scholarly journals A Toolkit for Robust Risk Assessment Using F-Divergences

2021 ◽  
Author(s):  
Thomas Kruse ◽  
Judith C. Schneider ◽  
Nikolaus Schweizer
Keyword(s):  
Operations Management ◽  
Reference Model ◽  
Model Risk ◽  
Worst Case ◽  
Reference Models ◽  
New Family ◽  
Uncertainty Sets ◽  
Open Source Software Package ◽  
Heavy Tailed ◽  
Theoretical Results

This paper assembles a toolkit for the assessment of model risk when model uncertainty sets are defined in terms of an F-divergence ball around a reference model. We propose a new family of F-divergences that are easy to implement and flexible enough to imply convincing uncertainty sets for broad classes of reference models. We use our theoretical results to construct concrete examples of divergences that allow for significant amounts of uncertainty about lognormal or heavy-tailed Weibull reference models without implying that the worst case is necessarily infinitely bad. We implement our tools in an open-source software package and apply them to three risk management problems from operations management, insurance, and finance. This paper was accepted by Baris Ata, stochastic models and simulation.

scholarly journals Tail Behavior and Dependence Structure in the APARCH Model

2016 ◽  
Vol 9 (2) ◽  
Author(s):  
Farrukh Javed ◽  
Krzysztof Podgórski
Keyword(s):  
Statistical Inference ◽  
Dependence Structure ◽  
Leverage Effect ◽  
Tail Behavior ◽  
News Shocks ◽  
Negative News ◽  
Asymmetric Responses ◽  
Heavy Tailed ◽  
European Economies ◽  
Theoretical Results

AbstractThe APARCH model attempts to capture asymmetric responses of volatility to positive and negative ‘news shocks’ – the phenomenon known as the leverage effect. Despite its potential, the model’s properties have not yet been fully investigated. While the capacity to account for the leverage is clear from the defining structure, little is known how the effect is quantified in terms of the model’s parameters. The same applies to the quantification of heavy-tailedness and dependence. To fill this void, we study the model in further detail. We study conditions of its existence in different metrics and obtain explicit characteristics: skewness, kurtosis, correlations and leverage. Utilizing these results, we analyze the roles of the parameters and discuss statistical inference. We also propose an extension of the model. Through theoretical results we demonstrate that the model can produce heavy-tailed data. We illustrate these properties using S&P500 data and country indices for dominant European economies.

scholarly journals AGRICULTURAL MACHINERY AND IMPLEMENTS DESIGN PROCESS: GUIDELINES FOR SMALL AND MID-SIZED BUSINESSES

2016 ◽  
Vol 36 (1) ◽  
pp. 206-216 ◽  
Author(s):  
Renato L. Bergamo ◽  
Leonardo N. Romano
Keyword(s):  
Human Resources ◽  
Case Studies ◽  
Design Process ◽  
Process Modeling ◽  
Reference Model ◽  
New Products ◽  
Machine Design ◽  
Reference Models ◽  
Knowledge Domains ◽  
Modeling Formalism

ABSTRACT This study aims at presenting the process of machine design and agricultural implements by means of a reference model, formulated with the purpose of explaining the development activities of new products, serving as a guideline to coach human resources and to assist in formalizing the process in small and medium-sized businesses (SMB), i.e. up to 500 employees. The methodology used included the process modeling, carried out from case studies in the SMB, and the study of reference models in literature. The modeling formalism used was based on the IDEF0 standard, which identifies the dimensions required for the model detailing: input information; activities; tasks; knowledge domains; mechanisms; controls and information produced. These dimensions were organized in spreadsheets and graphs. As a result, a reference model with 27 activities and 71 tasks was obtained, distributed over four phases of the design process. The evaluation of the model was carried out by the companies participating in the case studies and by experts, who concluded that the model explains the actions needed to develop new products in SMB.

