دانلود و نمایش مقالات مرتبط با Monte Carlo::صفحه 1
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نتیجه جستجو - Monte Carlo

تعداد مقالات یافته شده: 55
ردیف عنوان نوع
1 Assessing environmental performance in early building design stage: An integrated parametric design and machine learning method
ارزیابی عملکرد محیطی در مرحله طراحی اولیه ساختمان: یکپارچه طراحی پارامتری و یک روش یادگیری ماشین-2019
Decisions made at early design stage have major impacts on buildings’ life-cycle environmental performance. However, when only a few parameters are determined in early design stages, the detailed design decisions may still vary significantly. This may cause same early design to have quite different environmental impacts. Moreover, default settings for unknown detailed design parameters clearly cannot cover all possible variations in impact, and Monte Carlo analysis is sometimes not applicable as parameters’ probability distributions are usually unknown. Thus, uncertainties about detailed design make it difficult for existing environmental assessment methods to support early design decisions. Thus, this study developed a quantitative method using parametric design technology and machine learning algorithms for assessing buildings’ environmental performance in early decision stages, considering uncertainty associated with detailed design decisions. The parametric design technology creates design scenarios dataset, then associated environmental performances are assessed using environmental assessment databases and building performance simulations. Based on the generated samples, a machine learning algorithm integrating fuzzy C-means clustering and extreme learning machine extracts the case-specific knowledge regarding designed buildings’ early design associated with environmental uncertainty. Proposed method is an alternative but more generally applicable method to previous approaches to assess buildings environmental uncertainty in early design stages.
Keywords: Building early design | Parametric design | Machine learning | Environmental impact | Prediction intervals
مقاله انگلیسی
2 An integrated stochastic fuzzy MCDM approach to the balanced scorecard-based service evaluation
یک رویکرد MCDM فازی تصادفی یکپارچه برای ارزیابی خدمات مبتنی بر کارت امتیازی متعادل-2019
The purpose of the study is to analyse the balanced scorecard (BSC)-based evaluation of the new service development (NSD) in Turkish banking sector. The proposed model includes fuzzy ANP (FANP), Monte Carlo Simulation, fuzzy TOPSIS (FTOPSIS), and fuzzy VIKOR (FVIKOR) respectively. FANP has been used for weighting the criteria, Monte Carlo Simulation has been applied to provide the stochastic values of BSC-based dimensions of NSD in banking sector. FTOPSIS and FVIKOR have been considered to rank the banks by their dimension performances. The novelty of the study is to provide an integrated model including FANP, FTOPSIS, FVIKOR, and Monte Carlo Simulation respectively. Additionally, BSC-based analysis of NSD has been applied for evaluating Turkish banking sector. The results demonstrate that the comparative analysis is coherent for ranking the alternatives and the stochastic values facilitate to obtain the immense expert evaluations under the fuzzy environment. It is identified that the performance of the foreign banks is lower than private and state banks. Hence, it can be said that especially foreign banks should develop new services to attract the attention of their customers. Within this framework, customer expectations should be defined by conducting a detailed analysis. As a result, it can be possible to increase comparative advantage in comparison with the other banks.
