245,747 research outputs found

    Analysis of operational risk of banks – catastrophe modelling

    Get PDF
    Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of “first time to hit” requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future

    Patch-based Hybrid Modelling of Spatially Distributed Systems by Using Stochastic HYPE - ZebraNet as an Example

    Full text link
    Individual-based hybrid modelling of spatially distributed systems is usually expensive. Here, we consider a hybrid system in which mobile agents spread over the space and interact with each other when in close proximity. An individual-based model for this system needs to capture the spatial attributes of every agent and monitor the interaction between each pair of them. As a result, the cost of simulating this model grows exponentially as the number of agents increases. For this reason, a patch-based model with more abstraction but better scalability is advantageous. In a patch-based model, instead of representing each agent separately, we model the agents in a patch as an aggregation. This property significantly enhances the scalability of the model. In this paper, we convert an individual-based model for a spatially distributed network system for wild-life monitoring, ZebraNet, to a patch-based stochastic HYPE model with accurate performance evaluation. We show the ease and expressiveness of stochastic HYPE for patch-based modelling of hybrid systems. Moreover, a mean-field analytical model is proposed as the fluid flow approximation of the stochastic HYPE model, which can be used to investigate the average behaviour of the modelled system over an infinite number of simulation runs of the stochastic HYPE model.Comment: In Proceedings QAPL 2014, arXiv:1406.156

    Event tracking for real-time unaware sensitivity analysis (EventTracker)

    Get PDF
    This is the author's accepted manuscript. The final published article is available from the link below. Copyright @ 2013 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works.This paper introduces a platform for online Sensitivity Analysis (SA) that is applicable in large scale real-time data acquisition (DAQ) systems. Here we use the term real-time in the context of a system that has to respond to externally generated input stimuli within a finite and specified period. Complex industrial systems such as manufacturing, healthcare, transport, and finance require high quality information on which to base timely responses to events occurring in their volatile environments. The motivation for the proposed EventTracker platform is the assumption that modern industrial systems are able to capture data in real-time and have the necessary technological flexibility to adjust to changing system requirements. The flexibility to adapt can only be assured if data is succinctly interpreted and translated into corrective actions in a timely manner. An important factor that facilitates data interpretation and information modelling is an appreciation of the affect system inputs have on each output at the time of occurrence. Many existing sensitivity analysis methods appear to hamper efficient and timely analysis due to a reliance on historical data, or sluggishness in providing a timely solution that would be of use in real-time applications. This inefficiency is further compounded by computational limitations and the complexity of some existing models. In dealing with real-time event driven systems, the underpinning logic of the proposed method is based on the assumption that in the vast majority of cases changes in input variables will trigger events. Every single or combination of events could subsequently result in a change to the system state. The proposed event tracking sensitivity analysis method describes variables and the system state as a collection of events. The higher the numeric occurrence of an input variable at the trigger level during an event monitoring interval, the greater is its impact on the final analysis of the system state. Experiments were designed to compare the proposed event tracking sensitivity analysis method with a comparable method (that of Entropy). An improvement of 10% in computational efficiency without loss in accuracy was observed. The comparison also showed that the time taken to perform the sensitivity analysis was 0.5% of that required when using the comparable Entropy based method.EPSR

    A decision support system for demand and capacity modelling of an accident and emergency department

    Get PDF
    © 2019 Operational Research Society.Accident and emergency (A&E) departments in England have been struggling against severe capacity constraints. In addition, A&E demands have been increasing year on year. In this study, our aim was to develop a decision support system combining discrete event simulation and comparative forecasting techniques for the better management of the Princess Alexandra Hospital in England. We used the national hospital episodes statistics data-set including period April, 2009 – January, 2013. Two demand conditions are considered: the expected demand condition is based on A&E demands estimated by comparing forecasting methods, and the unexpected demand is based on the closure of a nearby A&E department due to budgeting constraints. We developed a discrete event simulation model to measure a number of key performance metrics. This paper presents a crucial study which will enable service managers and directors of hospitals to foresee their activities in future and form a strategic plan well in advance.Peer reviewe

    Correcting the radar rainfall forcing of a hydrological model with data assimilation: application to flood forecasting in the Lez Catchment in Southern France

