Markov chain montecarlo method applied to rounding zeros of compositional data: first approach

As stated in Aitchison (1986), a proper study of relative variation in a compositional data set should be based on logratios, and dealing with logratios excludes dealing with zeros. Nevertheless, it is clear that zero observations might be present in real data sets, either because the corresponding part is completelyabsent –essential zeros– or because it is below detection limit –rounded zeros. Because the second kind of zeros is usually understood as “a trace too small to measure”, it seems reasonable to replace them by a suitable small value, and this has been the traditional approach. As stated, e.g. by Tauber (1999) and byMartín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000), the principal problem in compositional data analysis is related to rounded zeros. One should be careful to use a replacement strategy that does not seriously distort the general structure of the data. In particular, the covariance structure of the involvedparts –and thus the metric properties– should be preserved, as otherwise further analysis on subpopulations could be misleading. Following this point of view, a non-parametric imputation method isintroduced in Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000). This method is analyzed in depth by Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2003) where it is shown that thetheoretical drawbacks of the additive zero replacement method proposed in Aitchison (1986) can be overcome using a new multiplicative approach on the non-zero parts of a composition. The new approachhas reasonable properties from a compositional point of view. In particular, it is “natural” in the sense thatit recovers the “true” composition if replacement values are identical to the missing values, and it is coherent with the basic operations on the simplex. This coherence implies that the covariance structure of subcompositions with no zeros is preserved. As a generalization of the multiplicative replacement, in thesame paper a substitution method for missing values on compositional data sets is introduced

Markov chain montecarlo method applied to rounding zeros of compositional data: first approach

As stated in Aitchison (1986), a proper study of relative variation in a compositional data set should be based on logratios, and dealing with logratios excludes dealing with zeros. Nevertheless, it is clear that zero observations might be present in real data sets, either because the corresponding part is completely absent –essential zeros– or because it is below detection limit –rounded zeros. Because the second kind of zeros is usually understood as “a trace too small to measure”, it seems reasonable to replace them by a suitable small value, and this has been the traditional approach. As stated, e.g. by Tauber (1999) and by Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000), the principal problem in compositional data analysis is related to rounded zeros. One should be careful to use a replacement strategy that does not seriously distort the general structure of the data. In particular, the covariance structure of the involved parts –and thus the metric properties– should be preserved, as otherwise further analysis on subpopulations could be misleading. Following this point of view, a non-parametric imputation method is introduced in Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000). This method is analyzed in depth by Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2003) where it is shown that the theoretical drawbacks of the additive zero replacement method proposed in Aitchison (1986) can be overcome using a new multiplicative approach on the non-zero parts of a composition. The new approach has reasonable properties from a compositional point of view. In particular, it is “natural” in the sense that it recovers the “true” composition if replacement values are identical to the missing values, and it is coherent with the basic operations on the simplex. This coherence implies that the covariance structure of subcompositions with no zeros is preserved. As a generalization of the multiplicative replacement, in the same paper a substitution method for missing values on compositional data sets is introduced

Valoración de activos financieros utilizando Montecarlo: cuando el mundo no es tan normal.

Valorar activos financieros cuando el mundo no es tan normal como asumen muchos modelos financieros exige un método flexible para operar con diversas distribuciones, el cual, adicionalmente, pueda incorporar discontinuidades como las que se dan en procesos estocásticos de salto. El método Monte Carlo cumple con esos requisitos, además de generar una buena aproximación y ser eficiente, lo cual lo convierte en el más adecuado para aquellos casos en los cuales no se cumple el supuesto de normalidad. Este artículo explica como se aplica este método para la valoración de activos financieros, particularmente opciones financieras, cuando el activo subyacente sigue un proceso de volatilidad estocástica o de salto-difusión.

Reliability assessment of energy limited systems using sequential montecarlo simulation

This paper explains why the reliability assessment of energy limited systems requires more detailed models for primary generating resources availability, internal and external generating dispatch and customer demand than the ones commonly used for large power systems and presents a methodology based on the full sequential Montecarlo simulation technique with AC power flow for their long term reliability assessment which can properly include these detailed models. By means of a real example, it is shown how the simplified modeling traditionally used for large power systems leads to pessimistic predictions if it is applied to an energy limited system and also that it cannot predict all the load point adequacy problems. © 2006 IEEE.

