A directed continuous time random walk model with jump length depending on waiting time

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density function P(x,t) of finding the walker at position at time is completely determined by the Laplace transform of the probability density function φ(t) of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.

A queuing approach for inventory planning with batch ordering in multi-echelon supply chains

This paper presents stylized models for conducting performance analysis of the manufacturing supply chain network (SCN) in a stochastic setting for batch ordering. We use queueing models to capture the behavior of SCN. The analysis is clubbed with an inventory optimization model, which can be used for designing inventory policies . In the first case, we model one manufacturer with one warehouse, which supplies to various retailers. We determine the optimal inventory level at the warehouse that minimizes total expected cost of carrying inventory, back order cost associated with serving orders in the backlog queue, and ordering cost. In the second model we impose service level constraint in terms of fill rate (probability an order is filled from stock at warehouse), assuming that customers do not balk from the system. We present several numerical examples to illustrate the model and to illustrate its various features. In the third case, we extend the model to a three-echelon inventory model which explicitly considers the logistics process.

Probabilistic seismic hazard analysis for Bangalore

This article presents the results of probabilistic seismic hazard analysis (PSHA) for Bangalore, South India. Analyses have been carried out considering the seismotectonic parameters of the region covering a radius of 350 km keeping Bangalore as the center. Seismic hazard parameter `b' has been evaluated considering the available earthquake data using (1) Gutenberg-Richter (G-R) relationship and (2) Kijko and Sellevoll (1989, 1992) method utilizing extreme and complete catalogs. The `b' parameter was estimated to be 0.62 to 0.98 from G-R relation and 0.87 +/- A 0.03 from Kijko and Sellevoll method. The results obtained are a little higher than the `b' values published earlier for southern India. Further, probabilistic seismic hazard analysis for Bangalore region has been carried out considering six seismogenic sources. From the analysis, mean annual rate of exceedance and cumulative probability hazard curve for peak ground acceleration (PGA) and spectral acceleration (Sa) have been generated. The quantified hazard values in terms of the rock level peak ground acceleration (PGA) are mapped for 10% probability of exceedance in 50 years on a grid size of 0.5 km x 0.5 km. In addition, Uniform Hazard Response Spectrum (UHRS) at rock level is also developed for the 5% damping corresponding to 10% probability of exceedance in 50 years. The peak ground acceleration (PGA) value of 0.121 g obtained from the present investigation is slightly lower (but comparable) than the PGA values obtained from the deterministic seismic hazard analysis (DSHA) for the same area. However, the PGA value obtained in the current investigation is higher than PGA values reported in the global seismic hazard assessment program (GSHAP) maps of Bhatia et al. (1999) for the shield area.

Statistical analysis of the position of the monsoon trough

Using surface charts at 0330GMT, the movement df the monsoon trough during the months June to September 1990 al two fixed longitudes, namely 79 degrees E and 85 degrees E, is studied. The probability distribution of trough position shows that the median, mean and mode occur at progressively more northern latitudes, especially at 85 degrees E, with a pronounced mode that is close to the northern-most limit reached by the trough. A spectral analysis of the fluctuating latitudinal position of the trough is carried out using FFT and the Maximum Entropy Method (MEM). Both methods show significant peaks around 7.5 and 2.6 days, and a less significant one around 40-50 days. The two peaks at the shorter period are more prominent at the eastern longitude. MEM shows an additional peak around 15 days. A study of the weather systems that occurred during the season shows them to have a duration around 3 days and an interval between systems of around 9 days, suggesting a possible correlation with the dominant short periods observed in the spectrum of trough position.

A Quasi-Newton Adaptive Algorithm for Generalized Symmetric Eigenvalue Problem

In this paper, we first recast the generalized symmetric eigenvalue problem, where the underlying matrix pencil consists of symmetric positive definite matrices, into an unconstrained minimization problem by constructing an appropriate cost function, We then extend it to the case of multiple eigenvectors using an inflation technique, Based on this asymptotic formulation, we derive a quasi-Newton-based adaptive algorithm for estimating the required generalized eigenvectors in the data case. The resulting algorithm is modular and parallel, and it is globally convergent with probability one, We also analyze the effect of inexact inflation on the convergence of this algorithm and that of inexact knowledge of one of the matrices (in the pencil) on the resulting eigenstructure. Simulation results demonstrate that the performance of this algorithm is almost identical to that of the rank-one updating algorithm of Karasalo. Further, the performance of the proposed algorithm has been found to remain stable even over 1 million updates without suffering from any error accumulation problems.

