A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives

This paper proposes a Kolmogorov-type test for the shortfall order (also known in the literature as the right-spread or excess-wealth order) against parametric alternatives. In the case of the null hypothesis corresponding to the Negative Exponential distribution, this provides a test for the new better than used in expectation (NBUE) property. Such a test is particularly useful in reliability applications as well as duration and income distribution analysis. The theoretical properties of the testing procedure are established. Simulation studies reveal that the test proposed in this paper performs well, even with moderate sample sizes. Applications to real data, namely chief executive officer (CEO) compensation data and flight delay data, illustrate the empirical relevance of the techniques described in this paper.Right-spread order; Excess-wealth order; New better than used in expectation; Bootstrap; Reliability; CEO compensation; Flight delay

An integrated model for asset reliability, risk and production efficiency management in subsea oil and gas operations

PhD ThesisThe global demand for energy has been predicted to rise by 56% between 2010 and 2040 due to industrialization and population growth. This continuous rise in energy demand has consequently prompted oil and gas firms to shift activities from onshore oil fields to tougher terrains such as shallow, deep, ultra-deep and arctic fields. Operations in these domains often require deployment of unconventional subsea assets and technology. Subsea assets when installed offshore are super-bombarded by marine elements and human factors which increase the risk of failure. Whilst many risk standards, asset integrity and reliability analysis models have been suggested by many previous researchers, there is a gap on the capability of predictive reliability models to simultaneously address the impact of corrosion inducing elements such as temperature, pressure, pH corrosion on material wear-out and failure. There is also a gap in the methodology for evaluation of capital expenditure, human factor risk elements and use of historical data to evaluate risk. This thesis aims to contribute original knowledge to help improve production assurance by developing an integrated model which addresses pump-pipe capital expenditure, asset risk and reliability in subsea systems. The key contributions of this research is the development of a practical model which links four sub-models on reliability analysis, asset capital cost, event risk severity analysis and subsea risk management implementation. Firstly, an accelerated reliability analysis model was developed by incorporating a corrosion covariate stress on Weibull model of OREDA data. This was applied on a subsea compression system to predict failure times. A second methodology was developed by enhancing Hubbert oil production forecast model, and using nodal analysis for asset capital cost analysis of a pump-pipe system and optimal selection of best option based on physical parameters such as pipeline diameter, power needs, pressure drop and velocity of fluid. Thirdly, a risk evaluation method based on the mathematical determinant of historical event magnitude, frequency and influencing factors was developed for estimating the severity of risk in a system. Finally, a survey is conducted on subsea engineers and the results along with the previous models were developed into an integrated assurance model for ensuring asset reliability and risk management in subsea operations. A guide is provided for subsea asset management with due consideration to both technical and operational perspectives. The operational requirements of a subsea system can be measured, analysed and improved using the mix of mathematical, computational, stochastic and logical frameworks recommended in this work

Measuring the Contribution to the Economy of Investments in Renewable Energy: Estimates of Future Consumer Gains

In this paper we develop a cost index–based measure of the expected consumer welfare gains from innovation in electricity generation technologies. To illustrate our approach, we estimate how much better off consumers would be from 2000 to 2020 as renewable energy technologies continue to be improved and gradually adopted, compared with a counterfactual scenario that allows for continual improvement of conventional technology. We proceed from the position that the role and prospects of renewable energy are best assessed within a market setting that considers competing energy technologies and sources. We evaluate five renewable energy technologies used to generate electricity: solar photovoltaics, solar thermal, geothermal, wind, and biomass. For each, we assume an accelerated adoption rate due to technological advances, and we evaluate the benefits against a baseline technology, combined-cycle gas turbine, which experts cite as the conventional technology most likely to be installed as incremental capacity over the next decade. We evaluate benefits against both the conventional combined-cycle gas turbine prevalent at this time and a more advanced combined-cycle gas turbine expected to be employed during the coming decade. We estimate the model for two geographic regions of the nation for which renewable energy is, or can be expected to be, a somewhat sizable portion of the electricity market—California and the north central United States. In present-value terms we find that median consumer welfare gains over 20 years vary markedly among the renewable technologies, ranging from large negative values (welfare losses) to large positive values (welfare gains). The effect of uncertainty can lead to estimates that are 20% to 40% larger or smaller than median predicted values. Our results suggest that portfolios that give equal weight to the use of each generation technology are likely to lead to consumer losses in our regions, regardless of the role of the externalities that we consider. However, when the portfolio is more heavily weighted toward certain renewables, consumer gains can be positive.energy economics, technical change

Condition-based hazard rate estimation and optimal maintenance scheduling for electrical transmission system

