Biomechanical risk factors of non-contact ACL injuries:A stochastic biomechanical modeling study

Significant efforts have been made to identify modifiable risk factors of non-contact anterior cruciate ligament(ACL)injuries in male and female athletes.However,current literature on the risk factors for ACL injury are purely descriptive.An understanding of biomechanical relationship between risk and risk factors of the non-contact ACL injury is necessary to develop effective prevention programs.Purpose:To compare lower extremity kinematics and kinetics between trials with and without non-contact ACL injuries and to determine if any difference exists between male and female trials with non-contact ACL injuries regarding the lower extremity motion patterns.Methods:In this computer simulation study,a stochastic biomechanical model was used to estimate the ACL loading at the time of peak posterior ground reaction force(GRF)during landing of the stop-jump task.Monte Carlo simulations were performed to simulate the ACL injuries with repeated random samples of independent variables.The distributions of independent variables were determined from in vivo laboratory data of 40 male and 40 female recreational athletes.Results:In the simulated injured trials,both male and female athletes had significantly smaller knee flexion angles,greater normalized peak posterior and vertical GRF,greater knee valgus moment,greater patella tendon force,greater quadriceps force,greater knee extension moment,and greater proximal tibia anterior shear force in comparison to the simulated uninjured trials.No significant difference was found between genders in any of the selected biomechanical variables in the trials with simulated non-contact ACL injuries.Conclusion:Small knee flexion angle,large posterior GRF,and large knee valgus moment are risk factors of non-contact ACL injury determined by a stochastic biomechanical model with a cause-and-effect relationship.Copyright(c)2012,Shanghai University of Sport.Production and hosting by Elsevier B.V.All rights reserved.

Mean-square Exponential Robust Stability for a Class of Grey Stochastic Systems with Distributed Delays

Two easily verified delay-dependent criteria of mean-square exponential robust stability are obtained by constructing Lyapunov-Krasovskii functional and employing the decomposition technique of the continuous matrix-discovered set of grey matrix and Ito formula.A numerical example shows the validity and practicality of the criteria presented in this paper.

Stochastic Modelling of Vulnerability Life Cycle and Security Risk Evaluation

The objective of the present study is to propose a risk evaluation statistical model for a given vulnerability by examining the Vulnerability Life Cycle and the CVSS score. Having a better understanding of the behavior of vulnerability with respect to time will give us a great advantage. Such understanding will help us to avoid exploitations and introduce patches for a particular vulnerability before the attacker takes the advantage. Utilizing the proposed model one can identify the risk factor of a specific vulnerability being exploited as a function of time. Measuring of the risk factor of a given vulnerability will also help to improve the security level of software and to make appropriate decisions to patch the vulnerability before an exploitation takes place.

Optimal Portfolio Selection of Wind Power Plants Using a Stochastic Risk-Averse Optimization Model, Considering the Wind Complementarity of the Sites and a Budget Constraint

This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to establish a long-term wind series reconstruction methodology for generating scenarios of wind energy, applying it to study five different locations of the Brazilian territory. Secondly, a risk-averse stochastic optimization model was implemented and used to define the optimal wind power plant selection that maximizes the portfolio financial results, considering an investment budget constraint. In a sequence, a case study was developed to illustrate a practical situation of applying the methodology to the portfolio selection problem, considering five wind power plants options. The case study was supported by the proposed optimization model, using the scenarios of generation created by the reconstruction methodology. The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint. The adopted methodology makes it possible to realize that the diversification of the portfolio depends on the investor risk aversion. Although applied to the Brazilian case, this model can be customized to solve a similar problem worldwide.

Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy.This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution into a high-order approximate dynamic stochastic general equilibrium(DSGE)model with Epstein–Zin preference to better analyze the dynamic effect of uncertainty risk on macroeconomics.Then,the high-dimensional DSGE model(DSGE-SV-t)is developed to examine the impact of uncertainty risk on the transmission mechanism among macroeconomic sectors.The empirical research found that uncertainty risk generates heterogeneous impacts on macroeconomic dynamics under different inflation levels and economic states.Among them,a technological shock has the strongest impact on employment and consumption channels.The crowding-out effect of a fiscal policy stimulus on consumption and private investments is relatively weakened when considering uncertainty risk but is more pronounced during periods of high inflation.Uncertainty risk can partly explain the decline in investments and the increase in interest rates and employment rates,given the impact of an agent’s risk preferences.Compared with external economic conditions,the inflation factor has a stronger impact on the macro transmission mechanism caused by uncertainty risk.

ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES

In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.

Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice

在这份报纸，我们主要学习一种公事包选择问题在某些金融市场激发的一种风险敏感的最佳的控制问题。用古典凸的变化技术，我们为这种问题获得最大的原则。最大的原则的形式类似于它的风险中立的对应物。但是伴随方程和变化不平等重重地取决于风险敏感的参数。这是从风险中立的案例的主要差别之一。我们使用这结果解决一种最佳的公事包选择问题。鸣钟者获得的最佳的公事包策略当投资者仅仅投资家契约和股票时，动态编程原则是我们的结果的一种特殊情况。计算结果和图明确地说明在最大的期望的实用程序和模型的参数之间的关系。

Risk Assessment of Diary Cattle Brucellosis Based on Systematic Multilevel Grey Relation Entropy Method

[Objective] The study was to explore the major factors affecting diary cattle brucellosis risk assessment,as well as their strong-to-weak sequence,so as to provide theoretical basis for assessing diary cattle brucellosis risk level in different regions.[Method] From 4 dimensions of feeding and importing,breeding,housing and polyculture situation,an evaluation index system was set up,and diary cattle brucellosis risk survey was conducted in 3 typical regions.Finally,systematic multilevel grey relation entropy method was applied to perform data analysis.[Result] The strong-to-weak sequence of Level 1 impact factor of diary cattle brucellosis was as follows：feeding and importinghousingpolyculture situationbreeding;the sequence of Level 2 impact factor was U32〉U12〉U11〉U31〉U21〉U42〉U43〉U23〉U22〉U41;the risk level sequence of 3 typical regions was Province A（County A1,A2,A3）Province B（County B1,B2,B3）Province C（County C1,C2,C3）.[Conclusion] According to the weight of Level 1 index strata,administrative departments at all levels and dairy cattle farmers should lay emphasis on the aspects of feeding,importing and housing;viewed from the perspective of Level 2 index strata,dairy cattle farmers should value the siting of cattle field,the brucellosis surveillance before importing and milking modes most.According to the diary cattle brucellosis risk level of 3 typical regions,if administrative departments at all levels strengthen peoples＇ awareness of their personal health and increase investment in this area,with new healthy cultured atmosphere built,the risk level of diary cattle brucellosis will surly decline.

Optimizing continuous cover management of boreal forest when timber prices and tree growth are stochastic

Background： Decisions on forest management are made under risk and uncertainty because the stand development cannot be predicted exactly and future timber prices are unknown. Deterministic calculations may lead to biased advice on optimal forest management. The study optimized continuous cover management of boreal forest in a situation where tree growth, regeneration, and timber prices include uncertainty. Methods： Both anticipatory and adaptive optimization approaches were used. The adaptive approach optimized the reservation price function instead of fixed cutting years. The future prices of different timber assortments were described by cross-correlated auto-regressive models. The high variation around ingrowth model was simulated using a model that describes the cross- and autocorrelations of the regeneration results of different species and years. Tree growth was predicted with individual tree models, the predictions of which were adjusted on the basis of a climate-induced growth trend, which was stochastic. Residuals of the deterministic diameter growth model were also simulated. They consisted of random tree factors and cross- and autocorrelated temporal terms. Results： Of the analyzed factors, timber price caused most uncertainty in the calculation of the net present value of a certain management schedule. Ingrowth and climate trend were less significant sources of risk and uncertainty than tree growth. Stochastic anticipatory optimization led to more diverse post-cutting stand structures than obtained in deterministic optimization. Cutting interval was shorter when risk and uncertainty were included in the analyses. Conclusions： Adaptive optimization and management led to 6%-14% higher net present values than obtained in management that was based on anticipatory optimization. Increasing risk aversion of the forest landowner led to earlier cuttings in a mature stand. The effect of risk attitude on optimization results was small.

Comprehensive security risk factor identification for small reservoirs with heterogeneous data based on grey relational analysis model

Identification of security risk factors for small reservoirs is the basis for implementation of early warning systems.The manner of identification of the factors for small reservoirs is of practical significance when data are incomplete.The existing grey relational models have some disadvantages in measuring the correlation between categorical data sequences.To this end,this paper introduces a new grey relational model to analyze heterogeneous data.In this study,a set of security risk factors for small reservoirs was first constructed based on theoretical analysis,and heterogeneous data of these factors were recorded as sequences.The sequences were regarded as random variables,and the information entropy and conditional entropy between sequences were measured to analyze the relational degree between risk factors.Then,a new grey relational analysis model for heterogeneous data was constructed,and a comprehensive security risk factor identification method was developed.A case study of small reservoirs in Guangxi Zhuang Autonomous Region in China shows that the model constructed in this study is applicable to security risk factor identification for small reservoirs with heterogeneous and sparse data.

