Informacja

Drogi użytkowniku, aplikacja do prawidłowego działania wymaga obsługi JavaScript. Proszę włącz obsługę JavaScript w Twojej przeglądarce.

Wyszukujesz frazę "Stochastic models" wg kryterium: Temat


Tytuł:
Stochastic FEM analysis of strip foundation
Autorzy:
Przewłócki, J.
Górski, J.
Powiązania:
https://bibliotekanauki.pl/articles/1954537.pdf
Data publikacji:
1999
Wydawca:
Politechnika Gdańska
Tematy:
soil medium
stochastic models
finite element description
Opis:
The paper affords a stochastic description of a random soil medium subjected to an external loading. The strip foundation on a soil layer in the 3-D and the 2-D strain states is analysed. It is assumed that the soil medium is statistically homogeneous and its mechanical behaviour governed by the linear elasticity theory. It is also assumed that elastic parameters can be modelled as the multidimensional random fields. Stochastic 2-D and 3-D finite element methods (SFEM), based on the Monte Carlo technique were used. The influence of elements supports attached along vertical planes on standard deviations of displacements and stresses is discussed. Local averages of random field of elastic parameters are introduced. The convergence of applied in SFEM simulation algorithm was tested. The analysis performed enables determination of the standard deviations of components of the stress tensor and the displacement vector for the 3-D state, based on the solution for the 2-D plane strain state.
Źródło:
TASK Quarterly. Scientific Bulletin of Academic Computer Centre in Gdansk; 1999, 3, 2; 171-186
1428-6394
Pojawia się w:
TASK Quarterly. Scientific Bulletin of Academic Computer Centre in Gdansk
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modeling and projection life expectancy. The case of the EU countries
Modelowanie i projekcja przeciętnego czasu trwania życia na przykładzie krajów UE
Autorzy:
Trzpiot, Grażyna
Majewska, Justyna
Powiązania:
https://bibliotekanauki.pl/articles/425253.pdf
Data publikacji:
2015
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
life expectancy
mortality
Lee-Carter models family
stochastic models
Opis:
In this article we investigate the latest developments on life expectancy modeling. We review some mortality projection stochastic models and their assumptions, and assess their impact on projections of future life expectancy for selected countries in the EU. More specifically, using the age- and sex-specific data of 20 countries, we compare the point projection accuracy and bias of six principal component methods for the projection of mortality rates and life expectancy. The six methods are variants and extensions of the Lee-Carter method. Based on one-step projection errors, the Renshaw and Haberman method provides the most accurate point projections of male mortality rates and the method is the least biased. The Quadratic CBD model with the cohort effects method performs the best for female mortality. While all methods rather underestimate variability in mortality rates and life expectancy, the Renshaw and Haberman method is the most accurate.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2015, 4 (50); 196-213
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Review of stochastic differential equations in statistical arbitrage pairs trading
Autorzy:
Endres, Sylvia
Powiązania:
https://bibliotekanauki.pl/articles/108278.pdf
Data publikacji:
2019
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
statistical arbitrage
pairs trading
stochastic models
mean-reversion
stochastic differential equations
Opis:
The use of stochastic differential equations offers great advantages for statistical arbitrage pairs trading. In particular, it allows the selection of pairs with desirable properties, e.g., strong mean-reversion, and it renders traditional rules of thumb for trading unnecessary. This study provides an exhaustive survey dedicated to this field by systematically classifying the large body of literature and revealing potential gaps in research. From a total of more than 80 relevant references, five main strands of stochastic spread models are identified, covering the ‘Ornstein–Uhlenbeck model’, ‘extended Ornstein–Uhlenbeck models’, ‘advanced mean-reverting diffusion models’, ‘diffusion models with a non-stationary component’, and ‘other models’. Along these five main categories of stochastic models, we shed light on the underlying mathematics, hereby revealing advantages and limitations for pairs trading. Based on this, the works of each category are further surveyed along the employed statistical arbitrage frameworks, i.e., analytic and dynamic programming approaches. Finally, the main findings are summarized and promising directions for future research are indicated.
Źródło:
Managerial Economics; 2019, 20, 2; 71-118
1898-1143
Pojawia się w:
Managerial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Optimal resource allocation in stochastic activity networks via the electromagnetism approach: a platform implementation in Java
Autorzy:
Tereso, A. P.
Novais, R. A.
Araujo, M. M.
Elmaghraby, S. E.
