scholarly journals Modelling and numerical assessment of a maintenance strategy with stock through piecewise deterministic Markov processes and quasi Monte Carlo methods

2017 ◽  
Vol 231 (4) ◽  
pp. 429-445
Author(s):  
Jeanne Demgne ◽  
Sophie Mercier ◽  
William Lair ◽  
Jérôme Lonchampt
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Markov Processes ◽  
Net Present Value ◽  
Spare Parts ◽  
Present Value ◽  
Quasi Monte Carlo ◽  
The Monte Carlo Method ◽  
Piecewise Deterministic Markov Processes ◽  
The Right

To ensure a power generation level, the French national electricity supply (EDF) has to manage its producing assets by putting in place adapted preventive maintenance strategies. In this article, a fleet of identical components is considered, which are spread out all around France (one per power plant site). The components are assumed to have stochastically independent lifetimes, but they are made functionally dependent through the sharing of a common stock of spare parts. When available, these spare parts are used for both corrective and preventive replacements, with priority to corrective replacements. When the stock is empty, replacements are delayed until the arrival of new spare parts. These spare parts are expensive, and their manufacturing time is long, which makes it necessary to rigorously define their ordering process. The point of the article is to provide the decision maker with the tools to take the right decision (make or not the overhaul). To do that, two indicators are proposed, which are based on an economic variable called the net present value. The net present value stands for the difference between the cumulated discounted cash-flows of the purely corrective policy and the preventive one which including the overhaul. Piecewise deterministic Markov processes are first considered for the joint modelling of the stochastic evolution of the components, stock and ordering process with and without overhaul. The indicators are next expressed with respect to these piecewise deterministic Markov processes, which have to be numerically assessed. Instead of using the most classical Monte Carlo simulations, we here suggest alternate methods based on quasi Monte Carlo simulations, which replace the random uniform numbers of the Monte Carlo method by deterministic sequences called low-discrepancy sequences. The obtained results show a real gain of the quasi Monte Carlo methods in comparison with the Monte Carlo method. The developed tools can hence help the decision maker to take the right decision.

scholarly journals Analysis of economic-financial viability, by the monte carlo method, in service provider of non-destructible tests: case study

2020 ◽  
Vol 11 (4) ◽  
pp. 1454
Author(s):  
Vanessa Miguel Augusto Souza ◽  
Nilson Brandalise
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Net Present Value ◽  
Investment Decisions ◽  
Internal Rate Of Return ◽  
Present Value ◽  
The Monte Carlo Method ◽  
A Company ◽  
Non Destructive

This work aims to present the economic-financial feasibility, through the application of the Monte Carlo Method, to assist managers in the decision making regarding the investment of a service contract of a company specialized in Non-Destructive Tests, with the tests of Penetrant Liquid and Ultrasound, to which the company that takes the service establishes the requirements previously. The method was apply, in 5000 iterations, from the established parameters, for the initial investment and demand of the test diaries, which provided data regarding the average for the Net Present Value (NPV), Internal Rate of Return (IRR) and Profitability Index (PI), as well as the possible standard deviations, established by the coefficient of variation. Finally, after analyzing the data, it was check that the Method is useful to assist in the making of investment decisions, being feasible the adherence of the contract studied, through the analyzed data and established criteria.

scholarly journals Simulasi Monte Carlo dalam Memprediksi Tingkat Pendapatan Advertising

2020 ◽  
pp. 80-85
Author(s):  
Beni Mulyana Putra ◽  
Sarjon Defit ◽  
Gunadi Widi Nurcahyo
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Business Strategy ◽  
Business Owners ◽  
Business Strategies ◽  
Advertising Revenue ◽  
The Monte Carlo Method ◽  
Average Accuracy ◽  
The Right ◽  
High Level

Fulfilling consumer needs is the goal of every business. Owned business capital will affect the readiness to serve consumer demand. The purpose of this study is to predict the level of advertising revenue at Vand Advertising Printing in order to facilitate business owners in preparing business strategies quickly and optimally. This research data is income data from January 2017 to December 2019 which is modeled using the Monte Carlo method. Income level prediction will be carried out annually. Based on the results of the tests that have been done, it is found that the system used to predict the level of advertising revenue with an average accuracy of 90%. The high level of accuracy means that the application of the Monte Carlo method is considered able to predict the level of advertising revenue each year. So that it can make it easier for business owners to choose the right business strategy to increase advertising revenue.