Keywords: Balanced scorecard | New service development | Turkey | Banking | Monte Carlo simulation | Fuzzy sets
مقاله انگلیسی
3 A new macro stress testing approach for financial realignment in the Eurozone
یک روش جدید تست استرس کلان برای تجدید مالی در منطقه یورو-2019
Contrary to the common approach of stress-testing under which banks are evaluated whether they are distressed, this empirical study chooses to move from the micro stress test approach to a wider new macro stress test category. By being able to stress testing the entire economy of the Eurozone, it will permit big banks to fail and, at the same time, will open room for new banking players to enter the sector, promoting the essence of a healthy destruction. The analysis performs a battery of stress tests, by implementing VaR, Cornish-Fisher VaR, Monte Carlo VaR, Expected Shortfall, Cornish-Fisher Expected Shortfall, and Monte Carlo Expected Shortfall. At the same time, it explicitly considers the new regulatory approach of IFRS9 to incorporate extreme values from forecasted series in the distributions. The analysis also performs two versions of stress tests, one including TARGET2 and one without it. The results document that future stress tests should include TARGET2 values in order to capture a better picture of the stressed economy. The findings from these stress tests clearly illustrate that although there has been a trough after the distress call of 2008, this trough ended. These are results derived without including the TARGET2 transfers. By including the TARGET2 transfers we receive a different picture that possibly acts as a protective mechanism against any future crisis. Ca Keywords: Macroprudential policy | Financial stability | Macro stress test | Systemic risk | European Banking Union
مقاله انگلیسی
4 Modeling Diversification and Spillovers of Loan Portfolios’ Losses by LHP Approximation and Copula
تنوع مدل سازی و سرریز از تلفات پرتفوی وام توسط تقریب و کوپلای LHP-2019
This paper suggests a top-down method for aggregating the economic capital of an entire banking system and decomposing it into loan sectors according to their risk contributions. We model the individual losses of loan sectors by large homogeneous portfolio (LHP) approximation based on multi-factor skew normal credit worthiness and combine them by applying static and dynamic copulas to reflect diversification effects and spillovers across loan sectors. Our method is more efficient and practically useful than typical multi-factor models using numerical integration due to the latency of risk factors in that losses are directly generated by Monte Carlo simulation using copula without knowing any risk factors. As a result of our empirical study on charge-off rates of the U.S. commercial banking system, we find that the residential real estate loan sector is the most affecting as its default risk spills over to the rest of the banking system, and hence its risk contribution to the entire banking system is large. However, the commercial real estate loan and business loan sectors are revealed to be affected sectors whose risk contributions are large, but the losses are mainly due not only to their large exposure size, but also to default contagion from others. The risk contributions of credit cards and other consumer loans as default risk affecting sectors become larger in terms of the recent conditional dependence. Lastly, using time-varying correlation analysis, we find that the subprime mortgage crisis is a systemic event that affects the entirebanking- system, while the commercial real estate and the dotcom bubble crises are sector-wide systemic events.
Keywords: Multi-factor mode | Copula | Loss distribution | Diversification | Spillover
مقاله انگلیسی
5 Measuring management practices
سنجش اقدامات مدیریتی-2018
Good management practices are remarkably difficult to robustly measure, especially when unique data on firms and their managers are not available. We propose a new model estimated with Bayesian techniques that requires only the usual accounting data on inputs and outputs and thus can be applied to any firm. We show that our management practices estimates are more than 90% correlated with existing state-of-the-art measures from a very specialized data set by Bloom and Van Reenen (2007). We also obtain very high correlations when conducting an extensive Monte Carlo analysis. Finally, we show that frontier-based methods previously used to estimate management practices do not provide good approximations.
keywords: Management practices |Productivity |Cost efficiency |Bayesian methods
مقاله انگلیسی
6 آزمایش جامعیت جداسازی انتروپیکی در سطوح پلیمری
سال انتشار: 2018 - تعداد صفحات فایل pdf انگلیسی: 6 - تعداد صفحات فایل doc فارسی: 24
این مقاله به مطالعه اثرات جداسازی انتروپیکی برروی سطوح مذاب یکپارچه و بدون یکپارچه ای تحقیق میکند. برای مواد مذاب یکپارچه، ما برروی جداسازی انتهای زنجیره به سطح تمرکز کرده، و برای مواد مذاب غیر یکپارچه، جداسازی پلیمرهای کوتاه از سطح را می آزماییم. اشکال جهانی برای پروفیل های غلظت آنها پیش بینی شده است، اما این مشتقات بر تقریب میانگین تکیه می کنند، که تنها به صورت تقریبی رفتارهای منفرد حجم را بررسی می کند. برای تست اینکه آیا پیش بینی ها زمانی که پلیمرها به طور دقیق مانع از همپوشانی شدن می شوند یا خیر، ما محاسبات میانگین را با شبیه سازی مونت کارلو که بر اساس همان مدل مشابه انجام شده است، مقایسه میکنیم. به استثنای افزایش قابل توجهی در امتداد بخش آماری، اجرای دقیق تعاملات غیرمتمرکز اثر نسبتا کمی بر پیش بینی های میانگین دارد. به طور خاص، پروفیل های جهانی پیش بینی شده توسط تئوری میانگین دقیق هستند.