Design of Automatic Landing Systems Using the H-inf Control and the Dynamic Inversion

2015 ◽  
Vol 138 (2) ◽  
Author(s):  
Romulus Lungu ◽  
Mihai Lungu
Keyword(s):  
Federal Aviation Administration ◽  
Dynamic Inversion ◽  
Control Law ◽  
Reference Models ◽  
Low Intensity ◽  
Automatic Landing ◽  
Sensor Measurement ◽  
Wind Shears ◽  
Sensor Errors ◽  
Theoretical Results

This paper focuses on the automatic control of aircraft in the longitudinal plane, during landing, by using the linearized dynamics of aircraft, taking into consideration the wind shears and the errors of the sensors. A new robust automatic landing system (ALS) is obtained by means of the H-inf control, the dynamic inversion, an optimal observer, and two reference models providing the aircraft desired velocity and altitude. The theoretical results are validated by numerical simulations for a Boeing 747 landing; the simulation results are very good (Federal Aviation Administration (FAA) accuracy requirements for Category III are met) and show the robustness of the system even in the presence of wind shears and sensor errors. Moreover, the designed control law has the ability to reject the sensor measurement noises and wind shears with low intensity.

scholarly journals Efficient Four-Parametric with-and-without-Memory Iterative Methods Possessing High Efficiency Indices

2018 ◽  
Vol 2018 ◽  
pp. 1-12 ◽  
Author(s):  
Alicia Cordero ◽  
Moin-ud-Din Junjua ◽  
Juan R. Torregrosa ◽  
Nusrat Yasmin ◽  
Fiza Zafar
Keyword(s):  
Iterative Methods ◽  
High Efficiency ◽  
Nonlinear Function ◽  
Efficiency Index ◽  
Simple Zero ◽  
Eighth Order ◽  
New Family ◽  
Derivative Free ◽  
With Memory ◽  
Theoretical Results

We construct a family of derivative-free optimal iterative methods without memory to approximate a simple zero of a nonlinear function. Error analysis demonstrates that the without-memory class has eighth-order convergence and is extendable to with-memory class. The extension of new family to the with-memory one is also presented which attains the convergence order 15.5156 and a very high efficiency index 15.51561/4≈1.9847. Some particular schemes of the with-memory family are also described. Numerical examples and some dynamical aspects of the new schemes are given to support theoretical results.

scholarly journals Conducting Non-Adaptive Experiments in a Live Setting: A Bayesian Approach to Determining Optimal Sample Size

2019 ◽  
Author(s):  
Nandan Sudarsanam ◽  
Ramya Chandran ◽  
Daniel D. Frey
Keyword(s):  
Statistical Learning ◽  
Optimal Allocation ◽  
Analytical Techniques ◽  
Optimal Level ◽  
Base Case ◽  
Allocation Of Resources ◽  
Worst Case ◽  
Optimal Sample Size ◽  
Optimal Sample ◽  
Theoretical Results

Abstract This research studies the use of predetermined experimental plans in a live setting with a finite implementation horizon. In this context, we seek to determine the optimal experimental budget in different environments using a Bayesian framework. We derive theoretical results on the optimal allocation of resources to treatments with the objective of minimizing cumulative regret, a metric commonly used in online statistical learning. Our base case studies a setting with two treatments assuming Gaussian priors for the treatment means and noise distributions. We extend our study through analytical and semi-analytical techniques which explore worst-case bounds and the generalization to k treatments. We determine theoretical limits for the experimental budget across all possible scenarios. The optimal level of experimentation that is recommended by this study varies extensively and depends on the experimental environment as well as the number of available units. This highlights the importance of such an approach which incorporates these factors to determine the budget.

