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127 articles for “Stochastic”
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Research ArticleOpen accessEvery word in the titleNelder-Mead Method with Local Selection Using Neighborhood and Memory for Stochastic OptimizationNoocharin Tippayawannakorn, Juta PichitlamkenWe consider the Nelder-Mead (NM) simplex algorithm for optimization of discrete-event stochastic simulation models. We propose new modifications of NM to reduce computational time and to improve quality of the estimated optimal solutions. Our means include utilizing past information of already seen solutions, expanding search space to their neighborhood and using adaptive sample sizes. We compare performance of these extensions … …Journal of Computer Science, Vol. 9, Issue 4 · 10 May 2013 · 6,121 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleSOME STATISTICAL PROPERTIES OF THE SOLUTIONS OF A SYSTEM OF TWO DIMENSIONAL STOCHASTIC FREDHOLM INTEGRAL EQUATIONS CONTAINS GAMMA PROCESSESMohammad Wahdan MuflihIn this study, we find the two solutions of a system of two dimensional stochastic Fredholm integral equations contains two gamma processes with different values of the two parameters (the first controls the rate of jump arrivals and the second inversely controls the jump size of this arrivals) in two cases and equal in the third that is to introduce … …Journal of Mathematics and Statistics, Vol. 9, Issue 2 · 4 May 2013 · 6,897 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleStochastic Prognostic Paradigm for Petrochemical Pipelines Subject to FatigueAbdo Abou Jaoude, Khaled El-TawilThe most important aim for industrialists is the prevention and the evaluation of their products state since non-predicted failure is very expensive in some cases. This can be done mainly by the evaluation of the &#34Remaining Useful Lifetime&#34 (RUL) by the means of prognostic approaches compensating the inconveniences of classical maintenance strategies. A proposed analytic prognostic methodology based on damage … …American Journal of Engineering and Applied Sciences, Vol. 6, Issue 2 · 15 Apr 2013 · 7,557 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA JUMP-DIFFUSION WITH STOCHASTIC VOLATILITY AND INTEREST RATEPairote Sattayatham, Paiboon PeeraparpIn this study, we present the application of Time Changed Levy method to model a jump-diffusion process with stochastic volatility and stochastic interest rate. We apply the Lewis Fourier transform method as well as the risk neutral expectation pricing method to derive a formula for a European option pricing. These combining methods give quite a short route to derive the … …Journal of Mathematics and Statistics, Vol. 9, Issue 1 · 27 Mar 2013 · 6,888 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleAn Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion ModelP. Sattayatham, A. IntarasitProblem statement: We presented option pricing when the stock prices follows a jumpdiffusion model and their stochastic volatility follows a fractional stochastic volatility model. This proposed model exhibits the a memory of a stochastic volatility model that is not expressed in the classical stochastic volatility model. Approach: We introduce an approximated method to fractional stochastic volatility model perturbed by the … …Journal of Mathematics and Statistics, Vol. 7, Issue 3 · 27 Jul 2011 · 7,964 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleMeta Heuristic Algorithms for Vehicle Routing Problem with Stochastic DemandsGeetha Shanmugam, Poonthalir Ganesan, Dr. P.T. VanathiProblem statement: The shipment of goods from manufacturer to the consumer is a focal point of distribution logistics. In reality, the demand of consumers is not known a priori. This kind of distribution is dealt by Stochastic Vehicle Routing Problem (SVRP) which is a NP-hard problem. In this proposed work, VRP with stochastic demand is considered. A probability distribution is … …Journal of Computer Science, Vol. 7, Issue 4 · 4 Apr 2011 · 8,021 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleOn Calculating Activity Slack in Stochastic Project NetworksGary MitchellProblem statement: Identifying critical tasks in a project network is easily done when task times are deterministic, but doing so under stochastic task times is problematic. The few methods that have been proposed contain serious drawbacks which lead to identifying critical tasks incorrectly, leaving project managers without the means to (1) identify and rank the most probable sources of project … …American Journal of Economics and Business Administration, Vol. 2, Issue 1 · 31 Mar 2010 · 8,227 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleStochastic Optimization for Portfolio Selection Problem with Mean Absolute Negative Deviation MeasureAnton Abdulbasah Kamil, Adli Mustafa, Khlipah IbrahimProblem statement: The most important character within optimization problem is the uncertainty of the future returns. Approach: To handle such problems, we utilized probabilistic methods alongside with optimization techniques. We developed single stage and two stage stochastic programming with recourse. The models were developed for risk adverse investors and the objective of the stochastic programming models is to minimize the … …Journal of Mathematics and Statistics, Vol. 5, Issue 4 · 31 Dec 2009 · 6,947 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleIdentification of Flutter Derivatives of Bridge Decks in Wind Tunnel Test by Stochastic Subspace IdentificationT. Janesupasaeree, V. BoonyapinyoProblem statement: Flutter derivatives are the essential parameters in the estimations of the flutter critical wind velocity and the responses of long-span cable supported bridges. These derivatives can be experimentally estimated from wind tunnel test results. Generally, wind tunnel test methods can be divided into free decay test and buffeting test. Compared with the free decay method, the buffeting test … …American Journal of Engineering and Applied Sciences, Vol. 2, Issue 2 · 30 Jun 2009 · 8,133 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Stochastic Knapsack Problem with Continuous Random CapacitySuwitchporn Witchakul, Prapaisri Sudas Na Ayudhaya, Peerayuth CharnsethikulProblem Statement: The problem of allocating a set of items in order to maximize the toal linear profit under uncertain capacity referred as a stochastic knapsack problem with continuous random capacity was studied theoretically and computationally. Approach: Two optimization based heuristic algorithms were proposed and developed for solving the problem and both efficiency and effectiveness are compared with the general … …Journal of Mathematics and Statistics, Vol. 4, Issue 4 · 31 Dec 2008 · 6,946 accessesView PDFCite