VR-PMS: a new approach for performance measurement and management of industrial systems

A new performance measurement and management framework based on value and risk is proposed. The proposed framework is applied to the modelling and evaluation of the a priori performance evaluation of manufacturing processes and to deciding on their alternatives. For this reason, it consistently integrates concepts relevant to objectives, activity, and risk in a single framework comprising a conceptual value/risk model, and it conceptualises the idea of value- and risk based performance management in a process context. In addition, a methodological framework is developed to provide guidelines for the decision-makers or performance evaluators of the processes. To facilitate the performance measurement and management process, this latter framework is organized in four phases: context establishment, performance modelling, performance assessment, and decision-making. Each phase of the framework is then instrumented with state of-the-art quantitative analysis tools and methods. For process design and evaluation, the deliverable of the value- and risk-based performance measurement and management system (VR-PMS) is a set of ranked solutions (i.e. alternative business processes) evaluated against the developed value and risk indicators. The proposed VR-PMS is illustrated with a case study from discrete parts manufacturing but is indeed applicable to a wide range of processes or systems

VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.

Current trends in international banking supervision following the 1996 Amendment to the Basel Accord emphasise market risk control based upon internal Value-at-risk (VaR) models. This paper discusses the merits and drawbacks of VaR models in the light of their impact on market liquidity. After a preliminary review of basic concepts and measures regarding market risk, market friction and liquidity risk, the arguments supporting the internal models approach to supervision on market risk are discussed, in the light of the debate on the limitations and possible enhancements of VaR models. In particular, adverse systemic effects of widespread risk management practices are considered. Risk measurement models dealing with liquidity risk are then examined in detail, in order to verify their potential for application in the field. We conclude that VaR models are still far from effectively treating market and liquidity risk in their multi-faceted aspects. Regulatory guidelines are right in recognising the importance of internal risk control systems. Implementation of those guidelines might inadvertently encourage mechanic application of VaR models, with adverse systemic effects.

Stochastic simulation framework for the Limit Order Book using liquidity motivated agents

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to perform statistical calibration of the model parameters on Level 2 limit order book data from Chi-X, based on a combination of indirect inference and multi-objective optimisation. We then demonstrate how such an agent-based modelling framework can be of use in testing exchange regulations, as well as informing brokerage decisions and other trading based scenarios

Probabilistic Hybrid Action Models for Predicting Concurrent Percept-driven Robot Behavior

This article develops Probabilistic Hybrid Action Models (PHAMs), a realistic causal model for predicting the behavior generated by modern percept-driven robot plans. PHAMs represent aspects of robot behavior that cannot be represented by most action models used in AI planning: the temporal structure of continuous control processes, their non-deterministic effects, several modes of their interferences, and the achievement of triggering conditions in closed-loop robot plans. The main contributions of this article are: (1) PHAMs, a model of concurrent percept-driven behavior, its formalization, and proofs that the model generates probably, qualitatively accurate predictions; and (2) a resource-efficient inference method for PHAMs based on sampling projections from probabilistic action models and state descriptions. We show how PHAMs can be applied to planning the course of action of an autonomous robot office courier based on analytical and experimental results

Distributed Hybrid Simulation of the Internet of Things and Smart Territories

This paper deals with the use of hybrid simulation to build and compose heterogeneous simulation scenarios that can be proficiently exploited to model and represent the Internet of Things (IoT). Hybrid simulation is a methodology that combines multiple modalities of modeling/simulation. Complex scenarios are decomposed into simpler ones, each one being simulated through a specific simulation strategy. All these simulation building blocks are then synchronized and coordinated. This simulation methodology is an ideal one to represent IoT setups, which are usually very demanding, due to the heterogeneity of possible scenarios arising from the massive deployment of an enormous amount of sensors and devices. We present a use case concerned with the distributed simulation of smart territories, a novel view of decentralized geographical spaces that, thanks to the use of IoT, builds ICT services to manage resources in a way that is sustainable and not harmful to the environment. Three different simulation models are combined together, namely, an adaptive agent-based parallel and distributed simulator, an OMNeT++ based discrete event simulator and a script-language simulator based on MATLAB. Results from a performance analysis confirm the viability of using hybrid simulation to model complex IoT scenarios.Comment: arXiv admin note: substantial text overlap with arXiv:1605.0487

Towards a model for managing uncertainty in logistics operations – A simulation modeling perspective

Uncertainty rules supply chains. Unexpected changes constantly occur on all levels; strategically through globalization, introduction of novel technology, mergers and acquisitions, volatile markets, and on an operational level through demand fluctuations, and events such as late arrival of in-bound material, machine equipment breakdown, and quality problems. The problem with uncertainty is increasing as the focus on cost reductions and efficiency in the industry tends to stretch supply chains to become longer and leaner, thus making them more vulnerable to disturbances. The aim of this thesis is to explore strategies for evaluating and managing uncertainties in a logistics context with the objectives; “to propose a method for modeling and analyzing the dynamics of logistics systems with an emphasize on risk management aspects”, and “to explore the impact of dynamic planning and execution in a logistics system”. Three main strategies for handling uncertainties are being discussed; robustness, reliability, and resilience. All three strategies carry an additional cost that must be weighed against the cost and risk of logistical disruptions. As an aid in making this trade-off, a hybrid simulation approach, based on discrete-event simulation and Monte Carlo simulation, is proposed. A combined analytical, and simulation approach is further used to explore the impact of dynamic planning and execution in a solid waste management case. Finally, a draft framework for how uncertainty can be managed in a logistics context is presented along with the key reasons why the proposed simulation approach has proven itself useful in the context of logistics systems

A methodical approach to performance measurement experiments : measure and measurement specification

This report describes a methodical approach to performance measurement experiments. This approach gives a blueprint for the whole trajectory from the notion of performance measures and how to define them via planning, instrumentation and execution of the experiments to interpretation of the results. The first stage of the approach, Measurement Initialisation, has been worked out completely. It is shown that a well-defined system description allows a procedural approach to defining performance measures and to identifying parameters that might affect it. For the second stage of the approach, Measurement Planning, concepts are defined that enable a clear experiment description or specification. It is highlighted what actually is being measured when executing an experiment. A brief example that illustrates the value of the method and a comparison with an existing method - that of Jain - complete this report

Analysing oscillatory trends of discrete-state stochastic processes through HASL statistical model checking

The application of formal methods to the analysis of stochastic oscillators has been at the focus of several research works in recent times. In this paper we provide insights on the application of an expressive temporal logic formalism, namely the Hybrid Automata Stochastic Logic (HASL), to that issue. We show how one can take advantage of the expressive power of the HASL logic to define and assess relevant characteristics of (stochastic) oscillators