Caracterización computacional de un detector de germanio hiperpuro de rango extendido (HPGe- XtRa) con simulación Montecarlo y optimización con un algoritmo evolutivo

Máster Universitario en Sistemas Inteligentes y Aplicaciones Numéricas en Ingeniería (SIANI)

Tecniche MonteCarlo per l'analisi di sistemi a rete

The assessment of the RAMS (Reliability, Availability, Maintainability and Safety) performances of system generally includes the evaluations of the “Importance” of its components and/or of the basic parameters of the model through the use of the Importance Measures. The analytical equations proposed in this study allow the estimation of the first order Differential Importance Measure on the basis of the Birnbaum measures of components, under the hypothesis of uniform percentage changes of parameters. The aging phenomena are introduced into the model by assuming exponential-linear or Weibull distributions for the failure probabilities. An algorithm based on a combination of MonteCarlo simulation and Cellular Automata is applied in order to evaluate the performance of a networked system, made up of source nodes, user nodes and directed edges subjected to failure and repair. Importance Sampling techniques are used for the estimation of the first and total order Differential Importance Measures through only one simulation of the system “operational life”. All the output variables are computed contemporaneously on the basis of the same sequence of the involved components, event types (failure or repair) and transition times. The failure/repair probabilities are forced to be the same for all components; the transition times are sampled from the unbiased probability distributions or it can be also forced, for instance, by assuring the occurrence of at least a failure within the system operational life. The algorithm allows considering different types of maintenance actions: corrective maintenance that can be performed either immediately upon the component failure or upon finding that the component has failed for hidden failures that are not detected until an inspection; and preventive maintenance, that can be performed upon a fixed interval. It is possible to use a restoration factor to determine the age of the component after a repair or any other maintenance action.

Realisierung der IceCube MonteCarlo-Produktion im WLCG und Untersuchung von Auswirkungen meteorologischer Parameter auf die Erzeugung atmosphärischer Myonen

Das am Südpol gelegene Neutrinoteleskop IceCube detektiert hochenergetische Neutrinos über die schwache Wechselwirkung geladener und neutraler Ströme. Die Analyse basiert auf einem Vergleich mit Monte-Carlo-Simulationen, deren Produktion global koordiniert wird. In Mainz ist es erstmalig gelungen, Simulationen innerhalb der Architektur des Worldwide LHC Computing Grid (WLCG) zu realisieren, was die Möglichkeit eröffnet, Monte-Carlo-Berechnungen auch auf andere deutsche Rechnerfarmen (CEs) mit IceCube-Berechtigung zu verteilen. Atmosphärische Myonen werden mit einer Rate von über 1000 Ereignissen pro Sekunde aufgezeichnet. Eine korrekte Interpretation dieses dominanten Signals, welches um einen Faktor von 10^6 reduziert werden muss um das eigentliche Neutrinosignal zu extrahieren, ist deswegen von großer Bedeutung. Eigene Simulationen mit der Software-Umgebung CORSIKA wurden durchgeführt um die von Energie und Einfallswinkel abhängige Entstehungshöhe atmosphärischer Myonen zu bestimmen. IceCube Myonraten wurden mit Wetterdaten des European Centre for Medium-Range Weather Forcasts (ECMWF) verglichen und Korrelationen zwischen jahreszeitlichen sowie kurzzeitigen Schwankungen der Atmosphärentemperatur und Myonraten konnten nachgewiesen werden. Zudem wurde eine Suche nach periodischen Effekten in der Atmosphäre, verursacht durch z.B. meteorologische Schwerewellen, mit Hilfe einer Fourieranalyse anhand der IceCube-Daten durchgeführt. Bislang konnte kein signifikanter Nachweis zur Existenz von Schwerewellen am Südpol erbracht werden.

Simulazioni Montecarlo per un telescopio di neutrini sottomarino

Per il telescopio di neutrini ANTARES, sul quale è basata questa tesi, il principale problema nella ricostruzione delle tracce dei muoni provenienti dal basso, i quali possono essere generati solo da neutrini provenienti dall’emisfero sud che interagiscono nei pressi del rivelatore, è rappresentato dai muoni atmosferici (in particolare dagli sciami muonici). La luce Cherenkov da essi prodotta può essere utilizzata per ricostruire erroneamente tracce dirette verso l’alto (upgoing). Lo scopo di questa tesi è la valutazione, tramite un metodo Montecarlo, della probabilità che i muoni atmosferici vengano ricostruiti come muoni diretti verso l’alto. L’esposizione è organizzata in quattro capitoli: nei primi due vengono descritti la fisica dell’astronomia a neutrini e i principi di funzionamento di un telescopio di neutrini, con particolare attenzione al telescopio ANTARES.Nel terzo capitolo è riportata la descrizione del software utilizzato per simulare lo sciame di muoni atmosferici e la conseguente risposta del rivelatore. Infine, nel quarto capitolo, sono presentati i grafici eseguiti con ROOT che riassumono ed evidenziano i risultati della simulazione.

