finally, we recover particle size distributions for atmospheric aerosols over Beijing using the measured AOT data (at wavelengths λ=0.400, 0.690, 0.870, and 1.020 μm) obtained from AERONET at different times and then calculate other AOT values for this band based on the inverse results. With calculations agreeing with measured data, the SPSO algorithm shows good practicability.

  14. A minimax stochastic optimal semi-active control strategy for uncertain quasi-integrable Hamiltonian systems using magneto-rheological dampers

    DEFF Research Database (Denmark)

    Feng, Ju; Ying, Zu-Guang; Zhu, Wei-Qiu

    2012-01-01

    A minimax stochastic optimal semi-active control strategy for stochastically excited quasi-integrable Hamiltonian systems with parametric uncertainty by using magneto-rheological (MR) dampers is proposed. Firstly, the control problem is formulated as an n-degree-of-freedom (DOF) controlled, uncer...

  15. The Orienteering Problem under Uncertainty Stochastic Programming and Robust Optimization compared

    NARCIS (Netherlands)

    Evers, L.; Glorie, K.; Ster, S. van der; Barros, A.I.; Monsuur, H.

    2012-01-01

    The Orienteering Problem (OP) is a generalization of the well-known traveling salesman problem and has many interesting applications in logistics, tourism and defense. To reflect real-life situations, we focus on an uncertain variant of the OP. Two main approaches that deal with optimization under

  16. All-loop calculations of total, elastic and single diffractive cross sections in RFT via the stochastic approach

    International Nuclear Information System (INIS)

    Kolevatov, R. S.; Boreskov, K. G.

    2013-01-01

    We apply the stochastic approach to the calculation of the Reggeon Field Theory (RFT) elastic amplitude and its single diffractive cut. The results for the total, elastic and single difractive cross sections with account of all Pomeron loops are obtained.

  17. All-loop calculations of total, elastic and single diffractive cross sections in RFT via the stochastic approach

    Energy Technology Data Exchange (ETDEWEB)

    Kolevatov, R. S. [SUBATECH, Ecole des Mines de Nantes, 4 rue Alfred Kastler, 44307 Nantes Cedex 3 (France); Boreskov, K. G. [Institute of Theoretical and Experimental Physics, 117259, Moscow (Russian Federation)

    2013-04-15

    We apply the stochastic approach to the calculation of the Reggeon Field Theory (RFT) elastic amplitude and its single diffractive cut. The results for the total, elastic and single difractive cross sections with account of all Pomeron loops are obtained.

  18. Benchmarking the stochastic time-dependent variational approach for excitation dynamics in molecular aggregates

    Energy Technology Data Exchange (ETDEWEB)

    Chorošajev, Vladimir [Department of Theoretical Physics, Faculty of Physics, Vilnius University, Sauletekio 9-III, 10222 Vilnius (Lithuania); Gelzinis, Andrius; Valkunas, Leonas [Department of Theoretical Physics, Faculty of Physics, Vilnius University, Sauletekio 9-III, 10222 Vilnius (Lithuania); Department of Molecular Compound Physics, Center for Physical Sciences and Technology, Sauletekio 3, 10222 Vilnius (Lithuania); Abramavicius, Darius, E-mail: darius.abramavicius@ff.vu.lt [Department of Theoretical Physics, Faculty of Physics, Vilnius University, Sauletekio 9-III, 10222 Vilnius (Lithuania)

    2016-12-20

    Highlights: • The Davydov ansatze can be used for finite temperature simulations with an extension. • The accuracy is high if the system is strongly coupled to the environmental phonons. • The approach can simulate time-resolved fluorescence spectra. - Abstract: Time dependent variational approach is a convenient method to characterize the excitation dynamics in molecular aggregates for different strengths of system-bath interaction a, which does not require any additional perturbative schemes. Until recently, however, this method was only applicable in zero temperature case. It has become possible to extend this method for finite temperatures with the introduction of stochastic time dependent variational approach. Here we present a comparison between this approach and the exact hierarchical equations of motion approach for describing excitation dynamics in a broad range of temperatures. We calculate electronic population evolution, absorption and auxiliary time resolved fluorescence spectra in different regimes and find that the stochastic approach shows excellent agreement with the exact approach when the system-bath coupling is sufficiently large and temperatures are high. The differences between the two methods are larger, when temperatures are lower or the system-bath coupling is small.

  19. Governance Mechanism for Global Greenhouse Gas Emissions: A Stochastic Differential Game Approach

    Directory of Open Access Journals (Sweden)

    Wei Yu

    2013-01-01

    Full Text Available Today developed and developing countries have to admit the fact that global warming is affecting the earth, but the fundamental problem of how to divide up necessary greenhouse gas reductions between developed and developing countries remains. In this paper, we propose cooperative and noncooperative stochastic differential game models to describe greenhouse gas emissions decision makings of developed and developing countries, calculate their feedback Nash equilibrium and the Pareto optimal solution, characterize parameter spaces that developed and developing countries can cooperate, design cooperative conditions under which participants buy the cooperative payoff, and distribute the cooperative payoff with Nash bargaining solution. Lastly, numerical simulations are employed to illustrate the above results.

  20. Stochastic resource allocation in emergency departments with a multi-objective simulation optimization algorithm.

    Science.gov (United States)

    Feng, Yen-Yi; Wu, I-Chin; Chen, Tzu-Li

    2017-03-01

    The number of emergency cases or emergency room visits rapidly increases annually, thus leading to an imbalance in supply and demand and to the long-term overcrowding of hospital emergency departments (EDs). However, current solutions to increase medical resources and improve the handling of patient needs are either impractical or infeasible in the Taiwanese environment. Therefore, EDs must optimize resource allocation given limited medical resources to minimize the average length of stay of patients and medical resource waste costs. This study constructs a multi-objective mathematical model for medical resource allocation in EDs in accordance with emergency flow or procedure. The proposed mathematical model is complex and difficult to solve because its performance value is stochastic; furthermore, the model considers both objectives simultaneously. Thus, this study develops a multi-objective simulation optimization algorithm by integrating a non-dominated sorting genetic algorithm II (NSGA II) with multi-objective computing budget allocation (MOCBA) to address the challenges of multi-objective medical resource allocation. NSGA II is used to investigate plausible solutions for medical resource allocation, and MOCBA identifies effective sets of feasible Pareto (non-dominated) medical resource allocation solutions in addition to effectively allocating simulation or computation budgets. The discrete event simulation model of ED flow is inspired by a Taiwan hospital case and is constructed to estimate the expected performance values of each medical allocation solution as obtained through NSGA II. Finally, computational experiments are performed to verify the effectiveness and performance of the integrated NSGA II and MOCBA method, as well as to derive non-dominated medical resource allocation solutions from the algorithms.

  1. Stochastic thermodynamics

    Science.gov (United States)

    Eichhorn, Ralf; Aurell, Erik

    2014-04-01

    'Stochastic thermodynamics as a conceptual framework combines the stochastic energetics approach introduced a decade ago by Sekimoto [1] with the idea that entropy can consistently be assigned to a single fluctuating trajectory [2]'. This quote, taken from Udo Seifert's [3] 2008 review, nicely summarizes the basic ideas behind stochastic thermodynamics: for small systems, driven by external forces and in contact with a heat bath at a well-defined temperature, stochastic energetics [4] defines the exchanged work and heat along a single fluctuating trajectory and connects them to changes in the internal (system) energy by an energy balance analogous to the first law of thermodynamics. Additionally, providing a consistent definition of trajectory-wise entropy production gives rise to second-law-like relations and forms the basis for a 'stochastic thermodynamics' along individual fluctuating trajectories. In order to construct meaningful concepts of work, heat and entropy production for single trajectories, their definitions are based on the stochastic equations of motion modeling the physical system of interest. Because of this, they are valid even for systems that are prevented from equilibrating with the thermal environment by external driving forces (or other sources of non-equilibrium). In that way, the central notions of equilibrium thermodynamics, such as heat, work and entropy, are consistently extended to the non-equilibrium realm. In the (non-equilibrium) ensemble, the trajectory-wise quantities acquire distributions. General statements derived within stochastic thermodynamics typically refer to properties of these distributions, and are valid in the non-equilibrium regime even beyond the linear response. The extension of statistical mechanics and of exact thermodynamic statements to the non-equilibrium realm has been discussed from the early days of statistical mechanics more than 100 years ago. This debate culminated in the development of linear response

  2. Multi-period natural gas market modeling Applications, stochastic extensions and solution approaches

    Science.gov (United States)

    Egging, Rudolf Gerardus

    This dissertation develops deterministic and stochastic multi-period mixed complementarity problems (MCP) for the global natural gas market, as well as solution approaches for large-scale stochastic MCP. The deterministic model is unique in the combination of the level of detail of the actors in the natural gas markets and the transport options, the detailed regional and global coverage, the multi-period approach with endogenous capacity expansions for transportation and storage infrastructure, the seasonal variation in demand and the representation of market power according to Nash-Cournot theory. The model is applied to several scenarios for the natural gas market that cover the formation of a cartel by the members of the Gas Exporting Countries Forum, a low availability of unconventional gas in the United States, and cost reductions in long-distance gas transportation. 1 The results provide insights in how different regions are affected by various developments, in terms of production, consumption, traded volumes, prices and profits of market participants. The stochastic MCP is developed and applied to a global natural gas market problem with four scenarios for a time horizon until 2050 with nineteen regions and containing 78,768 variables. The scenarios vary in the possibility of a gas market cartel formation and varying depletion rates of gas reserves in the major gas importing regions. Outcomes for hedging decisions of market participants show some significant shifts in the timing and location of infrastructure investments, thereby affecting local market situations. A first application of Benders decomposition (BD) is presented to solve a large-scale stochastic MCP for the global gas market with many hundreds of first-stage capacity expansion variables and market players exerting various levels of market power. The largest problem solved successfully using BD contained 47,373 variables of which 763 first-stage variables, however using BD did not result in

  3. Multi-Period Natural Gas Market Modeling. Applications, Stochastic Extensions and Solution Approaches

    International Nuclear Information System (INIS)

    Egging, R.G.

    2010-11-01

    This dissertation develops deterministic and stochastic multi-period mixed complementarity problems (MCP) for the global natural gas market, as well as solution approaches for large-scale stochastic MCP. The deterministic model is unique in the combination of the level of detail of the actors in the natural gas markets and the transport options, the detailed regional and global coverage, the multi-period approach with endogenous capacity expansions for transportation and storage infrastructure, the seasonal variation in demand and the representation of market power according to Nash-Cournot theory. The model is applied to several scenarios for the natural gas market that cover the formation of a cartel by the members of the Gas Exporting Countries Forum, a low availability of unconventional gas in the United States, and cost reductions in long-distance gas transportation. The results provide insights in how different regions are affected by various developments, in terms of production, consumption, traded volumes, prices and profits of market participants. The stochastic MCP is developed and applied to a global natural gas market problem with four scenarios for a time horizon until 2050 with nineteen regions and containing 78,768 variables. The scenarios vary in the possibility of a gas market cartel formation and varying depletion rates of gas reserves in the major gas importing regions. Outcomes for hedging decisions of market participants show some significant shifts in the timing and location of infrastructure investments, thereby affecting local market situations. A first application of Benders decomposition (BD) is presented to solve a large-scale stochastic MCP for the global gas market with many hundreds of first-stage capacity expansion variables and market players exerting various levels of market power. The largest problem solved successfully using BD contained 47,373 variables of which 763 first-stage variables, however using BD did not result in

  4. Error performance analysis in K-tier uplink cellular networks using a stochastic geometric approach

    KAUST Repository

    Afify, Laila H.

    2015-09-14

    In this work, we develop an analytical paradigm to analyze the average symbol error probability (ASEP) performance of uplink traffic in a multi-tier cellular network. The analysis is based on the recently developed Equivalent-in-Distribution approach that utilizes stochastic geometric tools to account for the network geometry in the performance characterization. Different from the other stochastic geometry models adopted in the literature, the developed analysis accounts for important communication system parameters and goes beyond signal-to-interference-plus-noise ratio characterization. That is, the presented model accounts for the modulation scheme, constellation type, and signal recovery techniques to model the ASEP. To this end, we derive single integral expressions for the ASEP for different modulation schemes due to aggregate network interference. Finally, all theoretical findings of the paper are verified via Monte Carlo simulations.

  5. Optimising stochastic trajectories in exact quantum jump approaches of interacting systems

    International Nuclear Information System (INIS)

    Lacroix, D.

    2004-11-01

    The standard methods used to substitute the quantum dynamics of two interacting systems by a quantum jump approach based on the Stochastic Schroedinger Equation (SSE) are described. It turns out that for a given situation, there exists an infinite number of SSE reformulation. This fact is used to propose general strategies to optimise the stochastic paths in order to reduce the statistical fluctuations. In this procedure, called the 'adaptative noise method', a specific SSE is obtained for which the noise depends explicitly on both the initial state and on the properties of the interaction Hamiltonian. It is also shown that this method can be further improved by the introduction of a mean-field dynamics. The different optimisation procedures are illustrated quantitatively in the case of interacting spins. A significant reduction of the statistical fluctuations is obtained. Consequently, a much smaller number of trajectories is needed to accurately reproduce the exact dynamics as compared to the standard SSE method. (author)

  6. Modular and Stochastic Approaches to Molecular Pathway Models of ATM, TGF beta, and WNT Signaling

    Science.gov (United States)

    Cucinotta, Francis A.; O'Neill, Peter; Ponomarev, Artem; Carra, Claudio; Whalen, Mary; Pluth, Janice M.

    2009-01-01

    Deterministic pathway models that describe the biochemical interactions of a group of related proteins, their complexes, activation through kinase, etc. are often the basis for many systems biology models. Low dose radiation effects present a unique set of challenges to these models including the importance of stochastic effects due to the nature of radiation tracks and small number of molecules activated, and the search for infrequent events that contribute to cancer risks. We have been studying models of the ATM, TGF -Smad and WNT signaling pathways with the goal of applying pathway models to the investigation of low dose radiation cancer risks. Modeling challenges include introduction of stochastic models of radiation tracks, their relationships to more than one substrate species that perturb pathways, and the identification of a representative set of enzymes that act on the dominant substrates. Because several pathways are activated concurrently by radiation the development of modular pathway approach is of interest.

