Relevant bibliographies by topics / Stochastic Dominance Approach

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Stochastic Dominance Approach'

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Published: 4 June 2021
Last updated: 12 February 2022

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Journal articles on the topic "Stochastic Dominance Approach"

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STOYANOV, STOYAN V., SVETLOZAR T. RACHEV, and FRANK J. FABOZZI. "METRIZATION OF STOCHASTIC DOMINANCE RULES." International Journal of Theoretical and Applied Finance 15, no. 02 (2012): 1250017. http://dx.doi.org/10.1142/s0219024912500173.

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We consider a new approach towards stochastic dominance rules which allows measuring the degree of domination or violation of a given stochastic order and represents a way of describing stochastic orders in general. Examples are provided for the n-th order stochastic dominance and stochastic orders based on a popular risk measure. We demonstrate how the new approach can be used for construction of portfolios dominating a given benchmark prospect.
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Chui, David, Wui Wing Cheng, Sheung Chi Chow, and Ya LI. "Eastern Halloween effect: A stochastic dominance approach." Journal of International Financial Markets, Institutions and Money 68 (September 2020): 101241. http://dx.doi.org/10.1016/j.intfin.2020.101241.

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Fong, Wai Mun, Wing Keung Wong, and Hooi Hooi Lean. "International momentum strategies: a stochastic dominance approach." Journal of Financial Markets 8, no. 1 (2005): 89–109. http://dx.doi.org/10.1016/j.finmar.2004.08.001.

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Mehdi, Tahsin. "Stochastic Dominance Approach to Measuring Child Development." Child Indicators Research 12, no. 5 (2018): 1567–88. http://dx.doi.org/10.1007/s12187-018-9597-5.

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Pinar, Mehmet, Thanasis Stengos, and Nikolas Topaloglou. "Measuring human development: a stochastic dominance approach." Journal of Economic Growth 18, no. 1 (2012): 69–108. http://dx.doi.org/10.1007/s10887-012-9083-8.

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Cowell, Frank A., and Maria-Pia Victoria-Feser. "Robust stochastic dominance: A semi-parametric approach." Journal of Economic Inequality 5, no. 1 (2006): 21–37. http://dx.doi.org/10.1007/s10888-006-9022-z.

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Yu, Su-min, Zhi-jiao Du, Xu-dong Lin, Han-yang Luo, and Jian-qiang Wang. "A Stochastic Dominance-Based Approach for Hotel Selection under Probabilistic Linguistic Environment." Mathematics 8, no. 9 (2020): 1525. http://dx.doi.org/10.3390/math8091525.

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Online reviews of hotels reflect tourist perception and evaluation, which are becoming an important perspective of studying hotel selection. In this paper, we prefer to use a probabilistic linguistic term set (PLTS) to fully reveal evaluation grades and the corresponding probability distribution in the online reviews of hotels. In this way, we propose a novel stochastic dominance-based approach based on stochastic dominance degrees of PLTSs and a stochastic multi-criteria acceptability analysis (SMAA) method that tolerates missing information. Among them, first-, second-, and third-order stochastic dominance degrees of PLTSs are calculated on the premise that the dominance relationships between PLTSs can be defined based on first-, second-, and third-order stochastic dominance rules of PLTSs. Based on these basic researches, five hotels are selected as alternatives in our case study to verify the validity and feasibility of the proposed approach. In the end, data analysis illustrates the influence of parameter and linguistic scale functions and how to choose appropriate parameter values. Furthermore, comparative analysis with other methods shows the stability of the proposed approach.
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Liang Liao, Tung, and Peter Shyan-Rong Chou. "Testing PSR Filters with the Stochastic Dominance Approach." Journal of Portfolio Management 21, no. 3 (1995): 85–91. http://dx.doi.org/10.3905/jpm.1995.409526.

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Levy, Moshe, and Haim Levy. "Testing for risk aversion: a stochastic dominance approach." Economics Letters 71, no. 2 (2001): 233–40. http://dx.doi.org/10.1016/s0165-1765(01)00377-9.

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Moss, Charles B., and Grigorios Livanis. "Implementation of stochastic dominance: a nonparametric kernel approach." Applied Economics Letters 16, no. 15 (2009): 1517–22. http://dx.doi.org/10.1080/13504850701578876.

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Dissertations / Theses on the topic "Stochastic Dominance Approach"

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Sylla, Daouda. "Essays on Culture, Economic Outcome and Wellbeing." Thesis, Université d'Ottawa / University of Ottawa, 2014. http://hdl.handle.net/10393/31202.

