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Inventory Control In A Build-To-Order EnvironmentOrmeci, Melda 28 June 2006 (has links)
This dissertation consists of three independent sections: In the first part, focusing on the auto industry we look at the challenges and solution strategies of employing build-to-order (BTO) with global supply. We consider some familiar tools for managing domestic supply and exploit them for managing international supply, and propose new methods. We study frequency of supply as a way to improve performance. We study the impact of forecast accuracy, and conclude that improvements there alone may not be sufficient to obtain desired savings. Within this perspective we look at a new shipping policy, 'Ship-to-Average", which prescribes sending a fixed quantity, based on the long term average forecast, with each shipment and making adjustments only if the inventory strays outside a prescribed range.
In the second part we look at a Brownian control problem. When a manufacturer places repeated orders with a supplier to meet changing production requirements, he faces the challenge of finding the right balance between holding costs and the operational costs involved in adjusting the shipment sizes. Consider a storage system whose content fluctuates as a Brownian motion in the absence of control. A linear holding cost is incurred continuously. Inventory level can be adjusted by any quantity at a fixed plus proportional cost. We show control band policies are optimal for the average cost problem and calculate the optimal policy parameters. This form of policy is described by three parameters q, Q, S. When the inventory falls to 0 (rises to S), the controller expedites (curtails) shipments to return it to q (Q). Developing techniques based on Lagrangian relaxation we show that this type of policy is optimal even with constraints on the size of adjustments and on the maximum inventory level.
The Brownian Control problem can be viewed as an idealization --without delivery delays, of the problem of supplying BTO operations, and provides some theoretical explanation for the Ship-to-Average policies. In fact, Ship-to-Average policies are a practical implementation of Control Band policies in the setting with delivery delays.
Finally, we explore the power and applicability of the Lagrangian approach developed in the second part.
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Option Pricing and Virtual Asset Model SystemCheng, Te-hung 07 July 2005 (has links)
In the literature, many methods are proposed to value American options. However, due to computational difficulty, there are only approximate solution or numerical method to evaluate American options. It is not easy for general investors either to understand nor to apply.
In this thesis, we build up an option pricing and virtual asset model system, which provides a friendly environment for general public to calculate early exercise boundary of an American option. This system modularize the well-handled pricing models to provide the investors an easy way to value American options without learning difficult financial theories. The system consists two parts: the first one is an option pricing system, the other one is an asset model simulation system. The option pricing system provides various option pricing methods to the users; the virtual asset model system generates virtual asset prices for different underlying models.
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Expert System for Numerical Methods of Stochastic Differential EquationsLi, Wei-Hung 27 July 2006 (has links)
In this thesis, we expand the option pricing and virtual asset model system by Cheng (2005) and include new simulations and maximum likelihood estimation of the parameter of the stochastic differential equations. For easy manipulation of general users, the interface of original option pricing system is modified. In addition, in order to let the system more completely, some stochastic models and methods of pricing and estimation are added. This system can be divided into three major parts. One is an
option pricing system; The second is an asset model simulation system; The last is estimation system of the parameter of the model. Finally, the analysis for the data of network are carried out. The differences of the prices between estimator of this system and real market are compared.
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Approximation of a Quasilinear Stochastic Partial Differential Equation driven by Fractional White NoiseGrecksch, Wilfried, Roth, Christian 16 May 2008 (has links) (PDF)
We approximate the solution of a quasilinear stochastic partial differential equa-
tion driven by fractional Brownian motion B_H(t); H in (0,1), which was calculated
via fractional White Noise calculus, see [5].
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A Study of Complex Systems: from Magnetic to BiologicalLovelady, Douglas Carroll 01 January 2011 (has links)
This work is a study of complex many-body systems with non-trivial interactions. Many such systems can be described with models that are much simpler than the real thing but which can still give good insight into the behavior of realistic systems. We take a look at two such systems. The first part looks at a model that elucidates the variety of magnetic phases observed in rare-earth heterostructures at low temperatures: the six-state clock model. We use an ANNNI-like model Hamiltonian that has a three-dimensional parameter space and yields two-dimensional multiphase regions in this space. A low-temperature expansion of the free energy reveals an example of Villain's `order from disorder' [81, 60] when an infinitesimal temperature breaks the ground-state degeneracy. The next part of our work describes biological systems. Using ECIS (Electric Cell-Substrate Impedance Sensing), we are able to extract complex impedance time series from a confluent layer of live cells. We use simple statistics to characterize the behavior of cells in these experiments. We compare experiment with models of fractional Brownian motion and random walks with persistence. We next detect differences in the behavior of single cell types in a toxic environment. Finally, we develop a very simple model of micromotion that helps explain the types of interactions responsible for the long-term and short-term correlations seen in the power spectra and autocorrelation curves extracted from the times series produced from the experiments.
