Testing against changing correlation

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modified to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes information on the level of correlation under the null hypothesis and local power arguments indicate the benefits of doing so. A simulation study shows that the performance of the score-based test is strong relative to existing tests across a range of data generating processes. An application to the Hong Kong and South Korean equity markets shows that the new test reveals changes in correlation that are not detected by the standard moment-based test.

Forecasting day-ahead electricity load using a multiple equation time series approach

The quality of short-term electricity load forecasting is crucial to the operation and trading activities of market participants in an electricity market. In this paper, it is shown that a multiple equation time-series model, which is estimated by repeated application of ordinary least squares, has the potential to match or even outperform more complex nonlinear and nonparametric forecasting models. The key ingredient of the success of this simple model is the effective use of lagged information by allowing for interaction between seasonal patterns and intra-day dependencies. Although the model is built using data for the Queensland region of Australia, the method is completely generic and applicable to any load forecasting problem. The model’s forecasting ability is assessed by means of the mean absolute percentage error (MAPE). For day-ahead forecast, the MAPE returned by the model over a period of 11 years is an impressive 1.36%. The forecast accuracy of the model is compared with a number of benchmarks including three popular alternatives and one industrial standard reported by the Australia Energy Market Operator (AEMO). The performance of the model developed in this paper is superior to all benchmarks and outperforms the AEMO forecasts by about a third in terms of the MAPE criterion.

Analysis of cool roof coatings for residential demand side management in tropical Australia

Cool roof coatings have a beneficial impact on reducing the heat load of a range of building types, resulting in reduced cooling energy loads. This study seeks to understand the extent to which cool roof coatings could be used as a residential demand side management (DSM) strategy for retrofitting existing housing in a constrained network area in tropical Australia where peak electrical demand is heavily influenced by residential cooling loads. In particular this study seeks to determine whether simulation software used for building regulation purposes can provide networks with the ‘impact certainty’ required by their DSM principles. The building simulation method is supported by a field experiment. Both numerical and experimental data confirm reductions in total consumption (kWh) and energy demand (kW). The nature of the regulated simulation software, combined with the diverse nature of residential buildings and their patterns of occupancy, however, mean that simulated results cannot be extrapolated to quantify benefits to a broader distribution network. The study suggests that building data gained from regulatory simulations could be a useful guide for potential impacts of widespread application of cool roof coatings in this region. The practical realization of these positive impacts, however, would require changes to the current business model for the evaluation of DSM strategies. The study provides seven key recommendations that encourage distribution networks to think beyond their infrastructure boundaries, recognising that the broader energy system also includes buildings, appliances and people.

Phase-Field Simulation of Fusion Interface Events during Solidification of Dissimilar Welds: Effect of Composition Inhomogeneity

We investigate the events near the fusion interfaces of dissimilar welds using a phase-field model developed for single-phase solidification of binary alloys. The parameters used here correspond to the dissimilar welding of a Ni/Cu couple. The events at the Ni and the Cu interface are very different, which illustrate the importance of the phase diagram through the slope of the liquidus curves. In the Ni side, where the liquidus temperature decreases with increasing alloying, solutal melting of the base metal takes place; the resolidification, with continuously increasing solid composition, is very sluggish until the interface encounters a homogeneous melt composition. The growth difficulty of the base metal increases with increasing initial melt composition, which is equivalent to a steeper slope of the liquidus curve. In the Cu side, the initial conditions result in a deeply undercooled melt and contributions from both constrained and unconstrained modes of growth are observed. The simulations bring out the possibility of nucleation of a concentrated solid phase from the melt, and a secondary melting of the substrate due to the associated recalescence event. The results for the Ni and Cu interfaces can be used to understand more complex dissimilar weld interfaces involving multiphase solidification.

Simulation blocks for TOSSIM-T2

We develop several hardware and software simulation blocks for the TinyOS-2 (TOSSIM-T2) simulator. The choice of simulated hardware platform is the popular MICA2 mote. While the hardware simulation elements comprise of radio and external flash memory, the software blocks include an environment noise model, packet delivery model and an energy estimator block for the complete system. The hardware radio block uses the software environment noise model to sample the noise floor. The packet delivery model is built by establishing the SNR-PRR curve for the MICA2 system. The energy estimator block models energy consumption by Micro Controller Unit(MCU), Radio, LEDs, and external flash memory. Using the manufacturerpsilas data sheets we provide an estimate of the energy consumed by the hardware during transmission, reception and also track several of the MCUs states with the associated energy consumption. To study the effectiveness of this work, we take a case study of a paper presented in [1]. We obtain three sets of results for energy consumption through mathematical analysis, simulation using the blocks built into PowerTossim-T2 and finally laboratory measurements. Since there is a significant match between these result sets, we propose our blocks for T2 community to effectively test their application energy requirements and node life times.

