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In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.
With the ever-increasing significance of software in our everyday lives, it is vital to afford reliable software quality estimates. Typically, quantitative software quality analyses rely on either statistical fault prediction methods (FPMs) or stochastic software reliability growth models (SRGMs). Adopting solely FPMs or SRGMs, though, may result in biased predictions that do not account for uncertainty in the distinct prediction methods; thus rendering the prediction less reliable. This paper identifies flaws of the individual prediction methods and suggests a hybrid prediction approach that combines FPMs and SRGMs. We adopt FPMs for initially estimating the expected number of failures for fi- nite failure SRGMs. Initial parameter estimates yield more accurate reliability predictions until sufficient failures are observed that enable stable parameter estimates in SRGMs. Being at the equilibrium level of FPM and SRGM pre- dictions we suggest combining the competing prediction methods with respect to the principle of heterogeneous redundancy. That is, we propose using the in- dividual methods separately and combining their predictions. In this paper we suggest Bayesian model averaging (BMA) for combining the different methods. The hybrid approach allows early reliability estimates and encourages higher confidence in software quality predictions.
This paper disscuses the minimal area rectangular packing problem of how to pack a set of specified, non-overlapping rectangels into a rectangular container of minimal area. We investigate different mathematical programming approaches of this and introduce a novel approach based on non-linear optimization and the \\\"tunneling effect\\\" achieved by a relaxation of the non-overlapping constraints.
Background and purpose Inherently, IMRT treatment planning involves compromising between different planning goals. Multi-criteria IMRT planning directly addresses this compromising and thus makes it more systematic. Usually, several plans are computed from which the planner selects the most promising following a certain procedure. Applying Pareto navigation for this selection step simultaneously increases the variety of planning options and eases the identification of the most promising plan. Material and methods Pareto navigation is an interactive multi-criteria optimization method that consists of the two navigation mechanisms “selection” and “restriction”. The former allows the formulation of wishes whereas the latter allows the exclusion of unwanted plans. They are realized as optimization problems on the so-called plan bundle – a set constructed from precomputed plans. They can be approximately reformulated so that their solution time is a small fraction of a second. Thus, the user can be provided with immediate feedback regarding his or her decisions.
Modeling and formulation of optimization problems in IMRT planning comprises the choice of various values such as function-specific parameters or constraint bounds. These values also affect the characteristics of the optimization problem and thus the form of the resulting optimal plans. This publication utilizes concepts of sensitivity analysis and elasticity in convex optimization to analyze the dependence of optimal plans on the modeling parameters. It also derives general rules of thumb how to choose and modify the parameters in order to obtain the desired IMRT plan. These rules are numerically validated for an exemplary IMRT planning problems.
A fully automatic procedure is proposed to rapidly compute the permeability of porous materials from their binarized microstructure. The discretization is a simplified version of Peskin’s Immersed Boundary Method, where the forces are applied at the no-slip grid points. As needed for the computation of permeability, steady flows at zero Reynolds number are considered. Short run-times are achieved by eliminating the pressure and velocity variables using an Fast Fourier Transform-based and 4 Poisson problembased fast inversion approach on rectangular parallelepipeds with periodic boundary conditions. In reference to calling it a fast method using fictitious or artificial forces, the implementation is called FFF-Stokes. Large scale computations on 3d images are quickly and automatically performed to estimate the permeability of some sample materials. A matlab implementation is provided to allow readers to experience the automation and speed of the method for realistic three-dimensional models.
Facility location decisions play a critical role in the strategic design of supply chain networks. In this paper, an extensive literature review of facility location models in the context of supply chain management is given. Following a brief review of core models in facility location, we identify basic features that such models must capture to support decision-making involved in strategic supply chain planning. In particular, the integration of location decisions with other decisions relevant to the design of a supply chain network is discussed. Furthermore, aspects related to the structure of the supply chain network, including those specific to reverse logistics, are also addressed. Significant contributions to the current state-of-the-art are surveyed taking into account numerous factors. Supply chain performance measures and optimization techniques are also reviewed. Applications of facility location models to supply chain network design ranging across various industries are discussed. Finally, a list of issues requiring further research are highlighted.
Bringing robustness to patient flow management through optimized patient transports in hospitals
(2007)
Intra-hospital transports are often required for diagnostic or therapeutic reasons. Depending on the hospital layout, transportation between nursing wards and service units is either provided by ambulances or by trained personnel who accompany patients on foot. In many large German hospitals, the patient transport service is poorly managed and lacks workflow coordination. This contributes to higher hospital costs (e.g. when a patient is not delivered to the operating room on time) and to patient inconvenience due to longer waiting times. We have designed a computer-based planning system - Opti-TRANS c - that supports all phases of the transportation flow, ranging from travel booking, dispatching transport requests to monitoring and reporting trips in real-time. The methodology developed to solve the underlying optimization problem - a dynamic dial-a-ride problem with hospital-specific constraints - draws on fast heuristic methods to ensure the efficient and timely provision of transports. We illustrate the strong impact of Opti-TRANS c on the daily performance of the patient transportation service of a large German hospital. The major benefits obtained with the new tool include streamlined transportation processes and workflow, significant savings and improved patient satisfaction. Moreover, the new planning system has contributed to increase awareness among hospital staff about the importance of implementing efficient logistics practices.