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Stochastic Hybrid Dynamic Systems: Modeling, Estimation and SimulationSiu, Daniel 01 January 2012 (has links)
Stochastic hybrid dynamic systems that incorporate both continuous and discrete dynamics have been an area of great interest over the recent years. In view of applications, stochastic hybrid dynamic systems have been employed to diverse fields of studies, such as communication networks, air traffic management, and insurance risk models. The aim of the present study is to investigate properties of some classes of stochastic hybrid dynamic systems.
The class of stochastic hybrid dynamic systems investigated has random jumps driven by a non-homogeneous Poisson process and deterministic jumps triggered by hitting the boundary. Its real-valued continuous dynamic between jumps is described by stochastic differential equations of the It\^o-Doob type. Existing results of piecewise deterministic models are extended to obtain the infinitesimal generator of the stochastic hybrid dynamic systems through a martingale approach. Based on results of the infinitesimal generator, some stochastic stability results are derived. The infinitesimal generator and stochastic stability results can be used to compute the higher moments of the solution process and find a bound of the solution.
Next, the study focuses on a class of multidimensional stochastic hybrid dynamic systems. The continuous dynamic of the systems under investigation is described by a linear non-homogeneous systems of It\^o-Doob type of stochastic differential equations with switching coefficients. The switching takes place at random jump times which are governed by a non-homogeneous Poisson process. Closed form solutions of the stochastic hybrid dynamic systems are obtained. Two important special cases for the above systems are the geometric Brownian motion process with jumps and the Ornstein-Uhlenbeck process with jumps. Based on the closed form solutions, the probability distributions of the solution processes for these two special cases are derived. The derivation employs the use of the modal matrix and transformations.
In addition, the parameter estimation problem for the one-dimensional cases of the geometric Brownian motion and Ornstein-Uhlenbeck processes with jumps are investigated. Through some existing and modified methods, the estimation procedure is presented by first estimating the parameters of the discrete dynamic and subsequently examining the continuous dynamic piecewisely.
Finally, some simulated stochastic hybrid dynamic processes are presented to illustrate the aforementioned parameter-estimation methods. One simulated insurance example is given to demonstrate the use of the estimation and simulation techniques to obtain some desired quantities.
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Fundamental tests of physics with optically trapped microspheresLi, Tongcang 06 July 2011 (has links)
This dissertation details our experiments on studying the Brownian motion of an optically trapped microsphere with ultrahigh resolution, and cooling of its motion towards the quantum ground state.
We have trapped glass microspheres in water, air and vacuum with optical tweezers. We developed a detection system that can monitor the position of a trapped microsphere with Angstrom spatial resolution and microsecond temporal resolution. We studied the Brownian motion of a trapped microsphere in air over a wide range of pressures. We measured the instantaneous velocity of a Brownian particle. Our results provide direct verification of the Maxwell-Boltzmann velocity distribution and the energy equipartition theorem for a Brownian particle. For short time scales, the ballistic regime of Brownian motion is observed, in contrast to the usual diffusive regime.
We are currently developing a new detection system to measure the instantaneous velocity of a Brownian particle in water.