  7. Stochastic optimization of GeantV code by use of genetic algorithms

    Science.gov (United States)

    Amadio, G.; Apostolakis, J.; Bandieramonte, M.; Behera, S. P.; Brun, R.; Canal, P.; Carminati, F.; Cosmo, G.; Duhem, L.; Elvira, D.; Folger, G.; Gheata, A.; Gheata, M.; Goulas, I.; Hariri, F.; Jun, S. Y.; Konstantinov, D.; Kumawat, H.; Ivantchenko, V.; Lima, G.; Nikitina, T.; Novak, M.; Pokorski, W.; Ribon, A.; Seghal, R.; Shadura, O.; Vallecorsa, S.; Wenzel, S.

    2017-10-01

    GeantV is a complex system based on the interaction of different modules needed for detector simulation, which include transport of particles in fields, physics models simulating their interactions with matter and a geometrical modeler library for describing the detector and locating the particles and computing the path length to the current volume boundary. The GeantV project is recasting the classical simulation approach to get maximum benefit from SIMD/MIMD computational architectures and highly massive parallel systems. This involves finding the appropriate balance between several aspects influencing computational performance (floating-point performance, usage of off-chip memory bandwidth, specification of cache hierarchy, etc.) and handling a large number of program parameters that have to be optimized to achieve the best simulation throughput. This optimization task can be treated as a black-box optimization problem, which requires searching the optimum set of parameters using only point-wise function evaluations. The goal of this study is to provide a mechanism for optimizing complex systems (high energy physics particle transport simulations) with the help of genetic algorithms and evolution strategies as tuning procedures for massive parallel simulations. One of the described approaches is based on introducing a specific multivariate analysis operator that could be used in case of resource expensive or time consuming evaluations of fitness functions, in order to speed-up the convergence of the black-box optimization problem.

  8. A one-dimensional stochastic approach to the study of cyclic voltammetry with adsorption effects

    Energy Technology Data Exchange (ETDEWEB)

    Samin, Adib J. [The Department of Mechanical and Aerospace Engineering, The Ohio State University, 201 W 19" t" h Avenue, Columbus, Ohio 43210 (United States)

    2016-05-15

    In this study, a one-dimensional stochastic model based on the random walk approach is used to simulate cyclic voltammetry. The model takes into account mass transport, kinetics of the redox reactions, adsorption effects and changes in the morphology of the electrode. The model is shown to display the expected behavior. Furthermore, the model shows consistent qualitative agreement with a finite difference solution. This approach allows for an understanding of phenomena on a microscopic level and may be useful for analyzing qualitative features observed in experimentally recorded signals.

  9. A one-dimensional stochastic approach to the study of cyclic voltammetry with adsorption effects

    International Nuclear Information System (INIS)

    Samin, Adib J.

    2016-01-01

    In this study, a one-dimensional stochastic model based on the random walk approach is used to simulate cyclic voltammetry. The model takes into account mass transport, kinetics of the redox reactions, adsorption effects and changes in the morphology of the electrode. The model is shown to display the expected behavior. Furthermore, the model shows consistent qualitative agreement with a finite difference solution. This approach allows for an understanding of phenomena on a microscopic level and may be useful for analyzing qualitative features observed in experimentally recorded signals.

  10. Experimental study of the semi-active control of a nonlinear two-span bridge using stochastic optimal polynomial control

    Science.gov (United States)

    El-Khoury, O.; Kim, C.; Shafieezadeh, A.; Hur, J. E.; Heo, G. H.

    2015-06-01

    This study performs a series of numerical simulations and shake-table experiments to design and assess the performance of a nonlinear clipped feedback control algorithm based on optimal polynomial control (OPC) to mitigate the response of a two-span bridge equipped with a magnetorheological (MR) damper. As an extended conventional linear quadratic regulator, OPC provides more flexibility in the control design and further enhances system performance. The challenges encountered in this case are (1) the linearization of the nonlinear behavior of various components and (2) the selection of the weighting matrices in the objective function of OPC. The first challenge is addressed by using stochastic linearization which replaces the nonlinear portion of the system behavior with an equivalent linear time-invariant model considering the stochasticity in the excitation. Furthermore, a genetic algorithm is employed to find optimal weighting matrices for the control design. The input current to the MR damper installed between adjacent spans is determined using a clipped stochastic optimal polynomial control algorithm. The performance of the controlled system is assessed through a set of shake-table experiments for far-field and near-field ground motions. The proposed method showed considerable improvements over passive cases especially for the far-field ground motion.

  11. Experimental study of the semi-active control of a nonlinear two-span bridge using stochastic optimal polynomial control

    International Nuclear Information System (INIS)

    El-Khoury, O; Shafieezadeh, A; Hur, J E; Kim, C; Heo, G H

    2015-01-01

    This study performs a series of numerical simulations and shake-table experiments to design and assess the performance of a nonlinear clipped feedback control algorithm based on optimal polynomial control (OPC) to mitigate the response of a two-span bridge equipped with a magnetorheological (MR) damper. As an extended conventional linear quadratic regulator, OPC provides more flexibility in the control design and further enhances system performance. The challenges encountered in this case are (1) the linearization of the nonlinear behavior of various components and (2) the selection of the weighting matrices in the objective function of OPC. The first challenge is addressed by using stochastic linearization which replaces the nonlinear portion of the system behavior with an equivalent linear time-invariant model considering the stochasticity in the excitation. Furthermore, a genetic algorithm is employed to find optimal weighting matrices for the control design. The input current to the MR damper installed between adjacent spans is determined using a clipped stochastic optimal polynomial control algorithm. The performance of the controlled system is assessed through a set of shake-table experiments for far-field and near-field ground motions. The proposed method showed considerable improvements over passive cases especially for the far-field ground motion. (paper)

  12. Quantum Resonance Approach to Combinatorial Optimization

    Science.gov (United States)

    Zak, Michail

    1997-01-01

    It is shown that quantum resonance can be used for combinatorial optimization. The advantage of the approach is in independence of the computing time upon the dimensionality of the problem. As an example, the solution to a constraint satisfaction problem of exponential complexity is demonstrated.

  13. Optimal harvesting of a stochastic delay tri-trophic food-chain model with Lévy jumps

    Science.gov (United States)

    Qiu, Hong; Deng, Wenmin

    2018-02-01

    In this paper, the optimal harvesting of a stochastic delay tri-trophic food-chain model with Lévy jumps is considered. We introduce two kinds of environmental perturbations in this model. One is called white noise which is continuous and is described by a stochastic integral with respect to the standard Brownian motion. And the other one is jumping noise which is modeled by a Lévy process. Under some mild assumptions, the critical values between extinction and persistent in the mean of each species are established. The sufficient and necessary criteria for the existence of optimal harvesting policy are established and the optimal harvesting effort and the maximum of sustainable yield are also obtained. We utilize the ergodic method to discuss the optimal harvesting problem. The results show that white noises and Lévy noises significantly affect the optimal harvesting policy while time delays is harmless for the optimal harvesting strategy in some cases. At last, some numerical examples are introduced to show the validity of our results.

  14. Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints

    Directory of Open Access Journals (Sweden)

    Massimiliano Kaucic

    2015-09-01

    Full Text Available In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to generate a dotted approximation of the Pareto frontier for bi- and tri-objective programming problems. Numerical experiments are carried out on a set of portfolios to be optimized for an EU-based non-life insurance company. Both performance indicators and risk measures are managed as objectives. Results show that this procedure is effective and readily applicable to achieve suitable risk-reward tradeoff analysis.

  15. Simulation-optimization framework for multi-site multi-season hybrid stochastic streamflow modeling

    Science.gov (United States)

    Srivastav, Roshan; Srinivasan, K.; Sudheer, K. P.

    2016-11-01

    A simulation-optimization (S-O) framework is developed for the hybrid stochastic modeling of multi-site multi-season streamflows. The multi-objective optimization model formulated is the driver and the multi-site, multi-season hybrid matched block bootstrap model (MHMABB) is the simulation engine within this framework. The multi-site multi-season simulation model is the extension of the existing single-site multi-season simulation model. A robust and efficient evolutionary search based technique, namely, non-dominated sorting based genetic algorithm (NSGA - II) is employed as the solution technique for the multi-objective optimization within the S-O framework. The objective functions employed are related to the preservation of the multi-site critical deficit run sum and the constraints introduced are concerned with the hybrid model parameter space, and the preservation of certain statistics (such as inter-annual dependence and/or skewness of aggregated annual flows). The efficacy of the proposed S-O framework is brought out through a case example from the Colorado River basin. The proposed multi-site multi-season model AMHMABB (whose parameters are obtained from the proposed S-O framework) preserves the temporal as well as the spatial statistics of the historical flows. Also, the other multi-site deficit run characteristics namely, the number of runs, the maximum run length, the mean run sum and the mean run length are well preserved by the AMHMABB model. Overall, the proposed AMHMABB model is able to show better streamflow modeling performance when compared with the simulation based SMHMABB model, plausibly due to the significant role played by: (i) the objective functions related to the preservation of multi-site critical deficit run sum; (ii) the huge hybrid model parameter space available for the evolutionary search and (iii) the constraint on the preservation of the inter-annual dependence. Split-sample validation results indicate that the AMHMABB model is

  16. A comparison of the stochastic and machine learning approaches in hydrologic time series forecasting

    Science.gov (United States)

    Kim, T.; Joo, K.; Seo, J.; Heo, J. H.

    2016-12-01

    Hydrologic time series forecasting is an essential task in water resources management and it becomes more difficult due to the complexity of runoff process. Traditional stochastic models such as ARIMA family has been used as a standard approach in time series modeling and forecasting of hydrological variables. Due to the nonlinearity in hydrologic time series data, machine learning approaches has been studied with the advantage of discovering relevant features in a nonlinear relation among variables. This study aims to compare the predictability between the traditional stochastic model and the machine learning approach. Seasonal ARIMA model was used as the traditional time series model, and Random Forest model which consists of decision tree and ensemble method using multiple predictor approach was applied as the machine learning approach. In the application, monthly inflow data from 1986 to 2015 of Chungju dam in South Korea were used for modeling and forecasting. In order to evaluate the performances of the used models, one step ahead and multi-step ahead forecasting was applied. Root mean squared error and mean absolute error of two models were compared.

  17. Susceptibility of optimal train schedules to stochastic disturbances of process times

    DEFF Research Database (Denmark)

    Larsen, Rune; Pranzo, Marco; D’Ariano, Andrea

    2013-01-01

    study, an advanced branch and bound algorithm, on average, outperforms a First In First Out scheduling rule both in deterministic and stochastic traffic scenarios. However, the characteristic of the stochastic processes and the way a stochastic instance is handled turn out to have a serious impact...... and dwell times). In fact, the objective of railway traffic management is to reduce delay propagation and to increase disturbance robustness of train schedules at a network scale. We present a quantitative study of traffic disturbances and their effects on the schedules computed by simple and advanced...

  18. Stochastic optimal control of non-stationary response of a single-degree-of-freedom vehicle model

    Science.gov (United States)

    Narayanan, S.; Raju, G. V.

    1990-09-01

    An active suspension system to control the non-stationary response of a single-degree-of-freedom (sdf) vehicle model with variable velocity traverse over a rough road is investigated. The suspension is optimized with respect to ride comfort and road holding, using stochastic optimal control theory. The ground excitation is modelled as a spatial homogeneous random process, being the output of a linear shaping filter to white noise. The effect of the rolling contact of the tyre is considered by an additional filter in cascade. The non-stationary response with active suspension is compared with that of a passive system.

  19. Optimizing Multi-Product Multi-Constraint Inventory Control Systems with Stochastic Replenishments

    Science.gov (United States)

    Allah Taleizadeh, Ata; Aryanezhad, Mir-Bahador; Niaki, Seyed Taghi Akhavan

    Multi-periodic inventory control problems are mainly studied employing two assumptions. The first is the continuous review, where depending on the inventory level orders can happen at any time and the other is the periodic review, where orders can only happen at the beginning of each period. In this study, we relax these assumptions and assume that the periodic replenishments are stochastic in nature. Furthermore, we assume that the periods between two replenishments are independent and identically random variables. For the problem at hand, the decision variables are of integer-type and there are two kinds of space and service level constraints for each product. We develop a model of the problem in which a combination of back-order and lost-sales are considered for the shortages. Then, we show that the model is of an integer-nonlinear-programming type and in order to solve it, a search algorithm can be utilized. We employ a simulated annealing approach and provide a numerical example to demonstrate the applicability of the proposed methodology.

  20. Backward-stochastic-differential-equation approach to modeling of gene expression.

    Science.gov (United States)

    Shamarova, Evelina; Chertovskih, Roman; Ramos, Alexandre F; Aguiar, Paulo

    2017-03-01

    In this article, we introduce a backward method to model stochastic gene expression and protein-level dynamics. The protein amount is regarded as a diffusion process and is described by a backward stochastic differential equation (BSDE). Unlike many other SDE techniques proposed in the literature, the BSDE method is backward in time; that is, instead of initial conditions it requires the specification of end-point ("final") conditions, in addition to the model parametrization. To validate our approach we employ Gillespie's stochastic simulation algorithm (SSA) to generate (forward) benchmark data, according to predefined gene network models. Numerical simulations show that the BSDE method is able to correctly infer the protein-level distributions that preceded a known final condition, obtained originally from the forward SSA. This makes the BSDE method a powerful systems biology tool for time-reversed simulations, allowing, for example, the assessment of the biological conditions (e.g., protein concentrations) that preceded an experimentally measured event of interest (e.g., mitosis, apoptosis, etc.).

  1. Stochastic Boolean networks: An efficient approach to modeling gene regulatory networks

    Directory of Open Access Journals (Sweden)

    Liang Jinghang

    2012-08-01

    network inferred from a T cell immune response dataset. An SBN can also implement the function of an asynchronous PBN and is potentially useful in a hybrid approach in combination with a continuous or single-molecule level stochastic model. Conclusions Stochastic Boolean networks (SBNs are proposed as an efficient approach to modelling gene regulatory networks (GRNs. The SBN approach is able to recover biologically-proven regulatory behaviours, such as the oscillatory dynamics of the p53-Mdm2 network and the dynamic attractors in a T cell immune response network. The proposed approach can further predict the network dynamics when the genes are under perturbation, thus providing biologically meaningful insights for a better understanding of the dynamics of GRNs. The algorithms and methods described in this paper have been implemented in Matlab packages, which are attached as Additional files.

