Search results for "Monte Carlo method"
showing 10 items of 1234 documents
Contributed discussion on article by Pratola
2016
The author should be commended for his outstanding contribution to the literature on Bayesian regression tree models. The author introduces three innovative sampling approaches which allow for efficient traversal of the model space. In this response, we add a fourth alternative.
Peptide Metal–Organic Frameworks for Enantioselective Separation of Chiral Drugs
2017
We report the ability of a chiral Cu(II) 3D MOF based on the tripeptide Gly-L-His-Gly (GHG) for the enantioselective separation of metamphetamine and ephedrine. Monte Carlo simulations suggest that chiral recognition is linked to preferential binding of one of the enantiomers as result of either stronger or additional H-bonds with the framework that lead to energetically more stable diastereomeric adducts. Solid phase extraction (SPE) of a racemic mixture by using Cu(GHG) as extractive phase permits isolating more than 50% of the (+)-ephedrine enantiomer as target compound in only four minutes. To the best of our knowledge, this represents the first example of a MOF capable of separating ch…
Hydrogenation of acetylene-ethylene mixtures on Pd catalysts: study of the surface mechanism by computational approaches. Metal dispersion and cataly…
2000
The hydrogenation mechanism of acetylene–ethylene mixtures on Pd catalysts under different experimental conditions was studied by employing a time-dependent Monte Carlo approach set to use a fixed series of event probabilities. The dependence of the catalyst activity and selectivity on the sizes of the metal particles was simulated at microscopic level and the results, also refined by fitting procedures, suggested proper explanations for the apparent nonuniformity of the related experimental findings. The use of the steric hindrance parameter of the surface species and the available surface energy on the metallic catalyst sites was decisive for reproducing the experimental results.
On the Adsorption Process in Polymer Brushes: A Monte Carlo Study
1996
The adsorption process of the single polymer chain in a polymer brush of varying surface coverages is studied by means of Monte Carlo simulations of the bond-fluctuation lattice model. Only the end monomers can adsorb at the grafting surface, whereas inner monomers interact repulsively with it. The brush builds up a steric hindrance which forces the penetrating polymer to stretch strongly and which is responsible for small adsorption probabilities at surface coverages close to the overlap density. The final step of the adsorption process is determined by a fluctuation of the end monomer around its average position, which is comparable to the initial step of the desorption process.
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
A stochastic method for robustness analysis in sorting problems
2009
ELECTRE TRI is a multiple criteria decision aiding sorting method with a history of successful real-life applications. In ELECTRE TRI, values for certain parameters have to be provided. We propose a new method, SMAA-TRI, that is based on stochastic multicriteria acceptability analysis (SMAA), for analyzing the stability of such parameters. The stability analysis can be used for deriving robust conclusions. SMAA-TRI allows ELECTRE TRI to be used with uncertain, arbitrarily distributed values for weights, the lambda cutting level, and profiles. The method consists of analyzing finite spaces of arbitrarily distributed parameter values. Monte Carlo simulation is applied in this in order to desc…
Exact stationary solution for a class of non-linear systems driven by a non-normal delta-correlated process
1995
In this paper the exact stationary solution in terms of probability density function for a restricted class of non-linear systems under both external and parametric non-normal delta-correlated processes is presented. This class has been obtained by imposing a given probability distribution and finding the corresponding dynamical system which satisfies the modified Fokker-Planck equation. The effectiveness of the results has been verified by means of a Monte Carlo simulation.
ORDERING KINETICS IN QUASI-ONE-DIMENSIONAL ISING-LIKE SYSTEMS
1993
We present results of a Monte Carlo simulation of the kinetics of ordering in the two-dimensional nearest-neighbor Ising model in anL xM geometry with two free boundaries of length M≫L. This model can be viewed as representing an adsorbant on a stepped surface with mean terrace widthL. We follow the ordering kinetics after quenches to temperatures 0.25 ⩽ T/Tc ⩽ 1 starting from a random initial configuration at a coverage ofΘ=0.5 in the corresponding lattice gas picture. The systems evolve in time according to a Glauber kinetics with nonconserved order parameter. The equilibrium structure is given by a one-dimensional sequence of ordered domains. The ordering process evolves from a short ini…
Dynamics analysis of distributed parameter system subjected to a moving oscillator with random mass, velocity and acceleration
2002
Abstract The problem of calculating the response of a distributed parameter system excited by a moving oscillator with random mass, velocity and acceleration is investigated. The system response is a stochastic process although its characteristics are assumed to be deterministic. In this paper, the distributed parameter system is assumed as a beam with Bernoulli–Euler type analytical behaviour. By adopting the Galerkin's method, a set of approximate governing equations of motion possessing time-dependent uncertain coefficients and forcing function is obtained. The statistical characteristics of the deflection of the beam are computed by using an improved perturbation approach with respect t…
A simplified analysis for the evaluation of stochastic response of elasto-plastic oscillators
1999
Abstract The paper deals with dynamic hysteretic oscillators without post-yielding hardening, called ideal elasto-plastic oscillators, subjected to white noise. They are characterized by the fact that they do not reach stationarity even though excited by stationary stochastic processes. A simplified solution procedure to capture this behaviour is presented in this paper. It is based on modelling the accumulated plastic deformations as a homogeneous compound Poisson process. In particular, two aspects are addressed in the paper: (1) evaluation of the probabilistic parameters of the accumulated plastic deformation process; and (2) evaluation of the second-order cumulants of the response by me…