A second-order discretization for degenerate systems of stochastic differential equations

2020 ◽  
Author(s):  
Yuga Iguchi ◽  
Toshihiro Yamada
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Second Order ◽  
Weak Approximation ◽  
Hörmander Condition ◽  
Quasi Monte Carlo ◽  
Control Variate ◽  
The Monte Carlo Method

Abstract The paper proposes a new second-order weak approximation scheme for hypoelliptic diffusions or degenerate systems of stochastic differential equations satisfying a certain Hörmander condition. The scheme is constructed by a Gaussian process and a stochastic polynomial weight through a technique based on Malliavin calculus, and is implemented by a Monte Carlo method and a quasi-Monte Carlo method. A variance analysis for the Monte Carlo method is discussed, and further control variate methods are introduced to reduce the variance. The effectiveness of the proposed scheme is illustrated through numerical experiments for some hypoelliptic diffusions.

scholarly journals Economic analysis of replacement regeneration and coppice regeneration in eucalyptus stands under risk conditions

CERNE ◽  
2011 ◽  
Vol 17 (3) ◽  
pp. 393-401 ◽  
Author(s):  
Isabel Carolina de Lima Guedes ◽  
Luiz Moreira Coelho Júnior ◽  
Antônio Donizette de Oliveira ◽  
José Márcio de Mello ◽  
José Luiz Pereira de Rezende ◽  
...  
Keyword(s):  
Decision Making ◽  
Monte Carlo ◽  
Monte Carlo Method ◽  
Economic Analysis ◽  
Net Present Value ◽  
Economic Feasibility ◽  
Technological Advancement ◽  
Charcoal Production ◽  
The Monte Carlo Method ◽  
Return On Capital

Projects are by their very nature subject to conditions of uncertainty that obstruct the decision-making process. Uncertainties involving forestry projects are even greater, as they are combined with time of return on capital invested, being medium to long term. For successful forest planning, it is necessary to quantify uncertainties by converting them into risks. The decision on whether to adopt replacement regeneration or coppice regeneration in a forest stand is influenced by several factors, which include land availability for new forest crops, changes in project end use, oscillations in demand and technological advancement. This study analyzed the economic feasibility of replacement regeneration and coppice regeneration of eucalyptus stands, under deterministic and under risk conditions. Information was gathered about costs and revenues for charcoal production in order to structure the cash flow used in the economic analysis, adopting the Net Present Value method (VPL). Risk assessment was based on simulations running the Monte Carlo method. Results led to the following conclusions: replacement regeneration is economically viable, even if the future stand has the same productivity as the original stand; coppice regeneration is an economically viable option even if productivity is a mere 70% of the original stand (high-tree planted stand), the best risk-return ratio option is restocking the stand (replacement regeneration) by one that is 20% more productive; the probabilistic analysis running the Monte Carlo method revealed that invariably there is economic viability for the various replacement and coppice regeneration options being studied, minimizing uncertainties and consequently increasing confidence in decision-making.

scholarly journals ANALYSIS OF THE FINANCIAL VIABILITY OF THE AQUAPONICS (FISH FARMING AND HYDROPONICS) SYSTEM USING THE MONTE CARLO METHOD

2020 ◽  
Vol 9 (04) ◽  
pp. 20-26
Author(s):  
Rodrigo Diana Navarro ◽  
Goro Kodama ◽  
Maísa Joaquim dos Santos ◽  
Álvaro Nogueira de Souza ◽  
Guilherme Crispim Hundley
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Net Present Value ◽  
Fish Farming ◽  
Plant Production ◽  
Financial Viability ◽  
Production Volume ◽  
Production Scale ◽  
The Monte Carlo Method ◽  
The Cost

This study aims to evaluate a particular property in Brasília that uses the aquaponics system on a small production scale. The Monte Carlo method was used to estimate its financial feasibility and the probability of the production volume and, consequently, evaluate the risk of this undertaking. The data analyzed included fixed and variable costs, revenues and financial viability indicators, which are net present value (NPV), periodic economic benefit (PEB) and internal rate of return (IRR). It was identified in this research that the cost with the largest participation was the land acquisition, amounting to more than 60%. According to the survey, the venture showed a 56.69% probability to generate a NPV, PEB and IRR rate, respectively, of R$ 117,784.26, R$ 16,003.11 and 37%. The probability of occurrence of fish volume and plant production were, respectively, 1179.44 kg and 731.26 kg with 74.43% and 76.16%, presenting a probability greater than 50%, which is considered as more reliable than traditional analysis. Therefore, we can conclude that it is economically viable according to the NPV parameters, which was greater than zero, and the IRR, that was higher than the minimum rate of attractiveness.

scholarly journals OPTIMIZATION AND ECONOMIC ANALYSIS OF MULTIPRODUCTS OBTAINED FROM WOOD OF EUCALYPTUS STANDS UNDER DIFFERENT PRODUCTIVE CAPACITY CLASSES AND ROTATION AGES

FLORESTA ◽  
2021 ◽  
Vol 51 (2) ◽  
pp. 293
Author(s):  
Laíssa De Araújo Viana ◽  
Renato Vinícius Oliveira Castro ◽  
Álvaro Nogueira de Souza ◽  
Carlos Pedro Boechat Soares ◽  
Maísa Santos Joaquim ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Risk Analysis ◽  
Net Present Value ◽  
Eucalyptus Grandis ◽  
Economic Viability ◽  
Productive Capacity ◽  
Individual Tree ◽  
The Monte Carlo Method ◽  
Rotation Age