INSIM-FPT-3D: A Data-Driven Model for History Matching, Water-Breakthrough Prediction and Well-Connectivity Characterization in Three-Dimensional Reservoirs

2021 ◽  
Author(s):  
Hui Zhao ◽  
Wei Liu ◽  
Xiang Rao ◽  
Guanglong Sheng ◽  
Huazhou Andy Li ◽  
...  
Keyword(s):  
Simulation Model ◽  
History Matching ◽  
3D Model ◽  
Reference Model ◽  
Three Dimensional ◽  
Data Driven ◽  
Series Data ◽  
Reference Models ◽  
Water Breakthrough

Abstract The data-driven interwell simulation model (INSIM) has been recognized as an effective tool for history matching and interwell-connectivity characterization of waterflooding reservoirs. INSIM-FT-3D (FT: front tracking) was recently developed to upgrade the applicationdimension of INSIM series data-driven models from two-dimensional (2D) to three-dimensional (3D). However, INSIM-FT-3D cannot accurately infer the dynamic change of well-connectivity and predict well's bottom-hole pressure (BHP). The main purpose of this study intends to expand the capability of INSIM-FT-3D to empower for the assimilation of BHPs, the reliable prediction of water breakthrough and the characterization of dynamic interwell-connectivities. The default setting of well index (WI) in INSIM-FT-3D based on Peaceman's equation does not yield accurate BHP estimates. We derive a WI that can honor the BHPs of a reference model composed of a set of 1D connections. When history matching BHPs of a 3D reservoir, we show that the derived WI is a better initial guess than that obtained from Peaceman's equation. We also develop a flow-path-tracking (FPT) algorithm to calculate the dynamic interwell properties (allocation factors and pore volumes (PVs)). Besides, we discuss the relationship between the INSIM-family methods and the traditional grid-based methods, which indicates that the INSIM-family methods can calculate the transmissibility of the connection between coarse-scale cells in a more accurate manner. As an improvement of INSIM-FT-3D, the newly proposed data-driven model is denoted as INSIM-FPT-3D. To verify the correctness of the derived WI, we present a 1D problem and a T-shaped synthetic reservoir simulation model as the reference models. BHPs and oil production rates are obtained as the observed data by running these two reference models with total injection/production-rate controls. An INSIM-FPT-3D model is created by specifying the transmissibilities and PVs that are the same as those in the reference model. By applying the derived WIs in INSIM-FPT-3D, the resulting BHPs and oil rates obtained agree well with the reference model without further model calibration. Applying INSIM-FPT-3D to a synthetic multi-layered reservoir shows that we obtain a reasonable match of both BHPs and oil rates with INSIM-FPT-3D. Compared with the FrontSim model, the INSIM-FPT-3D model after history matching is shown to match the dynamic PVs from FrontSim reasonably well and can correctly predict the timing of water breakthrough. By allowing for the assimilation of BHP data, we enable INSIM-FPT-3D to history match a green field with limited production history and forecast the timing of water breakthrough. The improved INSIM-FPT-3D leads to more accurate characterization of the interwell connectivities.

Ontological Analysis of Reference Models

2011 ◽  
pp. 56-81 ◽  
Author(s):  
Peter Fettke ◽  
Peter Loos
Keyword(s):  
Information Systems ◽  
Reference Model ◽  
Point Of View ◽  
Model Quality ◽  
Analysis And Evaluation ◽  
Reference Models ◽  
Planning And Control ◽  
Sound Theory ◽  
Ontological Analysis ◽  
And Control

Within the information systems field, reference models have been known for many years. A reference model is a conceptual framework and may be used as a blueprint for information systems development. Despite the relevance of reference model quality, little research has been undertaken on their systematical analysis and evaluation. In this chapter, we describe how reference models can be analyzed from an ontological point of view. Such an analysis consists of four steps: 1) developing a transformation mapping, 2) identifying ontological modeling deficiencies, 3) transforming the reference model, and 4) assessing the results. The usefulness of our method will be demonstrated by analyzing Scheer’s reference model for production planning and control. Although our approach is based on sound theory, we argue that this approach is not inherently superior to other approaches of reference model analysis and evaluation.