    Get PDF
    The present study explores the application of a data assimilation (DA) procedure to correct the radar rain- fall inputs of an event-based, distributed, parsimonious hy- drological model. An extended Kalman filter algorithm was built on top of a rainfall-runoff model in order to assimilate discharge observations at the catchment outlet. This work fo- cuses primarily on the uncertainty in the rainfall data and considers this as the principal source of error in the sim- ulated discharges, neglecting simplifications in the hydro- logical model structure and poor knowledge of catchment physics. The study site is the 114 km2 Lez catchment near Montpellier, France. This catchment is subject to heavy oro- graphic rainfall and characterised by a karstic geology, lead- ing to flash flooding events. The hydrological model uses a derived version of the SCS method, combined with a Lag and Route transfer function. Because the radar rainfall in- put to the model depends on geographical features and cloud structures, it is particularly uncertain and results in signifi- cant errors in the simulated discharges. This study seeks to demonstrate that a simple DA algorithm is capable of ren- dering radar rainfall suitable for hydrological forecasting. To test this hypothesis, the DA analysis was applied to estimate a constant hyetograph correction to each of 19 flood events. The analysis was carried in two different modes: by assimi- lating observations at all available time steps, referred to here as reanalysis mode, and by using only observations up to 3 h before the flood peak to mimic an operational environment, referred to as pseudo-forecast mode. In reanalysis mode, the resulting correction of the radar rainfall data was then com- pared to the mean field bias (MFB), a corrective coefficient determined using rain gauge measurements. It was shown that the radar rainfall corrected using DA leads to improved discharge simulations and Nash-Sutcliffe efficiency criteria compared to the MFB correction. In pseudo-forecast mode, the reduction of the uncertainty in the rainfall data leads to a reduction of the error in the simulated discharge, but un- certainty from the model parameterisation diminishes data assimilation efficiency. While the DA algorithm used is this study is effective in correcting uncertain radar rainfall, model uncertainty remains an important challenge for flood fore- casting within the Lez catchment

    Use of COTS functional analysis software as an IVHM design tool for detection and isolation of UAV fuel system faults

    Get PDF
    This paper presents a new approach to the development of health management solutions which can be applied to both new and legacy platforms during the conceptual design phase. The approach involves the qualitative functional modelling of a system in order to perform an Integrated Vehicle Health Management (IVHM) design – the placement of sensors and the diagnostic rules to be used in interrogating their output. The qualitative functional analysis was chosen as a route for early assessment of failures in complex systems. Functional models of system components are required for capturing the available system knowledge used during various stages of system and IVHM design. MADe™ (Maintenance Aware Design environment), a COTS software tool developed by PHM Technology, was used for the health management design. A model has been built incorporating the failure diagrams of five failure modes for five different components of a UAV fuel system. Thus an inherent health management solution for the system and the optimised sensor set solution have been defined. The automatically generated sensor set solution also contains a diagnostic rule set, which was validated on the fuel rig for different operation modes taking into account the predicted fault detection/isolation and ambiguity group coefficients. It was concluded that when using functional modelling, the IVHM design and the actual system design cannot be done in isolation. The functional approach requires permanent input from the system designer and reliability engineers in order to construct a functional model that will qualitatively represent the real system. In other words, the physical insight should not be isolated from the failure phenomena and the diagnostic analysis tools should be able to adequately capture the experience bases. This approach has been verified on a laboratory bench top test rig which can simulate a range of possible fuel system faults. The rig is fully instrumented in order to allow benchmarking of various sensing solution for fault detection/isolation that were identified using functional analysis

    Modelling the feedback effects of reconfiguring health services

    Get PDF
    The shift in the balance of health care, bringing services ‘closer to home’, is a well-established trend, which has been motivated by the desire to improve the provision of services. However, these efforts may be undermined by the improvements in access stimulating demand. Existing analyses of this trend have been limited to isolated parts of the system with calls to control demand with stricter clinical guidelines or to meet demand with capacity increases. By failing to appreciate the underlying feedback mechanisms, these interventions may only have a limited effect. We demonstrate the contribution offered by system dynamics modelling by presenting a study of two cases of the shift in cardiac catheterization services in the UK. We hypothesize the effects of the shifts in services and produce model output that is not inconsistent with real world data. Our model encompasses several mechanisms by which demand is stimulated. We use the model to clarify the roles for stricter clinical guidelines and capacity increases, and to demonstrate the potential benefits of changing the goals that drive activity
    • …
    corecore