Strength degradation is a stochastic and irreversible process.Gamma process is an independent nonnegative increment process which can be used to describe the characteristics of strength degradation.It is unreasonable ...Strength degradation is a stochastic and irreversible process.Gamma process is an independent nonnegative increment process which can be used to describe the characteristics of strength degradation.It is unreasonable to choose a linear function to describe the strength degradation trend considering that the degradation rate may change over time.So,a non-linear power law is proposed to describe the strength degradation trend based on preliminary work.It is more general compared with the linear one and the inadequacy of strict linear assumption is overcome.Then,the model parameters of non-stationary Gamma process are estimated based on the maximum likelihood method.Finally,it is proved that the non-stationary Gamma process can accurately reflect the strength degradation law through comparative analysis of a real example.展开更多
Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynami...Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynamics follow the GBM. Modeling the asset price dynamics by using the GBM implies that the log return of assets at particular time is normally distributed. Many studies on real data in the markets showed that the GBM fails to capture the characteristic features of asset price dynamics that exhibit heavy tails and excess kurtosis. In our study, a class of Levy process, which is called a variance gamma (VG) process, performs much better than GBM model for modeling the dynamics of those stock indices. However, valuation of financial instruments, e.g. options, under the VG process has not been well developed. Here, we propose a new approach to the valuation of European option. It is based on the conditional distribution of the VG process. We also apply the path simulation model to value American options by assuming the underlying asset log return follow the VG process. Such a model is similar with that proposed by Tiley [1]. Simulation study shows that the proposed method performs well in term of the option price.展开更多
The environmental or anthropogenic factors, to which the in-service bridges are subjected,are responsible for the reduction of bridge performance, and finally lead to great service risk for bridges and increase the pr...The environmental or anthropogenic factors, to which the in-service bridges are subjected,are responsible for the reduction of bridge performance, and finally lead to great service risk for bridges and increase the probability of substantial economic losses. Probabilitybased estimate of bridge resistance is an essential indicator for the bridge condition evaluation and for optimization of bridge maintenance/repair decisions. It places an emphasis on the proper probabilistic models of structural properties and assessment methods. Making full use of historical service load information may improve the accuracy of bridge performance assessment with reduced epistemic uncertainty for existing aging bridges. In to-date analyses to update the bridge resistance with past service information,the models of resistance deterioration have been assumed as either deterministic or fully correlated, which may differ significantly from the realistic case. With this regard, this paper proposes a novel method for updating the resistance of service-proven bridges with a realistic deterioration model. The Gamma stochastic process has been suggested in the literature to describe the probabilistic behavior of structural time-dependent resistance and thus is adopted in this paper. An illustrative bridge is presented to demonstrate the applicability of the proposed method. Parametric examples are conducted to investigate the role of resistance deterioration model in the updated estimate of bridge resistance with historical service information.展开更多
Research for detecting or obtaining radionuclide by gamma energy spectrum data acquisition and process system is one of the key issues about intelligent measurement of gamma-ray spectrum. For this reason, a software a...Research for detecting or obtaining radionuclide by gamma energy spectrum data acquisition and process system is one of the key issues about intelligent measurement of gamma-ray spectrum. For this reason, a software and hardware implementation schematic design based on ARM ( Advanced RISC Machines) + DSP ( Digital Signal Processor) architecture for gamma energy spectrum data acquisition and processing system is proposed. The paper discusses in detail some key technologies such as communication interface design between microcontroller ARM and digital signal processor DSP,distribution scheduling under multi-task in the ARM-Linux,DSP handling procedures for multi-channel A / D high-speed sample. At the same time,because the traditional Gaussian fitting to determine the boundary of peak is not ideal,it puts forward a weighting factor of Gaussian function least squares fitting realize boundary determined. Finally gamma-spectrum data from sodium iodide NaI( TI) scintillation detector is tested and processed in the new system. The results show that gamma energy spectrum data acquisition and process system is perfect functionality, stable and convergence in unimodal. Compared with data from conventional energy spectrometers,the system can keep better energy resolution in a wide range of pulse pass rate.展开更多
为了提高剩余寿命预测的可信度,针对进行过加速老化试验的产品,提出利用Gamma过程参数的非共轭先验分布进行Bayesian统计推断的剩余寿命预测方法.将加速老化数据作为先验信息,利用Gamma过程进行老化建模,通过加速因子获得形状参数在工...为了提高剩余寿命预测的可信度,针对进行过加速老化试验的产品,提出利用Gamma过程参数的非共轭先验分布进行Bayesian统计推断的剩余寿命预测方法.将加速老化数据作为先验信息,利用Gamma过程进行老化建模,通过加速因子获得形状参数在工作应力下的折算值,使用Anderson-Darling统计量确定随机参数的先验分布.将产品工作中的少量实测数据作为现场信息,利用基于Gibbs抽样的Markov Chain Monte Carlo(MCMC)仿真得到参数的后验均值.以某型导弹电连接器为例说明了该方法的研究意义和工程应用价值.展开更多
A condition-based maintenance model for gamma deteriorating system under continuous inspection is studied. This methodology uses a gamma distribution to model the material degradation, and the impact of imperfect main...A condition-based maintenance model for gamma deteriorating system under continuous inspection is studied. This methodology uses a gamma distribution to model the material degradation, and the impact of imperfect maintenance actions on the system reliability is investigated. The state of a degrading system immediately after the imperfect maintenance action is assumed as a random variable and the maintenance time follows a geometric process. Furthermore, the explicit expressions for the long-run average cost and availability per unit time of the system are evaluated, an optimal policy （ε^＊） could be determined numeri- cally or analytically according to the optimization model. At last, a numerical example for a degrading system modeled by a gamma process is presented to demonstrate the use of this policy in practical applications.展开更多
基金National Natural Science Foundation of China(No.51265025)
文摘Strength degradation is a stochastic and irreversible process.Gamma process is an independent nonnegative increment process which can be used to describe the characteristics of strength degradation.It is unreasonable to choose a linear function to describe the strength degradation trend considering that the degradation rate may change over time.So,a non-linear power law is proposed to describe the strength degradation trend based on preliminary work.It is more general compared with the linear one and the inadequacy of strict linear assumption is overcome.Then,the model parameters of non-stationary Gamma process are estimated based on the maximum likelihood method.Finally,it is proved that the non-stationary Gamma process can accurately reflect the strength degradation law through comparative analysis of a real example.