Analysis and Validation of Learning Technology Models, Standards and Specifications

2010 ◽  
Vol 8 (2) ◽  
pp. 1-19 ◽  
Author(s):  
Jan M. Pawlowski ◽  
Denis Kozlov
Keyword(s):  
Reference Model ◽  
Model Analysis ◽  
Semantic Interoperability ◽  
Technology Enhanced Learning ◽  
Learning Technology ◽  
Reference Models ◽  
Competency Based ◽  
Open Content ◽  
Enhanced Learning

The paper presents a model for the analysis, comparison and validation of standards, specifications and in particular reference models in the field of Technology Enhanced Learning (TEL). The Reference Model Analysis Grid (RMAG) establishes categories of reference models and standards. Based on those categories, a set of criteria for the analysis and validation of standards was elaborated as a part of the ICOPER project that aims at interoperable open content for competency-based TEL. The analysis of standards in this context is targeted at developing a set of validated approaches that lead to a new reference model. Four standards were investigated, taking into account a broad range of aspects like practical and semantic interoperability and integration issues. In the case study, the authors analyzed both, the standards and specifications and the usefulness of the RMAG. The results of this case study can be used for further analyses of TEL standards as well as for reference models targeted at interoperability.

scholarly journals New Family of Stream Ciphers as Physically Clone-Resistant VLSI-Structures

Cryptography ◽  
2019 ◽  
Vol 3 (2) ◽  
pp. 11 ◽  
Author(s):  
Ayoub Mars ◽  
Wael Adi
Keyword(s):  
Security Analysis ◽  
Stream Ciphers ◽  
Nonlinear Feedback ◽  
Worst Case ◽  
Physically Unclonable Functions ◽  
New Family ◽  
Nonlinear Feedback Shift Registers ◽  
Security Levels ◽  
Post Quantum Cryptography ◽  
Near Future

A concept for creating a large class of lightweight stream ciphers as Key Stream Generators KSGs is presented. The resulting class-size exceeds 2323 possible different KSGs. If one unknown cipher from the KSG-class is randomly picked-up and stored irreversibly within a VLSI device, the device becomes physically hard-to-clone. The selected cipher is only usable by the device itself, therefore cloning it requires an invasive attack on that particular device. Being an unknown selection out of 2323 possible KSGs, the resulting cipher is seen as a Secret Unknown Cipher (SUC). The SUC concept was presented a decade ago as a digital alternative to the inconsistent traditional analog Physically Unclonable Functions (PUFs). This work presents one possible practical self-creation technique for such PUFs as hard-to-clone unknown KSGs usable to re-identify VLSI devices. The proposed sample cipher-structure is based on non-linear merging of randomly selected 16 Nonlinear Feedback Shift Registers (NLFSRs). The created KSGs exhibit linear complexities exceeding 281 and a period exceeding 2161. The worst-case device cloning time complexity approaches 2162. A simple lightweight identification protocol for physically identifying such SUC structures in FPGA-devices is presented. The required self-reconfiguring FPGAs for embedding such SUCs are not yet available, however, expected to emerge in the near future. The security analysis and hardware complexities of the resulting clone-resistant structures are evaluated and shown to offer scalable security levels to cope even with the post-quantum cryptography.

Lessons Learned in Reference Modeling

2011 ◽  
pp. 355-371 ◽  
Author(s):  
Wolfgang Hohnel ◽  
Daniela Krahl ◽  
Dirk Schreiber
Keyword(s):  
Success Factors ◽  
Reference Model ◽  
Lessons Learned ◽  
Practical Work ◽  
Time Constraints ◽  
Development Environment ◽  
Reference Models ◽  
Critical Success ◽  
Reference Modeling ◽  
Key Issues

A reference model is always developed in order to support a specific purpose. The development environment is setting the broader context. Limitations are not only set by size and experience of the modeler team or by budget and time constraints. The intended usage scenario also defines the fundamental contour of a reference model. During the practical work with reference models, a range of key issues has come up to increase the suitability of reference models for daily use. As the result of many projects, the authors have summarized the key issues and formulated critical success factors for reference modeling projects.

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