SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

Abstract. Some general properties of long memory continuous time processes are recalled or proved. Methods of simulation are studied. A comparison with the usual discrete time autoregressive fractionally integrated moving-average filter is made and illustrations are provided. Then, two methods of estimation of the parameters of such a model from a discrete sample are studied, both theoretically and empirically, with Monte Carlo experiments.     

绝氧条件下β-Bi2Mo2O9晶相上丙烯氨氧化反应的Monte Carlo模拟研究

A random walk Monte Carlo （RWMC） simulation model of catalytic particle was established on the basis of the structures of bismuth molybdate catalysts and mechanisms of catalytic reactions with propylene selective oxidation and ammoxidation. The simulation results show that rationality of the RWMC model is proved on the basis of pulse experimental data. One of the most remarkable factors affecting catalytic behavior is the transfer of bulk lattice oxygen, which decides the rate of ammonia-consuming and propylene-consuming. The selectivity of main products reaches the maximum after the reduction of catalysts to a certain degree. It is inferred that catalytic performance improves greatly if the ratio of capacity for dehydrogenation from adsorbed propylene molecule on catalytically active site of molybdenum metal-imido group （Mo=NH） to that on catalytically active site of molybdenum metal-oxo group （Mo=O） becomes much higher.     

Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching

Abstract. This paper is concerned with the problem of joint determination of the state dimension and autoregressive order of models with Markov‐switching parameters. A model selection procedure is proposed which is based on optimization of complexity‐penalized likelihood criteria. The efficacy of the procedure is evaluated by means of Monte Carlo experiments.     

Unsteady radiative heat transfer within a suspension of ZnO particles undergoing thermal dissociation

An emitting, absorbing, and anisotropically scattering plain medium containing a suspension of ZnO particles is considered, in which the particles are directly exposed to high-flux irradiation and undergo shrinkage during their endothermic dissociation into Zn(g) and O₂ at above 2100 K. The unsteady energy equation that links the rate of radiative heat transfer to the rate of the chemical reaction is formulated and solved numerically by the finite volume technique and the explicit Euler time-integration scheme. The path-length Monte Carlo method is applied for modeling the radiative transfer within the suspension using the absorption/scattering coefficients and the scattering phase function obtained from the Mie theory. It is found that the particle suspension can be heated rapidly from its initial 300 K to over 1800 K in less than 0.1 s, resulting in a more uniform temperature profile as the reaction progresses, particles shrink, and the suspension becomes optically thinner. The chemical conversion increases with decreasing initial particle diameter and volume fraction due to the efficient radiative absorption.     

Radial density distribution of fractal clusters

The radial density distributions of fractal clusters generated in both DLCA and RLCA conditions by Monte-Carlo off-lattice cluster-cluster aggregation have been investigated. It has been computed by averaging a large number of clusters of same mass to form an average cluster, which is then considered as spherically symmetric. It is found that the radial density distribution, calculated using the mass center of the cluster as the center point, does not follow the fractal scaling, as sometimes assumed in the literature. An empirical model has been proposed to describe the dependence of the radial density distribution on the number of particles in the cluster. The obtained radial density distribution is used to compute permeability profile of the fractal cluster using several literature models, which is then applied to estimate the cluster hydrodynamic radius, R_h, by considering the cluster as a porous permeable object and using the solution of Brinkman equations for the fluid flow inside the cluster. The so obtained R_h values are compared to those in the literature, computed using the Kirkwood-Riseman (KR) theory. It has been found that, among the five permeability models examined, only the model proposed by Davis (Proceedings of the Institution of Mechanical Engineers Part B 1, 185) provides results in good agreement with those obtained using the KR model. Furthermore, it has been verified that the R_h values are insensitive to the model used for the density distribution.     