In vacuum, we have used active feedback to cool the three center-of-mass vibration modes of a trapped microsphere from room temperature to millikelvin temperatures with a minimum mode temperature of 1.5 mK, which corresponds to the reduction of the root mean square (rms) amplitude of the microsphere from 6.7 nm to 15 pm for that mode. The mean thermal occupation number of that mode is reduced from about 6.8$\times 10^8$ at 297 K to about 3400 at 1.5 mK. / text
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Wolf responses to spatial variation in moose density in northern OntarioAnderson, Morgan 02 May 2012 (has links)
Forty-four wolves in 3 boreal forest sites in Ontario were monitored via GPS radiotelemetry during 2010 and 2011 to examine spatial responses to variation in prey density. Home ranges were defined using a Brownian bridge utilization distribution, and a resource utilization function was calculated for each pack in winter and summer, based on habitat, topography, and prey density. Wolf territories were smaller where moose density was higher. Third order selection (within home range) varied by pack and season. Wolves generally selected for sloping areas, areas near water, and stands with deciduous or regenerating forest, but selected against areas with dense conifer cover. Roads were most important in summer, especially in those territories with large road networks. Habitat use in a mild winter was similar to habitat use in summer. Variable resource selection among packs emphasizes the adaptable, generalist nature of wolves even in the relatively homogenous the boreal shield. / National Science and Engineering Research Council, Ontario Graduate Scholarships, Ontario Ministry of Natural Resources - Wildlife Research and Development Section, Center for Northern Forest Ecosystem Research, Ontario Ministry of Natural Resources, Canadian Forest Service, Forest Ecosystem Science Cooperative
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Temps de Branchement du Mouvement Brownien Branchant InhomogèneTurcotte, Jean-Sébastien 04 1900 (has links)
Ce mémoire étudie le comportement des particules dont la position est maximale
au temps t dans la marche aléatoire branchante et le mouvement brownien
branchant sur R, pour des valeurs de t grandes. Plus exactement, on regarde le
comportement du maximum d’une marche aléatoire branchante dans un environnement
inhomogène en temps, au sens où la loi des accroissements varie en fonction
du temps. On compare avec des modèles connus ou simplifiés, en particulier
le modèle i.i.d., où l’on observe des marches aléatoires indépendantes et le modèle
de la marche aléatoire homogène. On s’intéresse par la suite aux corrélations entre
les particules maximales d’un mouvement brownien branchant. Plus précisément,
on étudie le temps de branchement entre deux particules maximales. Finalement,
on applique les méthodes et les résultats des premiers chapitres afin d’étudier
les corrélations dans un mouvement brownien branchant dans un environnement
inhomogène. Le résultat principal du mémoire stipule qu’il y a existence de temps
de branchement au centre de l’intervalle [0, t] dans le mouvement brownien branchant
inhomogène, ce qui n’est pas le cas pour le mouvement brownien branchant
standard. On présentera également certaines simulations numériques afin de corroborer
les résultats numériques et pour établir des hypothèses pour une recherche
future. / This thesis studies the behavior of particles that are maximal at time t in
branching random walk and branching Brownian motion on R, for large values of
t. Precisely, we look at the behavior of the maximum in a branching random walk
in a time-inhomogeneous environment, where the law of the increments varies
with respect to time. We compare with known or simplified models such as the
model where random walks are taken to be i.i.d. and the branching random walk
in a time-homogeneous environment model. We then take a look at the correlations
between maximal particles in a branching brownian motion. Specifically, we
look at the branching time between those maximal particles. Finally, we apply
results and methods from the first chapters to study those same correlations in
branching Brownian motion in a inhomogeneous environment. The thesis’ main
result establishes existence of branching time at the center of the interval [0, t] for
the branching Brownian motion in a inhomogeneous environment, which is not
the case for standard branching brownian motion.We also present results of simulations
that agree with theoretical results and help establishing new hypotheses
for future research.
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An evanescent-wave based particle image velocimetry techniqueLi, Haifeng 17 November 2008 (has links)
Quantifying the velocity field near the wall in microfluidic devices is important because surface effects become significant at micro- to nanometer scales. Recent studies have suggested that the "no-slip" boundary condition breaks down in microscale flows of Newtonian liquids, where the amount of slip is usually extrapolated from velocity components measured far from the wall. This doctoral thesis presents a new technique, multilayer nano-particle image velocimetry (MnPIV), for measuring the tangential velocity components at different distances from and within about 500 nm of the wall and its application to measuring slip.
The feasibility of MnPIV was demonstrated using synthetic images of plane Couette flow incorporating Brownian diffusion and imaging noise. The errors in MnPIV data were then quantified with Brownian dynamics simulations. Calibration experiments were used to correlate the image intensity of the tracer to its distance from the wall z.
Multilayer nPIV was then used to determine the z-positions and distribution of the particles for z < 500 nm in experimental studies of microscale Poiseuille flow. The tracers were divided into three distinct layers based on their image intensities, and the average velocity of each layer was placed at the average z-position sampled by the particles in that layer. The resultant velocity gradients were within 6% on average of analytical predictions for 2D Poiseuille flow. Finally, the results of MnPIV studies of aqueous solutions flowing through microchannels with hydrophilic and hydrophobically-coated fused silica surfaces suggest that if the slip lengths are nonzero for both of these surfaces, they are less than the uncertainty in these results, or 27 nm and 31 nm for the hydrophilic and hydrophobic channels, respectively.
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