Understanding population annealing Monte Carlo simulations
In the given paper the aggregated randomized indices method is modified for credit scoring. Coefficients of the modified method can be calibrated on a massive training set in comparison with a standard version. Different credit scoring models are analyzed, i.e. with a binary scale and a continuous one. The Monte Carlo method is applied to measure the efficiency of models.
We observe the self-assembling of the dipolar hard sphere particles at low temperature by Monte Carlo simulation. We find different types of stable structures of dipolar particles which appear when the isotropic phase of the system becomes unstable. Specifically, we find an interesting case of parallel cylindrical domains. The value of the total dipole moment of each domain is significantly large compared to the average value of the whole system. Models with dipolar interactions may form structures comprised of layers with anti-parallel dipole orientation.
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the terminal functionals. In this way the complexity order of the standard Monte Carlo algorithm (ε−3) can be reduced down to ε−2 log(ε−1) in case of the Euler scheme with ε being the precision to be achieved. These theoretical results are illustrated by several numerical examples.
The paper suggests an original credit-risk based model for deposit insurance fund adequacy assessment. The fund is treated as a portfolio of contingent liabilities to the insured deposit-holders. The fund adequacy assessment problem is treated as an economic capital adequacy problem. Implied credit rating is used as the target indicator of solvency. This approach is consistent with the contemporary risk management paradigm and the recommendations of the Basel II Capital Accord. The target level of the fund corresponding to the target solvency standard is estimated in a Monte Carlo simulation framework using the actual data on the Russian banking system covering 1998-2005. Author acknowledges the generous support and fruitful discussions with representatives of the Russian Deposit Insurance Agency. The author expresses his personal views and not the views of the Agency.
A model for organizing cargo transportation between two node stations connected by a railway line which contains a certain number of intermediate stations is considered. The movement of cargo is in one direction. Such a situation may occur, for example, if one of the node stations is located in a region which produce raw material for manufacturing industry located in another region, and there is another node station. The organization of freight traﬃc is performed by means of a number of technologies. These technologies determine the rules for taking on cargo at the initial node station, the rules of interaction between neighboring stations, as well as the rule of distribution of cargo to the ﬁnal node stations. The process of cargo transportation is followed by the set rule of control. For such a model, one must determine possible modes of cargo transportation and describe their properties. This model is described by a ﬁnite-dimensional system of diﬀerential equations with nonlocal linear restrictions. The class of the solution satisfying nonlocal linear restrictions is extremely narrow. It results in the need for the “correct” extension of solutions of a system of diﬀerential equations to a class of quasi-solutions having the distinctive feature of gaps in a countable number of points. It was possible numerically using the Runge–Kutta method of the fourth order to build these quasi-solutions and determine their rate of growth. Let us note that in the technical plan the main complexity consisted in obtaining quasi-solutions satisfying the nonlocal linear restrictions. Furthermore, we investigated the dependence of quasi-solutions and, in particular, sizes of gaps (jumps) of solutions on a number of parameters of the model characterizing a rule of control, technologies for transportation of cargo and intensity of giving of cargo on a node station.
Event logs collected by modern information and technical systems usually contain enough data for automated process models discovery. A variety of algorithms was developed for process models discovery, conformance checking, log to model alignment, comparison of process models, etc., nevertheless a quick analysis of ad-hoc selected parts of a journal still have not get a full-fledged implementation. This paper describes an ROLAP-based method of multidimensional event logs storage for process mining. The result of the analysis of the journal is visualized as directed graph representing the union of all possible event sequences, ranked by their occurrence probability. Our implementation allows the analyst to discover process models for sublogs defined by ad-hoc selection of criteria and value of occurrence probability
The dynamics of a two-component Davydov-Scott (DS) soliton with a small mismatch of the initial location or velocity of the high-frequency (HF) component was investigated within the framework of the Zakharov-type system of two coupled equations for the HF and low-frequency (LF) fields. In this system, the HF field is described by the linear Schrödinger equation with the potential generated by the LF component varying in time and space. The LF component in this system is described by the Korteweg-de Vries equation with a term of quadratic influence of the HF field on the LF field. The frequency of the DS soliton`s component oscillation was found analytically using the balance equation. The perturbed DS soliton was shown to be stable. The analytical results were confirmed by numerical simulations.