Heavy tails, importance sampling and cross-entropy

We consider the problem of estimating P(Yi + (...) + Y-n > x) by importance sampling when the Yi are i.i.d. and heavy-tailed. The idea is to exploit the cross-entropy method as a toot for choosing good parameters in the importance sampling distribution; in doing so, we use the asymptotic description that given P(Y-1 + (...) + Y-n > x), n - 1 of the Yi have distribution F and one the conditional distribution of Y given Y > x. We show in some specific parametric examples (Pareto and Weibull) how this leads to precise answers which, as demonstrated numerically, are close to being variance minimal within the parametric class under consideration. Related problems for M/G/l and GI/G/l queues are also discussed.

Effects of temperature-dependent viscosity variation on entropy generation, heat and fluid flow through a porous-saturated duct of rectangular cross-section

Effect of temperature-dependent viscosity on fully developed forced convection in a duct of rectangular cross-section occupied by a fluid-saturated porous medium is investigated analytically. The Darcy flow model is applied and the viscosity-temperature relation is assumed to be an inverse-linear one. The case of uniform heat flux on the walls, i.e. the H boundary condition in the terminology of Kays and Crawford, is treated. For the case of a fluid whose viscosity decreases with temperature, it is found that the effect of the variation is to increase the Nusselt number for heated walls. Having found the velocity and the temperature distribution, the second law of thermodynamics is invoked to find the local and average entropy generation rate. Expressions for the entropy generation rate, the Bejan number, the heat transfer irreversibility, and the fluid flow irreversibility are presented in terms of the Brinkman number, the Péclet number, the viscosity variation number, the dimensionless wall heat flux, and the aspect ratio (width to height ratio). These expressions let a parametric study of the problem based on which it is observed that the entropy generated due to flow in a duct of square cross-section is more than those of rectangular counterparts while increasing the aspect ratio decreases the entropy generation rate similar to what previously reported for the clear flow case.

Heat transfer and entropy generation optimization of forced convection in a porous-saturated duct of rectangular cross-section

We investigate analytically the first and the second law characteristics of fully developed forced convection inside a porous-saturated duct of rectangular cross-section. The Darcy-Brinkman flow model is employed. Three different types of thermal boundary conditions are examined. Expressions for the Nusselt number, the Bejan number, and the dimensionless entropy generation rate are presented in terms of the system parameters. The conclusions of this analytical study will make it possible to compare, evaluate, and optimize alternative rectangular duct design options in terms of heat transfer, pressure drop, and entropy generation. (c) 2006 Elsevier Ltd. All rights reserved.

Entropy generation for forced convection in a porous saturated circular tube with uniform wall temperature

A numerical study is reported to investigate both the First and the Second Law of Thermodynamics for thermally developing forced convection in a circular tube filled by a saturated porous medium, with uniform wall temperature, and with the effects of viscous dissipation included. A theoretical analysis is also presented to study the problem for the asymptotic region applying the perturbation solution of the Brinkman momentum equation reported by Hooman and Kani [1]. Expressions are reported for the temperature profile, the Nusselt number, the Bejan number, and the dimensionless entropy generation rate in the asymptotic region. Numerical results are found to be in good agreement with theoretical counterparts.

The Conditional Autonomy of Tafuri's Historian / De Provisorische Autonomie van de Historicus bij Tafuri

This article considers the conditions placed on the autonomous architectural history discipline often understood at stake in Manfredo Tafuri's 1968 book Teorie e storia dell'architettura.

A fast cross-entropy method for estimating buffer overflows in queuing networks

In this paper, we propose a fast adaptive importance sampling method for the efficient simulation of buffer overflow probabilities in queueing networks. The method comprises three stages. First, we estimate the minimum cross-entropy tilting parameter for a small buffer level; next, we use this as a starting value for the estimation of the optimal tilting parameter for the actual (large) buffer level. Finally, the tilting parameter just found is used to estimate the overflow probability of interest. We study various properties of the method in more detail for the M/M/1 queue and conjecture that similar properties also hold for quite general queueing networks. Numerical results support this conjecture and demonstrate the high efficiency of the proposed algorithm.