Powiązania:
https://bibliotekanauki.pl/articles/969679.pdf
Data publikacji:
2009
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
resource allocation
project scheduling
project management
stochastic models
electromagnetism-like mechanism
Opis:
An optimal resource allocation approach to stochastic multimodal projects had been previously developed by applying a Dynamic Programming model which proved to be very demanding computationally. A new approach, the Electromagnetism-like Mechanism, has also been adopted and implemented in Matlab, to solve this problem. This paper presents the implementation of the Electromagnetism approach using an Object Oriented language, Java, and a distributed version to be run in a computer network, in order to take advantage of available computational resources.
Źródło:
Control and Cybernetics; 2009, 38, 3; 745-782
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Application of the Moving Average Method of Simplifying Simulation of Random Fields
Autorzy:
Maciejewski, S.
Gorczewska-Langner, W.
Powiązania:
https://bibliotekanauki.pl/articles/241480.pdf
Data publikacji:
2006
Wydawca:
Polska Akademia Nauk. Instytut Budownictwa Wodnego PAN
Tematy:
stochastic models
multidimensional random variable
moving average
transport phenomena in soil
Opis:
A method of simulating random fields using a moving average is proposed in this paper. Random fields were simulated for different sizes of sub-field and different numbers of cycles of calculations of the moving average. For the fields obtained the covariance function was analyzed. In order to estimate the efficiency of the proposed simulation method of random field based on the method of diagonal covariance matrix was performed. It is shown that two of the simulation methods presented are able to generate a multidimensional random variable with required correlation function. However, the method of diagonal covariance matrix has some limitations caused by the size of the simulated random field, which result from the necessity of converting a relatively large matrix. Using the proposed simulation method it is possible to simulate, in a comparatively quick and simple manner, a random field with a large number of nodes on PC-s. The presented method can be useful in the stochastic analysis of transport phenomena in soil.
Źródło:
Archives of Hydro-Engineering and Environmental Mechanics; 2006, 53, 2; 126-136
1231-3726
Pojawia się w:
Archives of Hydro-Engineering and Environmental Mechanics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Elements of Method Improvement of Flood Zones Determination
Autorzy:
Kryzhovets, Tetiana
Powiązania:
https://bibliotekanauki.pl/articles/1833889.pdf
Data publikacji:
2020
Wydawca:
Polska Akademia Nauk. Oddział w Lublinie PAN
Tematy:
stochastic models
methods of extreme estimation
optimization problems
software
automated information systems
Opis:
The article suggests a possible application of mathematical modeling zones and flooding characteristics that will improve the methodological basis in hydrological calculations and forecasting will provide opportunities for a better understanding of the complex mechanisms of formation flow. The computational scheme is applicable for vertically homogeneous flow conditions extending from steep river flows to tidal influenced estuaries. The system has been used in numerous engineering studies.
Źródło:
ECONTECHMOD : An International Quarterly Journal on Economics of Technology and Modelling Processes; 2020, 9, 1; 25--29
2084-5715
Pojawia się w:
ECONTECHMOD : An International Quarterly Journal on Economics of Technology and Modelling Processes
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modele stochastyczne zanieczyszczeń powietrza w aglomeracjach przemysłowych
Stochastic models of air pollution in industrial agglomerations
Autorzy:
Tumidajski, T.
Foszcz, D.
Niedoba, T.
Siewior, J.
Powiązania:
https://bibliotekanauki.pl/articles/1819793.pdf
Data publikacji:
2009
Wydawca:
Politechnika Koszalińska. Wydawnictwo Uczelniane
Tematy:
zanieczyszczenie powietrza
modele stochastyczne
aglomeracja przemysłowa
air pollution
industrial agglomeration
stochastic models
Opis:
The Upper Silesian Industrial Region (GOP) is one of the most polluted regions in Poland. Because of the location of several important heavy industrial plants it is necessary to permanently monitor the various sort of dust and gas pollutantsconcentrations in this area. The paper presents the possibilities of stochastic air pollution modeling on the basis of data collected by monitoring stations. Several types of models were shown, including models applied in regions of big cities, like Stockholm, Vienna and Madrid, with special impact to so-called adaptive models. It was statistically proved that the formulae of the SO2 propagation model for the GOP S(t)=a+bS(t-1)+c(T-T0)2+d(v-v0)2+eQ1=eQ2. This equation was applied practically on the basis of the empirical data collected by selected monitoring stations.For the chosen monitoring station the directions of pollution flows and winds wereshown graphically (fig. 1). Nest step was derivation of the SO2 propagation model bytraditional regressive techniques (models from equations 6, 7 and 8), taking into considerationdirections of air flows, and adaptive models (fig. 3) basing on the previous model formulae. The obtained models were statistically evaluated. It occurred that the models considering air flows directions show changes of pollution propagation characteristics The advantage of adaptive models, which take into consideration data from previous periods of time, was proved, as they forecast concentration of pollution far better than the traditional regressive models.
