基于仿射跳跃-扩散过程的电力市场电价随机模型

基于金融工程理论的电价随机模型对于竞争性电力市场中的电力衍生产品定价、风险管理、资产定价及不确定条件下的投资决策等具有基础意义。文中提出了基于仿射跳跃-扩散过程的、具有2个和3个跳跃分量的电价随机模型以及一种新的参数标定方法。所提出的近似参数标定方法可利用历史电价数据快速求解模型参数,且计算量与电价样本点数量无关。由于直接根据历史电价的数字特征求解,不存在误差累积的问题。根据法国Powernext、德国EEX和荷兰APX等3 个主要欧洲电力市场的历史日前小时电价数据标定了模型参数并采用Monte Carlo方法分析了模型的模拟效果。计算表明,文中提出的电价随机模型能够较为准确地描述电价的整体概率分布,满足进一步研究的需要。

Monte Carlo Simulation of Propylene Polymerization (Ⅰ) Effects of Impurity on Propylene Polymerization

A comprehensive mechanism for propylene polymerization was proposed by considering the effects of main impurities in the material on propylene polymerization. According to the proposed mechanism, Monte Carlo simulation was employed to investigate the polymerization kinetics in order to determine the effects of the main impurities on the polymerization. Significant influences of the main impurities on the rate, number-average degree and controlling capability of hydrogen of the polymerization were analyzed.

Monte Carlo Simulation of Kinetics of Ammonia Oxidative Decomposition over the Commercial Propylene Ammoxidation Catalyst (Mo-Bi)

Monte Carlo method is applied to investigate the kinetics of ammonia oxidative decomposition over the commercial propylene ammoxidation catalyst(Mo-Bi). The simulation is quite in agreement with experimental results. Monte Carlo simulation proves that the process of ammonia oxidation decomposition is a two-step reaction.

Adsorption of Diblock Copolymers from Non-selective Solvent: Comparison Between Scheutjens-Fleer Theory and Monte Carlo Simulation

Systematic comparison between computer simulation results and those predicted by Scheutjens-Fleer (SF) self-consistent-field theory is presented for the adsorption of diblock copolymers from a non-selective solvent on attractive surface. It is shown that although SF is a mean-field theory, it can qualitatively describe the adsorption phenomena of diblock copolymers. However, systematic discrepancy between the theory and simulation still exists. The approximations inherited in the mean-field theory such as random mixing inside a layer and the allowance of direct back folding may be responsible to those deviations.

Near-surface velocity model construction based on a Monte-Carlo scheme

In tomographic statics seismic data processing, it 1s crucial to cletermme an optimum base for a near-surface model. In this paper, we consider near-surface model base determination as a global optimum problem. Given information from uphole shooting and the first-arrival times from a surface seismic survey, we present a near-surface velocity model construction method based on a Monte-Carlo sampling scheme using a layered equivalent medium assumption. Compared with traditional least-squares first-arrival tomography, this scheme can delineate a clearer, weathering-layer base, resulting in a better implementation of damming correction. Examples using synthetic and field data are used to demonstrate the effectiveness of the proposed scheme.

Monte Carlo Study on Spontaneous Recoil of Confined DNA Chain

A part of a long DNA chain was driven into a confined environment by an electric field, while the rest remains in the higher-entropy region. Upon removal of the field, the chain recoils to the higher-entropy region spontaneously. This dynamical process was investigated by Monte Carlo simulations. The simulation reproduces the experimentally-observed phenomenon that the recoil of the DNA chain is initially slow and gradually increases in speed due to the presence of the confinement-entropic force. The results show that with increasing the dimension or decreasing the spacing of the nanopillars the recoil velocity of the DNA chain will increase. Further analysis suggests that the characteristic entropy per monomer in the confinement is proportional to the area fraction of the free part in the confinement.

Monte Carlo Simulation of Propylene Selective Oxidation and Ammoxidation overβ-Bi2Mo2O9 Catalyst under Anaerobic Condition

A random walk Monte Carlo （RWMC） simulation model of catalytic particle was established on the basis of the structures of bismuth molybdate catalysts and mechanisms of catalytic reactions with propylene selective oxidation and ammoxidation. The simulation results show that rationality of the RWMC model is proved on the basis of pulse experimental data. One of the most remarkable factors affecting catalytic behavior is the transfer of bulk lattice oxygen, which decides the rate of ammonia-consuming and propylene-consuming. The selectivity of main products reaches the maximum after the reduction of catalysts to a certain degree. It is inferred that catalytic performance improves greatly if the ratio of capacity for dehydrogenation from adsorbed propylene molecule on catalytically active site of molybdenum metal-imido group （Mo=NH） to that on catalytically active site of molybdenum metal-oxo group （Mo=O） becomes much higher.