  2. Stochastic quantization

    International Nuclear Information System (INIS)

    Klauder, J.R.

    1983-01-01

    The author provides an introductory survey to stochastic quantization in which he outlines this new approach for scalar fields, gauge fields, fermion fields, and condensed matter problems such as electrons in solids and the statistical mechanics of quantum spins. (Auth.)

  3. Distribution-Agnostic Stochastic Optimal Power Flow for Distribution Grids: Preprint

    Energy Technology Data Exchange (ETDEWEB)

    Baker, Kyri; Dall' Anese, Emiliano; Summers, Tyler

    2016-09-01

    This paper outlines a data-driven, distributionally robust approach to solve chance-constrained AC optimal power flow problems in distribution networks. Uncertain forecasts for loads and power generated by photovoltaic (PV) systems are considered, with the goal of minimizing PV curtailment while meeting power flow and voltage regulation constraints. A data- driven approach is utilized to develop a distributionally robust conservative convex approximation of the chance-constraints; particularly, the mean and covariance matrix of the forecast errors are updated online, and leveraged to enforce voltage regulation with predetermined probability via Chebyshev-based bounds. By combining an accurate linear approximation of the AC power flow equations with the distributionally robust chance constraint reformulation, the resulting optimization problem becomes convex and computationally tractable.

  4. Optimal stochastic management of renewable MG (micro-grids) considering electro-thermal model of PV (photovoltaic)

    International Nuclear Information System (INIS)

    Najibi, Fatemeh; Niknam, Taher; Kavousi-Fard, Abdollah

    2016-01-01

    This paper aims to report the results of the research conducted to one thermal and electrical model for photovoltaic. Moreover, one probabilistic framework is introduced for considering all uncertainties in the optimal energy management of Micro-Grid problem. It should be noted that one typical Micro-Grid is being studied as a case, including different renewable energy sources, such as Photovoltaic, Micro Turbine, Wind Turbine, and one battery as a storage device for storing energy. The uncertainties of market price variation, photovoltaic and wind turbine output power change and load demand error are covered by the suggested probabilistic framework. The Micro-Grid problem is of nonlinear nature because of the stochastic behavior of the renewable energy sources such as Photovoltaic and Wind Turbine units, and hence there is need for a powerful tool to solve the problem. Therefore, in addition to the simulated thermal model and suggested probabilistic framework, a new algorithm is also introduced. The Backtracking Search Optimization Algorithm is described as a useful method to optimize the MG (micro-grids) problem. This algorithm has the benefit of escaping from the local optima while converging fast, too. The proposed algorithm is also tested on the typical Micro-Grid. - Highlights: • Proposing an electro-thermal model for PV. • Proposing a new stochastic formulation for optimal operation of renewable MGs. • Introduction of a new optimization method based on BSO to explore the problem search space.

  5. Stochastic Optimal Estimation with Fuzzy Random Variables and Fuzzy Kalman Filtering

    Institute of Scientific and Technical Information of China (English)

    FENG Yu-hu

    2005-01-01

    By constructing a mean-square performance index in the case of fuzzy random variable, the optimal estimation theorem for unknown fuzzy state using the fuzzy observation data are given. The state and output of linear discrete-time dynamic fuzzy system with Gaussian noise are Gaussian fuzzy random variable sequences. An approach to fuzzy Kalman filtering is discussed. Fuzzy Kalman filtering contains two parts: a real-valued non-random recurrence equation and the standard Kalman filtering.

  6. Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance

    Czech Academy of Sciences Publication Activity Database

    Kaňková, Vlasta

    2017-01-01

    Roč. 53, č. 6 (2017), s. 1026-1046 ISSN 0023-5954 R&D Projects: GA ČR GA15-10331S Institutional support: RVO:67985556 Keywords : stochastic programming * stochastic dominance * empirical estimates * financial applications Subject RIV: BB - Applied Statistics, Operational Research OBOR OECD: Statistics and probability Impact factor: 0.379, year: 2016 http://library.utia.cas.cz/separaty/2017/E/kankova-0485151.pdf

  7. Optimizing Water Allocation under Uncertain System Conditions for Water and Agriculture Future Scenarios in Alfeios River Basin (Greece—Part B: Fuzzy-Boundary Intervals Combined with Multi-Stage Stochastic Programming Model

    Directory of Open Access Journals (Sweden)

    Eleni Bekri

    2015-11-01

    Full Text Available Optimal water allocation within a river basin still remains a great modeling challenge for engineers due to various hydrosystem complexities, parameter uncertainties and their interactions. Conventional deterministic optimization approaches have given their place to stochastic, fuzzy and interval-parameter programming approaches and their hybrid combinations for overcoming these difficulties. In many countries, including Mediterranean countries, water resources management is characterized by uncertain, imprecise and limited data because of the absence of permanent measuring systems, inefficient river monitoring and fragmentation of authority responsibilities. A fuzzy-boundary-interval linear programming methodology developed by Li et al. (2010 is selected and applied in the Alfeios river basin (Greece for optimal water allocation under uncertain system conditions. This methodology combines an ordinary multi-stage stochastic programming with uncertainties expressed as fuzzy-boundary intervals. Upper- and lower-bound solution intervals for optimized water allocation targets and probabilistic water allocations and shortages are estimated under a baseline scenario and four water and agricultural policy future scenarios for an optimistic and a pessimistic attitude of the decision makers. In this work, the uncertainty of the random water inflows is incorporated through the simultaneous generation of stochastic equal-probability hydrologic scenarios at various inflow positions instead of using a scenario-tree approach in the original methodology.

  8. Portfolio optimization using median-variance approach

    Science.gov (United States)

    Wan Mohd, Wan Rosanisah; Mohamad, Daud; Mohamed, Zulkifli

    2013-04-01

    Optimization models have been applied in many decision-making problems particularly in portfolio selection. Since the introduction of Markowitz's theory of portfolio selection, various approaches based on mathematical programming have been introduced such as mean-variance, mean-absolute deviation, mean-variance-skewness and conditional value-at-risk (CVaR) mainly to maximize return and minimize risk. However most of the approaches assume that the distribution of data is normal and this is not generally true. As an alternative, in this paper, we employ the median-variance approach to improve the portfolio optimization. This approach has successfully catered both types of normal and non-normal distribution of data. With this actual representation, we analyze and compare the rate of return and risk between the mean-variance and the median-variance based portfolio which consist of 30 stocks from Bursa Malaysia. The results in this study show that the median-variance approach is capable to produce a lower risk for each return earning as compared to the mean-variance approach.

  9. Restructuring of workflows to minimise errors via stochastic model checking: An automated evolutionary approach

    International Nuclear Information System (INIS)

    Herbert, L.T.; Hansen, Z.N.L.

    2016-01-01

    This paper presents a framework for the automated restructuring of stochastic workflows to reduce the impact of faults. The framework allows for the modelling of workflows by means of a formalised subset of the BPMN workflow language. We extend this modelling formalism to describe faults and incorporate an intention preserving stochastic semantics able to model both probabilistic- and non-deterministic behaviour. Stochastic model checking techniques are employed to generate the state-space of a given workflow. Possible improvements obtained by restructuring are measured by employing the framework's capacity for tracking real-valued quantities associated with states and transitions of the workflow. The space of possible restructurings of a workflow is explored by means of an evolutionary algorithm, where the goals for improvement are defined in terms of optimising quantities, typically employed to model resources, associated with a workflow. The approach is fully automated and only the modelling of the production workflows, potential faults and the expression of the goals require manual input. We present the design of a software tool implementing this framework and explore the practical utility of this approach through an industrial case study in which the risk of production failures and their impact are reduced by restructuring the workflow. - Highlights: • We present a framework which allows for the automated restructuring of workflows. • This framework seeks to minimise the impact of errors on the workflow. • We illustrate a scalable software implementation of this framework. • We explore the practical utility of this approach through an industry case. • The impact of errors can be substantially reduced by restructuring the workflow.

  10. Study of stochastic approaches of the n-bodies problem: application to the nuclear fragmentation

    International Nuclear Information System (INIS)

    Guarnera, A.

    1996-01-01

    In the last decade nuclear physics research has found, with the observation of phenomena such as multifragmentation or vaporization, the possibility to get a deeper insight into the nuclear matter phase diagram. For example, a spinodal decomposition scenario has been proposed to explain the multifragmentation: because of the initial compression, the system may enter a region, the spinodal zone, in which the nuclear matter is no longer stable, and so any fluctuation leads to the formation of fragments. This thesis deals with spinodal decomposition within the theoretical framework of stochastic mean filed approaches, in which the one-body density function may experience a stochastic evolution. We have shown that these approaches are able to describe phenomena, such as first order phase transitions, in which fluctuations and many-body correlations plan an important role. In the framework of stochastic mean-filed approaches we have shown that the fragment production by spinodal decomposition is characterized by typical time scales of the order of 100 fm/c and by typical size scales around the Neon mass. We have also shown that these features are robust and that they are not affected significantly by a possible expansion of the system or by the finite size of nuclei. We have proposed as a signature of the spinodal decomposition some typical partition of the largest fragments. The study and the comparison with experimental data, performed for the reactions Xe + Cu at 45 MeV/A and Xe + Sn at 50 MeV/A, have shown a remarkable agreement. Moreover we would like to stress that the theory does not contain any adjustable parameter. These results seem to give a strong indication of the possibility to observe a spinodal decomposition of nuclei. (author)

  11. A Column Generation Approach to the Capacitated Vehicle Routing Problem with Stochastic Demands

    DEFF Research Database (Denmark)

    Christiansen, Christian Holk; Lysgaard, Jens

    . The CVRPSD can be formulated as a Set Partitioning Problem. We show that, under the above assumptions on demands, the associated column generation subproblem can be solved using a dynamic programming scheme which is similar to that used in the case of deterministic demands. To evaluate the potential of our......In this article we introduce a new exact solution approach to the Capacitated Vehicle Routing Problem with Stochastic Demands (CVRPSD). In particular, we consider the case where all customer demands are distributed independently and where each customer's demand follows a Poisson distribution...

  12. Stochastic approach for round-off error analysis in computing application to signal processing algorithms

    International Nuclear Information System (INIS)

    Vignes, J.

    1986-01-01

    Any result of algorithms provided by a computer always contains an error resulting from floating-point arithmetic round-off error propagation. Furthermore signal processing algorithms are also generally performed with data containing errors. The permutation-perturbation method, also known under the name CESTAC (controle et estimation stochastique d'arrondi de calcul) is a very efficient practical method for evaluating these errors and consequently for estimating the exact significant decimal figures of any result of algorithms performed on a computer. The stochastic approach of this method, its probabilistic proof, and the perfect agreement between the theoretical and practical aspects are described in this paper [fr

  13. RF cavity design exploiting a new derivative-free trust region optimization approach

    Directory of Open Access Journals (Sweden)

    Abdel-Karim S.O. Hassan

    2015-11-01

    Full Text Available In this article, a novel derivative-free (DF surrogate-based trust region optimization approach is proposed. In the proposed approach, quadratic surrogate models are constructed and successively updated. The generated surrogate model is then optimized instead of the underlined objective function over trust regions. Truncated conjugate gradients are employed to find the optimal point within each trust region. The approach constructs the initial quadratic surrogate model using few data points of order O(n, where n is the number of design variables. The proposed approach adopts weighted least squares fitting for updating the surrogate model instead of interpolation which is commonly used in DF optimization. This makes the approach more suitable for stochastic optimization and for functions subject to numerical error. The weights are assigned to give more emphasis to points close to the current center point. The accuracy and efficiency of the proposed approach are demonstrated by applying it to a set of classical bench-mark test problems. It is also employed to find the optimal design of RF cavity linear accelerator with a comparison analysis with a recent optimization technique.

  14. Methodological approach to strategic performance optimization

    OpenAIRE

    Hell, Marko; Vidačić, Stjepan; Garača, Željko

    2009-01-01

    This paper presents a matrix approach to the measuring and optimization of organizational strategic performance. The proposed model is based on the matrix presentation of strategic performance, which follows the theoretical notions of the balanced scorecard (BSC) and strategy map methodologies, initially developed by Kaplan and Norton. Development of a quantitative record of strategic objectives provides an arena for the application of linear programming (LP), which is a mathematical tech...

  15. Stochastic approach to the derivation of emission limits for wastewater treatment plants.

    Science.gov (United States)

    Stransky, D; Kabelkova, I; Bares, V

    2009-01-01

    Stochastic approach to the derivation of WWTP emission limits meeting probabilistically defined environmental quality standards (EQS) is presented. The stochastic model is based on the mixing equation with input data defined by probability density distributions and solved by Monte Carlo simulations. The approach was tested on a study catchment for total phosphorus (P(tot)). The model assumes input variables independency which was proved for the dry-weather situation. Discharges and P(tot) concentrations both in the study creek and WWTP effluent follow log-normal probability distribution. Variation coefficients of P(tot) concentrations differ considerably along the stream (c(v)=0.415-0.884). The selected value of the variation coefficient (c(v)=0.420) affects the derived mean value (C(mean)=0.13 mg/l) of the P(tot) EQS (C(90)=0.2 mg/l). Even after supposed improvement of water quality upstream of the WWTP to the level of the P(tot) EQS, the WWTP emission limits calculated would be lower than the values of the best available technology (BAT). Thus, minimum dilution ratios for the meaningful application of the combined approach to the derivation of P(tot) emission limits for Czech streams are discussed.

  16. (Non-) homomorphic approaches to denoise intensity SAR images with non-local means and stochastic distances

    Science.gov (United States)

    Penna, Pedro A. A.; Mascarenhas, Nelson D. A.

    2018-02-01

    The development of new methods to denoise images still attract researchers, who seek to combat the noise with the minimal loss of resolution and details, like edges and fine structures. Many algorithms have the goal to remove additive white Gaussian noise (AWGN). However, it is not the only type of noise which interferes in the analysis and interpretation of images. Therefore, it is extremely important to expand the filters capacity to different noise models present in li-terature, for example the multiplicative noise called speckle that is present in synthetic aperture radar (SAR) images. The state-of-the-art algorithms in remote sensing area work with similarity between patches. This paper aims to develop two approaches using the non local means (NLM), developed for AWGN. In our research, we expanded its capacity for intensity SAR ima-ges speckle. The first approach is grounded on the use of stochastic distances based on the G0 distribution without transforming the data to the logarithm domain, like homomorphic transformation. It takes into account the speckle and backscatter to estimate the parameters necessary to compute the stochastic distances on NLM. The second method uses a priori NLM denoising with a homomorphic transformation and applies the inverse Gamma distribution to estimate the parameters that were used into NLM with stochastic distances. The latter method also presents a new alternative to compute the parameters for the G0 distribution. Finally, this work compares and analyzes the synthetic and real results of the proposed methods with some recent filters of the literature.

