Sharif Digital Repository

As of late, copulas have drawn great attention in stochastic simulation, financial engineering, and risk management. Their power lies under their ability of modeling dependent random variables. Using a known theorem in probability which proves that the fractional part of the sum of a uniform and an arbitrary independent continuous random variable follows a uniform distribution, we construct a wide class of bivariate copulas in which bivariate random vector generation can be performed easily. Some important members of this new class and their properties together with two invariant correlation measures and some insights in their application are presented. © Taylor & Francis Group, LLC  

We have recently introduced a high-level extension for stochastic activity networks (SANs) called coloured stochastic activity networks (CSANs). CSANs have several distinguishing properties, which make them quite appropriate for modeling and evaluation of software performance and dependability. CSANs have introduced a construct called coloured place for data manipulation. A coloured place holds a list of tokens of a userdefined token type. CSAN models can be evaluated by state space analysis techniques or discrete-event simulation. However, their state spaces will become very large, even for a small CSAN model. For efficient evaluation of these models by state space analysis methods, we will... 

This research attempts to propose a new simulating model capable of generating synthetic stochastic earthquake scenario including both seismological, and acceleration signal properties. The Iranian plateau is selected as a mainland for developing the model due to the existence of high-quality earthquake databases. This model is composed of two sub-models. The first one generates random seismic event scenarios including mainshocks and aftershocks. The second one procreates 3-dimensional synthetic stochastic accelerograms for each of the previously simulated events. This scenario-based predictive model offers a powerful tool to the risk modelers interested in lifetime seismic risk assessment... 

Demand response (DR) is known as a key solution in modern power systems and electricity markets for mitigating wind power uncertainties. However, effective incorporation of DR into power system operation scheduling needs knowledge of the price–elastic demand curve that relies on several factors such as estimation of a customer’s elasticity as well as their participation level in DR programs. To overcome this challenge, this paper proposes a novel autonomous DR scheme without prediction of the price–elastic demand curve so that the DR providers apply their selected load profiles ranked in the high priority to the independent system operator (ISO). The energy and reserve markets clearing... 

In this article, the state estimation for Automotive Slip Angle considering the measurement noise in sensor is addressed. Realtime measurement of the slip angle is applicable to many active vehicle safety applications, such as rollover prevention and yaw stability control. As the sensors that measure slip angle directly are expensive, the method to extract slip angle from other available sensors in vehicle is considered. First from the simplified nonlinear dynamic system of vehicle, a Piecewise Affine (PWA) model with calculated uncertainties is obtained. The uncertainties are the result of nonlinear system deviation from PWA model. Then using the PWA model, a Stochastic Robust Hybrid... 

In unreliable supply environments, the strategy of pooling lead time risks by splitting replenishment orders among multiple suppliers simultaneously is an attractive sourcing policy that has captured the attention of academic researchers and corporate managers alike. While various assumptions are considered in the models developed, researchers tend to overlook an important inventory category in order splitting models: deteriorating items. In this paper, we study an order splitting policy for a retailer that sells a deteriorating product. The inventory system is modelled as a continuous review system (s, Q) under stochastic lead time. Demand rate per unit time is assumed to be constant over... 

Stochastic simulation is carried out to investigate intracellular viral reaction kinetics and the time evolution of the average particle number ( N̄) and coefficient variation (CV) for genome, template, and structural protein. The coefficient variation of these components is found to be ordered as: CV template > CV structural protein > CVgenome. The average particle number is also calculated via a deterministic approach. The magnitude value of the difference between the stochastic and deterministic approaches is found to be N̄ template ̃ N̄ structural protein > N̄ genome. The Poisson algorithm has been used to investigate the number of particles in the dynamics of intracellular viral... 

Usually, resources are short in supply when earthquakes occur. In such emergency situations, disaster relief organizations must use these scarce resources efficiently to achieve the best possible emergency relief. This paper therefore proposes a multi-objective, multi-mode, multi-commodity, and multi-period stochastic model to manage the logistics of both commodities and injured people in the earthquake response. Also, a robust approach is developed and used to make sure that the distribution plan performs well under the various situations that can follow an earthquake. Afterwards, it proposes a solution methodology according to hierarchical objective functions and uses it to illustrate the... 