Źródło:
Rocznik Ochrona Środowiska; 2009, Tom 11; 543-554
1506-218X
Pojawia się w:
Rocznik Ochrona Środowiska
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Zastosowanie prawie dominacji stochastycznych w preselekcji akcji
Almost Stochastic Dominance in Stocks Preselection
Autorzy:
Michalska, Ewa
Dudzińska-Baryła, Renata
Powiązania:
https://bibliotekanauki.pl/articles/588672.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Dominacja stochastyczna
Modele stochastyczne
Portfel akcji
Portfel inwestycyjny
Equity portfolios
Investment portfolio
Stochastic dominance
Stochastic models
Opis:
The stochastic dominance rules are a very popular tool in the support of decision making in various fields of economics and management. However the selection of the best alternative on the basis of stochastic dominance is sometimes impossible due to incomparability of alternatives. Some particular properties of almost second degree stochastic dominance (which stochastic dominance do not posses) allow to compare all elements of the set of random alternatives and to build a ranking of them. The aim of the article is to propose a stocks preselection method based on almost stochastic dominance. Our method allow to determine the set of the best stocks and thereby to reduce the number of stocks as a potential elements of a portfolio. Such reduction is very important nowadays because with every year more and more stocks are quoted on Stock Exchange in Warsaw.
Źródło:
Studia Ekonomiczne; 2013, 162; 158-167
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modele wyboru portfela akcji z warunkiem dominacji lub prawie dominacji stochastycznych
Models of Portfolio Selection with Stochastic Dominance or Almost Stochastic Dominance Constraints
Autorzy:
Michalska, Ewa
Powiązania:
https://bibliotekanauki.pl/articles/587146.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Dominacja stochastyczna
Modele stochastyczne
Podejmowanie decyzji
Portfel akcji
Decision making
Equity portfolios
Stochastic dominance
Stochastic models
Opis:
In the paper models of share portfolio selection with first order or second order almost stochastic dominance constraints (for discrete random variables) are proposed. There are several simple examples as an illustration of our models.
Źródło:
Studia Ekonomiczne; 2013, 135; 88-101
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Asymptotic behaviour of stochastic systems with conditionally exponential decay property
Autorzy:
Jurlewicz, Agnieszka
Weron, Aleksander
Weron, Karina
Powiązania:
https://bibliotekanauki.pl/articles/1340207.pdf
Data publikacji:
1996
Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:
stable distributions
minima of random sequences
stochastic CED systems
reaction kinetics
dielectric relaxation
stability of stochastic models
Opis:
A new class of CED systems, providing insight into behaviour of physical disordered materials, is introduced. It includes systems in which the conditionally exponential decay property can be attached to each entity. A limit theorem for the normalized minimum of a CED system is proved. Employing different stable schemes the universal characteristics of the behaviour of such systems are derived.
Źródło:
Applicationes Mathematicae; 1995-1996, 23, 4; 379-394
1233-7234
Pojawia się w:
Applicationes Mathematicae
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ wartości ekstremalnych na zmienność stochastyczną
The Impact of Extreme Observations on Stochastic Volatility
Autorzy:
Majewska, Justyna
Powiązania:
https://bibliotekanauki.pl/articles/591034.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Estymacja
Model Blacka-Scholesa
Modele stochastyczne
Procesy zmienności stochastycznej
Black-Scholes model
Estimation
Stochastic models
Stochastic Volatility Processes
Opis:
This article takes up validity of the use (on the Polish capital market) of stochastic models which take into account extreme observations. In the comparative analysis aside from the SV been considered models whose structure can better describe the appearance of extreme observations.
Źródło:
Studia Ekonomiczne; 2013, 162; 131-143
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Fuzzy approach to dimensioning the navigational safety in maritime transport
Autorzy:
Smolarek, L.