Valutazione della fluenza fotonica di un tubo a raggi X tramite metodi semiempirici basati su simulazioni Montecarlo

Il lavoro svolto in questa tesi si inserisce in una ricerca iniziata pochi anni fa dal Dott. Bontempi. Riguarda la stima della fluenza fotonica tramite due metodi diversi da quelli adottati nella letteratura. I metodi proposti dalla letteratura valutano operativamente la fluenza fotonica ad alta intensità. Sono basati sulla correlazione tra fluenza fotonica e quantità dosimetriche, come l’esposizione o l’Air Kerma. Altre correlano la valutazione dell’HVL con la fluenza dei fotoni. Sebbene queste metodologie siano semplici da implementare, la valutazione della fluenza dei fotoni è ottenuta tramite il concetto di equivalenza del fascio monocromatico. Questo causa discrepanze nella valutazione della reale quantità di fotoni emessa dalla sorgente di raggi X. Il Dott. Bontempi ha sviluppato due diverse metodologie per il calcolo della fluenza: il primo metodo è basato sul calcolo del Kerma unito ad un modello semi empirico per il computo dello spettro dei raggi X. Il secondo metodo è invece basato sulla valutazione della funzione nNPS registrata in un’immagine a raggi X e quella ottenuta simulando il sistema sorgente-rivelatore.

Catene di Markov reversibili e applicazioni al metodo Montecarlo basato sulle catene di Markov

Gli argomenti trattati in questa tesi sono le catene di Markov reversibili e alcune applicazioni al metodo Montecarlo basato sulle catene di Markov. Inizialmente vengono descritte alcune delle proprietà fondamentali delle catene di Markov e in particolare delle catene di Markov reversibili. In seguito viene descritto il metodo Montecarlo basato sulle catene di Markov, il quale attraverso la simulazione di catene di Markov cerca di stimare la distribuzione di una variabile casuale o di un vettore di variabili casuali con una certa distribuzione di probabilità. La parte finale è dedicata ad un esempio in cui utilizzando Matlab sono evidenziati alcuni aspetti studiati nel corso della tesi.

Aspectos metodológicos para la evaluación de sistemas de tomografía por emisión de positrones empleando técnicas Montecarlo, protocolos estandarizados y diferentes trazadores