文摘Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynamics follow the GBM. Modeling the asset price dynamics by using the GBM implies that the log return of assets at particular time is normally distributed. Many studies on real data in the markets showed that the GBM fails to capture the characteristic features of asset price dynamics that exhibit heavy tails and excess kurtosis. In our study, a class of Levy process, which is called a variance gamma (VG) process, performs much better than GBM model for modeling the dynamics of those stock indices. However, valuation of financial instruments, e.g. options, under the VG process has not been well developed. Here, we propose a new approach to the valuation of European option. It is based on the conditional distribution of the VG process. We also apply the path simulation model to value American options by assuming the underlying asset log return follow the VG process. Such a model is similar with that proposed by Tiley [1]. Simulation study shows that the proposed method performs well in term of the option price.
基金supported by the National Natural Science Foundation of China (Grant Nos. 51578315, 51778337)the National Key Research and Development Program of China (Grant No. 2016YFC0701404)the Faculty of Engineering and IT PhD Research Scholarship (SC1911) from the University of Sydney
文摘The environmental or anthropogenic factors, to which the in-service bridges are subjected,are responsible for the reduction of bridge performance, and finally lead to great service risk for bridges and increase the probability of substantial economic losses. Probabilitybased estimate of bridge resistance is an essential indicator for the bridge condition evaluation and for optimization of bridge maintenance/repair decisions. It places an emphasis on the proper probabilistic models of structural properties and assessment methods. Making full use of historical service load information may improve the accuracy of bridge performance assessment with reduced epistemic uncertainty for existing aging bridges. In to-date analyses to update the bridge resistance with past service information,the models of resistance deterioration have been assumed as either deterministic or fully correlated, which may differ significantly from the realistic case. With this regard, this paper proposes a novel method for updating the resistance of service-proven bridges with a realistic deterioration model. The Gamma stochastic process has been suggested in the literature to describe the probabilistic behavior of structural time-dependent resistance and thus is adopted in this paper. An illustrative bridge is presented to demonstrate the applicability of the proposed method. Parametric examples are conducted to investigate the role of resistance deterioration model in the updated estimate of bridge resistance with historical service information.
基金Sponsored by the Natural Science Fundation of Jiangxi Province(Grant No.20114BAB211026 and No.20122BA-B201028)Open Science Fund from Key Laboratory of Radioactive Geology and Exploration Technology Fundamental Science for National Defense,East China Institute of Technology(Grant No.2010RGET11)
文摘Research for detecting or obtaining radionuclide by gamma energy spectrum data acquisition and process system is one of the key issues about intelligent measurement of gamma-ray spectrum. For this reason, a software and hardware implementation schematic design based on ARM ( Advanced RISC Machines) + DSP ( Digital Signal Processor) architecture for gamma energy spectrum data acquisition and processing system is proposed. The paper discusses in detail some key technologies such as communication interface design between microcontroller ARM and digital signal processor DSP,distribution scheduling under multi-task in the ARM-Linux,DSP handling procedures for multi-channel A / D high-speed sample. At the same time,because the traditional Gaussian fitting to determine the boundary of peak is not ideal,it puts forward a weighting factor of Gaussian function least squares fitting realize boundary determined. Finally gamma-spectrum data from sodium iodide NaI( TI) scintillation detector is tested and processed in the new system. The results show that gamma energy spectrum data acquisition and process system is perfect functionality, stable and convergence in unimodal. Compared with data from conventional energy spectrometers,the system can keep better energy resolution in a wide range of pulse pass rate.
文摘为了提高剩余寿命预测的可信度,针对进行过加速老化试验的产品,提出利用Gamma过程参数的非共轭先验分布进行Bayesian统计推断的剩余寿命预测方法.将加速老化数据作为先验信息,利用Gamma过程进行老化建模,通过加速因子获得形状参数在工作应力下的折算值,使用Anderson-Darling统计量确定随机参数的先验分布.将产品工作中的少量实测数据作为现场信息,利用基于Gibbs抽样的Markov Chain Monte Carlo(MCMC)仿真得到参数的后验均值.以某型导弹电连接器为例说明了该方法的研究意义和工程应用价值.
基金supported by the National watural Science Foundation of China (60904002)
文摘A condition-based maintenance model for gamma deteriorating system under continuous inspection is studied. This methodology uses a gamma distribution to model the material degradation, and the impact of imperfect maintenance actions on the system reliability is investigated. The state of a degrading system immediately after the imperfect maintenance action is assumed as a random variable and the maintenance time follows a geometric process. Furthermore, the explicit expressions for the long-run average cost and availability per unit time of the system are evaluated, an optimal policy （ε^＊） could be determined numeri- cally or analytically according to the optimization model. At last, a numerical example for a degrading system modeled by a gamma process is presented to demonstrate the use of this policy in practical applications.