  17. A Monte Carlo Study on Multiple Output Stochastic Frontiers: Comparison of Two Approaches

    DEFF Research Database (Denmark)

    Henningsen, Geraldine; Henningsen, Arne; Jensen, Uwe

    , dividing all other output quantities by the selected output quantity, and using these ratios as regressors (OD). Another approach is the stochastic ray production frontier (SR) which transforms the output quantities into their Euclidean distance as the dependent variable and their polar coordinates......In the estimation of multiple output technologies in a primal approach, the main question is how to handle the multiple outputs. Often an output distance function is used, where the classical approach is to exploit its homogeneity property by selecting one output quantity as the dependent variable...... of both specifications for the case of a Translog output distance function with respect to different common statistical problems as well as problems arising as a consequence of zero values in the output quantities. Although, our results partly show clear reactions to statistical misspecifications...

  18. A stochastic approach for quantifying immigrant integration: the Spanish test case

    Science.gov (United States)

    Agliari, Elena; Barra, Adriano; Contucci, Pierluigi; Sandell, Richard; Vernia, Cecilia

    2014-10-01

    We apply stochastic process theory to the analysis of immigrant integration. Using a unique and detailed data set from Spain, we study the relationship between local immigrant density and two social and two economic immigration quantifiers for the period 1999-2010. As opposed to the classic time-series approach, by letting immigrant density play the role of ‘time’ and the quantifier the role of ‘space,’ it becomes possible to analyse the behavior of the quantifiers by means of continuous time random walks. Two classes of results are then obtained. First, we show that social integration quantifiers evolve following diffusion law, while the evolution of economic quantifiers exhibits ballistic dynamics. Second, we make predictions of best- and worst-case scenarios taking into account large local fluctuations. Our stochastic process approach to integration lends itself to interesting forecasting scenarios which, in the hands of policy makers, have the potential to improve political responses to integration problems. For instance, estimating the standard first-passage time and maximum-span walk reveals local differences in integration performance for different immigration scenarios. Thus, by recognizing the importance of local fluctuations around national means, this research constitutes an important tool to assess the impact of immigration phenomena on municipal budgets and to set up solid multi-ethnic plans at the municipal level as immigration pressures build.

  19. A stochastic approach for quantifying immigrant integration: the Spanish test case

    International Nuclear Information System (INIS)

    Agliari, Elena; Barra, Adriano; Contucci, Pierluigi; Sandell, Richard; Vernia, Cecilia

    2014-01-01

    We apply stochastic process theory to the analysis of immigrant integration. Using a unique and detailed data set from Spain, we study the relationship between local immigrant density and two social and two economic immigration quantifiers for the period 1999–2010. As opposed to the classic time-series approach, by letting immigrant density play the role of ‘time’ and the quantifier the role of ‘space,’ it becomes possible to analyse the behavior of the quantifiers by means of continuous time random walks. Two classes of results are then obtained. First, we show that social integration quantifiers evolve following diffusion law, while the evolution of economic quantifiers exhibits ballistic dynamics. Second, we make predictions of best- and worst-case scenarios taking into account large local fluctuations. Our stochastic process approach to integration lends itself to interesting forecasting scenarios which, in the hands of policy makers, have the potential to improve political responses to integration problems. For instance, estimating the standard first-passage time and maximum-span walk reveals local differences in integration performance for different immigration scenarios. Thus, by recognizing the importance of local fluctuations around national means, this research constitutes an important tool to assess the impact of immigration phenomena on municipal budgets and to set up solid multi-ethnic plans at the municipal level as immigration pressures build. (paper)

  20. A stochastic differential equations approach for the description of helium bubble size distributions in irradiated metals

    Science.gov (United States)

    Seif, Dariush; Ghoniem, Nasr M.

    2014-12-01

    A rate theory model based on the theory of nonlinear stochastic differential equations (SDEs) is developed to estimate the time-dependent size distribution of helium bubbles in metals under irradiation. Using approaches derived from Itô's calculus, rate equations for the first five moments of the size distribution in helium-vacancy space are derived, accounting for the stochastic nature of the atomic processes involved. In the first iteration of the model, the distribution is represented as a bivariate Gaussian distribution. The spread of the distribution about the mean is obtained by white-noise terms in the second-order moments, driven by fluctuations in the general absorption and emission of point defects by bubbles, and fluctuations stemming from collision cascades. This statistical model for the reconstruction of the distribution by its moments is coupled to a previously developed reduced-set, mean-field, rate theory model. As an illustrative case study, the model is applied to a tungsten plasma facing component under irradiation. Our findings highlight the important role of stochastic atomic fluctuations on the evolution of helium-vacancy cluster size distributions. It is found that when the average bubble size is small (at low dpa levels), the relative spread of the distribution is large and average bubble pressures may be very large. As bubbles begin to grow in size, average bubble pressures decrease, and stochastic fluctuations have a lessened effect. The distribution becomes tighter as it evolves in time, corresponding to a more uniform bubble population. The model is formulated in a general way, capable of including point defect drift due to internal temperature and/or stress gradients. These arise during pulsed irradiation, and also during steady irradiation as a result of externally applied or internally generated non-homogeneous stress fields. Discussion is given into how the model can be extended to include full spatial resolution and how the

  1. A stochastic differential equations approach for the description of helium bubble size distributions in irradiated metals

    International Nuclear Information System (INIS)

    Seif, Dariush; Ghoniem, Nasr M.

    2014-01-01

    A rate theory model based on the theory of nonlinear stochastic differential equations (SDEs) is developed to estimate the time-dependent size distribution of helium bubbles in metals under irradiation. Using approaches derived from Itô’s calculus, rate equations for the first five moments of the size distribution in helium–vacancy space are derived, accounting for the stochastic nature of the atomic processes involved. In the first iteration of the model, the distribution is represented as a bivariate Gaussian distribution. The spread of the distribution about the mean is obtained by white-noise terms in the second-order moments, driven by fluctuations in the general absorption and emission of point defects by bubbles, and fluctuations stemming from collision cascades. This statistical model for the reconstruction of the distribution by its moments is coupled to a previously developed reduced-set, mean-field, rate theory model. As an illustrative case study, the model is applied to a tungsten plasma facing component under irradiation. Our findings highlight the important role of stochastic atomic fluctuations on the evolution of helium–vacancy cluster size distributions. It is found that when the average bubble size is small (at low dpa levels), the relative spread of the distribution is large and average bubble pressures may be very large. As bubbles begin to grow in size, average bubble pressures decrease, and stochastic fluctuations have a lessened effect. The distribution becomes tighter as it evolves in time, corresponding to a more uniform bubble population. The model is formulated in a general way, capable of including point defect drift due to internal temperature and/or stress gradients. These arise during pulsed irradiation, and also during steady irradiation as a result of externally applied or internally generated non-homogeneous stress fields. Discussion is given into how the model can be extended to include full spatial resolution and how the

  2. A stochastic differential equations approach for the description of helium bubble size distributions in irradiated metals

    Energy Technology Data Exchange (ETDEWEB)

    Seif, Dariush, E-mail: dariush.seif@iwm-extern.fraunhofer.de [Fraunhofer Institut für Werkstoffmechanik, Freiburg 79108 (Germany); Department of Mechanical and Aerospace Engineering, University of California, Los Angeles, CA 90095-1597 (United States); Ghoniem, Nasr M. [Department of Mechanical and Aerospace Engineering, University of California, Los Angeles, CA 90095-1597 (United States)

    2014-12-15

    A rate theory model based on the theory of nonlinear stochastic differential equations (SDEs) is developed to estimate the time-dependent size distribution of helium bubbles in metals under irradiation. Using approaches derived from Itô’s calculus, rate equations for the first five moments of the size distribution in helium–vacancy space are derived, accounting for the stochastic nature of the atomic processes involved. In the first iteration of the model, the distribution is represented as a bivariate Gaussian distribution. The spread of the distribution about the mean is obtained by white-noise terms in the second-order moments, driven by fluctuations in the general absorption and emission of point defects by bubbles, and fluctuations stemming from collision cascades. This statistical model for the reconstruction of the distribution by its moments is coupled to a previously developed reduced-set, mean-field, rate theory model. As an illustrative case study, the model is applied to a tungsten plasma facing component under irradiation. Our findings highlight the important role of stochastic atomic fluctuations on the evolution of helium–vacancy cluster size distributions. It is found that when the average bubble size is small (at low dpa levels), the relative spread of the distribution is large and average bubble pressures may be very large. As bubbles begin to grow in size, average bubble pressures decrease, and stochastic fluctuations have a lessened effect. The distribution becomes tighter as it evolves in time, corresponding to a more uniform bubble population. The model is formulated in a general way, capable of including point defect drift due to internal temperature and/or stress gradients. These arise during pulsed irradiation, and also during steady irradiation as a result of externally applied or internally generated non-homogeneous stress fields. Discussion is given into how the model can be extended to include full spatial resolution and how the

  3. Stochastic Averaging and Stochastic Extremum Seeking

    CERN Document Server

    Liu, Shu-Jun

    2012-01-01

    Stochastic Averaging and Stochastic Extremum Seeking develops methods of mathematical analysis inspired by the interest in reverse engineering  and analysis of bacterial  convergence by chemotaxis and to apply similar stochastic optimization techniques in other environments. The first half of the text presents significant advances in stochastic averaging theory, necessitated by the fact that existing theorems are restricted to systems with linear growth, globally exponentially stable average models, vanishing stochastic perturbations, and prevent analysis over infinite time horizon. The second half of the text introduces stochastic extremum seeking algorithms for model-free optimization of systems in real time using stochastic perturbations for estimation of their gradients. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms...

  4. Graph-based stochastic control with constraints: A unified approach with perfect and imperfect measurements

    KAUST Repository

    Agha-mohammadi, Ali-akbar

    2013-06-01

    This paper is concerned with the problem of stochastic optimal control (possibly with imperfect measurements) in the presence of constraints. We propose a computationally tractable framework to address this problem. The method lends itself to sampling-based methods where we construct a graph in the state space of the problem, on which a Dynamic Programming (DP) is solved and a closed-loop feedback policy is computed. The constraints are seamlessly incorporated to the control policy selection by including their effect on the transition probabilities of the graph edges. We present a unified framework that is applicable both in the state space (with perfect measurements) and in the information space (with imperfect measurements).

  5. A stochastic algorithm for global optimization and for best populations: A test case of side chains in proteins

    Science.gov (United States)

    Glick, Meir; Rayan, Anwar; Goldblum, Amiram

    2002-01-01

    The problem of global optimization is pivotal in a variety of scientific fields. Here, we present a robust stochastic search method that is able to find the global minimum for a given cost function, as well as, in most cases, any number of best solutions for very large combinatorial “explosive” systems. The algorithm iteratively eliminates variable values that contribute consistently to the highest end of a cost function's spectrum of values for the full system. Values that have not been eliminated are retained for a full, exhaustive search, allowing the creation of an ordered population of best solutions, which includes the global minimum. We demonstrate the ability of the algorithm to explore the conformational space of side chains in eight proteins, with 54 to 263 residues, to reproduce a population of their low energy conformations. The 1,000 lowest energy solutions are identical in the stochastic (with two different seed numbers) and full, exhaustive searches for six of eight proteins. The others retain the lowest 141 and 213 (of 1,000) conformations, depending on the seed number, and the maximal difference between stochastic and exhaustive is only about 0.15 Kcal/mol. The energy gap between the lowest and highest of the 1,000 low-energy conformers in eight proteins is between 0.55 and 3.64 Kcal/mol. This algorithm offers real opportunities for solving problems of high complexity in structural biology and in other fields of science and technology. PMID:11792838

  6. Dissection of a Complex Disease Susceptibility Region Using a Bayesian Stochastic Search Approach to Fine Mapping.

    Directory of Open Access Journals (Sweden)

    Chris Wallace

    2015-06-01

    Full Text Available Identification of candidate causal variants in regions associated with risk of common diseases is complicated by linkage disequilibrium (LD and multiple association signals. Nonetheless, accurate maps of these variants are needed, both to fully exploit detailed cell specific chromatin annotation data to highlight disease causal mechanisms and cells, and for design of the functional studies that will ultimately be required to confirm causal mechanisms. We adapted a Bayesian evolutionary stochastic search algorithm to the fine mapping problem, and demonstrated its improved performance over conventional stepwise and regularised regression through simulation studies. We then applied it to fine map the established multiple sclerosis (MS and type 1 diabetes (T1D associations in the IL-2RA (CD25 gene region. For T1D, both stepwise and stochastic search approaches identified four T1D association signals, with the major effect tagged by the single nucleotide polymorphism, rs12722496. In contrast, for MS, the stochastic search found two distinct competing models: a single candidate causal variant, tagged by rs2104286 and reported previously using stepwise analysis; and a more complex model with two association signals, one of which was tagged by the major T1D associated rs12722496 and the other by rs56382813. There is low to moderate LD between rs2104286 and both rs12722496 and rs56382813 (r2 ≃ 0:3 and our two SNP model could not be recovered through a forward stepwise search after conditioning on rs2104286. Both signals in the two variant model for MS affect CD25 expression on distinct subpopulations of CD4+ T cells, which are key cells in the autoimmune process. The results support a shared causal variant for T1D and MS. Our study illustrates the benefit of using a purposely designed model search strategy for fine mapping and the advantage of combining disease and protein expression data.

  7. Maximum power tracking in WECS (Wind energy conversion systems) via numerical and stochastic approaches

    International Nuclear Information System (INIS)

    Elnaggar, M.; Abdel Fattah, H.A.; Elshafei, A.L.