Powiązania:
https://bibliotekanauki.pl/articles/245023.pdf
Data publikacji:
2014
Wydawca:
Instytut Techniczny Wojsk Lotniczych
Tematy:
safety dimensioning
stochastic fuzzy models
safety in sea transport
Opis:
The safety of ships involved in the process of transport is one of the most important criteria in the maritime transport. Important factors making up the safety include the technical efficiency of the ship, the qualifications of the people in charge of the ship and the conditions under which the transport process takes a place. The paper focuses on the problems significant and characteristic to the ship traffic safety under uncertainty conditions. The ship safety at supervised traffic requires continuous identification of the navigational situation. Very often safety assessment of the traffic situation is made by examining the relative positions of vessel’s domains. A limitation is that under uncertainty conditions and more than two vessels we have to take into consideration dynamic domains according to the situations of conflicts, which is rather difficult to analyse. One way to assess the traffic safety approximation is analysis of the potentially conflicting situation. Safety in maritime transport can be analysed at the micro level (safety of the ship, the safety of navigation in specific situation mobility) and in terms of macro models (evaluation over time).In the article some problems of fuzzy description of traffic safety in maritime transport are presented. Basic definitions and a stochastic approach to concept of traffic safety in transport are given. The fuzzy approach to stochastic method of dimensioning traffic safety, useful in dynamic traffic control, is proposed.
Źródło:
Journal of KONES; 2014, 21, 4; 453-459
1231-4005
2354-0133
Pojawia się w:
Journal of KONES
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The comparison of two supercapacitors lifetime estimated on the basis of accelerated degradation tests by means of stochastic models
Autorzy:
Kopka, R.
Tarczyński, W.
Powiązania:
https://bibliotekanauki.pl/articles/97606.pdf
Data publikacji:
2016
Wydawca:
Politechnika Poznańska. Wydawnictwo Politechniki Poznańskiej
Tematy:
supercapacitor
accelerated degradation tests
degradation processes
stochastic differential models
reliability
Opis:
The paper presents the results of the comparison of the lifetime estimation of two supercapacitors on the basis of the accelerated degradation tests by means of stochastic differential models. The acceleration of degradation processes was fulfilled by the increase of the operating voltage of the capacitors, while their reliability was assessed on the basis of the changes in equivalent series resistance. The reliability distribution function was determined using stochastic differential models. The model parameters were assessed based on the changes of supercapacitor parameter at the beginning of the testing process. In order to eliminate the effect of other factors accelerating the ageing process, supercapacitors were placed in a temperature chamber that provided a constant temperature during the tests. The paper describes the construction of the test setup, the tests procedure, and the method of reliability estimation. The use of two capacitors with different nominal voltages allowed for assessment of properties of particular parts of the test setup, as well as the proposed procedure for the tests and analysis of the results.
Źródło:
Computer Applications in Electrical Engineering; 2016, 14; 77-88
1508-4248
Pojawia się w:
Computer Applications in Electrical Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Metodyczne podstawy symulacji stochastycznej Monte Carlo
Methodological Basis of the Monte Carlo Stochastic Simulation
Autorzy:
Mitrenga, Damian
Powiązania:
https://bibliotekanauki.pl/articles/593428.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Metoda Monte Carlo
Modele stochastyczne
Symulacja Monte Carlo
Monte Carlo method
Monte Carlo simulation
Stochastic models
Opis:
The aim of these paper is to present the genesis and methodical basis of the Monte Carlo simulation, which allows to incorporate in studies the stochastic nature of economic variables. Additionally this article considers the connection between the mentioned method and the concepts of determinism and indeterminism.
Źródło:
Studia Ekonomiczne; 2014, 204; 164-180
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
TECHNICAL EFFICIENCY MEASUREMENT OF DAIRY FARMS IN POLAND: AN APPLICATION OF BAYESIAN VED MODEL
Autorzy:
Marzec, Jerzy
Pisulewski, Andrzej
Powiązania:
https://bibliotekanauki.pl/articles/453896.pdf
Data publikacji:
2013
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
stochastic frontier models
Bayesian VED model
technical efficiency
dairy farms
Opis:
The purpose of this paper is to measure the technical efficiency of Polish dairy farms using a Bayesian Varying Efficiency Distribution (VED) model. In particular, the paper presents the design and assumptions of frontier stochastic production function for panel data. Furthermore, it specifies the microeconomic production function based on panel data, derived from the Polish FADN (Farm Accountancy Data Network). The main part of the paper presents key findings which form the basis of understanding the technological characteristics and average efficiency of Polish dairy farms. Moreover, the exogenous variables affecting the level of average farm efficiency are identified. They are the source of significant differences in levels of efficiency of dairy farmers surveyed.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 2; 78-88
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł

Ta witryna wykorzystuje pliki cookies do przechowywania informacji na Twoim komputerze. Pliki cookies stosujemy w celu świadczenia usług na najwyższym poziomie, w tym w sposób dostosowany do indywidualnych potrzeb. Korzystanie z witryny bez zmiany ustawień dotyczących cookies oznacza, że będą one zamieszczane w Twoim komputerze. W każdym momencie możesz dokonać zmiany ustawień dotyczących cookies