Stochastic simulation of the morphology of fluvial sand channels reservoirs

Dissertação para obtenção do Grau de Mestre em Engenharia Geológica (Georrecursos)

INCLUDING RISK IN ECONOMIC FEASIBILITY ANALYSIS:A STOCHASTIC SIMULATION MODEL FOR BLUEBERRY INVESTMENT DECISIONS IN CHILE

ABSTRACT The traditional method of net present value (NPV) to analyze the economic profitability of an investment (based on a deterministic approach) does not adequately represent the implicit risk associated with different but correlated input variables. Using a stochastic simulation approach for evaluating the profitability of blueberry (Vaccinium corymbosum L.) production in Chile, the objective of this study is to illustrate the complexity of including risk in economic feasibility analysis when the project is subject to several but correlated risks. The results of the simulation analysis suggest that the non-inclusion of the intratemporal correlation between input variables underestimate the risk associated with investment decisions. The methodological contribution of this study illustrates the complexity of the interrelationships between uncertain variables and their impact on the convenience of carrying out this type of business in Chile. The steps for the analysis of economic viability were: First, adjusted probability distributions for stochastic input variables (SIV) were simulated and validated. Second, the random values of SIV were used to calculate random values of variables such as production, revenues, costs, depreciation, taxes and net cash flows. Third, the complete stochastic model was simulated with 10,000 iterations using random values for SIV. This result gave information to estimate the probability distributions of the stochastic output variables (SOV) such as the net present value, internal rate of return, value at risk, average cost of production, contribution margin and return on capital. Fourth, the complete stochastic model simulation results were used to analyze alternative scenarios and provide the results to decision makers in the form of probabilities, probability distributions, and for the SOV probabilistic forecasts. The main conclusion shown that this project is a profitable alternative investment in fruit trees in Chile.

A few what-ifs on using statistical analysis of stochastic simulation runs to extract timeliness properties

Modern real-time systems, with a more flexible and adaptive nature, demand approaches for timeliness evaluation based on probabilistic measures of meeting deadlines. In this context, simulation can emerge as an adequate solution to understand and analyze the timing behaviour of actual systems. However, care must be taken with the obtained outputs under the penalty of obtaining results with lack of credibility. Particularly important is to consider that we are more interested in values from the tail of a probability distribution (near worst-case probabilities), instead of deriving confidence on mean values. We approach this subject by considering the random nature of simulation output data. We will start by discussing well known approaches for estimating distributions out of simulation output, and the confidence which can be applied to its mean values. This is the basis for a discussion on the applicability of such approaches to derive confidence on the tail of distributions, where the worst-case is expected to be.

A nanopore-based stochastic detection method: Single molecule characterisation of nanoparticles using ()- hemolysin

Dissertation presented to obtain the Ph.D degree in Chemistry.

Use of high-resolution geophysical data to characterize heterogeneous aquifers: influence of data integration method on hydrological predictions

The integration of geophysical data into the subsurface characterization problem has been shown in many cases to significantly improve hydrological knowledge by providing information at spatial scales and locations that is unattainable using conventional hydrological measurement techniques. The investigation of exactly how much benefit can be brought by geophysical data in terms of its effect on hydrological predictions, however, has received considerably less attention in the literature. Here, we examine the potential hydrological benefits brought by a recently introduced simulated annealing (SA) conditional stochastic simulation method designed for the assimilation of diverse hydrogeophysical data sets. We consider the specific case of integrating crosshole ground-penetrating radar (GPR) and borehole porosity log data to characterize the porosity distribution in saturated heterogeneous aquifers. In many cases, porosity is linked to hydraulic conductivity and thus to flow and transport behavior. To perform our evaluation, we first generate a number of synthetic porosity fields exhibiting varying degrees of spatial continuity and structural complexity. Next, we simulate the collection of crosshole GPR data between several boreholes in these fields, and the collection of porosity log data at the borehole locations. The inverted GPR data, together with the porosity logs, are then used to reconstruct the porosity field using the SA-based method, along with a number of other more elementary approaches. Assuming that the grid-cell-scale relationship between porosity and hydraulic conductivity is unique and known, the porosity realizations are then used in groundwater flow and contaminant transport simulations to assess the benefits and limitations of the different approaches.

Stochastic simulation to improve land-cover estimates derived from coarse spatial resolution satellite imagery = La simulation stochastique pour améliorer les estimations de la couverture des sols à partir d'images satellitales à résolution spatiale grossière

Thèse diffusée initialement dans le cadre d'un projet pilote des Presses de l'Université de Montréal/Centre d'édition numérique UdeM (1997-2008) avec l'autorisation de l'auteur.