    2014-01-01

    This paper presents a complete design of a two-level control system to capture maximum power in wind energy conversion systems. The upper level of the proposed control system adopts a modified line search optimization algorithm to determine a setpoint for the wind turbine speed. The calculated speed setpoint corresponds to the maximum power point at given operating conditions. The speed setpoint is fed to a generalized predictive controller at the lower level of the control system. A different formulation, that treats the aerodynamic torque as a disturbance, is postulated to derive the control law. The objective is to accurately track the setpoint while keeping the control action free from unacceptably fast or frequent variations. Simulation results based on a realistic model of a 1.5 MW wind turbine confirm the superiority of the proposed control scheme to the conventional ones. - Highlights: • The structure of a MPPT (maximum power point tracking) scheme is presented. • The scheme is divided into the optimization algorithm and the tracking controller. • The optimization algorithm is based on an online line search numerical algorithm. • The tracking controller is treating the aerodynamics torque as a loop disturbance. • The control technique is simulated with stochastic wind speed by Simulink and FAST

  8. Modeling flow in fractured medium. Uncertainty analysis with stochastic continuum approach

    International Nuclear Information System (INIS)

    Niemi, A.

    1994-01-01

    For modeling groundwater flow in formation-scale fractured media, no general method exists for scaling the highly heterogeneous hydraulic conductivity data to model parameters. The deterministic approach is limited in representing the heterogeneity of a medium and the application of fracture network models has both conceptual and practical limitations as far as site-scale studies are concerned. The study investigates the applicability of stochastic continuum modeling at the scale of data support. No scaling of the field data is involved, and the original variability is preserved throughout the modeling. Contributions of various aspects to the total uncertainty in the modeling prediction can also be determined with this approach. Data from five crystalline rock sites in Finland are analyzed. (107 refs., 63 figs., 7 tabs.)

  9. US residential energy demand and energy efficiency: A stochastic demand frontier approach

    International Nuclear Information System (INIS)

    Filippini, Massimo; Hunt, Lester C.

    2012-01-01

    This paper estimates a US frontier residential aggregate energy demand function using panel data for 48 ‘states’ over the period 1995 to 2007 using stochastic frontier analysis (SFA). Utilizing an econometric energy demand model, the (in)efficiency of each state is modeled and it is argued that this represents a measure of the inefficient use of residential energy in each state (i.e. ‘waste energy’). This underlying efficiency for the US is therefore observed for each state as well as the relative efficiency across the states. Moreover, the analysis suggests that energy intensity is not necessarily a good indicator of energy efficiency, whereas by controlling for a range of economic and other factors, the measure of energy efficiency obtained via this approach is. This is a novel approach to model residential energy demand and efficiency and it is arguably particularly relevant given current US energy policy discussions related to energy efficiency.

  10. Kinetics of subdiffusion-assisted reactions: non-Markovian stochastic Liouville equation approach

    International Nuclear Information System (INIS)

    Shushin, A I

    2005-01-01

    Anomalous specific features of the kinetics of subdiffusion-assisted bimolecular reactions (time-dependence, dependence on parameters of systems, etc) are analysed in detail with the use of the non-Markovian stochastic Liouville equation (SLE), which has been recently derived within the continuous-time random-walk (CTRW) approach. In the CTRW approach, subdiffusive motion of particles is modelled by jumps whose onset probability distribution function is of a long-tailed form. The non-Markovian SLE allows for rigorous describing of some peculiarities of these reactions; for example, very slow long-time behaviour of the kinetics, non-analytical dependence of the reaction rate on the reactivity of particles, strong manifestation of fluctuation kinetics showing itself in very slowly decreasing behaviour of the kinetics at very long times, etc

  11. Modeling Stochastic Complexity in Complex Adaptive Systems: Non-Kolmogorov Probability and the Process Algebra Approach.

    Science.gov (United States)

    Sulis, William H

    2017-10-01

    Walter Freeman III pioneered the application of nonlinear dynamical systems theories and methodologies in his work on mesoscopic brain dynamics.Sadly, mainstream psychology and psychiatry still cling to linear correlation based data analysis techniques, which threaten to subvert the process of experimentation and theory building. In order to progress, it is necessary to develop tools capable of managing the stochastic complexity of complex biopsychosocial systems, which includes multilevel feedback relationships, nonlinear interactions, chaotic dynamics and adaptability. In addition, however, these systems exhibit intrinsic randomness, non-Gaussian probability distributions, non-stationarity, contextuality, and non-Kolmogorov probabilities, as well as the absence of mean and/or variance and conditional probabilities. These properties and their implications for statistical analysis are discussed. An alternative approach, the Process Algebra approach, is described. It is a generative model, capable of generating non-Kolmogorov probabilities. It has proven useful in addressing fundamental problems in quantum mechanics and in the modeling of developing psychosocial systems.

  12. Optimal sensor locations for the backward Lagrangian stochastic technique in measuring lagoon gas emission

    Science.gov (United States)

    This study evaluated the impact of gas concentration and wind sensor locations on the accuracy of the backward Lagrangian stochastic inverse-dispersion technique (bLS) for measuring gas emission rates from a typical lagoon environment. Path-integrated concentrations (PICs) and 3-dimensional (3D) wi...

  13. Fixation of Cs to marine sediments estimated by a stochastic modelling approach.

    Science.gov (United States)

    Børretzen, Peer; Salbu, Brit

    2002-01-01

    irreversible sediment phase. while about 12.5 years are needed before 99.7% of the Cs ions are fixed. Thus, according to the model estimates the contact time between 137Cs ions leached from dumped waste and the Stepovogo Fjord sediment should be about 3 years before the sediment will act as an efficient permanent sink. Until then a significant fraction of 137Cs should be considered mobile. The stochastic modelling approach provides useful tools when assessing sediment-seawater interactions over time, and should be easily applicable to all sediment-seawater systems including a sink term.

  14. Reliability-redundancy optimization by means of a chaotic differential evolution approach

    International Nuclear Information System (INIS)

    Coelho, Leandro dos Santos

    2009-01-01

    The reliability design is related to the performance analysis of many engineering systems. The reliability-redundancy optimization problems involve selection of components with multiple choices and redundancy levels that produce maximum benefits, can be subject to the cost, weight, and volume constraints. Classical mathematical methods have failed in handling nonconvexities and nonsmoothness in optimization problems. As an alternative to the classical optimization approaches, the meta-heuristics have been given much attention by many researchers due to their ability to find an almost global optimal solution in reliability-redundancy optimization problems. Evolutionary algorithms (EAs) - paradigms of evolutionary computation field - are stochastic and robust meta-heuristics useful to solve reliability-redundancy optimization problems. EAs such as genetic algorithm, evolutionary programming, evolution strategies and differential evolution are being used to find global or near global optimal solution. A differential evolution approach based on chaotic sequences using Lozi's map for reliability-redundancy optimization problems is proposed in this paper. The proposed method has a fast convergence rate but also maintains the diversity of the population so as to escape from local optima. An application example in reliability-redundancy optimization based on the overspeed protection system of a gas turbine is given to show its usefulness and efficiency. Simulation results show that the application of deterministic chaotic sequences instead of random sequences is a possible strategy to improve the performance of differential evolution.

  15. Energy Management Strategy in Consideration of Battery Health for PHEV via Stochastic Control and Particle Swarm Optimization Algorithm

    Directory of Open Access Journals (Sweden)

    Yuying Wang

    2017-11-01

    Full Text Available This paper presents an energy management strategy for plug-in hybrid electric vehicles (PHEVs that not only tries to minimize the energy consumption, but also considers the battery health. First, a battery model that can be applied to energy management optimization is given. In this model, battery health damage can be estimated in the different states of charge (SOC and temperature of the battery pack. Then, because of the inevitability that limiting the battery health degradation will increase energy consumption, a Pareto energy management optimization problem is formed. This multi-objective optimal control problem is solved numerically by using stochastic dynamic programming (SDP and particle swarm optimization (PSO for satisfying the vehicle power demand and considering the tradeoff between energy consumption and battery health at the same time. The optimization solution is obtained offline by utilizing real historical traffic data and formed as mappings on the system operating states so as to implement online in the actual driving conditions. Finally, the simulation results carried out on the GT-SUITE-based PHEV test platform are illustrated to demonstrate that the proposed multi-objective optimal control strategy would effectively yield benefits.

  16. Optimal harvesting policy of a stochastic two-species competitive model with Lévy noise in a polluted environment

    Science.gov (United States)

    Zhao, Yu; Yuan, Sanling

    2017-07-01

    As well known that the sudden environmental shocks and toxicant can affect the population dynamics of fish species, a mechanistic understanding of how sudden environmental change and toxicant influence the optimal harvesting policy requires development. This paper presents the optimal harvesting of a stochastic two-species competitive model with Lévy noise in a polluted environment, where the Lévy noise is used to describe the sudden climate change. Due to the discontinuity of the Lévy noise, the classical optimal harvesting methods based on the explicit solution of the corresponding Fokker-Planck equation are invalid. The object of this paper is to fill up this gap and establish the optimal harvesting policy. By using of aggregation and ergodic methods, the approximation of the optimal harvesting effort and maximum expectation of sustainable yields are obtained. Numerical simulations are carried out to support these theoretical results. Our analysis shows that the Lévy noise and the mean stress measure of toxicant in organism may affect the optimal harvesting policy significantly.

  17. Stochastic approaches for time series forecasting of boron: a case study of Western Turkey.

    Science.gov (United States)

    Durdu, Omer Faruk

    2010-10-01

    In the present study, a seasonal and non-seasonal prediction of boron concentrations time series data for the period of 1996-2004 from Büyük Menderes river in western Turkey are addressed by means of linear stochastic models. The methodology presented here is to develop adequate linear stochastic models known as autoregressive integrated moving average (ARIMA) and multiplicative seasonal autoregressive integrated moving average (SARIMA) to predict boron content in the Büyük Menderes catchment. Initially, the Box-Whisker plots and Kendall's tau test are used to identify the trends during the study period. The measurements locations do not show significant overall trend in boron concentrations, though marginal increasing and decreasing trends are observed for certain periods at some locations. ARIMA modeling approach involves the following three steps: model identification, parameter estimation, and diagnostic checking. In the model identification step, considering the autocorrelation function (ACF) and partial autocorrelation function (PACF) results of boron data series, different ARIMA models are identified. The model gives the minimum Akaike information criterion (AIC) is selected as the best-fit model. The parameter estimation step indicates that the estimated model parameters are significantly different from zero. The diagnostic check step is applied to the residuals of the selected ARIMA models and the results indicate that the residuals are independent, normally distributed, and homoscadastic. For the model validation purposes, the predicted results using the best ARIMA models are compared to the observed data. The predicted data show reasonably good agreement with the actual data. The comparison of the mean and variance of 3-year (2002-2004) observed data vs predicted data from the selected best models show that the boron model from ARIMA modeling approaches could be used in a safe manner since the predicted values from these models preserve the basic

  18. Partial differential equation methods for stochastic dynamic optimization: an application to wind power generation with energy storage.

    Science.gov (United States)

    Johnson, Paul; Howell, Sydney; Duck, Peter

    2017-08-13

    A mixed financial/physical partial differential equation (PDE) can optimize the joint earnings of a single wind power generator (WPG) and a generic energy storage device (ESD). Physically, the PDE includes constraints on the ESD's capacity, efficiency and maximum speeds of charge and discharge. There is a mean-reverting daily stochastic cycle for WPG power output. Physically, energy can only be produced or delivered at finite rates. All suppliers must commit hourly to a finite rate of delivery C , which is a continuous control variable that is changed hourly. Financially, we assume heavy 'system balancing' penalties in continuous time, for deviations of output rate from the commitment C Also, the electricity spot price follows a mean-reverting stochastic cycle with a strong evening peak, when system balancing penalties also peak. Hence the economic goal of the WPG plus ESD, at each decision point, is to maximize expected net present value (NPV) of all earnings (arbitrage) minus the NPV of all expected system balancing penalties, along all financially/physically feasible future paths through state space. Given the capital costs for the various combinations of the physical parameters, the design and operating rules for a WPG plus ESD in a finite market may be jointly optimizable.This article is part of the themed issue 'Energy management: flexibility, risk and optimization'. © 2017 The Author(s).

  19. Stochastic Dynamic AC Optimal Power Flow Based on a Multivariate Short-Term Wind Power Scenario Forecasting Model

    Directory of Open Access Journals (Sweden)

    Wenlei Bai

    2017-12-01

    Full Text Available The deterministic methods generally used to solve DC optimal power flow (OPF do not fully capture the uncertainty information in wind power, and thus their solutions could be suboptimal. However, the stochastic dynamic AC OPF problem can be used to find an optimal solution by fully capturing the uncertainty information of wind power. That uncertainty information of future wind power can be well represented by the short-term future wind power scenarios that are forecasted using the generalized dynamic factor model (GDFM—a novel multivariate statistical wind power forecasting model. Furthermore, the GDFM can accurately represent the spatial and temporal correlations among wind farms through the multivariate stochastic process. Fully capturing the uncertainty information in the spatially and temporally correlated GDFM scenarios can lead to a better AC OPF solution under a high penetration level of wind power. Since the GDFM is a factor analysis based model, the computational time can also be reduced. In order to further reduce the computational time, a modified artificial bee colony (ABC algorithm is used to solve the AC OPF problem based on the GDFM forecasting scenarios. Using the modified ABC algorithm based on the GDFM forecasting scenarios has resulted in better AC OPF’ solutions on an IEEE 118-bus system at every hour for 24 h.

  20. The impact of short-term stochastic variability in solar irradiance on optimal microgrid design

    Energy Technology Data Exchange (ETDEWEB)

    Schittekatte, Tim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Pontificia Comillas Univ., Madrid (Spain); Florence School of Regulation, Firenze (Italy); Stadler, Michael [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Center for Energy Innovation Technologies, Hofamt Priel (Austria); Cardoso, Gonçalo [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Mashayekh, Salman [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Narayanan, Sankar [Microgrid Labs, Cary, NC (United States)

    2016-07-01

    This paper proposes a new methodology to capture the impact of fast moving clouds on utility power demand charges observed in microgrids with photovoltaic (PV) arrays, generators, and electrochemical energy storage. It consists of a statistical approach to introduce sub-hourly events in the hourly economic accounting process. The methodology is implemented in the Distributed Energy Resources Customer Adoption Model (DER-CAM), a state of the art mixed integer linear model used to optimally size DER in decentralized energy systems. Results suggest that previous iterations of DER-CAM could undersize battery capacities. The improved model depicts more accurately the economic value of PV as well as the synergistic benefits of pairing PV with storage.