Dynamic Monte Carlo study on the probability distribution functions of tail-like polymer chain

The configurational properties of tail-like polymer chains with one end attached to a flat surface are studied by using dynamic Monte Carlo technique. We find that the probability distribution of the free end in z direction P（Rz） and the density profile p（z） can be scaled approximately by a factor β to be a length independent function for both random walking （RW） and self-avoiding walking （SAW） tail-like chains, where the factor β is related to the mean square end-to-end distance 〈RE〉. The scaled P（Rz） of the SAW chain roughly overlaps that of the RW chain, but the scaled p（z） of the SAW chain locates at smaller βz than that of the RW chain.

The Calculation of Parameters for DNA Kinetic Structure Based on Monte-Carlo Multiple Integrals

Based on protein-DNA complex crystal structural data in up-to-date Nucleic Acid Database,the related parameters of DNA Kinetic Structure were investigated by Monte-Carlo Multiple Integrals on the base of modified DNA structure statistical mechanical model,and time complexity and precision were analyzed on the calculated results.

GIS COMPONENT BASED 3D LANDSLIDE HAZARD ASSESSMENT SYSTEM: 3DSLOPEGIS

In this paper, based on a new Geographic Information System (GIS) grid-based three-dimensional (3D) deterministic model and taken the slope unit as the study object, the landslide hazard is mapped by the index of the 3D safety factor. Compared with the one-dimensional (1D) model of infinite slope, which is now widely used for deterministic model based landslide hazard assessment in GIS, the GIS grid-based 3D model is more acceptable and is more adaptable for three-dimensional landslide. Assuming the initial slip as the lower part of an ellipsoid, the 3D critical slip surface in the 3D slope stability analysis is obtained by means of a minimization of the 3D safety factor using the Monte Carlo random simulation. Using a hydraulic model tool for the watershed analysis in GIS, an automatic process has been developed for identifying the slope unit from digital elevation model (DEM) data. Compared with the grid-based landslide hazard mapping method, the slope unit possesses clear topographical meaning, so its results are more credible. All the calculations are implemented by a computational program, 3DSlopeGIS, in which a GIS component is used for fulfilling the GIS spatial analysis function, and all the data for the 3D slope safety factor calculation are in the form of GIS data (the vector and the grid layers). Because of all these merits of the GIS-based 3D landslide hazard mapping method, the complex algorithms and iteration procedures of the 3D problem can also be perfectly implemented.

A purely data driven method for European option valuation

An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is used as the pricing measure to evaluate European call options by a Monte Carlo simulation method. The proposed method is a purely data driven valuation method without any distributional assumption about the price process of underlying asset. The performance of the proposed method is compared with the canonical valuation method and the historical volatility-based Black-Scholes method in an artificial Black-Scholes world. The simulation results show that the proposed method has merits, and is valuable to financial engineering.

Feasibility of using recycled CRT funnel glass as partial replacement of high density magnetite sand in radiation shielding concrete

The recycled cathode ray tube(CRT)funnel glass was used as replacement of magnetite sand in the concrete,and its mass replacement rates were 0,20%,40%and 60%,respectively.The flowability,apparent density and mechanical properties of the radiation shielding concrete were investigated,while itsγ-ray radiation shielding parameters such as linear and mass attenuation coefficients(μandμm,respectively),thickness values of half-value layer(hHVL)and tenth-value layer(hTVL)were obtained by theoretical calculation,experiment and Monte.Carlo N-Particle(MCNP)simulation code.The experimental results show that the flowability of the concrete increases significantly,whilst its apparent density,compressive strength and static elastic modulus decrease slightly.The calculated,simulated and experimentalμm,μ,hHVL and hTVL values of all concrete samples are very consistent at the sameγ-ray photon energy,and it is feasible to use MCNP code to simulateγ-ray radiation shielding parameters of materials.The calculated results show that in a wide range ofγ-ray photon energy,theμm value of the concrete with CRT funnel glass replacing magnetite sand is improved effectively,and its radiation shielding performances are the same as those of the control concrete(M.1).By comprehensively comparing the flowability,mechanical properties andγ-ray radiation shielding properties,the concrete samples with 20%.40%funnel glass as fine aggregate have good performances.

Factors Affecting Polymer Translocation Through a Nanopore in a Membrane

Monte Carlo simulations were used to study the translocation of a flexible polymer through a pore in a membrane, assuming an attractive interaction between the monomers and the membrane on the trans side of the membrane and no interaction on the cis side. For the case T〈Tc （the temperature corresponding to the minimum in the translocation time τ）, the value of τdecreases with increasing temperature, whereas for T〉Tc, τ increases with increasing temperature. The translocation time depends on the absorbed energy uo in a nontrivial way. The value of τ increases initially upon increasing uo before it begins to decrease. The variation of the translocation time with respect to the solvent quality was also studied. It showed that there is a transition, as the solvent quality improves from ＂poor＂ to ＂good＂： when εAB〈εc （the interaction energy corresponding to the minimum in τ）, τdecreases with increasing the value of εAB; when εAB〉εc, τincreases with increasing εAB- When the chain length was changed, it was found that when the absorbed energy uo was greater than uc,τ was proportional to N1.602; for uo〈uc, τ∝N2.248. As the solvent quality improved from ＂poor＂ to ＂good,＂ the translocation probability increased initially before becoming stable.