Reservoir Operation for Hydropower Optimization: A Chance-Constrained Approach

This paper presents a chance-constrained linear programming formulation for reservoir operation of a multipurpose reservoir. The release policy is defined by a chance constraint that the probability of irrigation release in any period equalling or exceeding the irrigation demand is at least equal to a specified value P (called reliability level). The model determines the maximum annual hydropower produced while meeting the irrigation demand at a specified reliability level. The model considers variation in reservoir water level elevation and also the operating range within which the turbine operates. A linear approximation for nonlinear power production function is assumed and the solution obtained within a specified tolerance limit. The inflow into the reservoir is considered random. The chance constraint is converted into its deterministic equivalent using a linear decision rule and inflow probability distribution. The model application is demonstrated through a case study.

Speeding through roadworks: Understanding driver speed profiles and ways to reduce speeding

Poor compliance with speed limits is a serious safety concern at roadworks. While considerable research has been undertaken worldwide to understand drivers’ speeding behaviour at roadworks and to identify treatments for improving compliance with speed limits, little is known about the speeding behaviour of drivers at Australian roadworks and how their compliance rates with speed limits could be improved. This paper presents findings from two Queensland studies targeted at 1) examining drivers’ speed profiles at three long-term roadwork sites, and 2) understanding the effectiveness of speed control treatments at roadworks. The first study analysed driver speeds at various locations in the sites using a Tobit regression model. Results show that the probability of speeding was higher for light vehicles and their followers, for leaders of platoons with larger front gaps, during late afternoon and early morning, when higher proportions of surrounding vehicles were speeding, and at the upstream of work areas. The second study provided a comprehensive understanding of the effectiveness of various speed control treatments used at roadworks by undertaking a critical review of the literature. Results showed that enforcement has the greatest effects on reducing speeds among all treatments, while the roadwork signage and information-related treatments have small to moderate effects on speed reduction. Findings from the studies have potential for designing programs to effectively improve speed limit compliance at Australian roadworks.

Precipitation In Small Systems--II. Mean Field Equations More Effective Than Population Balance

Part I (Manjunath et al., 1994, Chem. Engng Sci. 49, 1451-1463) of this paper showed that the random particle numbers and size distributions in precipitation processes in very small drops obtained by stochastic simulation techniques deviate substantially from the predictions of conventional population balance. The foregoing problem is considered in this paper in terms of a mean field approximation obtained by applying a first-order closure to an unclosed set of mean field equations presented in Part I. The mean field approximation consists of two mutually coupled partial differential equations featuring (i) the probability distribution for residual supersaturation and (ii) the mean number density of particles for each size and supersaturation from which all average properties and fluctuations can be calculated. The mean field equations have been solved by finite difference methods for (i) crystallization and (ii) precipitation of a metal hydroxide both occurring in a single drop of specified initial supersaturation. The results for the average number of particles, average residual supersaturation, the average size distribution, and fluctuations about the average values have been compared with those obtained by stochastic simulation techniques and by population balance. This comparison shows that the mean field predictions are substantially superior to those of population balance as judged by the close proximity of results from the former to those from stochastic simulations. The agreement is excellent for broad initial supersaturations at short times but deteriorates progressively at larger times. For steep initial supersaturation distributions, predictions of the mean field theory are not satisfactory thus calling for higher-order approximations. The merit of the mean field approximation over stochastic simulation lies in its potential to reduce expensive computation times involved in simulation. More effective computational techniques could not only enhance this advantage of the mean field approximation but also make it possible to use higher-order approximations eliminating the constraints under which the stochastic dynamics of the process can be predicted accurately.