An efficient approach for calculating the effective heat conductivity for a class of industrial composite materials, such as metal foams, fibrous glass materials, and the like, is discussed. These materials, used in insulation or in advanced heat exchangers, are characterized by a low volume fraction of the highly conductive material (glass or metal) having a complex, network-like structure and by a large volume fraction of the insulator (air). We assume that the composite materials have constant macroscopic thermal conductivity tensors, which in principle can be obtained by standard up-scaling techniques, that use the concept of representative elementary volumes (REV), i.e. the effective heat conductivities of composite media can be computed by post-processing the solutions of some special cell problems for REVs. We propose, theoretically justify, and numerically study an efficient approach for calculating the effective conductivity for media for which the ratio of low and high conductivities satisfies 1. In this case one essentially only needs to solve the heat equation in the region occupied by the highly conductive media. For a class of problems we show, that under certain conditions on the microscale geometry, the proposed approach produces an upscaled conductivity that is O() close to the exact upscaled permeability. A number of numerical experiments are presented in order to illustrate the accuracy and the limitations of the proposed method. Applicability of the presented approach to upscaling other similar problems, e.g. flow in fractured porous media, is also discussed.
In this paper, a new mixed integer mathematical programme is proposed for the application of Hub Location Problems (HLP) in public transport planning. This model is among the few existing ones for this application. Some classes of valid inequalities are proposed yielding a very tight model. To solve instances of this problem where existing standard solvers fail, two approaches are proposed. The first one is an exact accelerated Benders decomposition algorithm and the latter a greedy neighborhood search. The computational results substantiate the superiority of our solution approaches to existing standard MIP solvers like CPLEX, both in terms of computational time and problem instance size that can be solved. The greedy neighborhood search heuristic is shown to be extremely efficient.
A Lattice Boltzmann Method for immiscible multiphase flow simulations using the Level Set Method
(2008)
We consider the lattice Boltzmann method for immiscible multiphase flow simulations. Classical lattice Boltzmann methods for this problem, e.g. the colour gradient method or the free energy approach, can only be applied when density and viscosity ratios are small. Moreover, they use additional fields defined on the whole domain to describe the different phases and model phase separation by special interactions at each node. In contrast, our approach simulates the flow using a single field and separates the fluid phases by a free moving interface. The scheme is based on the lattice Boltzmann method and uses the level set method to compute the evolution of the interface. To couple the fluid phases, we develop new boundary conditions which realise the macroscopic jump conditions at the interface and incorporate surface tension in the lattice Boltzmann framework. Various simulations are presented to validate the numerical scheme, e.g. two-phase channel flows, the Young-Laplace law for a bubble and viscous fingering in a Hele-Shaw cell. The results show that the method is feasible over a wide range of density and viscosity differences.
The theory of the two-scale convergence was applied to homogenization of elasto-plastic composites with a periodic structure and exponential hardening law. The theory is based on the fact that the elastic as well as the plastic part of the stress field two-scale converges to a limit, which is factorized by parts, depending only on macroscopic characteristics, represented in terms of corresponding part of the homogenised stress tensor and only on stress concentration tensor, related to the micro-geometry and elastic or plastic micro-properties of composite components. The theory was applied to metallic matrix material with Ludwik and Hocket-Sherby hardening law and pure elastic inclusions in two numerical examples. Results were compared with results of mechanical averaging based on the self-consistent methods.
Determination of interaction between MCT1 and CAII via a mathematical and physiological approach
(2008)
The enzyme carbonic anhydrase isoform II (CAII), catalysing the hydration and dehydration of CO2, enhances transport activity of the monocarboxylate transporter isoform I (MCT1, SLC16A1) expressed in Xenopus oocytes by a mechanism that does not require CAII catalytic activity (Becker et al. (2005) J. Biol. Chem., 280). In the present study, we have investigated the mechanism of the CAII induced increase in transport activity by using electrophysiological techniques and a mathematical model of the MCT1 transport cycle. The model consists of six states arranged in cyclic fashion and features an ordered, mirror-symmetric, binding mechanism were binding and unbinding of the proton to the transport protein is considered to be the rate limiting step under physiological conditions. An explicit rate expression for the substrate °ux is derived using model reduction techniques. By treating the pools of intra- and extracellular MCT1 substrates as dynamic states, the time dependent kinetics are obtained by integration using the derived expression for the substrate °ux. The simulations were compared with experimental data obtained from MCT1-expressing oocytes injected with di®erent amounts of CAII. The model suggests that CAII increases the e®ective rate constants of the proton reactions, possibly by working as a proton antenna.
