scholarly journals A quasi-Monte Carlo based flocculation model for fine-grained cohesive sediments in aquatic environments

2021 ◽  
pp. 116953
Author(s):  
Xiaoteng Shen ◽  
Mingze Lin ◽  
Yuliang Zhu ◽  
Ho Kyung Ha ◽  
Michael Fettweis ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Aquatic Environments ◽  
Cohesive Sediments ◽  
Fine Grained ◽  
Quasi Monte Carlo

scholarly journals Identification of Efficient Sampling Techniques for Probabilistic Voltage Stability Analysis of Renewable-Rich Power Systems

Energies ◽  
2021 ◽  
Vol 14 (8) ◽  
pp. 2328
Author(s):  
Mohammed Alzubaidi ◽  
Kazi N. Hasan ◽  
Lasantha Meegahapola ◽  
Mir Toufikur Rahman
Keyword(s):  
Monte Carlo ◽  
Stability Analysis ◽  
Power Systems ◽  
Large Scale ◽  
Voltage Stability ◽  
Sampling Technique ◽  
Coefficient Of Determination ◽  
Sampling Techniques ◽  
Quasi Monte Carlo ◽  
Efficient Sampling

This paper presents a comparative analysis of six sampling techniques to identify an efficient and accurate sampling technique to be applied to probabilistic voltage stability assessment in large-scale power systems. In this study, six different sampling techniques are investigated and compared to each other in terms of their accuracy and efficiency, including Monte Carlo (MC), three versions of Quasi-Monte Carlo (QMC), i.e., Sobol, Halton, and Latin Hypercube, Markov Chain MC (MCMC), and importance sampling (IS) technique, to evaluate their suitability for application with probabilistic voltage stability analysis in large-scale uncertain power systems. The coefficient of determination (R2) and root mean square error (RMSE) are calculated to measure the accuracy and the efficiency of the sampling techniques compared to each other. All the six sampling techniques provide more than 99% accuracy by producing a large number of wind speed random samples (8760 samples). In terms of efficiency, on the other hand, the three versions of QMC are the most efficient sampling techniques, providing more than 96% accuracy with only a small number of generated samples (150 samples) compared to other techniques.

QMC integration errors and quasi-asymptotics

2020 ◽  
Vol 26 (3) ◽  
pp. 171-176
Author(s):  
Ilya M. Sobol ◽  
Boris V. Shukhman
Keyword(s):  
Monte Carlo ◽  
Error Estimate ◽  
Numerical Experiments ◽  
Probable Error ◽  
Quasi Monte Carlo ◽  
Integration Error ◽  
Asymptotic Error ◽  
Dimensional Cube ◽  
Integration Errors ◽  
Mc Method

AbstractA crude Monte Carlo (MC) method allows to calculate integrals over a d-dimensional cube. As the number N of integration nodes becomes large, the rate of probable error of the MC method decreases as {O(1/\sqrt{N})}. The use of quasi-random points instead of random points in the MC algorithm converts it to the quasi-Monte Carlo (QMC) method. The asymptotic error estimate of QMC integration of d-dimensional functions contains a multiplier {1/N}. However, the multiplier {(\ln N)^{d}} is also a part of the error estimate, which makes it virtually useless. We have proved that, in the general case, the QMC error estimate is not limited to the factor {1/N}. However, our numerical experiments show that using quasi-random points of Sobol sequences with {N=2^{m}} with natural m makes the integration error approximately proportional to {1/N}. In our numerical experiments, {d\leq 15}, and we used {N\leq 2^{40}} points generated by the SOBOLSEQ16384 code published in 2011. In this code, {d\leq 2^{14}} and {N\leq 2^{63}}.

Monte Carlo & Quasi-Monte Carlo approach in option pricing

2012 ◽  
Author(s):  
M. A. Maasar ◽  
N. A. M. Nordin ◽  
M. Anthonyrajah ◽  
W. M. W. Zainodin ◽  
A. M. Yamin
Keyword(s):  
Monte Carlo ◽  
Option Pricing ◽  
Monte Carlo Approach ◽  
Quasi Monte Carlo

Uncertainty quantification for aerodynamic pressure probes, using adaptive quasi-Monte Carlo

2021 ◽  
Author(s):  
Alexandros Christos Chasoglou ◽  
Panagiotis Tsirikoglou ◽  
Anestis I Kalfas ◽  
Reza S Abhari
Keyword(s):  
Monte Carlo ◽  
Measurement Model ◽  
Fast Response ◽  
Two Stage ◽  
Detailed Measurement ◽  
Underlying Distribution ◽  
Factors Affecting ◽  
Quasi Monte Carlo ◽  
Measurement Models ◽  
Aerodynamic Pressure

Abstract In the present study, an adaptive randomized Quasi Monte Carlo methodology is presented, combining Stein’s two-stage adaptive scheme and Low Discrepancy Sobol sequences. The method is used for the propagation and calculation of uncertainties related to aerodynamic pneumatic probes and high frequency fast response aerodynamic probes (FRAP). The proposed methodology allows the fast and accurate, in a probabilistic sense, calculation of uncertainties, ensuring that the total number of Monte Carlo (MC) trials is kept low based on the desired numerical accuracy. Thus, this method is well-suited for aerodynamic pressure probes, where multiple points are evaluated in their calibration space. Complete and detailed measurement models are presented for both a pneumatic probe and FRAP. The models are segregated in sub-problems allowing the evaluation and inspection of intermediate steps of MC in a transparent manner, also enabling the calculation of the relative contributions of the elemental uncertainties on the measured quantities. Various, commonly used sampling techniques for MC simulation and different adaptive MC schemes are compared, using both theoretical toy distributions and actual examples from aerodynamic probes' measurement models. The robustness of Stein's two-stage scheme is demonstrated even in cases when signiffcant deviation from normality is observed in the underlying distribution of the output of the MC. With regards to FRAP, two issues related to piezo-resistive sensors are addressed, namely temperature dependent pressure hysteresis and temporal sensor drift, and their uncertainties are accounted for in the measurement model. These effects are the most dominant factors, affecting all flow quantities' uncertainties, with signiffcance that varies mainly with Mach and operating temperature. This work highlights the need to construct accurate and detailed measurement models for aerodynamic probes, that otherwise will result in signiffcant underestimation (in most cases in excess of 50%) of the final uncertainties.

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