Esta tesis analiza los elementos que afectan a la evaluación del rendimiento dentro de la técnica de radiodiagnóstico mediante tomografía por emisión de positrones (PET), centrándose en escáneres preclínicos. Se exploran las posibilidades de los protocolos estándar de evaluación sobre los siguientes aspectos: su uso como herramienta para validar programas de simulación Montecarlo, como método para la comparación de escáneres y su validez en el estudio del efecto sobre la calidad de imagen al utilizar radioisótopos alternativos. Inicialmente se estudian los métodos de evaluación orientados a la validación de simulaciones PET, para ello se presenta el programa GAMOS como entorno de simulación y se muestran los resultados de su validación basada en el estándar NEMA NU 4-2008 para escáneres preclínicos. Esta validación se ha realizado mediante la comparación de los resultados simulados frente a adquisiciones reales en el equipo ClearPET, describiendo la metodología de evaluación y selección de los parámetros NEMA. En este apartado también se mencionan las aportaciones desarrolladas en GAMOS para aplicaciones PET, como la inclusión de herramientas para la reconstrucción de imágenes. Por otro lado, la evaluación NEMA del ClearPET es utilizada para comparar su rendimiento frente a otro escáner preclínico: el sistema rPET-1. Esto supone la primera caracterización NEMA NU 4 completa de ambos equipos; al mismo tiempo que se analiza cómo afectan las importantes diferencias de diseño entre ellos, especialmente el tamaño axial del campo de visión y la configuración de los detectores. El 68Ga es uno de los radioisótopos no convencionales en imagen PET que está experimentando un mayor desarrollo, sin embargo, presenta la desventaja del amplio rango o distancia recorrida por el positrón emitido. Además del rango del positrón, otra propiedad física característica de los radioisótopos PET que puede afectar a la imagen es la emisión de fotones gamma adicionales, tal como le ocurre al isótopo 48V. En esta tesis se evalúan dichos efectos mediante estudios de resolución espacial y calidad de imagen NEMA. Finalmente, se analiza el alcance del protocolo NEMA NU 4-2008 cuando se utiliza para este propósito, adaptándolo a tal fin y proponiendo posibles modificaciones. Abstract This thesis analyzes the factors affecting the performance evaluation in positron emission tomography (PET) imaging, focusing on preclinical scanners. It explores the possibilities of standard protocols of assessment on the following aspects: their use as tools to validate Monte Carlo simulation programs, their usefulness as a method for comparing scanners and their validity in the study of the effect of alternative radioisotopes on image quality. Initially we study the methods of performance evaluation oriented to validate PET simulations. For this we present the GAMOS program as a simulation framework and show the results of its validation based on the standard NEMA NU 4-2008 for preclinical PET scanners. This has been accomplished by comparing simulated results against experimental acquisitions in the ClearPET scanner, describing the methodology for the evaluation and selection of NEMA parameters. This section also mentions the contributions developed in GAMOS for PET applications, such as the inclusion of tools for image reconstruction. Furthermore, the evaluation of the ClearPET scanner is used to compare its performance against another preclinical scanner, specifically the rPET-1 system. This is the first complete NEMA NU 4 based characterization study of both systems. At the same time we analyze how do the significant design differences of these two systems, especially the size of the axial field of view and the detectors configuration affect their performance characteristics. 68Ga is one of the unconventional radioisotopes in PET imaging the use of which is currently significantly increasing; however, it presents the disadvantage of the long positron range (distance traveled by the emitted positron before annihilating with an electron). Besides the positron range, additional gamma photon emission is another physical property characteristic of PET radioisotopes that can affect the reconstructed image quality, as it happens to the isotope 48V. In this thesis we assess these effects through studies of spatial resolution and image quality. Finally, we analyze the scope of the NEMA NU 4-2008 to carry out such studies, adapting it and proposing possible modifications.

Montecarlo method applied to comparison of tenders in construction projects.

La comparación de las diferentes ofertas presentadas en la licitación de un proyecto,con el sistema de contratación tradicional de medición abierta y precio unitario cerrado, requiere herramientas de análisis que sean capaces de discriminar propuestas que teniendo un importe global parecido pueden presentar un impacto económico muy diferente durante la ejecución. Una de las situaciones que no se detecta fácilmente con los métodos tradicionales es el comportamiento del coste real frente a las variaciones de las cantidades realmente ejecutadas en obra respecto de las estimadas en el proyecto. Este texto propone abordar esta situación mediante un sistema de análisis cuantitativo del riesgo como el método de Montecarlo. Este procedimiento, como es sabido, consiste en permitir que los datos de entrada que definen el problema varíen unas funciones de probabilidad definidas, generar un gran número de casos de prueba y tratar los resultados estadísticamente para obtener los valores finales más probables,con los parámetros necesarios para medir la fiabilidad de la estimación. Se presenta un modelo para la comparación de ofertas, desarrollado de manera que puede aplicarse en casos reales aplicando a los datos conocidos unas condiciones de variación que sean fáciles de establecer por los profesionales que realizan estas tareas. ABSTRACT: The comparison of the different bids in the tender for a project, with the traditional contract system based on unit rates open to and re-measurement, requires analysis tools that are able to discriminate proposals having a similar overall economic impact, but that might show a very different behaviour during the execution of the works. One situation not easily detected by traditional methods is the reaction of the actual cost to the changes in the exact quantity of works finally executed respect of the work estimated in the project. This paper intends to address this situation through the Monte Carlo method, a system of quantitative risk analysis. This procedure, as is known, is allows the input data defining the problem to vary some within well defined probability functions, generating a large number of test cases, the results being statistically treated to obtain the most probable final values, with the rest of the parameters needed to measure the reliability of the estimate. We present a model for the comparison of bids, designed in a way that it can be applied in real cases, based on data and assumptions that are easy to understand and set up by professionals who wish to perform these tasks.

Montecarlo und seine spielsäle.

Tables.

Análisis de confiabilidad del sistema de distribución del área rural (San Gil- Santander)utilizando simulación montecarlo secuencial

Tesis (Ingeniero Eléctrico).--Universidad de La Salle. Facultad de Ingeniería. Programa de Ingeniería Eléctrica

Portfolio optimization with options

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics