Uncertainty and energy-sector equity returns in Iran:a Bayesian and quasi-Monte Carlo time-varying analysis

This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran.The analysis specifically considers the refining,drilling,and petrochemical equity sectors of the Tehran Stock Exchange.The parameter estimation uses the quasi-Monte Carlo and Bayesian optimization methods in the framework of a generalized autoregressive conditional heteroskedasticity model,and a complementary Bayesian network analysis is also conducted.The analysis takes into account geopolitical risk and economic policy uncertainty data as other proxies for uncertainty.This study also aims to detect different price regimes for each equity index in a novel way using homogeneous/non-homogeneous Markov switching autoregressive models.Although these methods provide improvements by restricting the analysis to a specific price-regime period,they produce conflicting results,rendering it impossible to draw general conclusions regarding the contagion effect on returns or the volatility transmission between markets.Nevertheless,the results indicate that the OPEC(historical)price volatility has a stronger effect on the energy sectors than the implied volatility has.These types of oil price shocks are found to have no effect on the drilling sector price pattern,whereas the refining and petrochemical equity sectors do seem to undergo changes in their price patterns nearly concurrently with future demand shocks and oil supply shocks,respectively,gaining dominance in the oil market.

Quasi-Monte Carlo方法及其在金融风险管理中的应用

近年来,Quasi-Monte Carlo(QMC)方法成为国外金融风险管理研究的重要方向。选取代表性文献,综述国外QMC方法及其在金融资产定价、敏感性分析、风险价值估算等方面的主要研究成果及新进展,以推动QMC方法在我国微观金融理论与实务研究中的应用。

Quasi-Monte Carlo Simulation-Based SFEM for Slope Reliability Analysis

Considering the stochastic spatial variation of geotechnical parameters over the slope, a Stochastic Finite Element Method (SFEM) is established based on the combination of the Shear Strength Reduction (SSR) concept and quasi-Monte Carlo simulation. The shear strength reduction FEM is superior to the slice method based on the limit equilibrium theory in many ways, so it will be more powerful to assess the reliability of global slope stability when combined with probability theory. To illustrate the performance of the proposed method, it is applied to an example of simple slope. The results of simulation show that the proposed method is effective to perform the reliability analysis of global slope stability without presupposing a potential slip surface.

Quasi-Monte Carlo Approximations for Exponentiated Quadratic Kernel in Latent Force Models

In this project, we consider obtaining Fourier features via more efficient sampling schemes to approximate the kernel in LFMs. A latent force model (LFM) is a Gaussian process whose covariance functions follow an Exponentiated Quadratic (EQ) form, and the solutions for the cross-covariance are expensive due to the computational complexity. To reduce the complexity of mathematical expressions, random Fourier features (RFF) are applied to approximate the EQ kernel. Usually, the random Fourier features are implemented with Monte Carlo sampling, but this project proposes replacing the Monte-Carlo method with the Quasi-Monte Carlo (QMC) method. The first-order and second-order models’ experiment results demonstrate the decrease in NLPD and NMSE, which revealed that the models with QMC approximation have better performance.

B-splines smoothed rejection sampling method and its applications in quasi-Monte Carlo integration

The rejection sampling method is one of the most popular methods used in Monte Carlo methods. It turns out that the standard rejection method is closely related to the problem of quasi-Monte Carlo integration of characteristic functions, whose accuracy may be lost due to the discontinuity of the characteristic functions. We proposed a B-splines smoothed rejection sampling method, which smoothed the characteristic function by B-splines smoothing technique without changing the integral quantity. Numerical experiments showed that the convergence rate of nearly O( N^-1 ) is regained by using the B-splines smoothed rejection method in importance sampling.

Convergence Analysis of a Quasi-Monte Carlo-Based Deep Learning Algorithm for Solving Partial Differential Equations

Deep learning has achieved great success in solving partial differential equations(PDEs),where the loss is often defined as an integral.The accuracy and efficiency of these algorithms depend greatly on the quadrature method.We propose to apply quasi-Monte Carlo(QMC)methods to the Deep Ritz Method(DRM)for solving the Neumann problems for the Poisson equation and the static Schr¨odinger equation.For error estimation,we decompose the error of using the deep learning algorithm to solve PDEs into the generalization error,the approximation error and the training error.We establish the upper bounds and prove that QMC-based DRM achieves an asymptotically smaller error bound than DRM.Numerical experiments show that the proposed method converges faster in all cases and the variances of the gradient estimators of randomized QMC-based DRM are much smaller than those of DRM,which illustrates the superiority of QMC in deep learning over MC.

Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing

Monte Carlo and quasi-Monte Carlomethods arewidely used in scientific studies.As quasi-Monte Carlo simulations have advantage over ordinaryMonte Carlomethods,this paper proposes a new quasi-Monte Carlo method to simulate Brownian sheet via its Karhunen–Loéve expansion.The proposed new approach allocates quasi-random sequences for the simulation of random components of the Karhunen–Loéve expansion by maximum reducing its variability.We apply the quasi-MonteCarlo approach to an option pricing problem for a class of interest rate models whose instantaneous forward rate driven by a different stochastic shock through Brownian sheet andwe demonstrate the application with an empirical problem.

A Numerical Comparison Between Quasi-Monte Carlo and Sparse Grid Stochastic Collocation Methods

Quasi-Monte Carlo methods and stochastic collocation methods based on sparse grids have become popular with solving stochastic partial differential equations.These methods use deterministic points for multi-dimensional integration or interpolation without suffering from the curse of dimensionality.It is not evident which method is best,specially on random models of physical phenomena.We numerically study the error of quasi-Monte Carlo and sparse gridmethods in the context of groundwater flow in heterogeneous media.In particular,we consider the dependence of the variance error on the stochastic dimension and the number of samples/collocation points for steady flow problems in which the hydraulic conductivity is a lognormal process.The suitability of each technique is identified in terms of computational cost and error tolerance.

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods

The generalized likelihood ratio(GLR)method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances.We put the GLR methods from previous work into a single framework,simplify regularity conditions to justify the unbiasedness of GLR,and relax some of those conditions that are difficult to verify in practice.Moreover,we combine GLR with conditional Monte Carlo methods and randomized quasi-Monte Carlo methods to reduce the variance.Numerical experiments show that variance reduction could be significant in various applications.

Monte Carlo方法在移动通信可靠性分析中的应用

文章主要探讨Monte Carlo方法在移动通信可靠性分析中的应用,并引入重要抽样技术对Monte Carlo方法进行优化。首先,文章介绍Monte Carlo方法的基本原理及其在移动通信可靠性分析中的应用。其次,引入重要抽样技术对该方法进行优化。最后,利用优化网络工程工具(Optimized Network Engineering Tools,OPNET)模拟平台构建相应的移动通信网络模型,并对比Monte Carlo方法和本文研究的优化方法在不同样本数量下的性能差异。结果表明,重要抽样技术的引入显著提高了Monte Carlo方法在移动通信可靠性分析中的准确性和效率,减少了方差,验证了该方法在移动通信可靠性分析中的有效性和实用性。

基于Monte-Carlo仿真的恒应力加速试验方案模拟评价

为了保证可靠性加速试验方案的正确性和可行性,提出基于仿真的模拟评价方法。以最具代表性的Weibull寿命分布产品的恒应力加速寿命试验为例,以代表试验结果准确性和稳定性的指标——中位寿命估计值渐进方差的均值和标准差作为评价指标,通过Monte-Carlo仿真模拟生成失效数据,对不同试验方案的统计精度和稳定性进行评价,为加速寿命试验优化设计的工程实现提供了思路和实例验证。

Volume Dispersion of Point Sets and Quasi-Monte Carlo Methods

Measures of irregularity of a point set or sequence, such as discrepancy and dispersion, play a central role in quasi Monte Carlo methods. In this paper, we introduce and study a new measure of irregularity, called volume dispersion. It is a measure of deviation of point sets from the uniform distribution. We then generalize the concept of volume dispersion to more general cases as measures of representation of point sets for general probability distributions. Various relations among these measures and the traditional discrepancy and dispersion are investigated.

基于多元最小二乘-Monte Carlo模型在土石方测量中的应用研究

针对目前土方测量效率低,计算土方量精度差的现状,提出利用无人机进行土方测量,利用MATLAB软件进行编程,构建多元最小二乘-Monte Carlo模型对土方量进行计算,与传统的GNSS-RTK数据采集方法以及利用南方CASS软件计算结果对比,结果表明,利用无人机采集数据效率高,多元最小二乘-Monte Carlo模型取得结果精度更高。

Machine learning-enhanced Monte Carlo and subset simulations for advanced risk assessment in transportation infrastructure

The maintenance of safety and dependability in rail and road embankments is of utmost importance in order to facilitate the smooth operation of transportation networks.This study introduces a comprehensive methodology for soil slope stability evaluation,employing Monte Carlo Simulation(MCS)and Subset Simulation(SS)with the"UPSS 3.0 Add-in"in MS-Excel.Focused on an 11.693-meter embankment with a soil slope(inclination ratio of 2H:1V),the investigation considers earthquake coefficients(kh)and pore water pressure ratios(ru)following Indian zoning requirements.The chance of slope failure showed a considerable increase as the Coefficient of Variation(COV),seismic coefficients(kh),and pore water pressure ratios(ru)experienced an escalation.The SS approach showed exceptional efficacy in calculating odds of failure that are notably low.Within computational modeling,the study optimized the worst-case scenario using ANFIS-GA,ANFIS-GWO,ANFIS-PSO,and ANFIS-BBO models.The ANFIS-PSO model exhibits exceptional accuracy(training R2=0.9011,RMSE=0.0549;testing R2=0.8968,RMSE=0.0615),emerging as the most promising.This study highlights the significance of conducting thorough risk assessments and offers practical insights into evaluating and improving the stability of soil slopes in transportation infrastructure.These findings contribute to the enhancement of safety and reliability in real-world situations.

Emergent topological ordered phase for the Ising-XY model revealed by cluster-updating Monte Carlo method

The two-component cold atom systems with anisotropic hopping amplitudes can be phenomenologically described by a two-dimensional Ising-XY coupled model with spatial anisotropy.At low temperatures,theoretical predictions[Phys.Rev.A 72053604(2005)]and[arXiv:0706.1609]indicate the existence of a topological ordered phase characterized by Ising and XY disorder but with 2XY ordering.However,due to ergodic difficulties faced by Monte Carlo methods at low temperatures,this topological phase has not been numerically explored.We propose a linear cluster updating Monte Carlo method,which flips spins without rejection in the anisotropy limit but does not change the energy.Using this scheme and conventional Monte Carlo methods,we succeed in revealing the nature of topological phases with half-vortices and domain walls.In the constructed global phase diagram,Ising and XY-type transitions are very close to each other and differ significantly from the schematic phase diagram reported earlier.We also propose and explore a wide range of quantities,including magnetism,superfluidity,specific heat,susceptibility,and even percolation susceptibility,and obtain consistent and reliable results.Furthermore,we observed first-order transitions characterized by common intersection points in magnetizations for different system sizes,as opposed to the conventional phase transition where Binder cumulants of various sizes share common intersections.The critical exponents of different types of phase transitions are reasonably fitted.The results are useful to help cold atom experiments explore the half-vortex topological phase.

Monte Carlo Simulations of Doping Properties of a Spin-3/2 Ising Nanotube

The effect of spin-1 impurities doping on the magnetic properties of a spin-3/2 Ising nanotube is investigated using Monte Carlo simulations within the Blume-Emery-Griffiths model in the presence of an external magnetic field. The thermal behaviors of the order parameters and different macroscopic instabilities as well as the hysteretic behavior of the material are examined in great detail as a function of the dopant density. It is found that the impurities concentration affects all the system magnetic properties generating for some specific values, compensation points and multi-cycle hysteresis. Doping conditions where the saturation/remanent magnetization and coercive field of the investigated material can be modified for permanent or soft magnets synthesis purpose are discussed.

Research on a Monte Carlo global variance reduction method based on an automatic importance sampling method

Global variance reduction is a bottleneck in Monte Carlo shielding calculations.The global variance reduction problem requires that the statistical error of the entire space is uniform.This study proposed a grid-AIS method for the global variance reduction problem based on the AIS method,which was implemented in the Monte Carlo program MCShield.The proposed method was validated using the VENUS-Ⅲ international benchmark problem and a self-shielding calculation example.The results from the VENUS-Ⅲ benchmark problem showed that the grid-AIS method achieved a significant reduction in the variance of the statistical errors of the MESH grids,decreasing from 1.08×10^(-2) to 3.84×10^(-3),representing a 64.00% reduction.This demonstrates that the grid-AIS method is effective in addressing global issues.The results of the selfshielding calculation demonstrate that the grid-AIS method produced accurate computational results.Moreover,the grid-AIS method exhibited a computational efficiency approximately one order of magnitude higher than that of the AIS method and approximately two orders of magnitude higher than that of the conventional Monte Carlo method.

Enhancing Precision in Radiotherapy Delivery: Validating Monte Carlo Simulation Models for 6 MV Elekta Synergy Agility LINAC Photon Beam Using Two Models of the GAMOS Code

The most crucial requirement in radiation therapy treatment planning is a fast and accurate treatment planning system that minimizes damage to healthy tissues surrounding cancer cells. The use of Monte Carlo toolkits has become indispensable for research aimed at precisely determining the dose in radiotherapy. Among the numerous algorithms developed in recent years, the GAMOS code, which utilizes the Geant4 toolkit for Monte Carlo simula-tions, incorporates various electromagnetic physics models and multiple scattering models for simulating particle interactions with matter. This makes it a valuable tool for dose calculations in medical applications and throughout the patient’s volume. The aim of this present work aims to vali-date the GAMOS code for the simulation of a 6 MV photon-beam output from the Elekta Synergy Agility linear accelerator. The simulation involves mod-eling the major components of the accelerator head and the interactions of the radiation beam with a homogeneous water phantom and particle information was collected following the modeling of the phase space. This space was po-sitioned under the X and Y jaws, utilizing three electromagnetic physics mod-els of the GAMOS code: Standard, Penelope, and Low-Energy, along with three multiple scattering models: Goudsmit-Saunderson, Urban, and Wentzel-VI. The obtained phase space file was used as a particle source to simulate dose distributions (depth-dose and dose profile) for field sizes of 5 × 5 cm2 and 10 × 10 cm2 at depths of 10 cm and 20 cm in a water phantom, with a source-surface distance (SSD) of 90 cm from the target. We compared the three electromagnetic physics models and the three multiple scattering mod-els of the GAMOS code to experimental results. Validation of our results was performed using the gamma index, with an acceptability criterion of 3% for the dose difference (DD) and 3 mm for the distance-to-agreement (DTA). We achieved agreements of 94% and 96%, respectively, between simulation and experimentation for the three electromagnetic physics models and three mul-tiple scattering models, for field sizes of 5 × 5 cm2 and 10 × 10 cm2 for depth-dose curves. For dose profile curves, a good agreement of 100% was found between simulation and experimentation for the three electromagnetic physics models, as well as for the three multiple scattering models for a field size of 5 × 5 cm2 at 10 cm and 20 cm depths. For a field size of 10 × 10 cm2, the Penelope model dominated with 98% for 10 cm, along with the three multiple scattering models. The Penelope model and the Standard model, along with the three multiple scattering models, dominated with 100% for 20 cm. Our study, which compared these different GAMOS code models, can be crucial for enhancing the accuracy and quality of radiotherapy, contributing to more effective patient treatment. Our research compares various electro-magnetic physics models and multiple scattering models with experimental measurements, enabling us to choose the models that produce the most reli-able results, thereby directly impacting the quality of simulations. This en-hances confidence in using these models for treatment planning. Our re-search consistently contributes to the progress of Monte Carlo simulation techniques in radiation therapy, enriching the scientific literature.

Chord length sampling correction analysis for dispersion fuel in Monte Carlo simulation

Dispersion fuels,knowned for their excellent safety performance,are widely used in advanced reactors,such as hightemperature gas-cooled reactors.Compared with deterministic methods,the Monte Carlo method has more advantages in the geometric modeling of stochastic media.The explicit modeling method has high computational accuracy and high computational cost.The chord length sampling(CLS)method can improve computational efficiency by sampling the chord length during neutron transport using the matrix chord length?s probability density function.This study shows that the excluded-volume effect in realistic stochastic media can introduce certain deviations into the CLS.A chord length correction approach is proposed to obtain the chord length correction factor by developing the Particle code based on equivalent transmission probability.Through numerical analysis against reference solutions from explicit modeling in the RMC code,it was demonstrated that CLS with the proposed correction method provides good accuracy for addressing the excludedvolume effect in realistic infinite stochastic media.

Optimization of the Use of Spherical Targets for Point Cloud Registration Using Monte Carlo Simulation

Registrations based on the manual placement of spherical targets are still being employed by many professionals in the industry.However,the placement of those targets usually relies solely on personal experience without scientific evidence supported by numerical analysis.This paper presents a comprehensive investigation,based on Monte Carlo simulation,into determining the optimal number and positions for efficient target placement in typical scenes consisting of a pair of facades.It demonstrates new check-up statistical rules and geometrical constraints that can effectively extract and analyze massive simulations of unregistered point clouds and their corresponding registrations.More than 6×10^(7)sets of the registrations were simulated,whereas more than 100 registrations with real data were used to verify the results of simulation.The results indicated that using five spherical targets is the best choice for the registration of a large typical registration site consisting of two vertical facades and a ground,when there is only a box set of spherical targets available.As a result,the users can avoid placing extra targets to achieve insignificant improvements in registration accuracy.The results also suggest that the higher registration accuracy can be obtained when the ratio between the facade-to-target distance and target-to-scanner distance is approximately 3:2.Therefore,the targets should be placed closer to the scanner rather than in the middle between the facades and the scanner,contradicting to the traditional thought.Besides,the results reveal that the accuracy can be increased by setting the largest projected triangular area of the targets to be large.