Comparative study of differential polarization imaging using linear and circular polarization in different scattering medium

Differential polarization imaging has been widely used to selectively probe the target embedded in turbid medium.A thorough understanding of image quality involved in differential polarization imaging is essential for practical use.Using polarized light Monte Carlo simulations,it has been investigated how the state of polarization of incident light and the optical properties of scattering medium affect the image contrast.The contrast for linear polarization is similar to that for circular polarization in the isotropic medium comprising small-particles.The image quality is more pronounced for circular polarization in the isotropic medium containing large-particles and the birefringent medium.Furthermore,differential polarization imaging provides better image quality for the birefringent medium compared with isotropic medium.The effect of particle-size and birefringence on the polarization characteristics of target light and backscattered light is investigated.With the help of numerical results,the polarization characteristics of target light and backscattered light,the image quality is well explained in the turbid medium mentioned above.

Which is More Efficient as Compatibilizer： Di-block or Multiblock Copolymer？

Monte Carlo simulations were used to investigate the compatibilizing behaviors of multi-block copolymers with different architectures in A/B/（block copolymer） ternary blends. The volume fraction of homopolymer A, employed as the dispersed phase, was 19%. The simulations illustrate how a di- or multi-block copolymer aggregates at the interfaces and influences the phase behaviour of such incompatible polymer blends. The di-block copolymer chains tend to ＂stand＂ on the interface whereas the multi-block chains lie on the interface. In comparison with the di-block copolymer, the block copolymers with 4, or 10 blocks can occupy more areas on the interface, and thus the multi-block copolymers have higher efficiency for the retardation of the phase separation.

Study on the random simulation times of mining engineering reliability

The theory of Monte-Carlo simulation method is that the event happened probability was estimated by happened frequency in the experiments. So it is very im-portant to ascertain the times of simulation. The probability and statistic theory are used to determine the optimal simulation times through strict mathematic reasoning. The study of two cases is made to show the availability of the presented method, and some relative problems were discussed.

A mesoscale model based on Monte-Carlo method for concrete fracture behavior study

An aggregate generation and packing algorithm based on Monte-Carlo method is developed to express the aggregate random distribution in cement concrete. A mesoscale model is proposed on the basis of the algorithm. In this model, the concrete con- sists of three parts, namely coarse aggregate, cement matrix and the interracial transition zone （ITZ） between them. To verify the proposed model, a three-point bending beam test was performed and a series of two-dimensional mesoscale concrete mod- els were generated for crack behavior investigation. The results indicate that the numerical model proposed in this study is helpful in modeling crack behavior of concrete, and that treating concrete as heterogeneous material is very important in frac- ture modeling.

抵押贷款证券的效用无差别定价

当前抵押贷款证券化产品定价方法主要是现金流贴现取平均的方式,其本质是一种风险中性定价,忽视了不同投资者的风险态度在资产定价中的决定作用。本文运用Hodges and Neuberger(1989)提出的效用无差别定价原理,提出抵押贷款证券化衍生产品定价的一种新的方法。假设投资者具有对数消费效用,本文得到了易于实现的抵押贷款证券化产品定价计算公式,给出了Monte Carlo数值计算方法和应用举例,并进行了比较静态分析。

Study of methods for evaluating the probability of multiple site damage occurrences

Two methods currently available for evaluating the probability of Multiple Site Damage(MSD)occurrence were studied in this paper.One of the methods is a probabilistic analysis approach based on the statistical theory and fatigue characteristics of each structural detail,and the other is an approach which defines the initial damage scenario by means of Monte-Carlo simulation,and multiple initial crack scenarios are randomly generated.A modified method based on the Monte-Carlo simulation was proposed in this paper,in which the random fluctuation of the stress was considered to give more accurate evaluation results.In the presented method,the probability of MSD occurrence in a structural element containing multiple details was calculated based on the Monte-Carlo simulation and the p-S-N curve of a single structural detail.Fatigue tests were accomplished using specimens containing 21-similar-details to obtain the fatigue life corresponding to MSD occurrence.Tests on single-detail specimens and static calibration tests were also conducted to get the basic fatigue properties of the material and the degree of stress fluctuation.The aforementioned three methods were compared and validated via the test results.The influence of the stress random fluctuation degree on the probability of MSD occurrence and influence of the distribution types on evaluating the MSD occurrence probability were discussed.

Asymptotic Properties of Maximum Quasi-Likelihood Estimators in Generalized Linear Models with Diverging Number of Covariates

In this paper, for the generalized linear models （GLMs） with diverging number of covariates, the asymptotic properties of maximum quasi-likelihood estimators （MQLEs） under some regular conditions are developed. The existence, weak convergence and the rate of convergence and asymptotic normality of linear combination of MQLEs and asymptotic distribution of single linear hypothesis teststatistics are presented. The results are illustrated by Monte-Carlo simulations.