  1. A patchwork approach to stochastic simulation: A route towards the analysis of morphology in multiphase systems

    Energy Technology Data Exchange (ETDEWEB)

    El Ouassini, Ayoub [Ecole Polytechnique de Montreal, C.P. 6079, Station centre-ville, Montreal, Que., H3C-3A7 (Canada)], E-mail: ayoub.el-ouassini@polymtl.ca; Saucier, Antoine [Ecole Polytechnique de Montreal, departement de mathematiques et de genie industriel, C.P. 6079, Station centre-ville, Montreal, Que., H3C-3A7 (Canada)], E-mail: antoine.saucier@polymtl.ca; Marcotte, Denis [Ecole Polytechnique de Montreal, departement de genie civil, geologique et minier, C.P. 6079, Station centre-ville, Montreal, Que., H3C-3A7 (Canada)], E-mail: denis.marcotte@polymtl.ca; Favis, Basil D. [Ecole Polytechnique de Montreal, departement de genie chimique, C.P. 6079, Station centre-ville, Montreal, Que., H3C-3A7 (Canada)], E-mail: basil.favis@polymtl.ca

    2008-04-15

    We propose a new sequential stochastic simulation approach for black and white images in which we focus on the accurate reproduction of the small scale geometry. Our approach aims at reproducing correctly the connectivity properties and the geometry of clusters which are small with respect to a given length scale called block size. Our method is based on the analysis of statistical relationships between adjacent square pieces of image called blocks. We estimate the transition probabilities between adjacent blocks of pixels in a training image. The simulations are constructed by juxtaposing one by one square blocks of pixels, hence the term patchwork simulations. We compare the performance of patchwork simulations with Strebelle's multipoint simulation algorithm on several types of images of increasing complexity. For images composed of clusters which are small with respect to the block size (e.g. squares, discs and sticks), our patchwork approach produces better results than Strebelle's method. The most noticeable improvement is that the cluster geometry is usually reproduced accurately. The accuracy of the patchwork approach is limited primarily by the block size. Clusters which are significantly larger than the block size are usually not reproduced accurately. As an example, we applied this approach to the analysis of a co-continuous polymer blend morphology as derived from an electron microscope micrograph.

  2. A patchwork approach to stochastic simulation: A route towards the analysis of morphology in multiphase systems

    International Nuclear Information System (INIS)

    El Ouassini, Ayoub; Saucier, Antoine; Marcotte, Denis; Favis, Basil D.

    2008-01-01

    We propose a new sequential stochastic simulation approach for black and white images in which we focus on the accurate reproduction of the small scale geometry. Our approach aims at reproducing correctly the connectivity properties and the geometry of clusters which are small with respect to a given length scale called block size. Our method is based on the analysis of statistical relationships between adjacent square pieces of image called blocks. We estimate the transition probabilities between adjacent blocks of pixels in a training image. The simulations are constructed by juxtaposing one by one square blocks of pixels, hence the term patchwork simulations. We compare the performance of patchwork simulations with Strebelle's multipoint simulation algorithm on several types of images of increasing complexity. For images composed of clusters which are small with respect to the block size (e.g. squares, discs and sticks), our patchwork approach produces better results than Strebelle's method. The most noticeable improvement is that the cluster geometry is usually reproduced accurately. The accuracy of the patchwork approach is limited primarily by the block size. Clusters which are significantly larger than the block size are usually not reproduced accurately. As an example, we applied this approach to the analysis of a co-continuous polymer blend morphology as derived from an electron microscope micrograph

  3. Optimal control of switching time in switched stochastic systems with multi-switching times and different costs

    Science.gov (United States)

    Liu, Xiaomei; Li, Shengtao; Zhang, Kanjian

    2017-08-01

    In this paper, we solve an optimal control problem for a class of time-invariant switched stochastic systems with multi-switching times, where the objective is to minimise a cost functional with different costs defined on the states. In particular, we focus on problems in which a pre-specified sequence of active subsystems is given and the switching times are the only control variables. Based on the calculus of variation, we derive the gradient of the cost functional with respect to the switching times on an especially simple form, which can be directly used in gradient descent algorithms to locate the optimal switching instants. Finally, a numerical example is given, highlighting the validity of the proposed methodology.

  4. An effective streamflow process model for optimal reservoir operation using stochastic dual dynamic programming

    OpenAIRE

    Raso , L.; Malaterre , P.O.; Bader , J.C.

    2017-01-01

    International audience; This article presents an innovative streamflow process model for use in reservoir operational rule design in stochastic dual dynamic programming (SDDP). Model features, which can be applied independently, are (1) a multiplicative process model for the forward phase and its linearized version for the backward phase; and (2) a nonuniform time-step length that is inversely proportional to seasonal variability. The advantages are (1) guaranteeing positive streamflow values...

  5. Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons

    OpenAIRE

    Guillermo Gallego; Garrett van Ryzin

    1994-01-01

    In many industries, managers face the problem of selling a given stock of items by a deadline. We investigate the problem of dynamically pricing such inventories when demand is price sensitive and stochastic and the firm's objective is to maximize expected revenues. Examples that fit this framework include retailers selling fashion and seasonal goods and the travel and leisure industry, which markets space such as seats on airline flights, cabins on vacation cruises, and rooms in hotels that ...

  6. A Two-Stage Stochastic Mixed-Integer Programming Approach to the Smart House Scheduling Problem

    Science.gov (United States)

    Ozoe, Shunsuke; Tanaka, Yoichi; Fukushima, Masao

    A “Smart House” is a highly energy-optimized house equipped with photovoltaic systems (PV systems), electric battery systems, fuel cell cogeneration systems (FC systems), electric vehicles (EVs) and so on. Smart houses are attracting much attention recently thanks to their enhanced ability to save energy by making full use of renewable energy and by achieving power grid stability despite an increased power draw for installed PV systems. Yet running a smart house's power system, with its multiple power sources and power storages, is no simple task. In this paper, we consider the problem of power scheduling for a smart house with a PV system, an FC system and an EV. We formulate the problem as a mixed integer programming problem, and then extend it to a stochastic programming problem involving recourse costs to cope with uncertain electricity demand, heat demand and PV power generation. Using our method, we seek to achieve the optimal power schedule running at the minimum expected operation cost. We present some results of numerical experiments with data on real-life demands and PV power generation to show the effectiveness of our method.

  7. Omega-optimized portfolios: applying stochastic dominance criterion for the selection of the threshold return

    Directory of Open Access Journals (Sweden)

    Renaldas Vilkancas

    2016-05-01

    Full Text Available Purpose of the article: While using asymmetric risk-return measures an important role is played by selection of the investor‘s required or threshold rate of return. The scientific literature usually states that every investor should define this rate according to their degree of risk aversion. In this paper, it is attempted to look at the problem from a different perspective – empirical research is aimed at determining the influence of the threshold rate of return on the portfolio characteristics. Methodology/methods: In order to determine the threshold rate of return a stochastic dominance criterion was used. The results are verified using the commonly applied method of backtesting. Scientific aim: The aim of this paper is to propose a method allowing selecting the threshold rate of return reliably and objectively. Findings: Empirical research confirms that stochastic dominance criteria can be successfully applied to determine the rate of return preferred by the investor. Conclusions: A risk-free investment rate or simply a zero rate of return commonly used in practice is often justified neither by theoretical nor empirical studies. This work suggests determining the threshold rate of return by applying the stochastic dominance criterion

  8. On the optimal polynomial approximation of stochastic PDEs by galerkin and collocation methods

    KAUST Repository

    Beck, Joakim; Tempone, Raul; Nobile, Fabio; Tamellini, Lorenzo

    2012-01-01

    In this work we focus on the numerical approximation of the solution u of a linear elliptic PDE with stochastic coefficients. The problem is rewritten as a parametric PDE and the functional dependence of the solution on the parameters is approximated by multivariate polynomials. We first consider the stochastic Galerkin method, and rely on sharp estimates for the decay of the Fourier coefficients of the spectral expansion of u on an orthogonal polynomial basis to build a sequence of polynomial subspaces that features better convergence properties, in terms of error versus number of degrees of freedom, than standard choices such as Total Degree or Tensor Product subspaces. We consider then the Stochastic Collocation method, and use the previous estimates to introduce a new class of Sparse Grids, based on the idea of selecting a priori the most profitable hierarchical surpluses, that, again, features better convergence properties compared to standard Smolyak or tensor product grids. Numerical results show the effectiveness of the newly introduced polynomial spaces and sparse grids. © 2012 World Scientific Publishing Company.

  9. On the optimal polynomial approximation of stochastic PDEs by galerkin and collocation methods

    KAUST Repository

    Beck, Joakim

    2012-09-01

    In this work we focus on the numerical approximation of the solution u of a linear elliptic PDE with stochastic coefficients. The problem is rewritten as a parametric PDE and the functional dependence of the solution on the parameters is approximated by multivariate polynomials. We first consider the stochastic Galerkin method, and rely on sharp estimates for the decay of the Fourier coefficients of the spectral expansion of u on an orthogonal polynomial basis to build a sequence of polynomial subspaces that features better convergence properties, in terms of error versus number of degrees of freedom, than standard choices such as Total Degree or Tensor Product subspaces. We consider then the Stochastic Collocation method, and use the previous estimates to introduce a new class of Sparse Grids, based on the idea of selecting a priori the most profitable hierarchical surpluses, that, again, features better convergence properties compared to standard Smolyak or tensor product grids. Numerical results show the effectiveness of the newly introduced polynomial spaces and sparse grids. © 2012 World Scientific Publishing Company.

  10. Optimal stochastic scheduling of CHP-PEMFC, WT, PV units and hydrogen storage in reconfigurable micro grids considering reliability enhancement

    International Nuclear Information System (INIS)

    Bornapour, Mosayeb; Hooshmand, Rahmat-Allah; Khodabakhshian, Amin; Parastegari, Moein

    2017-01-01

    Highlights: • Stochastic model is proposed for coordinated scheduling of renewable energy sources. • The effect of combined heat and power is considered. • Uncertainties of wind speed, solar radiation and electricity market price are considered. • Profit maximization, emission and AENS minimization are considered as objective functions. • Modified firefly algorithm is employed to solve the problem. - Abstract: Nowadays the operation of renewable energy sources and combined heat and power (CHP) units is increased in micro grids; therefore, to reach optimal performance, optimal scheduling of these units is required. In this regard, in this paper a micro grid consisting of proton exchange membrane fuel cell-combined heat and power (PEMFC-CHP), wind turbines (WT) and photovoltaic (PV) units, is modeled to determine the optimal scheduling state of these units by considering uncertain behavior of renewable energy resources. For this purpose, a scenario-based method is used for modeling the uncertainties of electrical market price, the wind speed, and solar irradiance. It should be noted that the hydrogen storage strategy is also applied in this study for PEMFC-CHP units. Market profit, total emission production, and average energy not supplied (AENS) are the objective functions considered in this paper simultaneously. Consideration of the above-mentioned objective functions converts the proposed problem to a mixed integer nonlinear programming. To solve this problem, a multi-objective firefly algorithm is used. The uncertainties of parameters convert the mixed integer nonlinear programming problem to a stochastic mixed integer nonlinear programming problem. Moreover, optimal coordinated scheduling of renewable energy resources and thermal units in micro-grids improve the value of the objective functions. Simulation results obtained from a modified 33-bus distributed network as a micro grid illustrates the effectiveness of the proposed method.

  11. Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach

    International Nuclear Information System (INIS)

    Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung

    2010-01-01

    This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification.

  12. Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach

    Energy Technology Data Exchange (ETDEWEB)

    Lean, Hooi Hooi [Economics Program, School of Social Sciences, Universiti Sains Malaysia (Malaysia); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, and, Tinbergen Institute (Netherlands); Wong, Wing-Keung, E-mail: awong@hkbu.edu.h [Department of Economics, Hong Kong Baptist University (Hong Kong)

    2010-09-15

    This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification.

  13. Market efficiency of oil spot and futures. A mean-variance and stochastic dominance approach

    Energy Technology Data Exchange (ETDEWEB)

    Lean, Hooi Hooi [Economics Program, School of Social Sciences, Universiti Sains Malaysia (Malaysia); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam (Netherlands); Wong, Wing-Keung [Department of Economics, Hong Kong Baptist University (China); Tinbergen Institute (Netherlands)

    2010-09-15

    This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification. (author)

  14. An approach to the drone fleet survivability assessment based on a stochastic continues-time model

    Science.gov (United States)

    Kharchenko, Vyacheslav; Fesenko, Herman; Doukas, Nikos

    2017-09-01

    An approach and the algorithm to the drone fleet survivability assessment based on a stochastic continues-time model are proposed. The input data are the number of the drones, the drone fleet redundancy coefficient, the drone stability and restoration rate, the limit deviation from the norms of the drone fleet recovery, the drone fleet operational availability coefficient, the probability of the drone failure-free operation, time needed for performing the required tasks by the drone fleet. The ways for improving the recoverable drone fleet survivability taking into account amazing factors of system accident are suggested. Dependencies of the drone fleet survivability rate both on the drone stability and the number of the drones are analysed.

  15. Handbook of simulation optimization

    CERN Document Server

    Fu, Michael C

    2014-01-01

    The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation, ranking and selection, efficient simulation budget allocation, random search methods, response surface methodology, stochastic gradient estimation, stochastic approximation, sample average approximation, stochastic constraints, variance reduction techniques, model-based stochastic search methods and Markov decision processes. This single volume should serve as a reference for those already in the field and as a means for those new to the field for understanding and applying the main approaches. The intended audience includes researchers, practitioners and graduate students in the business/engineering fields of operations research, management science,...