Assessment of buckling-restrained braced frame reliability using an experimental limit-state model and stochastic dynamic analysis

Buckling-restrained braces （BRBs） have recently become popular in the United States for use as primary members of seismic lateral-force-resisting systems. A BRB is a steel brace that does not buckle in compression but instead yields in both tension and compression. Although design guidelines for BRB applications have been developed, systematic procedures for assessing performance and quantifying reliability are still needed. This paper presents an analytical framework for assessing buckling-restrained braced frame （BRBF） reliability when subjected to seismic loads. This framework efficiently quantifies the risk of BRB failure due to low-cycle fatigue fracture of the BRB core. The procedure includes a series of components that： （1） quantify BRB demand in terms of BRB core deformation histories generated through stochastic dynamic analyses; （2） quantify the limit-state of a BRB in terms of its remaining cumulative plastic ductility capacity based on an experimental database; and （3） evaluate the probability of BRB failure, given the quantified demand and capacity, through structural reliability analyses. Parametric studies were conducted to investigate the effects of the seismic load, and characteristics of the BRB and BRBF on the probability of brace failure. In addition, fragility curves （i.e., conditional probabilities of brace failure given ground shaking intensity parameters） were created by the proposed framework. While the framework presented in this paper is applied to the assessment of BRBFs, the modular nature of the framework components allows for application to other structural components and systems.

Cyber Security: Nonlinear Stochastic Models for Predicting the Exploitability

Obtaining complete information regarding discovered vulnerabilities looks extremely difficult. Yet, developing statistical models requires a great deal of such complete information about the vulnerabilities. In our previous studies, we introduced a new concept of “Risk Factor” of vulnerability which was calculated as a function of time. We introduced the use of Markovian approach to estimate the probability of a particular vulnerability being at a particular “state” of the vulnerability life cycle. In this study, we further develop our models, use available data sources in a probabilistic foundation to enhance the reliability and also introduce some useful new modeling strategies for vulnerability risk estimation. Finally, we present a new set of Non-Linear Statistical Models that can be used in estimating the probability of being exploited as a function of time. Our study is based on the typical security system and vulnerability data that are available. However, our methodology and system structure can be applied to a specific security system by any software engineer and using their own vulnerabilities to obtain their probability of being exploited as a function of time. This information is very important to a company’s security system in its strategic plan to monitor and improve its process for not being exploited.

Two-stage stochastic approach for spinning reserve allocation in dynamic economic dispatch

A novel approach was proposed to allocate spinning reserve for dynamic economic dispatch.The proposed approach set up a two-stage stochastic programming model to allocate reserve.The model was solved using a decomposed algorithm based on Benders' decomposition.The model and the algorithm were applied to a simple 3-node system and an actual 445-node system for verification,respectively.Test results show that the model can save 84.5 US $ cost for the testing three-node system,and the algorithm can solve the model for 445-node system within 5 min.The test results also illustrate that the proposed approach is efficient and suitable for large system calculation.

Study of Volatility Stochastic Processes in the Context of Solvency Forecasting for Sri Lankan Life Insurers

The main business of Life Insurers is Long Term contractual obligations with a typical lifetime of 20 - 40 years. Therefore, the Solvency metric is defined by the adequacy of capital to service the cash flow requirements arising from the said obligations. The main component inducing volatility in Capital is market sensitive Assets, such as Bonds and Equity. Bond and Equity prices in Sri Lanka are highly sensitive to macro-economic elements such as investor sentiment, political stability, policy environment, economic growth, fiscal stimulus, utility environment and in the case of Equity, societal sentiment on certain companies and industries. Therefore, if an entity is to accurately forecast the impact on solvency through asset valuation, the impact of macro-economic variables on asset pricing must be modelled mathematically. This paper explores mathematical, actuarial and statistical concepts such as Brownian motion, Markov Processes, Derivation and Integration as well as Probability theorems such as the Probability Density Function in determining the optimum mathematical model which depicts the accurate relationship between macro-economic variables and asset pricing.

Foreign exchange trading and management with the stochastic dual dynamic programming method

We present a novel tool for generating speculative and hedging foreign exchange(FX)trading policies.Our solution provides a schedule that determines trades in each rebalancing period based on future currency prices,net foreign account positions,and incoming(outgoing)flows from business operations.To obtain such policies,we construct a multistage stochastic programming(MSP)model and solve it using the stochastic dual dynamic programming(SDDP)numerical method,which specializes in solving high-dimensional MSP models.We construct our methodology within an open-source SDDP package,avoiding implementing the method from scratch.To measure the performance of our policies,we model FX prices as a mean-reverting stochastic process with random events that incorporate stochastic trends.We calibrate this price model on seven currency pairs,demonstrating that our trading policies not only outperform the benchmarks for each currency,but may also be close to ex-post optimal solutions.We also show how the tool can be used to generate more or less conservative strategies by adjusting the risk tolerance,and how it can be used in a vari-ety of contexts and time scales,ranging from intraday speculative trading to monthly hedging for business operations.Finally,we examine the impact of increasing trade policy uncertainty(TPU)levels on our findings.Our findings show that the volatility of currencies from emerging economies rises in comparison to currencies from devel-oped markets.We discover that an increase in the TPU level has no effect on the aver-age profit obtained by our method.However,the risk exposure of the policies increases(decreases)for the group of currencies from emerging(developed)markets.

Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities

In financial analysis risk quantification is essential for efficient portfolio management in a stochastic framework. In this paper we study the value at risk, the expected shortfall, marginal expected shortfall and value at risk, incremental value at risk and expected shortfall, the marginal and discrete marginal contributions of a portfolio. Each asset in the portfolio is characterized by a trend, a volatility and a price following a three-dimensional diffusion process. The interest rate of each asset evolves according to the Hull and White model. Furthermore, we propose the optimization of this portfolio according to the value at risk model.

Multiobjective Stochastic Linear Programming: An Overview

Many Optimization problems in engineering and economic involve the challenging task of pondering both conflicting goals and random data. In this paper, we give an up-to-date overview of how important ideas from optimization, probability theory and multicriteria decision analysis are interwoven to address situations where the presence of several objective functions and the stochastic nature of data are under one roof in a linear optimization context. In this way users of these models are not bound to caricature their problems by arbitrarily squeezing different objective functions into one and by blindly accepting fixed values in lieu of imprecise ones.

Using Return and Risk Model for Choosing Perfect Portfolio Applied Study in Cairo Stock Exchange

Modern financial theory, commonly known as portfolio theory, provides an analytical framework for the investment decision to be made under uncertainty. It is a well-established proposition in portfolio theory that whenever there is an imperfect correlation between returns risk is reduced by maintaining only a portion of wealth in any asset, or by selecting a portfolio according to expected returns and correlations between returns. The major improvement of the portfolio approaches over prior received theory is the incorporation of 1) the riskiness of an asset and 2) the addition from investing in any asset. The theme of this paper is to discuss how to propose a new mathematical model like that provided by Markowitz, which helps in choosing a nearly perfect portfolio and an efficient input/output. Besides applying this model to reality, the researcher uses game theory, stochastic and linear programming to provide the model proposed and then uses this model to select a perfect portfolio in the Cairo Stock Exchange. The results are fruitful and the researcher considers this model a new contribution to previous models.

Flood risk control of dams and dykes in middle reach of Huaihe River

Three stochastic mathematical models for calculation of the reservoir flood regulation process, river course flood release, and flood risk rate under flood control were established based on the theory of stochastic differential equations and features of flood control systems in the middle reach of the Huaihe River from Xixian to the Bengbu floodgate, comprehensively considering uncertain factors of hydrology, hydraulics, and engineering control. They were used to calculate the flood risk rate with flood regulation of five key reservoirs, including the Meishan, Xianghongdian, Nianyushan, Mozitan, and Foziling reservoirs in the middle reach of the Huaihe River under different flood frequencies, the flood risk rate with river course flood release under design and check floods for the trunk of the Huaihe River in conjunction with relevant flood storage areas, and the flood risk rate with operation of the Linhuaigang Project under design and check floods. The calculated results show that （l） the five reservoirs can withstand design floods, but the Xianghongdian and Foziling reservoirs will suffer overtopping accidents under check floods; （2） considering the service of flood storage areas under the design flood conditions of the Huaihe River, the mean flood risk rate with flood regulation of dykes and dams from Xixian to the Bengbu floodgate is about 0.2, and the trunk of the Huaihe River can generally withstand design floods; and （3） under a check flood with the flood return period of 1 000 years, the risk rate of overtopping accidents of the Linhuaigang Project is not larger than 0.15, indicating that it has a high flood regulation capacity. Through regulation and application of the flood control system of the Linhuigang Project, the Huaihe River Basin can withstand large floods, and the safety of the protected area can be ensured.

Model calibration concerning risk coefficients of driving safety field model

Driving safety field(DSF) model has been proposed to represent comprehensive driving risk formed by interactions of driver-vehicle-road in mixed traffic environment. In this work, we establish an optimization model based on grey relation degree analysis to calibrate risk coefficients of DSF model. To solve the optimum solution, a genetic algorithm is employed. Finally, the DSF model is verified through a real-world driving experiment. Results show that the DSF model is consistent with driver's hazard perception and more sensitive than TTC. Moreover, the proposed DSF model offers a novel way for criticality assessment and decision-making of advanced driver assistance systems and intelligent connected vehicles.