Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR p...Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.展开更多
Autonomous aerial refueling(AAR)has demonstrated significant benefits to aviation by extending the aircraft range and endurance.It is of significance to assess system safety for autonomous aerial refueling.In this pap...Autonomous aerial refueling(AAR)has demonstrated significant benefits to aviation by extending the aircraft range and endurance.It is of significance to assess system safety for autonomous aerial refueling.In this paper,the reachability analysis method is adopted to assess system safety.Due to system uncertainties,the aerial refueling system can be considered as a stochastic system.Thus,probabilistic reachability is considered.Since there is a close relationship between reachability probability and collision probability,the collision probability of the AAR system is analyzed by using reachability analysis techniques.Then,the collision probability is accessed by using the Monte-Carlo experiment method.Finally,simulations demonstrate the effectiveness of the proposed safety assessment method.展开更多
A route optimization methodology in the frame of an onboard decision support/guidance system for the ship＇s master has been developed and is presented in this paper. The method aims at the minimization of the fuel vo...A route optimization methodology in the frame of an onboard decision support/guidance system for the ship＇s master has been developed and is presented in this paper. The method aims at the minimization of the fuel voyage cost and the risks related to the ship＇s seakeeping performance expected to be within acceptable limits of voyage duration. Parts of this methodology were implemented by interfacing alternative probability assessment methods, such as Monte Carlo, first order reliability method （FORM） and second order reliability method （SORM）, and a 3-D seakeeping code, including a software tool for the calculation of the added resistance in waves of NTUA-SDL. The entire system was integrated within the probabilistic analysis software PROBAN. Two of the main modules for the calculation of added resistance and the probabilistic assessment for the considered seakeeping hazards with respect to exceedance levels of predefined threshold values are herein elaborated and validation studies proved their efficiency in view of their implementation into an on-board optimization system.展开更多
The Longchi area with the city of Dujiangyan, in the Sichuan province of China, is composed of Permian stone and diorites and Triassic sandstones and mudstones intercalated with slates. An abundance of loose co-seismi...The Longchi area with the city of Dujiangyan, in the Sichuan province of China, is composed of Permian stone and diorites and Triassic sandstones and mudstones intercalated with slates. An abundance of loose co-seismic materials were present on the slopes after the May 12, 2008 Wenchuan earthquake, which in later years served as source material for rainfall-induced debris flows or shallow landslides. A total of 48 debris flows, all triggered by heavy rainfall on 13th August 20l0, are described in this paper. Field investigation, supported by remote sensing image interpretation, was conducted to interpret the co-seismic landslides in the debris flow gullies. Specific characteristics of the study area such as slope, aspect, elevation, channel gradient, lithology, and gully density were selected for the evaluation of debris flow susceptibility. A score was given to all the debris flow gullies based on the probability of debris flow occurrence for the selected factors. In order to get the contribution of the different factors, principal component analyses were applied. A comprehensive score was obtained for the 48 debris flow gullies which enabled us to make a susceptibility map for debris flows with three classes. Twenty-two gullies have a high susceptibility, twenty gullies show a moderate susceptibility and six gullies have a low susceptibility for debris flows.展开更多
This paper presents a probabilistic methodology for linear fracture mechanics analysis of cracked structures. The main focus is on probabilistic aspect related to the nature of crack in material. The methodology invol...This paper presents a probabilistic methodology for linear fracture mechanics analysis of cracked structures. The main focus is on probabilistic aspect related to the nature of crack in material. The methodology involves finite element analysis; sta- tistical models for uncertainty in material properties, crack size, fracture toughness and loads; and standard reliability methods for evaluating probabilistic characteristics of linear elastic fracture parameter. The uncertainty in the crack size can have a significant effect on the probability of failure, particularly when the crack size has a large coefficient of variation. Numerical example is presented to show that probabilistic methodology based on Monte Carlo simulation provides accurate estimates of failure prob- ability for use in linear elastic fracture mechanics.展开更多
基金The National Natural Science Foundation of China (No.70671025)
文摘Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.
基金This work was supported by the National Natural Science Foundation of China(No.61933010).
文摘Autonomous aerial refueling(AAR)has demonstrated significant benefits to aviation by extending the aircraft range and endurance.It is of significance to assess system safety for autonomous aerial refueling.In this paper,the reachability analysis method is adopted to assess system safety.Due to system uncertainties,the aerial refueling system can be considered as a stochastic system.Thus,probabilistic reachability is considered.Since there is a close relationship between reachability probability and collision probability,the collision probability of the AAR system is analyzed by using reachability analysis techniques.Then,the collision probability is accessed by using the Monte-Carlo experiment method.Finally,simulations demonstrate the effectiveness of the proposed safety assessment method.
基金supported by DNV in the framework of the GIFT strategic R&D collaboration agreement between DNV and the School of Naval Architecture and Marine Engineering of NTUA-Ship Design Laboratory
文摘A route optimization methodology in the frame of an onboard decision support/guidance system for the ship＇s master has been developed and is presented in this paper. The method aims at the minimization of the fuel voyage cost and the risks related to the ship＇s seakeeping performance expected to be within acceptable limits of voyage duration. Parts of this methodology were implemented by interfacing alternative probability assessment methods, such as Monte Carlo, first order reliability method （FORM） and second order reliability method （SORM）, and a 3-D seakeeping code, including a software tool for the calculation of the added resistance in waves of NTUA-SDL. The entire system was integrated within the probabilistic analysis software PROBAN. Two of the main modules for the calculation of added resistance and the probabilistic assessment for the considered seakeeping hazards with respect to exceedance levels of predefined threshold values are herein elaborated and validation studies proved their efficiency in view of their implementation into an on-board optimization system.
基金supported by the Key Projects in the National Science & Technology Pillar Program (Grant No. 2011BAK12B01)Basic Scientific Project of Ministry of Sciences and Technology of China (Grant No. 2011FY110100-3)
文摘The Longchi area with the city of Dujiangyan, in the Sichuan province of China, is composed of Permian stone and diorites and Triassic sandstones and mudstones intercalated with slates. An abundance of loose co-seismic materials were present on the slopes after the May 12, 2008 Wenchuan earthquake, which in later years served as source material for rainfall-induced debris flows or shallow landslides. A total of 48 debris flows, all triggered by heavy rainfall on 13th August 20l0, are described in this paper. Field investigation, supported by remote sensing image interpretation, was conducted to interpret the co-seismic landslides in the debris flow gullies. Specific characteristics of the study area such as slope, aspect, elevation, channel gradient, lithology, and gully density were selected for the evaluation of debris flow susceptibility. A score was given to all the debris flow gullies based on the probability of debris flow occurrence for the selected factors. In order to get the contribution of the different factors, principal component analyses were applied. A comprehensive score was obtained for the 48 debris flow gullies which enabled us to make a susceptibility map for debris flows with three classes. Twenty-two gullies have a high susceptibility, twenty gullies show a moderate susceptibility and six gullies have a low susceptibility for debris flows.
文摘This paper presents a probabilistic methodology for linear fracture mechanics analysis of cracked structures. The main focus is on probabilistic aspect related to the nature of crack in material. The methodology involves finite element analysis; sta- tistical models for uncertainty in material properties, crack size, fracture toughness and loads; and standard reliability methods for evaluating probabilistic characteristics of linear elastic fracture parameter. The uncertainty in the crack size can have a significant effect on the probability of failure, particularly when the crack size has a large coefficient of variation. Numerical example is presented to show that probabilistic methodology based on Monte Carlo simulation provides accurate estimates of failure prob- ability for use in linear elastic fracture mechanics.