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

Stochastic methods based on time-series modeling combined with geostatistics can be useful tools to describe the variability of water-table levels in time and space and to account for uncertainty. Monitoring water-level networks can give information about the dynamic of the aquifer domain in both dimensions. Time-series modeling is an elegant way to treat monitoring data without the complexity of physical mechanistic models. Time-series model predictions can be interpolated spatially, with the spatial differences in water-table dynamics determined by the spatial variation in the system properties and the temporal variation driven by the dynamics of the inputs into the system. An integration of stochastic methods is presented, based on time-series modeling and geostatistics as a framework to predict water levels for decision making in groundwater management and land-use planning. The methodology is applied in a case study in a Guarani Aquifer System (GAS) outcrop area located in the southeastern part of Brazil. Communication of results in a clear and understandable form, via simulated scenarios, is discussed as an alternative, when translating scientific knowledge into applications of stochastic hydrogeology in large aquifers with limited monitoring network coverage like the GAS.

A mesoscopic simulation method for electrolyte solutions

This thesis deals with the development of a novel simulation technique for macromolecules in electrolyte solutions, with the aim of a performance improvement over current molecular-dynamics based simulation methods. In solutions containing charged macromolecules and salt ions, it is the complex interplay of electrostatic interactions and hydrodynamics that determines the equilibrium and non-equilibrium behavior. However, the treatment of the solvent and dissolved ions makes up the major part of the computational effort. Thus an efficient modeling of both components is essential for the performance of a method. With the novel method we approach the solvent in a coarse-grained fashion and replace the explicit-ion description by a dynamic mean-field treatment. Hence we combine particle- and field-based descriptions in a hybrid method and thereby effectively solve the electrokinetic equations. The developed algorithm is tested extensively in terms of accuracy and performance, and suitable parameter sets are determined. As a first application we study charged polymer solutions (polyelectrolytes) in shear flow with focus on their viscoelastic properties. Here we also include semidilute solutions, which are computationally demanding. Secondly we study the electro-osmotic flow on superhydrophobic surfaces, where we perform a detailed comparison to theoretical predictions.

A novel computer simulation method for simulating the multiscale transduction dynamics of signal proteins

Signal proteins are able to adapt their response to a change in the environment, governing in this way a broad variety of important cellular processes in living systems. While conventional molecular-dynamics (MD) techniques can be used to explore the early signaling pathway of these protein systems at atomistic resolution, the high computational costs limit their usefulness for the elucidation of the multiscale transduction dynamics of most signaling processes, occurring on experimental timescales. To cope with the problem, we present in this paper a novel multiscale-modeling method, based on a combination of the kinetic Monte-Carlo- and MD-technique, and demonstrate its suitability for investigating the signaling behavior of the photoswitch light-oxygen-voltage-2-Jα domain from Avena Sativa (AsLOV2-Jα) and an AsLOV2-Jα-regulated photoactivable Rac1-GTPase (PA-Rac1), recently employed to control the motility of cancer cells through light stimulus. More specifically, we show that their signaling pathways begin with a residual re-arrangement and subsequent H-bond formation of amino acids near to the flavin-mononucleotide chromophore, causing a coupling between β-strands and subsequent detachment of a peripheral α-helix from the AsLOV2-domain. In the case of the PA-Rac1 system we find that this latter process induces the release of the AsLOV2-inhibitor from the switchII-activation site of the GTPase, enabling signal activation through effector-protein binding. These applications demonstrate that our approach reliably reproduces the signaling pathways of complex signal proteins, ranging from nanoseconds up to seconds at affordable computational costs.

Stochastic simulation of rare events

Stochastic simulation is an important and practical technique for computing probabilities of rare events, like the payoff probability of a financial option, the probability that a queue exceeds a certain level or the probability of ruin of the insurer's risk process. Rare events occur so infrequently, that they cannot be reasonably recorded during a standard simulation procedure: specifc simulation algorithms which thwart the rarity of the event to simulate are required. An important algorithm in this context is based on changing the sampling distribution and it is called importance sampling. Optimal Monte Carlo algorithms for computing rare event probabilities are either logarithmic eficient or possess bounded relative error.

A simulation method to estimate closing forces in car-sealing rubber elements

The door-closing process can reinforce the impression of a solid, rock-proof, car body or of a rather cheap, flimsy vehicle. As there are no real prototypes during rubber profile bidding-out stages, engineers need to carry out non-linear numerical simulations that involve complex phenomena as well as static and dynamic loads for several profile candidates. This paper presents a structured virtual design tool based on FEM, including constitutive laws and incompressibility constraints allowing to predict more realistically the final closing forces and even to estimate sealing overpressure as an additional guarantee of noise insulation. Comparisons with results of physical tests are performed.