Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high ...Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high portfolio losses （more general risk measure） based on the Cross - Entropy importance sampling is developed. This algorithm can easily be applied in any light- or heavy-tailed case without an extra adaptation. Besides, it does not loose in the performance in comparison to other known methods. A numerical study in both cases is performed and the variance reduction rate is compared with other known methods. The problem of VaR estimation using procedures for estimating the probability of high portfolio losses is also discussed.展开更多
The wheel-rail force measurement is of great importance to the condition monitoring and safety evaluation of railway vehicles. In this paper, an improved indirect method for wheel-rail force measurement is proposed to...The wheel-rail force measurement is of great importance to the condition monitoring and safety evaluation of railway vehicles. In this paper, an improved indirect method for wheel-rail force measurement is proposed to evaluate the running safety of railway vehicles. In this method, the equilibrium equations of a suspended wheelset are derived and the wheel-rail forces are then be obtained from measured suspension and inertia forces. This indirect method avoids structural modifications to the wheelset and is applicable to the long-term operation of railway vehicles. As the wheel-rail lateral forces at two sides of the wheelset are difficult to separate, a new derailment criterion by combined use of wheelset derailment coefficient and wheel unloading ratio is proposed. To illustrate its effectiveness, the indirect method is applied to safety evaluation of rail- way vehicles in different scenarios, such as the cross wind safety of a high-speed train and the safety of a metro vehicle with hunting motions. Then, the feasibility of using this method to identify wheel-rail forces for low-floor light rail vehicles with resilient wheels is discussed. The values identified by this method is compared with that by Simpack simulation for the same low-floor vehicle, which shows a good coincidence between them in the time domain of the wheelset lateral force and the wheel-rail vertical force. In addition, use of the method to determine the high-frequency wheel-rail interaction forces reveals that it is possible to identify the high-frequency wheel-rail forces through the accelerations on the axle box.展开更多
文摘Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high portfolio losses （more general risk measure） based on the Cross - Entropy importance sampling is developed. This algorithm can easily be applied in any light- or heavy-tailed case without an extra adaptation. Besides, it does not loose in the performance in comparison to other known methods. A numerical study in both cases is performed and the variance reduction rate is compared with other known methods. The problem of VaR estimation using procedures for estimating the probability of high portfolio losses is also discussed.
基金supported by the National Natural Science Foundation of China (Grant No. U1334206 and No. 51475388)Science & Technology Development Project of China Railway Corporation (Grant No. J012-C)
文摘The wheel-rail force measurement is of great importance to the condition monitoring and safety evaluation of railway vehicles. In this paper, an improved indirect method for wheel-rail force measurement is proposed to evaluate the running safety of railway vehicles. In this method, the equilibrium equations of a suspended wheelset are derived and the wheel-rail forces are then be obtained from measured suspension and inertia forces. This indirect method avoids structural modifications to the wheelset and is applicable to the long-term operation of railway vehicles. As the wheel-rail lateral forces at two sides of the wheelset are difficult to separate, a new derailment criterion by combined use of wheelset derailment coefficient and wheel unloading ratio is proposed. To illustrate its effectiveness, the indirect method is applied to safety evaluation of rail- way vehicles in different scenarios, such as the cross wind safety of a high-speed train and the safety of a metro vehicle with hunting motions. Then, the feasibility of using this method to identify wheel-rail forces for low-floor light rail vehicles with resilient wheels is discussed. The values identified by this method is compared with that by Simpack simulation for the same low-floor vehicle, which shows a good coincidence between them in the time domain of the wheelset lateral force and the wheel-rail vertical force. In addition, use of the method to determine the high-frequency wheel-rail interaction forces reveals that it is possible to identify the high-frequency wheel-rail forces through the accelerations on the axle box.