مقاله ترجمه شده
7 Adaptation and approximate strategies for solving the lot-sizing and scheduling problem under multistage demand uncertainty
سازگاری و راهبردهای تقریب زنی برای حل مشکل اندازه بندی و زمان بندی تحت عدم قطعیت تقاضای چند مرحله ای -2018
This work addresses the lot-sizing and scheduling problem under multistage demand uncertainty. A flexible production system is considered, with the possibility to adjust the size and the schedule of lots in every time period based on a rolling-horizon planning scheme. Computationally intractable multistage stochastic programming models are often employed on this problem. An adaptation strategy to the multistage setting for two-stage programming and robust optimization models is proposed. We also present an approximate heuristic strategy to address the problem more efficiently, relying on multistage stochastic programming and adjustable robust optimization. In order to evaluate each strategy and model proposed, a Monte Carlo simulation experiment under a rolling-horizon scheme is performed. Results show that the strategies are promising in solving large-scale problems: the approximate strategy based on adjustable robust optimization has, on average, 6.72% better performance and is 7.9 times faster than the deterministic model.
keywords: Lot-sizing and scheduling problem |GLSP |Adjustable robust optimization |Multistage stochastic programming |Rolling-horizon
مقاله انگلیسی
8 زمان آن فرا رسیده است: به سوی تخمین بیزی SEM در تحقیقات گردشگری
سال انتشار: 2018 - تعداد صفحات فایل pdf انگلیسی: 12 - تعداد صفحات فایل doc فارسی: 39
با اینکه درحال حاضر دیدگاه مدلسازی ساختاری معادله ای (SEM) بیزی توجه زیادی را در منابع علمی جلب کرده است، اما مطالعات گردشگری هنوزهم برای تخمین SEM به شدت روی دیدگاه مبتنی بر هم – پراکنش تکیه می کنند. مجله زیفور و اوسوالد (2013) در یک شماره ویژه اختصاص یافته به این موضوع، از عبارت "انقلاب بیزی" برای توصیف رشد سریع دیدگاه بیزی دربین رشته های مختلف علوم اجتماعی استفاده کرده است. این روش چندین مزیت را معرفی می کند که تخمین SEM را انعطاف پذیرتر و قدرتمندتر می کند. هدف ما در این مقاله معرفی قدرت دیدگاه بیزی به محققان گردشگری و بحث روی مزایای منحصر به فرد آن از طریق دیدگاه مبتنی بر هم پراکنش می باشد. ما ابتدا برخی پایه های تخمین و استنتاج بیزی را ارائه می دهیم. سپس با استفاده از یک کاربرد گردشگری، نمایی از این روش را نشان می دهیم. این مقاله همچنین یک شبیه سازی مونت کارلو را انجام می دهد تا عملکرد دیدگاه بیزی را در نمونه های کوچک نشان دهد و روی زمینه های مختلف پیچیده SEM بحث کند جاییکه دیدگاه بیزی مزایای منحصر به فردی را فراهم می کند.
کلیدواژه ها: دیدگاه بیزی | SEM | نمونه های کوچک | شبیه سازی مونت کارلو
مقاله ترجمه شده
9 Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight
فراریت مزاجی، بازگشت ها و قیمت گذاری نامناسب: عدم وجود ناهنجاری واقعی در دید-2018
Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stocks expected return depends on the pricing of the stock: it is negative among overvalued stocks and positive among undervalued ones. We provide both theoretical and numerical evidence that this risk-return relationship might be driven purely by mathematical properties of return distributions. Using a simulation-based approach, we document that even in completely random samples, the correlation between idiosyncratic risk and mean returns depends on the ex-post estimation of abnormal returns.
keywords: Idiosyncratic volatility| Low-risk anomaly| Abnormal returns| Return predictability| Mispricing| Stock market anomalies| Monte Carlo simulation
مقاله انگلیسی
10 An investigation into the antecedents of prepurchase online search
یک بررسی روی سوابق جستجوی قبل از خرید آنلاین-2018
This study investigates what influences consumers extent of online search (i.e., the number of relevant web stores visited) before a purchase. A dataset containing website visitation and transaction activities from a panel of US consumers is used to test the hypotheses developed in the study. The results indicate a diminishing effect of competitive density on the extent of search, and the use of advanced information technologies induces more searches. Consumers also search more for experience products than for search products in contrast to the prediction in the nonelectronic market. Furthermore, online purchase experience increases, while product-specific experience reduces, prepurchase search.
keywords: Online prepurchase search| Competitive density| Online experience| Experience/search product| Price comparison websites| Markov Chain Monte Carlo (MCMC)
مقاله انگلیسی
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