1 Interacting Particle Systems for the Computation of Rare Events 2 1.1 Twisted Feynman-Kac Expectations . . . . . . . . . . . . . . . . . . . . . . . 3 1.2 IPS and Empirical Estimations . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.2.1 Model Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1.2.2 Convergence Results . . . . . . . . . . . . . . . . . . . . . . ....

The prospect theory implies that the inclusion of a gain-lock-in device into the floor of portfolio insurance can benefit the long-term asset management under loss aversion. We find that the relaxation of the multiple of the CPPI from a constant to a dynamic can improve the performance in the short-term. Thus, integrating these two properties into one model, we propose the contingently ratchete...

abstract the aim of this study, is to evaluate the effect of loss methods application on run-off volume and hydrograph shape used by hydrologic models. in this research, four loss methods including constant loss (φ index), initial loss-loss rate, scs and constant fraction approach were applied to be evaluated. to do this, clark rainfall-runoff model was applied for 24 storm events from kasilain...

Individually Network reconfiguration or Capacitor control perform well in minimizing power loss and improving voltage profile of the distribution system. But for heavy reactive power loads network reconfiguration and for heavy active power loads capacitor placement can not effectively reduce power loss and enhance voltage profiles in the system. In this paper, an hybrid approach that combine ne...

Existence of capacity drop phenomenon, as the difference between pre-queue and queue discharge flow rates, has been one of the controversial concepts of traffic engineering. Several researches have focused on capacity drop existence and also its estimation issues. This paper aims to estimate capacity drop based not only on a comparison between breakdown and queue discharge flow rates, but also ...

This note shows three cases in which a considerable loss of efficiency can result from assuming a parametric distribution for a random effect that is substantially different from the true distribution. For two simple models for binary response data, we studied the effects of assuming normality or of using a nonparametric fitting procedure for random effects, when the true distribution is potent...

In practical situations, distribution network loads are the mixtures of residential, industrial, and commercial types. This paper presents a hybrid optimization algorithm for the optimal placement of shunt capacitor banks in radial distribution networks in the presence of different voltage-dependent load models. The algorithm is based on the combination of Genetic Algorithm (GA) and Binary Part...