A probabilistic constrained nonlinear optimization framework to optimize RED parameters

The random early detection (RED) technique has seen a lot of research over the years. However, the functional relationship between RED performance and its parameters viz,, queue weight (omega(q)), marking probability (max(p)), minimum threshold (min(th)) and maximum threshold (max(th)) is not analytically availa ble. In this paper, we formulate a probabilistic constrained optimization problem by assuming a nonlinear relationship between the RED average queue length and its parameters. This problem involves all the RED parameters as the variables of the optimization problem. We use the barrier and the penalty function approaches for its Solution. However (as above), the exact functional relationship between the barrier and penalty objective functions and the optimization variable is not known, but noisy samples of these are available for different parameter values. Thus, for obtaining the gradient and Hessian of the objective, we use certain recently developed simultaneous perturbation stochastic approximation (SPSA) based estimates of these. We propose two four-timescale stochastic approximation algorithms based oil certain modified second-order SPSA updates for finding the optimum RED parameters. We present the results of detailed simulation experiments conducted over different network topologies and network/traffic conditions/settings, comparing the performance of Our algorithms with variants of RED and a few other well known adaptive queue management (AQM) techniques discussed in the literature.

Axially homogeneous, zero mean flow buoyancy-driven turbulence in a vertical pipe

We report an experimental study of a new type of turbulent flow that is driven purely by buoyancy. The flow is due to an unstable density difference, created using brine and water, across the ends of a long (length/diameter = 9) vertical pipe. The Schmidt number Sc is 670, and the Rayleigh number (Ra) based on the density gradient and diameter is about 10(8). Under these conditions the convection is turbulent, and the time-averaged velocity at any point is `zero'. The Reynolds number based on the Taylor microscale, Re-lambda, is about 65. The pipe is long enough for there to be an axially homogeneous region, with a linear density gradient, about 6-7 diameters long in the midlength of the pipe. In the absence of a mean flow and, therefore, mean shear, turbulence is sustained just by buoyancy. The flow can be thus considered to be an axially homogeneous turbulent natural convection driven by a constant (unstable) density gradient. We characterize the flow using flow visualization and particle image velocimetry (PIV). Measurements show that the mean velocities and the Reynolds shear stresses are zero across the cross-section; the root mean squared (r.m.s.) of the vertical velocity is larger than those of the lateral velocities (by about one and half times at the pipe axis). We identify some features of the turbulent flow using velocity correlation maps and the probability density functions of velocities and velocity differences. The flow away from the wall, affected mainly by buoyancy, consists of vertically moving fluid masses continually colliding and interacting, while the flow near the wall appears similar to that in wall-bound shear-free turbulence. The turbulence is anisotropic, with the anisotropy increasing to large values as the wall is approached. A mixing length model with the diameter of the pipe as the length scale predicts well the scalings for velocity fluctuations and the flux. This model implies that the Nusselt number would scale as (RaSc1/2)-Sc-1/2, and the Reynolds number would scale as (RaSc-1/2)-Sc-1/2. The velocity and the flux measurements appear to be consistent with the Ra-1/2 scaling, although it must be pointed out that the Rayleigh number range was less than 10. The Schmidt number was not varied to check the Sc scaling. The fluxes and the Reynolds numbers obtained in the present configuration are Much higher compared to what would be obtained in Rayleigh-Benard (R-B) convection for similar density differences.

Ship Seakeeping Operability, Motion Control, and Autonomy - A Bayesian Perspective

Ship seakeeping operability refers to the quantification of motion performance in waves relative to mission requirements. This is used to make decisions about preferred vessel designs, but it can also be used as comprehensive assessment of the benefits of ship-motion-control systems. Traditionally, operability computation aggregates statistics of motion computed over over the envelope of likely environmental conditions in order to determine a coefficient in the range from 0 to 1 called operability. When used for assessment of motion-control systems, the increase of operability is taken as the key performance indicator. The operability coefficient is often given the interpretation of the percentage of time operable. This paper considers an alternative probabilistic approach to this traditional computation of operability. It characterises operability not as a number to which a frequency interpretation is attached, but as a hypothesis that a vessel will attain the desired performance in one mission considering the envelope of likely operational conditions. This enables the use of Bayesian theory to compute the probability of that this hypothesis is true conditional on data from simulations. Thus, the metric considered is the probability of operability. This formulation not only adheres to recent developments in reliability and risk analysis, but also allows incorporating into the analysis more accurate descriptions of ship-motion-control systems since the analysis is not limited to linear ship responses in the frequency domain. The paper also discusses an extension of the approach to the case of assessment of increased levels of autonomy for unmanned marine craft.

