Search results for "stochastic"
showing 10 items of 1018 documents
Solving Stochastic Nonlinear Resource Allocation Problems Using a Hierarchy of Twofold Resource Allocation Automata
2010
In a multitude of real-world situations, resources must be allocated based on incomplete and noisy information. However, in many cases, incomplete and noisy information render traditional resource allocation techniques ineffective. The decentralized Learning Automata Knapsack Game (LAKG) was recently proposed for solving one such class of problems, namely the class of Stochastic Nonlinear Fractional Knapsack Problems. Empirically, the LAKG was shown to yield a superior performance when compared to methods which are based on traditional parameter estimation schemes. This paper presents a completely new online Learning Automata (LA) system, namely the Hierarchy of Twofold Resource Allocation …
Constraints on Cosmic Strings Using Data from the Third Advanced LIGO–Virgo Observing Run
2021
We search for gravitational-wave signals produced by cosmic strings in the Advanced LIGO and Virgo full O3 data set. Search results are presented for gravitational waves produced by cosmic string loop features such as cusps, kinks and, for the first time, kink-kink collisions.cA template-based search for short-duration transient signals does not yield a detection. We also use the stochastic gravitational-wave background energy density upper limits derived from the O3 data to constrain the cosmic string tension, $G\mu$, as a function of the number of kinks, or the number of cusps, for two cosmic string loop distribution models.cAdditionally, we develop and test a third model which interpolat…
Minimal Dynamic Equilibria
2018
We define dynamic models as multiperiod models with no static representations and demonstrate that current prevalent asset pricing empirical implementations are inconsistent with dynamic equilibria. Specifically, empirical implementations are misspecified with respect to three essential asset pricing questions (TEQ): dependency on higher moments, complexity of risk premia, and mean-variance efficiency of the “market portfolio” (ability to proxy pricing kernels/SDFs). While we already know that “Merton” models, and their derivatives, differ from static models in all TEQ, we show that this is the case even the “minimal” dynamic equilibria.
A Wiener Path Integral Technique for Non-Stationary Response Determination of Nonlinear Oscillators with Fractional Derivative Elements
2014
In this paper a novel approximate analytical technique for determining the non-stationary response probability density function (PDF) of randomly excited linear and nonlinear oscillators with fractional derivative elements is developed. Specifically, the concept of the Wiener path integral in conjunction with a variational formulation is utilized to derive an approximate closed form solution for the system response non-stationary PDF. Notably, the determination of the non-stationary response PDF is accomplished without the need to advance the solution in short time steps as it is required by the existing alternative numerical path integral solution schemes. In this manner, the analytical Wi…
Screening Investments to Reduce the Risk of Hydrologic Failures in the Headwork System Supplying Apulia (Italy) – Role of Economic Evaluation and Ope…
2014
The paper introduces and applies a methodology to screen investments aimed at reducing water supply risks due to hydrologic failures in headwork systems for municipal use, based on the principles of cost-benefit analysis. As risk includes both the probability of a failure and its effect, the methodology combines a simulation module of the system, fed by a stochastic hydrologic input to reproduce the probability distribution of the failures, with a metric for supply failure damage provided by the price – demand relationship for municipal water. Benefits are assessed as the averted damage compared to a base case without investments. This approach is then combined with the classic discounted c…
Derivation of flood frequency curves in poorly gauged Mediterranean catchments using a simple stochastic hydrological rainfall-runoff model
2007
In this paper a Monte Carlo procedure for deriving frequency distributions of peak flows using a semi-distributed stochastic rainfall-runoff model is presented. The rainfall-runoff model here used is very simple one, with a limited number of parameters and practically does not require any calibration, resulting in a robust tool for those catchments which are partially or poorly gauged. The procedure is based on three modules: a stochastic rainfall generator module, a hydrologic loss module and a flood routing module. In the rainfall generator module the rainfall storm, i.e. the maximum rainfall depth for a fixed duration, is assumed to follow the two components extreme value (TCEV) distribu…
Technique of Statistical Validation of Rival Models for Fatigue Crack Growth Process and Its Identification
2011
The development of suitable models of stochastic crack growth process is important for the reliability analysis of fatigued structures as well as the scheduling of inspection and repair/replacement maintenance. Based on modifications of the solution of the deterministic differential equation for the crack growth rate, where a stochastic nature of this rate is expressed by a random disturbance embedded in the solution of the differential equation, the simple stochastic models are presented for practical applications. Each of these models represents a stochastic version of the solution of the Paris-Erdogan law equation. The models take into account the random disturbance parameters while main…
The effect of early or late R&D inbound alliance on innovation
2016
In the research-and-development (R&D) supply chain, firms can agree an inbound alliance at different times along the R&D process; this decision affects the supplier's effort and the innovation that firms achieve at the end of the agreement. Because the supplier's effort is not entirely observable, firms cannot enforce effort contractually. Early contracts demand greater effort and offer risk-sharing opportunities; in late contracts suppliers have a stronger ex-ante bargaining-power position because of the shorter (and less risky) contract length and the experience suppliers already have. This study argues that later inbound alliances allow a higher innovation value when both partner…
Pricing and hedging GDP-linked bonds in incomplete markets
2018
Abstract We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging portfolio. Using linear programming duality we compute also the risk premium. The model applies to coupon-indexed and principal-indexed bonds, and allows the analysis of bonds with different design parameters (coupon, target GDP growth rate, and maturity). We calibrate for UK and US instruments, and carry out sensitivity analysis of prices and risk premia to the risk factors and bond design parameters. We also compare coupon-indexed and principal-indexed bonds. F…
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
2017
We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging portfolio. Using linear programming duality we also compute the risk premium. The model applies to coupon-indexed and principal-indexed bonds, and allows the analysis of bonds with different design parameters (coupon, target GDP growth rate, and maturity). We calibrate for UK and US instruments and carry out a sensitivity analysis of prices and risk premia to the risk factors and bond design parameters. We also compare coupon-indexed and principal-indexed bonds. Results …