  16. Stochastic level-set variational implicit-solvent approach to solute-solvent interfacial fluctuations

    Energy Technology Data Exchange (ETDEWEB)

    Zhou, Shenggao, E-mail: sgzhou@suda.edu.cn, E-mail: bli@math.ucsd.edu [Department of Mathematics and Mathematical Center for Interdiscipline Research, Soochow University, 1 Shizi Street, Jiangsu, Suzhou 215006 (China); Sun, Hui; Cheng, Li-Tien [Department of Mathematics, University of California, San Diego, La Jolla, California 92093-0112 (United States); Dzubiella, Joachim [Soft Matter and Functional Materials, Helmholtz-Zentrum Berlin, 14109 Berlin, Germany and Institut für Physik, Humboldt-Universität zu Berlin, 12489 Berlin (Germany); Li, Bo, E-mail: sgzhou@suda.edu.cn, E-mail: bli@math.ucsd.edu [Department of Mathematics and Quantitative Biology Graduate Program, University of California, San Diego, La Jolla, California 92093-0112 (United States); McCammon, J. Andrew [Department of Chemistry and Biochemistry, Department of Pharmacology, Howard Hughes Medical Institute, University of California, San Diego, La Jolla, California 92093-0365 (United States)

    2016-08-07

    Recent years have seen the initial success of a variational implicit-solvent model (VISM), implemented with a robust level-set method, in capturing efficiently different hydration states and providing quantitatively good estimation of solvation free energies of biomolecules. The level-set minimization of the VISM solvation free-energy functional of all possible solute-solvent interfaces or dielectric boundaries predicts an equilibrium biomolecular conformation that is often close to an initial guess. In this work, we develop a theory in the form of Langevin geometrical flow to incorporate solute-solvent interfacial fluctuations into the VISM. Such fluctuations are crucial to biomolecular conformational changes and binding process. We also develop a stochastic level-set method to numerically implement such a theory. We describe the interfacial fluctuation through the “normal velocity” that is the solute-solvent interfacial force, derive the corresponding stochastic level-set equation in the sense of Stratonovich so that the surface representation is independent of the choice of implicit function, and develop numerical techniques for solving such an equation and processing the numerical data. We apply our computational method to study the dewetting transition in the system of two hydrophobic plates and a hydrophobic cavity of a synthetic host molecule cucurbit[7]uril. Numerical simulations demonstrate that our approach can describe an underlying system jumping out of a local minimum of the free-energy functional and can capture dewetting transitions of hydrophobic systems. In the case of two hydrophobic plates, we find that the wavelength of interfacial fluctuations has a strong influence to the dewetting transition. In addition, we find that the estimated energy barrier of the dewetting transition scales quadratically with the inter-plate distance, agreeing well with existing studies of molecular dynamics simulations. Our work is a first step toward the

  17. The costs of electricity systems with a high share of fluctutating renewables. A stochastic investment and dispatch optimization model for Europe

    International Nuclear Information System (INIS)

    Nagl, Stephan; Fuersch, Michaela; Lindenberger, Dietmar

    2012-01-01

    Renewable energies are meant to produce a large share of the future electricity demand. However, the availability of wind and solar power depends on local weather conditions and therefore weather characteristics must be considered when optimizing the future electricity mix. In this article we analyze the impact of the stochastic availability of wind and solar energy on the cost-minimal power plant mix and the related total system costs. To determine optimal conventional, renewable and storage capacities for different shares of renewables, we apply a stochastic investment and dispatch optimization model to the European electricity market. The model considers stochastic feed-in structures and full load hours of wind and solar technologies and different correlations between regions and technologies. Key findings include the overestimation of fluctuating renewables and underestimation of total system costs compared to deterministic investment and dispatch models. Furthermore, solar technologies are - relative to wind turbines - underestimated when neglecting negative correlations between wind speeds and solar radiation.

  18. Outage optimization - the US experience and approach

    International Nuclear Information System (INIS)

    LaPlatney, J.

    2007-01-01

    Sustainable development of Nuclear Energy depends heavily on excellent performance of the existing fleet which in turn depends heavily on the performance of planned outages. Some reactor fleets, for example Finland and Germany, have demonstrated sustained good outage performance from their start of commercial operation. Others, such as the US, have improved performance over time. The principles behind a successful outage optimization process are: -) duration is not sole measure of outage success, -) outage work must be performed safely, -) scope selection must focus on improving plant material condition to improve reliability, -) all approved outage work must be completed, -) work must be done cost effectively, -) post-outage plant reliability is a key measure of outage success, and -) outage lessons learned must be effectively implemented to achieve continuous improvement. This approach has proven its superiority over simple outage shortening, and has yielded good results in the US fleet over the past 15 years

  19. The optimization model for multi-type customers assisting wind power consumptive considering uncertainty and demand response based on robust stochastic theory

    International Nuclear Information System (INIS)

    Tan, Zhongfu; Ju, Liwei; Reed, Brent; Rao, Rao; Peng, Daoxin; Li, Huanhuan; Pan, Ge

    2015-01-01

    Highlights: • Our research focuses on demand response behaviors of multi-type customers. • A wind power simulation method is proposed based on the Brownian motion theory. • Demand response revenue functions are proposed for multi-type customers. • A robust stochastic optimization model is proposed for wind power consumptive. • Models are built to measure the impacts of demand response on wind power consumptive. - Abstract: In order to relieve the influence of wind power uncertainty on power system operation, demand response and robust stochastic theory are introduced to build a stochastic scheduling optimization model. Firstly, this paper presents a simulation method for wind power considering external environment based on Brownian motion theory. Secondly, price-based demand response and incentive-based demand response are introduced to build demand response model. Thirdly, the paper constructs the demand response revenue functions for electric vehicle customers, business customers, industry customers and residential customers. Furthermore, robust stochastic optimization theory is introduced to build a wind power consumption stochastic optimization model. Finally, simulation analysis is taken in the IEEE 36 nodes 10 units system connected with 650 MW wind farms. The results show the robust stochastic optimization theory is better to overcome wind power uncertainty. Demand response can improve system wind power consumption capability. Besides, price-based demand response could transform customers’ load demand distribution, but its load curtailment capacity is not as obvious as incentive-based demand response. Since price-based demand response cannot transfer customer’s load demand as the same as incentive-based demand response, the comprehensive optimization effect will reach best when incentive-based demand response and price-based demand response are both introduced.

  20. A stochastic approach to long term operation planning of hydrothermal systems; Uma abordagem estocastica para o planejamento a longo prazo da operacao de sistemas hidrotermicos

    Energy Technology Data Exchange (ETDEWEB)

    Andrade, Marinho G. [Sao Paulo Univ., Sao Carlos, SP (Brazil). Inst. de Ciencias Matematicas; Soares, Secundino; Cruz Junior, Gelson da; Vinhal, Cassio D.N. [Universidade Estadual de Campinas, SP (Brazil). Faculdade de Engenharia Eletrica

    1996-01-01

    This paper is concerned with long term operation of hydro-thermal power systems. The problem is approached by a deterministic optimization technique coupled to an inflow forecasting model in open-loop feedback framework in monthly basis. The paper aims to compare the solution obtained by this approach and Stochastic Dynamic Programming (SDP), which has been accepted for over than two decades as the better solution to deal with inflow uncertainty in long term planning. The comparison was carried out in systems with a single plant, simulating the operation throughout a period of five years under the historical inflow conditions and evaluating the cost of the complementary thermal generation. Results show that the proposed approach can handle uncertainty as effectively as SDP. Furthermore, it does not require modeling simplification, such as composite reservoirs, to deal with multi hydro plant systems. 10 refs., 1 tab.

  1. Fast image reconstruction for Compton camera using stochastic origin ensemble approach.

    Science.gov (United States)

    Andreyev, Andriy; Sitek, Arkadiusz; Celler, Anna

    2011-01-01

    Compton camera has been proposed as a potential imaging tool in astronomy, industry, homeland security, and medical diagnostics. Due to the inherent geometrical complexity of Compton camera data, image reconstruction of distributed sources can be ineffective and/or time-consuming when using standard techniques such as filtered backprojection or maximum likelihood-expectation maximization (ML-EM). In this article, the authors demonstrate a fast reconstruction of Compton camera data using a novel stochastic origin ensembles (SOE) approach based on Markov chains. During image reconstruction, the origins of the measured events are randomly assigned to locations on conical surfaces, which are the Compton camera analogs of lines-of-responses in PET. Therefore, the image is defined as an ensemble of origin locations of all possible event origins. During the course of reconstruction, the origins of events are stochastically moved and the acceptance of the new event origin is determined by the predefined acceptance probability, which is proportional to the change in event density. For example, if the event density at the new location is higher than in the previous location, the new position is always accepted. After several iterations, the reconstructed distribution of origins converges to a quasistationary state which can be voxelized and displayed. Comparison with the list-mode ML-EM reveals that the postfiltered SOE algorithm has similar performance in terms of image quality while clearly outperforming ML-EM in relation to reconstruction time. In this study, the authors have implemented and tested a new image reconstruction algorithm for the Compton camera based on the stochastic origin ensembles with Markov chains. The algorithm uses list-mode data, is parallelizable, and can be used for any Compton camera geometry. SOE algorithm clearly outperforms list-mode ML-EM for simple Compton camera geometry in terms of reconstruction time. The difference in computational time

  2. Existence of the Optimal Control for Stochastic Boundary Control Problems Governed by Semilinear Parabolic Equations

    Directory of Open Access Journals (Sweden)

    Weifeng Wang

    2014-01-01

    Full Text Available We study an optimal control problem governed by a semilinear parabolic equation, whose control variable is contained only in the boundary condition. An existence theorem for the optimal control is obtained.

  3. A real-space stochastic density matrix approach for density functional electronic structure.

    Science.gov (United States)

    Beck, Thomas L

    2015-12-21

    The recent development of real-space grid methods has led to more efficient, accurate, and adaptable approaches for large-scale electrostatics and density functional electronic structure modeling. With the incorporation of multiscale techniques, linear-scaling real-space solvers are possible for density functional problems if localized orbitals are used to represent the Kohn-Sham energy functional. These methods still suffer from high computational and storage overheads, however, due to extensive matrix operations related to the underlying wave function grid representation. In this paper, an alternative stochastic method is outlined that aims to solve directly for the one-electron density matrix in real space. In order to illustrate aspects of the method, model calculations are performed for simple one-dimensional problems that display some features of the more general problem, such as spatial nodes in the density matrix. This orbital-free approach may prove helpful considering a future involving increasingly parallel computing architectures. Its primary advantage is the near-locality of the random walks, allowing for simultaneous updates of the density matrix in different regions of space partitioned across the processors. In addition, it allows for testing and enforcement of the particle number and idempotency constraints through stabilization of a Feynman-Kac functional integral as opposed to the extensive matrix operations in traditional approaches.

  4. SU-F-T-182: A Stochastic Approach to Daily QA Tolerances On Spot Properties for Proton Pencil Beam Scanning

    International Nuclear Information System (INIS)

    St James, S; Bloch, C; Saini, J

    2016-01-01

    Purpose: Proton pencil beam scanning is used clinically across the United States. There are no current guidelines on tolerances for daily QA specific to pencil beam scanning, specifically related to the individual spot properties (spot width). Using a stochastic method to determine tolerances has the potential to optimize tolerances on individual spots and decrease the number of false positive failures in daily QA. Individual and global spot tolerances were evaluated. Methods: As part of daily QA for proton pencil beam scanning, a field of 16 spots (corresponding to 8 energies) is measured using an array of ion chambers (Matrixx, IBA). Each individual spot is fit to two Gaussian functions (x,y). The spot width (σ) in × and y are recorded (32 parameters). Results from the daily QA were retrospectively analyzed for 100 days of data. The deviations of the spot widths were histogrammed and fit to a Gaussian function. The stochastic spot tolerance was taken to be the mean ± 3σ. Using these results, tolerances were developed and tested against known deviations in spot width. Results: The individual spot tolerances derived with the stochastic method decreased in 30/32 instances. Using the previous tolerances (± 20% width), the daily QA would have detected 0/20 days of the deviation. Using a tolerance of any 6 spots failing the stochastic tolerance, 18/20 days of the deviation would have been detected. Conclusion: Using a stochastic method we have been able to decrease daily tolerances on the spot widths for 30/32 spot widths measured. The stochastic tolerances can lead to detection of deviations that previously would have been picked up on monthly QA and missed by daily QA. This method could be easily extended for evaluation of other QA parameters in proton spot scanning.

  5. 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.

  6. A Stochastic Programming Approach for a Multi-Site Supply Chain Planning in Textile and Apparel Industry under Demand Uncertainty

    Directory of Open Access Journals (Sweden)

    Houssem Felfel

    2015-11-01

    Full Text Available In this study, a new stochastic model is proposed to deal with a multi-product, multi-period, multi-stage, multi-site production and transportation supply chain planning problem under demand uncertainty. A two-stage stochastic linear programming approach is used to maximize the expected profit. Decisions such as the production amount, the inventory level of finished and semi-finished product, the amount of backorder and the quantity of products to be transported between upstream and downstream plants in each period are considered. The robustness of production supply chain plan is then evaluated using statistical and risk measures. A case study from a real textile and apparel industry is shown in order to compare the performances of the proposed stochastic programming model and the deterministic model.

  7. Tuning of PID controller for an automatic regulator voltage system using chaotic optimization approach

    International Nuclear Information System (INIS)

    Santos Coelho, Leandro dos

    2009-01-01

    Despite the popularity, the tuning aspect of proportional-integral-derivative (PID) controllers is a challenge for researchers and plant operators. Various controllers tuning methodologies have been proposed in the literature such as auto-tuning, self-tuning, pattern recognition, artificial intelligence, and optimization methods. Chaotic optimization algorithms as an emergent method of global optimization have attracted much attention in engineering applications. Chaotic optimization algorithms, which have the features of easy implementation, short execution time and robust mechanisms of escaping from local optimum, is a promising tool for engineering applications. In this paper, a tuning method for determining the parameters of PID control for an automatic regulator voltage (AVR) system using a chaotic optimization approach based on Lozi map is proposed. Since chaotic mapping enjoys certainty, ergodicity and the stochastic property, the proposed chaotic optimization introduces chaos mapping using Lozi map chaotic sequences which increases its convergence rate and resulting precision. Simulation results are promising and show the effectiveness of the proposed approach. Numerical simulations based on proposed PID control of an AVR system for nominal system parameters and step reference voltage input demonstrate the good performance of chaotic optimization.

  8. Optimal combination of signals from colocated gravitational wave interferometers for use in searches for a stochastic background

    International Nuclear Information System (INIS)

    Lazzarini, Albert; Reilly, Kaice; Whitcomb, Stan; Bose, Sukanta; Fritschel, Peter; McHugh, Martin; Whelan, John T.; Regimbau, Tania; Romano, Joseph D.; Whiting, Bernard F.