Computer simulation of H and He effects in fusion reactor materials

Fusion power is an appealing source of clean and abundant energy. The radiation resistance of reactor materials is one of the greatest obstacles on the path towards commercial fusion power. These materials are subject to a harsh radiation environment, and cannot fail mechanically or contaminate the fusion plasma. Moreover, for a power plant to be economically viable, the reactor materials must withstand long operation times, with little maintenance. The fusion reactor materials will contain hydrogen and helium, due to deposition from the plasma and nuclear reactions because of energetic neutron irradiation. The first wall divertor materials, carbon and tungsten in existing and planned test reactors, will be subject to intense bombardment of low energy deuterium and helium, which erodes and modifies the surface. All reactor materials, including the structural steel, will suffer irradiation of high energy neutrons, causing displacement cascade damage. Molecular dynamics simulation is a valuable tool for studying irradiation phenomena, such as surface bombardment and the onset of primary damage due to displacement cascades. The governing mechanisms are on the atomic level, and hence not easily studied experimentally. In order to model materials, interatomic potentials are needed to describe the interaction between the atoms. In this thesis, new interatomic potentials were developed for the tungsten-carbon-hydrogen system and for iron-helium and chromium-helium. Thus, the study of previously inaccessible systems was made possible, in particular the effect of H and He on radiation damage. The potentials were based on experimental and ab initio data from the literature, as well as density-functional theory calculations performed in this work. As a model for ferritic steel, iron-chromium with 10% Cr was studied. The difference between Fe and FeCr was shown to be negligible for threshold displacement energies. The properties of small He and He-vacancy clusters in Fe and FeCr were also investigated. The clusters were found to be more mobile and dissociate more rapidly than previously assumed, and the effect of Cr was small. The primary damage formed by displacement cascades was found to be heavily influenced by the presence of He, both in FeCr and W. Many important issues with fusion reactor materials remain poorly understood, and will require a huge effort by the international community. The development of potential models for new materials and the simulations performed in this thesis reveal many interesting features, but also serve as a platform for further studies.

Simulation design in information systems research: example of studying it value cocreation with NK model

As an emerging research method that has showed promising potential in several research disciplines, simulation received relatively few attention in information systems research. This paper illustrates a framework for employing simulation to study IT value cocreation. Although previous studies identified factors driving IT value cocreation, its underlying process remains unclear. Simulation can address this limitation through exploring such underlying process with computational experiments. The simulation framework in this paper is based on an extended NK model. Agent-based modeling is employed as the theoretical basis for the NK model extensions.

Ship collision avoidance and COLREGS compliance using simulation-based control behavior selection with predictive hazard assessment

This paper describes a concept for a collision avoidance system for ships, which is based on model predictive control. A finite set of alternative control behaviors are generated by varying two parameters: offsets to the guidance course angle commanded to the autopilot and changes to the propulsion command ranging from nominal speed to full reverse. Using simulated predictions of the trajectories of the obstacles and ship, compliance with the Convention on the International Regulations for Preventing Collisions at Sea and collision hazards associated with each of the alternative control behaviors are evaluated on a finite prediction horizon, and the optimal control behavior is selected. Robustness to sensing error, predicted obstacle behavior, and environmental conditions can be ensured by evaluating multiple scenarios for each control behavior. The method is conceptually and computationally simple and yet quite versatile as it can account for the dynamics of the ship, the dynamics of the steering and propulsion system, forces due to wind and ocean current, and any number of obstacles. Simulations show that the method is effective and can manage complex scenarios with multiple dynamic obstacles and uncertainty associated with sensors and predictions.

Simulation and implementation of a tunable C-band dielectric resonator oscillator

Microwave sources used in present day applications are either multiplied source derived from basic quartz crystals, or frequency synthesizers. The frequency multiplication method increases FM noise power considerably, and has very low efficiency in addition to being very complex and expensive. The complexity and cost involved demands a simple, compact and tunable microwave source. A tunable dielectric resonator oscillator(DRO) is an ideal choice for such applications. In this paper, the simulation, design and realization of a tunable DRO with a center frequency of 6250 MHz is presented. Simulation has been carried out on HP-Ees of CAD software. Mechanical and electronic tuning features are provided. The DRO operates over a frequency range of 6235 MHz to 6375 MHz. The output power is +5.33 dBm at centre frequency. The performance of the DRO is as per design with respect to phase noise, harmonic levels and tunability. and hence, can conveniently be used for the intended applications.