Analysis of heat transfer and entropy generation for a thermally developing Brinkman–Brinkman forced convection problem in a rectangular duct with isoflux walls

Heat transfer and entropy generation analysis of the thermally developing forced convection in a porous-saturated duct of rectangular cross-section, with walls maintained at a constant and uniform heat flux, is investigated based on the Brinkman flow model. The classical Galerkin method is used to obtain the fully developed velocity distribution. To solve the thermal energy equation, with the effects of viscous dissipation being included, the Extended Weighted Residuals Method (EWRM) is applied. The local (three dimensional) temperature field is solved by utilizing the Green’s function solution based on the EWRM where symbolic algebra is being used for convenience in presentation. Following the computation of the temperature field, expressions are presented for the local Nusselt number and the bulk temperature as a function of the dimensionless longitudinal coordinate, the aspect ratio, the Darcy number, the viscosity ratio, and the Brinkman number. With the velocity and temperature field being determined, the Second Law (of Thermodynamics) aspect of the problem is also investigated. Approximate closed form solutions are also presented for two limiting cases of MDa values. It is observed that decreasing the aspect ratio and MDa values increases the entropy generation rate.

Prediction of carbon monoxide in fires by conditional moment closure

Carbon monoxide is the chief killer in fires. Dangerous levels of CO can occur when reacting combustion gases are quenched by heat transfer, or by mixing of the fire plume in a cooled under- or overventilated upper layer. In this paper, carbon monoxide predictions for enclosure fires are modeled by the conditional moment closure (CMC) method and are compared with laboratory data. The modeled fire situation is a buoyant, turbulent, diffusion flame burning under a hood. The fire plume entrains fresh air, and the postflame gases are cooled considerably under the hood by conduction and radiation, emulating conditions which occur in enclosure fires and lead to the freezing of CO burnout. Predictions of CO in the cooled layer are presented in the context of a complete computational fluid dynamics solution of velocity, temperature, and major species concentrations. A range of underhood equivalence ratios, from rich to lean, are investigated. The CMC method predicts CO in very good agreement with data. In particular, CMC is able to correctly predict CO concentrations in lean cooled gases, showing its capability in conditions where reaction rates change considerably.

Modelling of species in hood fires by conditional moment closure

Carbon monoxide, the chief killer in fires, and other species are modelled for a series of enclosure fires. The conditions emulate building fires where CO is formed in the rich, turbulent, nonpremixed flame and is transported frozen to lean mixtures by the ceiling jet which is cooled by radiation and dilution. Conditional moment closure modelling is used and computational domain minimisation criteria are developed which reduce the computational cost of this method. The predictions give good agreement for CO and other species in the lean, quenched-gas stream, holding promise that this method may provide a practical means of modelling real, three-dimensional fire situations. (c) 2005 The Combustion Institute. Published by Elsevier Inc. All rights reserved.

Conditional variance reduction by measurements on correlated field modes

We consider the case of two cavity modes of the electromagnetic field, which are coupled via the action of a parametric amplifier. The fields are allowed to leak from the cavity and homodyne measurement is performed on one of the modes. Because of the correlations between the modes, this leads to a reduction of the variance in a quadrature of the other mode, although no measurement is performed on it directly. We discuss how this relates to the Einstein-Podolky-Rosen Gedankenexperiment.

Limiting conditional distributions for birth-death processes

In a recent paper [16], one of us identified all of the quasi-stationary distributions for a non-explosive, evanescent birth-death process for which absorption is certain, and established conditions for the existence of the corresponding limiting conditional distributions. Our purpose is to extend these results in a number of directions. We shall consider separately two cases depending on whether or not the process is evanescent. In the former case we shall relax the condition that absorption is certain. Furthermore, we shall allow for the possibility that the minimal process might be explosive, so that the transition rates alone will not necessarily determine the birth-death process uniquely. Although we shall be concerned mainly with the minimal process, our most general results hold for any birth-death process whose transition probabilities satisfy both the backward and the forward Kolmogorov differential equations.