Search results for "stochastic"
showing 10 items of 1018 documents
Fluctuation patterns in high-frequency financial asset returns
2008
We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.
An integrated fuzzy-stochastic model for revenue management: The hospitality industry case
2016
Revenue management aims at improving the performance of an organization by selling the right product/service to the right customer at the right time. This task is very dependent on uncontrollable external factors. In the hospitality industry, rooms of the hotel represent perishable assets and fixed capacities at the same time. Therefore, in the case of a stochastic process for customers calling in reservations prior to a particular booking date, a common problem for hotels is to devise a policy for maximizing the total expected profit conditional on the set of bookings. We propose a fuzzy model for the hotel revenue management under an uncertain and vague environment. Fuzziness of objectiv…
Stochastic Fatigue Models for Efficient Planning Inspections in Service of Aircraft Structures
2008
For important fatigue-sensitive structures of aircraft whose breakdowns cause serious accidents, it is required to keep their reliability extremely high. In this paper, we discuss inspection strategies for such important structures against fatigue failure. The focus is on the case when there are fatiguecracks unexpectedly detected in a fleet of aircraft within a warranty period (prior to the first inspection). The paper examines this case and proposes stochastic models for prediction of fatigue-crack growth to determine appropriate inspections intervals. We also do not assume known parameters of the underlying distributions, and the estimation of that is incorporated into the analysis and d…
The Rail Quality Index as an Indicator of the “Global Comfort” in Optimizing Safety, Quality and Efficiency in Railway Rails
2012
AbstractThe proposed model uses the stochastic dynamic programming and in particular Markov decision processes applied to the Rail Quality Index (RQI - Italian Indice di Qualità del Binario, IQB).By performing the integrated analysis of the classes of variables which characterize the overall service quality (in terms of comfort and safety), the proposed mathematical approach allows to find the solutions to the decision-making process in function of the probability of deterioration of the state variables of the infrastructure over time and of the flow of available resources.
Stochastic frontier models using R
2020
Abstract The production function is usually assumed to specify the maximum output obtainable, from a given set of inputs, describing the boundary or frontier of the obtainable output from each feasible combination of input; it relates the production process of individual units to the efficient border of the production possibilities. The measure of the distance of each unit from the border is the most immediate way to assess its (in)efficiency. However, the production function is not generally known, but it has only a set of information on each production unit and it is therefore essential to develop techniques to estimate the production frontier. Starting from the packages already developed…
A Hierarchy of Twofold Resource Allocation Automata Supporting Optimal Sampling
2009
We consider the problem of allocating limited sampling resources in a "real-time" manner with the purpose of estimating multiple binomial proportions. More specifically, the user is presented with `n ' sets of data points, S 1 , S 2 , ..., S n , where the set S i has N i points drawn from two classes {*** 1 , *** 2 }. A random sample in set S i belongs to *** 1 with probability u i and to *** 2 with probability 1 *** u i , with {u i }. i = 1, 2, ...n , being the quantities to be learnt. The problem is both interesting and non-trivial because while both n and each N i are large, the number of samples that can be drawn is bounded by a constant, c . We solve the problem by first modelling it a…
Internal Time and Innovation
2003
Consider a physical system that may be observed through time-varying quantities x t , where t stands for time that may be discrete or continuous. The set x t may be a realization of a deterministic system, e.g. a unique solution of a differential equation, or a stochastic process. In the latter case each x t is a random variable. We are interested in the global evolution of the system, not particular realizations x t , from the point of view of innovation. We call the evolution innovative if the dynamics of the system is such that there is a gain of information about the system as time increases. Our purpose is to associate the concept of internal time with such systems. The internal time w…
A Simple Noise Model with Memory for Biological Systems
2005
A noise source model, consisting of a pulse sequence at random times with memory, is presented. By varying the memory we can obtain variable randomness of the stochastic process. The delay time between pulses, i. e. the noise memory, produces different kinds of correlated noise ranging from white noise, without delay, to quasi-periodical process, with delay close to the average period of the pulses. The spectral density is calculated. This type of noise could be useful to describe physical and biological systems where some delay is present. In particular it could be useful in population dynamics. A simple dynamical model for epidemiological infection with this noise source is presented. We …
Generation of travelling sine-Gordon breathers in noisy long Josephson junctions
2022
The generation of travelling sine-Gordon breathers is achieved through the nonlinear supratransmission effect in a magnetically driven long Josephson junction, in the presence of losses, a current bias, and a thermal noise source. We demonstrate how to exclusively induce breather modes by means of controlled magnetic pulses. A nonmonotonic behavior of the breather-only generation probability is observed as a function of the noise intensity. An experimental protocol providing evidence of the Josephson breather's existence is proposed.
Can a mathematical model of mass extinctions do without environmental noise?: Comment on "Knowledge gaps and missing links in understanding mass exti…
2023
No abstract available