    2004-01-01

    This article derives an optimal (i.e., unbiased, minimum variance) estimator for the pseudodetector strain for a pair of colocated gravitational wave interferometers (such as the pair of LIGO interferometers at its Hanford Observatory), allowing for possible instrumental correlations between the two detectors. The technique is robust and does not involve any assumptions or approximations regarding the relative strength of gravitational wave signals in the Hanford pair with respect to other sources of correlated instrumental or environmental noise. An expression is given for the effective power spectral density of the combined noise in the pseudodetector. This can then be introduced into the standard optimal Wiener filter used to cross-correlate detector data streams in order to obtain an optimal estimate of the stochastic gravitational wave background. In addition, a dual to the optimal estimate of strain is derived. This dual is constructed to contain no gravitational wave signature and can thus be used as an 'off-source' measurement to test algorithms used in the 'on-source' observation

  9. Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach

    Directory of Open Access Journals (Sweden)

    Konstantinos Kiriakopoulos

    2014-10-01

    Full Text Available In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The numerical approximation scheme is presented and applied using a single factor interest rate model. It is shown how the whole methodology works in practice, with the implementation of the algorithm for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR and Conditional Value at Risk (CVAR techniques, although very useful and easy to understand, fail to grasp the need for on-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified and controlled in every possible state of the world. We hope that this methodology contributes towards this direction.

  10. In-Band α-Duplex Scheme for Cellular Networks: A Stochastic Geometry Approach

    KAUST Repository

    Alammouri, Ahmad

    2016-07-13

    In-band full-duplex (FD) communications have been optimistically promoted to improve the spectrum utilization and efficiency. However, the penetration of FD communications to the cellular networks domain is challenging due to the imposed uplink/downlink interference. This paper presents a tractable framework, based on stochastic geometry, to study FD communications in cellular networks. Particularly, we assess the FD communications effect on the network performance and quantify the associated gains. The study proves the vulnerability of the uplink to the downlink interference and shows that FD rate gains harvested in the downlink (up to 97%) come at the expense of a significant degradation in the uplink rate (up to 94%). Therefore, we propose a novel fine-grained duplexing scheme, denoted as -duplex scheme, which allows a partial overlap between the uplink and the downlink frequency bands. We derive the required conditions to harvest rate gains from the -duplex scheme and show its superiority to both the FD and half-duplex (HD) schemes. In particular, we show that the -duplex scheme provides a simultaneous improvement of 28% for the downlink rate and 56% for the uplink rate. Finally, we show that the amount of the overlap can be optimized based on the network design objective.

  11. Breaking the theoretical scaling limit for predicting quasiparticle energies: the stochastic GW approach.

    Science.gov (United States)

    Neuhauser, Daniel; Gao, Yi; Arntsen, Christopher; Karshenas, Cyrus; Rabani, Eran; Baer, Roi

    2014-08-15

    We develop a formalism to calculate the quasiparticle energy within the GW many-body perturbation correction to the density functional theory. The occupied and virtual orbitals of the Kohn-Sham Hamiltonian are replaced by stochastic orbitals used to evaluate the Green function G, the polarization potential W, and, thereby, the GW self-energy. The stochastic GW (sGW) formalism relies on novel theoretical concepts such as stochastic time-dependent Hartree propagation, stochastic matrix compression, and spatial or temporal stochastic decoupling techniques. Beyond the theoretical interest, the formalism enables linear scaling GW calculations breaking the theoretical scaling limit for GW as well as circumventing the need for energy cutoff approximations. We illustrate the method for silicon nanocrystals of varying sizes with N_{e}>3000 electrons.

  12. A Multi-Sensor RSS Spatial Sensing-Based Robust Stochastic Optimization Algorithm for Enhanced Wireless Tethering

    CERN Document Server

    Parasuraman, Ramviyas; Molinari, Luca; Kershaw, Keith; Di Castro, Mario; Masi, Alessandro; Ferre, Manuel

    2014-01-01

    The reliability of wireless communication in a network of mobile wireless robot nodes depends on the received radio signal strength (RSS). When the robot nodes are deployed in hostile environments with ionizing radiations (such as in some scientific facilities), there is a possibility that some electronic components may fail randomly (due to radiation effects), which causes problems in wireless connectivity. The objective of this paper is to maximize robot mission capabilities by maximizing the wireless network capacity and to reduce the risk of communication failure. Thus, in this paper, we consider a multi-node wireless tethering structure called the “server-relay-client” framework that uses (multiple) relay nodes in between a server and a client node. We propose a robust stochastic optimization (RSO) algorithm using a multi-sensor-based RSS sampling method at the relay nodes to efficiently improve and balance the RSS between the source and client nodes to improve the network capacity and to provide red...

  13. Accelerated Stochastic Matrix Inversion: General Theory and Speeding up BFGS Rules for Faster Second-Order Optimization

    KAUST Repository

    Gower, Robert M.

    2018-02-12

    We present the first accelerated randomized algorithm for solving linear systems in Euclidean spaces. One essential problem of this type is the matrix inversion problem. In particular, our algorithm can be specialized to invert positive definite matrices in such a way that all iterates (approximate solutions) generated by the algorithm are positive definite matrices themselves. This opens the way for many applications in the field of optimization and machine learning. As an application of our general theory, we develop the {\\\\em first accelerated (deterministic and stochastic) quasi-Newton updates}. Our updates lead to provably more aggressive approximations of the inverse Hessian, and lead to speed-ups over classical non-accelerated rules in numerical experiments. Experiments with empirical risk minimization show that our rules can accelerate training of machine learning models.

  14. A simplified BBGKY hierarchy for correlated fermions from a stochastic mean-field approach

    International Nuclear Information System (INIS)

    Lacroix, Denis; Tanimura, Yusuke; Ayik, Sakir; Yilmaz, Bulent

    2016-01-01

    The stochastic mean-field (SMF) approach allows to treat correlations beyond mean-field using a set of independent mean-field trajectories with appropriate choice of fluctuating initial conditions. We show here that this approach is equivalent to a simplified version of the Bogolyubov-Born-Green-Kirkwood-Yvon (BBGKY) hierarchy between one-, two-,.., N -body degrees of freedom. In this simplified version, one-body degrees of freedom are coupled to fluctuations to all orders while retaining only specific terms of the general BBGKY hierarchy. The use of the simplified BBGKY is illustrated with the Lipkin-Meshkov-Glick (LMG) model. We show that a truncated version of this hierarchy can be useful, as an alternative to the SMF, especially in the weak coupling regime to get physical insight in the effect beyond mean-field. In particular, it leads to approximate analytical expressions for the quantum fluctuations both in the weak and strong coupling regime. In the strong coupling regime, it can only be used for short time evolution. In that case, it gives information on the evolution time-scale close to a saddle point associated to a quantum phase-transition. For long time evolution and strong coupling, we observed that the simplified BBGKY hierarchy cannot be truncated and only the full SMF with initial sampling leads to reasonable results. (orig.)

  15. A Stochastic Approach for Blurred Image Restoration and Optical Flow Computation on Field Image Sequence

    Institute of Scientific and Technical Information of China (English)

    高文; 陈熙霖

    1997-01-01

    The blur in target images caused by camera vibration due to robot motion or hand shaking and by object(s) moving in the background scene is different to deal with in the computer vision system.In this paper,the authors study the relation model between motion and blur in the case of object motion existing in video image sequence,and work on a practical computation algorithm for both motion analysis and blut image restoration.Combining the general optical flow and stochastic process,the paper presents and approach by which the motion velocity can be calculated from blurred images.On the other hand,the blurred image can also be restored using the obtained motion information.For solving a problem with small motion limitation on the general optical flow computation,a multiresolution optical flow algoritm based on MAP estimation is proposed. For restoring the blurred image ,an iteration algorithm and the obtained motion velocity are used.The experiment shows that the proposed approach for both motion velocity computation and blurred image restoration works well.

  16. A hybrid stochastic approach for self-location of wireless sensors in indoor environments.

    Science.gov (United States)

    Lloret, Jaime; Tomas, Jesus; Garcia, Miguel; Canovas, Alejandro

    2009-01-01

    Indoor location systems, especially those using wireless sensor networks, are used in many application areas. While the need for these systems is widely proven, there is a clear lack of accuracy. Many of the implemented applications have high errors in their location estimation because of the issues arising in the indoor environment. Two different approaches had been proposed using WLAN location systems: on the one hand, the so-called deductive methods take into account the physical properties of signal propagation. These systems require a propagation model, an environment map, and the position of the radio-stations. On the other hand, the so-called inductive methods require a previous training phase where the system learns the received signal strength (RSS) in each location. This phase can be very time consuming. This paper proposes a new stochastic approach which is based on a combination of deductive and inductive methods whereby wireless sensors could determine their positions using WLAN technology inside a floor of a building. Our goal is to reduce the training phase in an indoor environment, but, without an loss of precision. Finally, we compare the measurements taken using our proposed method in a real environment with the measurements taken by other developed systems. Comparisons between the proposed system and other hybrid methods are also provided.

  17. A Hybrid Stochastic Approach for Self-Location of Wireless Sensors in Indoor Environments

    Directory of Open Access Journals (Sweden)

    Alejandro Canovas

    2009-05-01

    Full Text Available Indoor location systems, especially those using wireless sensor networks, are used in many application areas. While the need for these systems is widely proven, there is a clear lack of accuracy. Many of the implemented applications have high errors in their location estimation because of the issues arising in the indoor environment. Two different approaches had been proposed using WLAN location systems: on the one hand, the so-called deductive methods take into account the physical properties of signal propagation. These systems require a propagation model, an environment map, and the position of the radio-stations. On the other hand, the so-called inductive methods require a previous training phase where the system learns the received signal strength (RSS in each location. This phase can be very time consuming. This paper proposes a new stochastic approach which is based on a combination of deductive and inductive methods whereby wireless sensors could determine their positions using WLAN technology inside a floor of a building. Our goal is to reduce the training phase in an indoor environment, but, without an loss of precision. Finally, we compare the measurements taken using our proposed method in a real environment with the measurements taken by other developed systems. Comparisons between the proposed system and other hybrid methods are also provided.

  18. Hybrid approaches for multiple-species stochastic reaction–diffusion models

    International Nuclear Information System (INIS)

    Spill, Fabian; Guerrero, Pilar; Alarcon, Tomas; Maini, Philip K.; Byrne, Helen

    2015-01-01

    Reaction–diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction–diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model. - Highlights: • A novel hybrid stochastic/deterministic reaction–diffusion simulation method is given. • Can massively speed up stochastic simulations while preserving stochastic effects. • Can handle multiple reacting species. • Can handle moving boundaries

  19. Hybrid approaches for multiple-species stochastic reaction–diffusion models

    Energy Technology Data Exchange (ETDEWEB)

    Spill, Fabian, E-mail: fspill@bu.edu [Department of Biomedical Engineering, Boston University, 44 Cummington Street, Boston, MA 02215 (United States); Department of Mechanical Engineering, Massachusetts Institute of Technology, 77 Massachusetts Avenue, Cambridge, MA 02139 (United States); Guerrero, Pilar [Department of Mathematics, University College London, Gower Street, London WC1E 6BT (United Kingdom); Alarcon, Tomas [Centre de Recerca Matematica, Campus de Bellaterra, Edifici C, 08193 Bellaterra (Barcelona) (Spain); Departament de Matemàtiques, Universitat Atonòma de Barcelona, 08193 Bellaterra (Barcelona) (Spain); Maini, Philip K. [Wolfson Centre for Mathematical Biology, Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom); Byrne, Helen [Wolfson Centre for Mathematical Biology, Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom); Computational Biology Group, Department of Computer Science, University of Oxford, Oxford OX1 3QD (United Kingdom)

    2015-10-15

    Reaction–diffusion models are used to describe systems in fields as diverse as physics, chemistry, ecology and biology. The fundamental quantities in such models are individual entities such as atoms and molecules, bacteria, cells or animals, which move and/or react in a stochastic manner. If the number of entities is large, accounting for each individual is inefficient, and often partial differential equation (PDE) models are used in which the stochastic behaviour of individuals is replaced by a description of the averaged, or mean behaviour of the system. In some situations the number of individuals is large in certain regions and small in others. In such cases, a stochastic model may be inefficient in one region, and a PDE model inaccurate in another. To overcome this problem, we develop a scheme which couples a stochastic reaction–diffusion system in one part of the domain with its mean field analogue, i.e. a discretised PDE model, in the other part of the domain. The interface in between the two domains occupies exactly one lattice site and is chosen such that the mean field description is still accurate there. In this way errors due to the flux between the domains are small. Our scheme can account for multiple dynamic interfaces separating multiple stochastic and deterministic domains, and the coupling between the domains conserves the total number of particles. The method preserves stochastic features such as extinction not observable in the mean field description, and is significantly faster to simulate on a computer than the pure stochastic model. - Highlights: • A novel hybrid stochastic/deterministic reaction–diffusion simulation method is given. • Can massively speed up stochastic simulations while preserving stochastic effects. • Can handle multiple reacting species. • Can handle moving boundaries.

  20. Precise Orbit Solution for Swarm Using Space-Borne GPS Data and Optimized Pseudo-Stochastic Pulses

    Directory of Open Access Journals (Sweden)

    Bingbing Zhang

    2017-03-01

    Full Text Available Swarm is a European Space Agency (ESA project that was launched on 22 November 2013, which consists of three Swarm satellites. Swarm precise orbits are essential to the success of the above project. This study investigates how well Swarm zero-differenced (ZD reduced-dynamic orbit solutions can be determined using space-borne GPS data and optimized pseudo-stochastic pulses under high ionospheric activity. We choose Swarm space-borne GPS data from 1–25 October 2014, and Swarm reduced-dynamic orbits are obtained. Orbit quality is assessed by GPS phase observation residuals and compared with Precise Science Orbits (PSOs released by ESA. Results show that pseudo-stochastic pulses with a time interval of 6 min and a priori standard deviation (STD of 10−2 mm/s in radial (R, along-track (T and cross-track (N directions are optimized to Swarm ZD reduced-dynamic precise orbit determination (POD. During high ionospheric activity, the mean Root Mean Square (RMS of Swarm GPS phase residuals is at 9–11 mm, Swarm orbit solutions are also compared with Swarm PSOs released by ESA and the accuracy of Swarm orbits can reach 2–4 cm in R, T and N directions. Independent Satellite Laser Ranging (SLR validation indicates that Swarm reduced-dynamic orbits have an accuracy of 2–4 cm. Swarm-B orbit quality is better than those of Swarm-A and Swarm-C. The Swarm orbits can be applied to the geomagnetic, geoelectric and gravity field recovery.