Analysis of four Monte Carlo methods for the solution of population balances in dispersed systems

Monte Carlo (MC) constitutes an important class of methods for the numerical solution of the general dynamic equation (GDE) in particulate systems. We compare four such methods in a series of seven test cases that cover typical particulate mechanisms. The four MC methods studied are: time-driven direct simulation Monte Carlo (DSMC), stepwise constant-volume Monte Carlo, constant number Monte Carlo, and multi-Monte Carlo (MMC) method. These MC's are introduced briefly and applied numerically to simulate pure coagulation, breakage, condensation/evaporation (surface growth/dissolution), nucleation, and settling (deposition). We find that when run with comparable number of particles, all methods compute the size distribution within comparable levels of error. Because each method uses different approaches for advancing time, a wider margin of error is observed in the time evolution of the number and mass concentration, with event-driven methods generally providing better accuracy than time-driven methods. The computational cost depends on algorithmic details but generally, event-driven methods perform faster than time-driven methods. Overall, very good accuracy can be achieved using reasonably small numbers of simulation particles, O(10³), requiring computational times of the order 10²−10³ s on a typical desktop computer.     

Monte Carlo simulation of radiation-induced solid state polymerization

A Monte Carlo method was used for a computer simulation of radiation-induced solid state polymerization. The propagation of polymer chains was simulated by means of self-avoiding random walks on a tetrahedral lattice. The initiation and termination of the chains were modelled by pseudorandom processes. The influence of conditions of the in-source process on the post-polymerization kinetics and on the degree of polymerization of the polymers was studied.     

需求依赖于价格情境下基于Copula-CVaR 的报童决策

探讨价格不确定下,需求-价格相关性与风险态度对决策行为的影响.建立随机需求与随机价格相关情境下基于Copula-CVaR的报童决策模型,Copula函数描述相关性,条件风险价值(CVaR)反映风险态度,证明了模型解的存在性和惟一性.蒙特卡罗模拟发现,需求与价格的相关性与风险态度对决策的交互作用使决策行为发生规律性变化,决策者对价格波动有一定容忍度,需求与价格相关性趋于不相关与完全负相关时市场趋于同质性.     

Partitioning of polymers into pores with surface interactions at dilute solution limit

The partitioning of a single polymer chain into a slit in a good solvent with different surface interactions is examined through Monte Carlo simulations from subcritical regime to adsorptive regime. The chain conformation in the subcritical regime is not perturbed by the surface interactions significantly. In the adsorptive regime, the conformation of the chain is strongly perturbed by the surface interactions. The confinement free energy in the two regimes maybe written in a uniform formula, βΔμ_conf∼c₁N(a/D)^xε_w+c₂N(a/D)^1/ν with x∼2.0 or larger in the subcritical regime and ∼1.0 in the adsorptive regime, where ν is the Flory exponent, D is the slit width, N is the chain length, a is the monomer size, and ε_w is the surface interaction energy between the polymer beads and the slit. This formula is valid for a long chain in the narrow slit in the subcritical regime or when the adsorption layer h>D in the adsorptive regime. A critical behavior occurs when ε_w is at the critical adsorption point and x=1/ν, then Δμ_conf will have little dependence on N or D. Higher order terms that are neglected in the above equation, however, may be present that could lead to a weak dependence of K on N and D even in the critical adsorption point.     

一种无须预指定分割区域数的自适应多阈值图像分割方法

为解决多阈值图像分割中分割区域数较难确定的问题,提出一种基于可逆跳跃马尔可夫链蒙特卡罗(RJMCMC)的自适应多阈值图像分割方法.基于图像直方图的多阈值分割的本质是寻找直方图各峰间的谷底,但其个数较难确定且各局部峰并非都是高斯分布.因此文中用更具普适性的混合α稳定分布拟合直方图,建立包含局部峰个数及各分布元参数的分层贝叶斯概率模型.采用RJMCMC后验概率推理自适应确定混合α稳定分布的分布元个数及各自参数,从而获得分割区域数和多阈值参数.针对单晶炉拉晶图像、人脑核磁共振图像及国际标准测试图进行测试,结果表明该方法准确地建立图像分割模型,得到满意的多阈值分割结果.