In this paper, the analysis of one approach for the regularization of pure Neumann problems for second order elliptical equations, e.g., Poisson’s equation and linear elasticity equations, is presented. The main topic under consideration is the behavior of the condition number of the regularized problem. A general framework for the analysis is presented. This allows to determine a form of regularization term which leads to the “natural” asymptotic of the condition number of the regularized problem with respect to mesh parameter. Some numerical results, which support theoretical analysis are presented as well. The main motivation for the presented research is to develop theoretical background for an efficient and robust implementation of the solver for pure Neumann problems for the linear elasticity equations. Such solvers usually are needed in a number of domain decomposition methods, e.g. FETI. Developed approaches are planed to be used in software, developing in ITWM, e.g. KneeMech simulation software.
In this paper we develop a network location model that combines the characteristics of ordered median and gradual cover models resulting in the Ordered Gradual Covering Location Problem (OGCLP). The Gradual Cover Location Problem (GCLP) was specifically designed to extend the basic cover objective to capture sensitivity with respect to absolute travel distance. Ordered Median Location problems are a generalization of most of the classical locations problems like p-median or p-center problems. They can be modeled by using so-called ordered median functions. These functions multiply a weight to the cost of fulfilling the demand of a customer which depends on the position of that cost relative to the costs of fulfilling the demand of the other customers. We derive Finite Dominating Sets (FDS) for the one facility case of the OGCLP. Moreover, we present efficient algorithms for determining the FDS and also discuss the conditional case where a certain number of facilities are already assumed to exist and one new facility is to be added. For the multi-facility case we are able to identify a finite set of potential facility locations a priori, which essentially converts the network location model into its discrete counterpart. For the multi-facility discrete OGCLP we discuss several Integer Programming formulations and give computational results.
In this paper, we are going to propose the first mathematical model for Multi- Period Hub Location Problems (MPHLP). We apply this mixed integer program- ming model on public transport planning and call it Multi-Period Hub Location Problem for Public Transport (MPHLPPT). In fact, HLPPT model proposed earlier by the authors is extended to include more facts and features of the real-life application. In order to solve instances of this problem where existing standard solvers fail, a solution approach based on a greedy neighborhood search is developed. The computational results substantiate the efficiency of our solution approach to solve instances of MPHLPPT.
Structuring global supply chain networks is a complex decision-making process. The typical inputs to such a process consist of a set of customer zones to serve, a set of products to be manufactured and distributed, demand projections for the different customer zones, and information about future conditions, costs (e.g. for production and transportation) and resources (e.g. capacities, available raw materials). Given the above inputs, companies have to decide where to locate new service facilities (e.g. plants, warehouses), how to allocate procurement and production activities to the variousmanufacturing facilities, and how to manage the transportation of products through the supply chain network in order to satisfy customer demands. We propose a mathematical modelling framework capturing many practical aspects of network design problems simultaneously. For problems of reasonable size we report on computational experience with standard mathematical programming software. The discussion is extended with other decisions required by many real-life applications in strategic supply chain planning. In particular, the multi-period nature of some decisions is addressed by a more comprehensivemodel, which is solved by a specially tailored heuristic approach. The numerical results suggest that the solution procedure can identify high quality solutions within reasonable computational time.
This report reviews selected image binarization and segmentation methods that have been proposed and which are suitable for the processing of volume images. The focus is on thresholding, region growing, and shape–based methods. Rather than trying to give a complete overview of the field, we review the original ideas and concepts of selected methods, because we believe this information to be important for judging when and under what circumstances a segmentation algorithm can be expected to work properly.
This work presents a new framework for Gröbner basis computations with Boolean polynomials. Boolean polynomials can be modeled in a rather simple way, with both coefficients and degree per variable lying in {0, 1}. The ring of Boolean polynomials is, however, not a polynomial ring, but rather the quotient ring of the polynomial ring over the field with two elements modulo the field equations x2 = x for each variable x. Therefore, the usual polynomial data structures seem not to be appropriate for fast Gröbner basis computations. We introduce a specialized data structure for Boolean polynomials based on zero-suppressed binary decision diagrams (ZDDs), which is capable of handling these polynomials more efficiently with respect to memory consumption and also computational speed. Furthermore, we concentrate on high-level algorithmic aspects, taking into account the new data structures as well as structural properties of Boolean polynomials. For example, a new useless-pair criterion for Gröbner basis computations in Boolean rings is introduced. One of the motivations for our work is the growing importance of formal hardware and software verification based on Boolean expressions, which suffer – besides from the complexity of the problems – from the lack of an adequate treatment of arithmetic components. We are convinced that algebraic methods are more suited and we believe that our preliminary implementation shows that Gröbner bases on specific data structures can be capable to handle problems of industrial size.
Two-level domain decomposition preconditioner for 3D flows in anisotropic highly heterogeneous porous media is presented. Accurate finite volume discretization based on multipoint flux approximation (MPFA) for 3D pressure equation is employed to account for the jump discontinuities of full permeability tensors. DD/MG type preconditioner for above mentioned problem is developed. Coarse scale operator is obtained from a homogenization type procedure. The influence of the overlapping as well as the influence of the smoother and cell problem formulation is studied. Results from numerical experiments are presented and discussed.