Theoretical-Studies on the Modes of Binding of Some of the Beta-Glycosidically Linked Glucobioses to Concanavalin-A

The probable modes of binding for methyl-α-d-sophoroside, methyl-β-d-sophoroside, laminariboise and cellobiose to concanavalin A have been determined using theoretical methods. Methyl-d-sophorosides can bind to concanavalin A in two modes, i.e. by placing their reducing as well as non-reducing sugar units in the carbohydrate specific binding site, whereas laminaribiose and cellobiose can reach the binding site only with their non-reducing glucose units. However, the probability for methyl-α-d-sophoroside to bind to concanavalin A with its reducing sugar residue as the occupant of the binding site is much higher than it is with its non-reducing sugar residue as the occupant of the sugar binding site. A few of the probable conformers of methyl-β-d-sophoroside can bind to concanavalin A with either the reducing or non-reducing glucose unit. Higher energy conformers of cellobiose or laminaribiose can reach the binding site with their non-reducing residues alone. The relative differences in the binding affinities of these disaccharides are mainly due to the differences in the availability of proper conformers which can reach the binding site and to non-covalent interactions between the sugar and the protein. This study also suggests that though the sugar binding site of concanavalin A accommodates a single sugar residue, the residue outwards from the binding site also interacts with concanavalin A, indicating the existence of extended concanavalin A carbohydrate interactions.

Improved estimation of size-transition matrices using tag-recapture data

We derive a new method for determining size-transition matrices (STMs) that eliminates probabilities of negative growth and accounts for individual variability. STMs are an important part of size-structured models, which are used in the stock assessment of aquatic species. The elements of STMs represent the probability of growth from one size class to another, given a time step. The growth increment over this time step can be modelled with a variety of methods, but when a population construct is assumed for the underlying growth model, the resulting STM may contain entries that predict negative growth. To solve this problem, we use a maximum likelihood method that incorporates individual variability in the asymptotic length, relative age at tagging, and measurement error to obtain von Bertalanffy growth model parameter estimates. The statistical moments for the future length given an individual's previous length measurement and time at liberty are then derived. We moment match the true conditional distributions with skewed-normal distributions and use these to accurately estimate the elements of the STMs. The method is investigated with simulated tag-recapture data and tag-recapture data gathered from the Australian eastern king prawn (Melicertus plebejus).

Stochastic growth models for analyzing crustacean data

The contemporary methodology for growth models of organisms is based on continuous trajectories and thus it hinders us from modelling stepwise growth in crustacean populations. Growth models for fish are normally assumed to follow a continuous function, but a different type of model is needed for crustacean growth. Crustaceans must moult in order for them to grow. The growth of crustaceans is a discontinuous process due to the periodical shedding of the exoskeleton in moulting. The stepwise growth of crustaceans through the moulting process makes the growth estimation more complex. Stochastic approaches can be used to model discontinuous growth or what are commonly known as "jumps" (Figure 1). However, in stochastic growth model we need to ensure that the stochastic growth model results in only positive jumps. In view of this, we will introduce a subordinator that is a special case of a Levy process. A subordinator is a non-decreasing Levy process, that will assist in modelling crustacean growth for better understanding of the individual variability and stochasticity in moulting periods and increments. We develop the estimation methods for parameter estimation and illustrate them with the help of a dataset from laboratory experiments. The motivational dataset is from the ornate rock lobster, Panulirus ornatus, which can be found between Australia and Papua New Guinea. Due to the presence of sex effects on the growth (Munday et al., 2004), we estimate the growth parameters separately for each sex. Since all hard parts are shed too often, the exact age determination of a lobster can be challenging. However, the growth parameters for the aforementioned moult processes from tank data being able to estimate through: (i) inter-moult periods, and (ii) moult increment. We will attempt to derive a joint density, which is made up of two functions: one for moult increments and the other for time intervals between moults. We claim these functions are conditionally independent given pre-moult length and the inter-moult periods. The variables moult increments and inter-moult periods are said to be independent because of the Markov property or conditional probability. Hence, the parameters in each function can be estimated separately. Subsequently, we integrate both of the functions through a Monte Carlo method. We can therefore obtain a population mean for crustacean growth (e. g. red curve in Figure 1). [GRAPHICS]

Quantum first-passage problem

Formulation of quantum first passage problem is attempted in terms of a restricted Feynman path integral that simulates an absorbing barrier as in the corresponding classical case. The positivity of the resulting probability density, however, remains to be demonstrated.