The present study aimed to analyze the yield and economic viability of the destination, for lumber and energy, of the wood from non-thinned stands of the hybrid Eucalyptus urophylla x Eucalyptus grandis under different productive capacity class and whose production was projected by individual tree growth model to different ages. The simulation of the growth of individual trees was performed by applying the height and diameter growth, and mortality sub-models for three productive capacity classes: high, medium and low. The Kozak model was adjusted to study the stem taper and, in addition, used to optimize patterns for sawing logs and to produce lumber. The economic viability of the projects was evaluated by Net Present Value, Equivalent Periodic Benefit and risk analysis using the Monte Carlo method. It was observed that in areas with less productive capacity the volume of wood destined for energy was greater than 80% and, in areas with greater productive capacity the volume of lumber was greater than 26%. Economic indicators showed that the lumber production was viable at any of the studied rotation age. The risk analysis using the Monte Carlo method did not indicate the possibility of the project being unfeasible under the conditions analyzed. The quantity of different types of products obtained and the wood yield depends on the productive capacity class and age of the stand. The destination of the wood for multiproducts is the most viable option, regardless of the productive capacity class.

Adaptive quasi-Monte Carlo method for uncertainty evaluation in centroid measurement of planetary rovers

2020 ◽  
pp. 014233122095003
Author(s):  
Qiang Na ◽  
Shurong Hu ◽  
Jianguo Tao ◽  
Yang Luo
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Nonlinear Models ◽  
Evaluation Process ◽  
Standard Uncertainty ◽  
Integrated System ◽  
Uncertainty Evaluation ◽  
Quasi Monte Carlo ◽  
The Monte Carlo Method ◽  
Adaptive Monte Carlo Method

The measurement of the centroid is of great significance to improve the control performance and reduce the energy consumption of the planetary rover (PR). The uncertainty is an essential indicator of the reliability of centroid measurement results. The purpose of the current study is to evaluate the uncertainty of centroid measurement in the multi-configuration rover. For the measurement of the centroid, the model with 37 parameters of two measurements as the input and the centroid coordinates as the output is derived. Further, the mechanical and electrical integrated system is developed, which can measure the centroid of PRs in different configurations and sizes. Moreover, to overcome the shortcomings of the Monte Carlo method (MCM) in uncertainty evaluation, an adaptive algorithm that automatically determines the number of input sequences is proposed. On this basis, an adaptive quasi-Monte Carlo method (AQMCM) is presented in order to accelerate the uncertainty evaluation, which is characterized by the randomized Sobol sequence. Besides, experiments are performed to compare the uncertainty evaluation process and results of the AQMCM and the adaptive Monte Carlo method (AMCM) in multiple configurations. The result shows that the standard uncertainty of the AQMCM is almost the same as that of the AMCM, but the sequence size of AQMCM is evidently smaller than that of AMCM. Taken together, we identify that the AQMCM evaluates the uncertainty of CM for the multi-configuration rover in an efficient and fast way. Furthermore, the AQMCM provides a new method for uncertainty evaluation, particularly for nonlinear models in different states.

scholarly journals PENENTUAN NILAI KONTRAK OPSI TIPE BINARY PADA KOMODITS KAKAO MENGGUNAKAN METODE QUASI MONTE CARLO DENGAN BARISAN BILANGAN ACAK FAURE

2017 ◽  
Vol 6 (4) ◽  
pp. 214
Author(s):  
DEWA AYU AGUNG PUTRI RATNASARI ◽  
KOMANG DHARMAWAN ◽  
DESAK PUTU EKA NILAKUSMAWATI
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Monte Carlo Method ◽  
Standard Error ◽  
Fair Value ◽  
Investment Strategy ◽  
Quasi Monte Carlo ◽  
Option Contract ◽  
The Monte Carlo Method ◽  
Maturity Date

Contract options are the most important part of an investment strategy. An option is a contract that entitles the owner or holder to sell an asset on a designated maturity date. A binary or asset-or-nothing option is an option in which the option holder will perform or not the option. There are many methods used in determining the option contract value, one of this is the Monte Carlo Quasi method of the Faure random. The purpose of this study is to determine the value of binary type option contract using the Quasi Monte Carlo method of the Faure random and compare with the Monte Carlo method. The results of this study indicate that the option contract calculated by the Monte Carlo Quasi method results in a more fair value. Monte Carlo method simulation 10.000 generate  standard error is 0.9316 and the option convergence at 18.9144. While Quasi Monte Carlo simulation  3000 generate standard error is 0.09091 and the option convergence at 18.8203. This show  the  Quasi Monte Carlo method reaches a faster convergent of Monte Carlo method.

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