In this paper, the Extended Kalman filtering (EKF) approach has been used to infer gene regulatory networks using time-series gene expression data. Gene expression values are considered stochastic processes and the gene regulatory network, a dynamical nonlinear stochastic model. Using these values and a modified Kalman filtering approach, the model's parameters and consequently the interactions amongst genes are predicted. In this paper, each gene-gene interaction is modeled using a linear term, a nonlinear one, and a constant term. The linear and nonlinear term coefficients are included in the state vector together with the gene expressions' true values. Through the extended Kalman... 

In this paper, the availability of the Resource Management System (RMS) and computational resources distributed within grid computing environments is studied. Since the RMS acts as a heart of the grid environments, the unavailability of this system can render the entire environment to the inoperable phase. Furthermore, the unavailability of the grid resources may result in degradation of the performance of the grid. Therefore, considering the great importance of the availability issue in grid computing environments, the Stochastic Activity Networks (SANs) are exploited to model and evaluate the availability of grid environments. The proposed SAN models the failure of the resource management... 

Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Multi-period project portfolio selection problems can be modeled by multistage stochastic programs. These models utilize a set of scenarios and corresponding probabilities to model the multivariate random data process (costs or revenues, available budget, chance of success). For most practical problems, the optimization problem that contains all possible scenarios is too large. Due to computational complexity, this program is often approximated by a model involving a (much) smaller number of scenarios. The scenario reduction algorithms determine a subset of the initial scenario set and... 

If at least one out of two serial machines that produce a specific product in manufacturing environments malfunctions, there will be non conforming items produced. Determining the optimal time of the machines' maintenance is the one of major concerns. While a convenient common practice for this kind of problem is to fit a single probability distribution to the combined defect data, it does not adequately capture the fact that there are two different underlying causes of failures. A better approach is to view the defects as arising from a mixture population: one due to the first machine failures and the other due to the second one. In this article, a mixture model along with both Bayesian... 

A TI-ADC is a circuitry to achieve high sampling rates by passing the signal and its shifted versions through a number of parallel ADCs with lower sampling rates. When the time shifts between the C channels of a TI-ADC are properly tuned, the aggregate of the obtained samples is equivalent to that of a single ADC with C-times the sampling rate. However, the performance of a TI-ADC can be seriously degraded under interchannel timing mismatch. As this non-ideality cannot be avoided in practice, we need to first estimate the mismatch value, and then, compensate it. In this paper, by adopting a stochastic bandlimited signal model we study the signal recovery problem from the samples of a TI-ADC... 

In this paper, performance of grid computing environment is studied in the presence of failure-repair of the resources. To achieve this, in the first step, each of the grid resource is individually modeled using Stochastic Reward Nets (SRNs), and mean response time of the resource for grid tasks is computed as a performance measure. In individual models, three different scheduling schemes called random selection, non-preemptive priority, and preemptive priority are considered to simultaneously schedule local and grid tasks to the processors of a single resource. In the next step, single resource models are combined to shape an entire grid environment. Since the number of the resources in a... 

Time varying prices by motivating customers to reduce their consumption in peak periods propel the electricity industry towards a higher efficiency compared to that of common flat prices. Focusing on time-of-use (TOU) sale prices, this paper establishes a stochastic model for the medium-term decision making problem faced by a distribution company (DisCo). The developed model deals with the DisCo's decisions on the level of involvement in forward contracts and in the pool as well as the sale prices offered to customers. The demand response to TOU prices is captured using a price elasticity matrix (PEM). The objective is to maximize the DisCo's profit while the exposure risk imposed by... 

In this paper, we study a pricing-inventory model with multiple interdependent products and stochastic demand. In the relevant literature, there are many researches that try to optimize the inventory or price independently and also optimizing joint inventory and pricing problems for single product. But joint optimization of inventory and pricing for multiple interdependent products is relatively new and still there are many potential research gaps in this area. We show that the multiplicative demand form problem, that we develop, is a convex nonlinear programming (NLP) model or is convertible to it. We also provide upper and lower bounds for the additive demand form model