The effectiveness of expending maintenance resources can vary dramatically depending on the target and timing of the maintenance activities. The objective of the work to develop a method of allocating economic resources and scheduling maintenance tasks among bulk transmission system equipment, so as to optimize the effect of maintenance with respect to the mitigation of component failure consequences. Techniques including condition-based failure rate estimation of electric transmission system components, analysis of failure consequences in power system, probabilistic modeling and risk assessment, and optimization are integrated in the work. Hidden Markov model is a good tool to estimate instantaneous status for deteriorating components. The maintenance selection and scheduling approach for bulk transmission equipment is based on the cumulative long-term risk caused by failure of each piece of equipment;This approach not only accounts for equipment failure probability and equipment damage, but it also accounts for the outage consequence in term of system related security problems. Various types of maintenance activities are studied and their relationship to the failure modes and system security improvement are investigated. An optimizer is developed to select and schedule the maintenance for large networks with various types of resource constraints, together with methods of resource reallocation;Finally, a strategy of incorporating maintenance activities among different transmission owners is developed. The objective of our work is to allocate resources economically and strategically so as to provide best performance of maintenance for electrical transmission system. These strategies can also be applied to problems inherent to resource intensive asset management in many similar types of infrastructures such as gas pipelines, airlines, and telecommunications

Bayesian Sequential Design Based on Dual Objectives for Accelerated Life Tests

Traditional accelerated life test plans are typically based on optimizing the C-optimality for minimizing the variance of an interested quantile of the lifetime distribution. The traditional methods rely on some specified planning values for the model parameters, which are usually unknown prior to the actual tests. The ambiguity of the specified parameters can lead to suboptimal designs for optimizing the intended reliability performance. In this paper, we propose a sequential design strategy for life test plans based on considering dual objectives. In the early stage of the sequential experiment, we suggest to allocate more design locations based on optimizing the D-optimality to quickly gain precision in the estimated model parameters. In the later stage of the experiment, we can allocate more samples based on optimizing the C-optimality to maximize the precision of the estimated quantile of the lifetime distribution. We compare the proposed sequential design strategy with existing test plans considering only a single criterion and illustrate the new method with an example on fatigue testing of polymer composites.Comment: 17 page

Integration of software reliability into systems reliability optimization

Reliability optimization originally developed for hardware systems is extended to incorporate software into an integrated system reliability optimization. This hardware-software reliability optimization problem is formulated into a mixed-integer programming problem. The integer variables are the number of redundancies, while the real variables are the components reliabilities;To search a common framework under which hardware systems and software systems can be combined, a review and classification of existing software reliability models is conducted. A software redundancy model with common-cause failure is developed to represent the objective function. This model includes hardware redundancy with independent failure as a special case. A software reliability-cost function is then derived based on a binomial-type software reliability model to represent the constraint function;Two techniques, the combination of heuristic redundancy method with sequential search method, and the Lagrange multiplier method with the branch-and-bound method, are proposed to solve this mixed-integer reliability optimization problem. The relative merits of four major heuristic redundancy methods and two sequential search methods are investigated through a simulation study. The results indicate that the sequential search method is a dominating factor of the combination method. Comparison of the two proposed mixed-integer programming techniques is also studied by solving two numerical problems, a series system with linear constraints and a bridge system with nonlinear constraints. The Lagrange multiplier method with the branch-and-bound method has been shown to be superior to all other existing methods in obtaining the optimal solution;Finally an illustration is performed for integrating software reliability model into systems reliability optimization

Open Source Curriculum Design for Value-Based Software Engineering

As a relatively young discipline within software engineering, value-based software engineering does not yet have an established curriculum. The area draws on models and techniques in so many other disciplines that it is likely to be some time before a single individual is ready to prepare a course or a textbook. Several of the EDSER-4 participants expressed interest and enthusiasm for sharing the effort of developing curriculum and course materials. Inspired by the success of open source software development, especially the distributed collaboration, the free public access to the results, and the lack of administrative overhead; we decided to try to establish a similar community for curriculum development. This report describes progress to date, with emphasis on the community standards for cooperation and sharing

Air Force Institute of Technology Contributions to Air Force Research and Development, Calendar Year 1978

This report contains the listings of Master of Science Theses, Doctoral dissertations, Faculty consultations, and selected faculty publications completed during the 1978 calendar year at the Air Force Institute of Technology, at Wright-Patterson Air Force Base, Ohio

Operational Risk Management and Implications for Bank’s Economic Capital – a Case Study

In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (“EVT”). Within the EVT analysis, two estimation methods were applied; the standard maximum likelihood estimation method and the probability weighted method (“PWM”). Our results proved a heavy-tailed pattern of operational risk data consistent with the results documented by other researchers in this field. Additionally, our research demonstrates that the PWM is quite consistent even when the data is limited since our results provide reasonable and consistent capital estimates. From a policy perspective, it should be noted that banks from emerging markets such as Central Europe are exposed to these operational risk events and that successful estimates of the likely distribution of these risk events can be derived from more mature markets.operational risk, economic capital, Basel II, extreme value theory, probability weighted method