Simulation of wavelength/time multiple-pulses-per-row fiber-optic CDMA network

Passive wavelength/time fiber-optic code division multiple access (WIT FO-CDMA) network is a viable option for highspeed access networks. Constructions of 2-D codes, suitable for incoherent WIT FO-CDMA, have been proposed to reduce the time spread of the 1-D sequences. The 2-D constructions can be broadly classified as 1) hybrid codes and 2) matrix codes. In our earlier work [141, we had proposed a new family of wavelength/time multiple-pulses-per-row (W/T MPR) matrix codes which have good cardinality, spectral efficiency and at the same time have the lowest off-peak autocorrelation and cross-correlation values equal to unity. In this paper we propose an architecture for a WIT MPR FO-CDAM network designed using the presently available devices and technology. A complete FO-CDMA network of ten users is simulated, for various number of simultaneous users and shown that 0 --> 1 errors can occur only when the number of interfering users is at least equal to the threshold value.

Solution of MDPS using simulation-based value iteration

This article proposes a three-timescale simulation based algorithm for solution of infinite horizon Markov Decision Processes (MDPs). We assume a finite state space and discounted cost criterion and adopt the value iteration approach. An approximation of the Dynamic Programming operator T is applied to the value function iterates. This 'approximate' operator is implemented using three timescales, the slowest of which updates the value function iterates. On the middle timescale we perform a gradient search over the feasible action set of each state using Simultaneous Perturbation Stochastic Approximation (SPSA) gradient estimates, thus finding the minimizing action in T. On the fastest timescale, the 'critic' estimates, over which the gradient search is performed, are obtained. A sketch of convergence explaining the dynamics of the algorithm using associated ODEs is also presented. Numerical experiments on rate based flow control on a bottleneck node using a continuous-time queueing model are performed using the proposed algorithm. The results obtained are verified against classical value iteration where the feasible set is suitably discretized. Over such a discretized setting, a variant of the algorithm of [12] is compared and the proposed algorithm is found to converge faster.

Orientational melting and reorientational motion in a cubane molecular crystal: A molecular simulation study

Detailed molecular simulations are carried out to investigate the effect of temperature on orientational order in cubane molecular crystal. We report a transition from an orientationally ordered to an orientationally disordered plastic crystalline phase in the temperature range 425-450 K. This is similar to the experimentally reported transition at 395 K. The nature of this transition is first order and is associated with a 4.8% increase in unit Cell volume that is comparable to the experimentally reported unit cell volume change of 5.4% (Phys. Rev. Lett. 1997, 78, 4938). An orientational order parameter, eta(T), has been defined in terms of average angle of libration of a molecular 3-fold axis and the orientational melting has been characterized by using eta(T). The orientational melting is associated with an anomaly in specific heat at constant pressure (C-p) and compressibility (kappa). The enthalpy of transition and entropy of transition associated with this orientational melting are 20.8 J mol(-1) and 0.046 J mol(-1) K-1, respectively. The structure of crystalline as well as plastic crystalline phases is characterized by using various radial distribution functions and orientational distribution functions. The coefficient of thermal expansion of the plastic crystalline phase is more than twice that of the crystalline phase.

Hybrid moving block bootstrap for stochastic simulation of multi-site multi-season streamflows

The Hybrid approach introduced by the authors for at-site modeling of annual and periodic streamflows in earlier works is extended to simulate multi-site multi-season streamflows. It bears significance in integrated river basin planning studies. This hybrid model involves: (i) partial pre-whitening of standardized multi-season streamflows at each site using a parsimonious linear periodic model; (ii) contemporaneous resampling of the resulting residuals with an appropriate block size, using moving block bootstrap (non-parametric, NP) technique; and (iii) post-blackening the bootstrapped innovation series at each site, by adding the corresponding parametric model component for the site, to obtain generated streamflows at each of the sites. It gains significantly by effectively utilizing the merits of both parametric and NP models. It is able to reproduce various statistics, including the dependence relationships at both spatial and temporal levels without using any normalizing transformations and/or adjustment procedures. The potential of the hybrid model in reproducing a wide variety of statistics including the run characteristics, is demonstrated through an application for multi-site streamflow generation in the Upper Cauvery river basin, Southern India. (C) 2004 Elsevier B.V. All rights reserved.