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Chapter 1: The Impact of Culture on the Second-Generation Immigrants’ Level of Trust in Canada Trust is one of the main elements of social capital; it determines the extent to which an individual cooperates with others. In this chapter, I assess whether cultural factors influence the level of trust in the population of second-generation immigrants in Canada. This paper is related to two strands of empirical literature. The first analyses the determinants of trust and the second studies the cultural transmission of values, attitudes and beliefs. I follow closely the literature on the cultural transmission and use an epidemiological approach to assess whether trust of second-generation immigrants is affected by their cultural heritage. This approach consists of comparing information about the outcomes of second-generation immigrants with that of the country of origin of their ancestry. We apply this approach using the Ethnic Diversity Survey (EDS), the World Value Survey (WVS) and the European Value Survey (EVS). Estimation results show that the average level of trust in the countries of origin of the ancestors of the second-generation immigrants has a strong significant impact on their level of trust. Thus, individual whose country of ancestry displays a high level of trust, tend to have a high level of trust. This provides evidence that individuals’ level of trust is not only explained by their personal experiences, characteristics, and the environment in which they live; but also by the culture in their country of ancestry. This means that culture does matter! I find that the results remain robust even if certain key countries are omitted or a different data set is used. Chapter 2: Decomposing Health Achievement and Socioeconomic Health Inequalities in Presence of Multiple Categorical Information This chapter presents a decomposition of the health achievement and the socioeconomic health inequality indices by multiple categorical variables and by regions. I adopt Makdissi and Yazbeck's (2014) counting approach to deal with the ordinal nature of the data of the United States National Health Interview Survey 2010. The findings suggest that the attributes that contribute the most to the deviation from perfect health in the United States are: anxiety, depression and exhaustion. Also, I find that the attributes that contribute the most to the total socioeconomic health inequality are ambulation, depression and pain. The regional decomposition results suggest that, if the aversion to socioeconomic health inequality is high enough, socioeconomic health inequalities between regions are the main contributors to the total socioeconomic health inequality in the United States. Chapter 3: Accounting for Freedom and Economic Resources in the Assessment of Changes in Women Poverty in Sub-Saharan Africa This chapter assesses the importance of freedom in women’s wellbeing in twelve Sub-Saharan Africa countries by using data from Demographic Health Surveys. This paper presents a poverty comparison by using the stochastic dominance approach and relies on the economic resources and freedom as the two aspects of wellbeing which evokes the multidimensionality of poverty. This study is related to the following three pieces of literature: the sequential stochastic dominance, the multidimensional poverty, the Sen’s capability approach which is based on freedom. This paper is built on Makdissi et al. (2014) but differs from it in a number of respects. First, it focuses on poverty instead of welfare. Secondly, it applies the Shapley decomposition to determine the contributions of the economic resource distribution and the incidence of the threat of domestic violence to poverty changes over time. Consistent with previous work on the importance of freedom, I find that more freedom, i.e. less threat of domestic violence, affects women’s wellbeing positively since it decreases women’s poverty. The results indicate that women’s wellbeing has improved in Burkina Faso, Ghana, Kenya, Lesotho, Madagascar, Malawi, Rwanda, Senegal, and Zimbabwe and deteriorated in Ethiopia, Nigeria and Tanzania.
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Luedtke, James. "Integer Programming Approaches for Some Non-convex and Stochastic Optimization Problems." Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/19711.

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In this dissertation we study several non-convex and stochastic optimization problems. The common theme is the use of mixed-integer programming (MIP) techniques including valid inequalities and reformulation to solve these problems. We first study a strategic capacity planning model which captures the trade-off between the incentive to delay capacity installation to wait for improved technology and the need for some capacity to be installed to meet current demands. This problem is naturally formulated as a MIP with a bilinear objective. We develop several linear MIP formulations, along with classes of strong valid inequalities. We also present a specialized branch-and-cut algorithm to solve a compact concave formulation. Computational results indicate that these formulations can be used to solve large-scale instances. We next study methods for optimization with joint probabilistic constraints. These problems are challenging because evaluating solution feasibility requires multidimensional integration and the feasible region is not convex. We propose and analyze a Monte Carlo sampling scheme to simplify the probabilistic structure of such problems. Computational tests of the approach indicate that it can yield good feasible solutions and reasonable bounds on their quality. Next, we study a MIP formulation of the non-convex sample approximation problem. We obtain two strengthened formulations. As a byproduct of this analysis, we obtain new results for the previously studied mixing set, subject to an additional knapsack inequality. Computational results indicate that large-scale instances can be solved using the strengthened formulations. Finally, we study optimization problems with stochastic dominance constraints. A stochastic dominance constraint states that a random outcome which depends on the decision variables should stochastically dominate a given random variable. We present new formulations for both first and second order stochastic dominance which are significantly more compact than existing formulations. Computational tests illustrate the benefits of the new formulations.
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Gabsi, Chaker. "Analyse économique de la pauvreté en Tunisie : approche monétaire et multidimensionnelle." Thesis, Nice, 2016. http://www.theses.fr/2016NICE0016/document.

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Cette thèse se propose d’analyser l’évolution de la pauvreté et d’identifier les groupes socio-économiques ainsi que les dimensions qui contribuent le plus à l’évolution de la pauvreté en Tunisie en nous appuyant sur une approche monétaire et une approche multidimensionnelle. Pour cela, nous adoptons une méthodologie qui consiste à utiliser l’approche de dominance stochastique et la théorie des ensembles flous, c’est-à-dire des méthodes différentes de celles adoptées dans les études antérieures qui s’intéressent à la Tunisie. Trois principales conclusions ressortent de l’exploitation des données issues de deux enquêtes nationales sur le budget et la consommation des ménages 2005, 2010 et d’une enquête nationale sur la santé de la famille 2006. La première révèle une diminution de la pauvreté au niveau national bien que de fortes disparités persistent encore entre le milieu rural et le milieu urbain, et entre les régions du littoral et les régions de l’intérieur. La deuxième met en évidence les effets des politiques de redistribution en Tunisie qui n’ont pas permis d’accélérer le rythme de réduction de la pauvreté. La troisième suggère que la prise en compte de l’aspect multidimensionnel de la pauvreté révèle l’existence d’autres dimensions importantes en relation avec la pauvreté et qui constituent un obstacle à une vie décente pour les ménages tunisiens<br>The aim of this thesis is to analyze the evolution of poverty and identify the socio-economical groups as well as the dimensions that contribute to it in Tunisia following a monetary approach and also a multi-dimensional one. For this reason, I adopt a method which consists in using the approach of stochastic dominance and the theory of fuzzy sets. That is to say, I adopt some of the different methods which have been adopted in the previous studies that were interested in Tunisia. Three main conclusions emerge from the exploitation of data based on two national surveys of the budget and the consumption of households 2005, 2010 and another national survey of the family health 2006. In fact, the first one reveals the decrease of poverty at the national level despite that there are disparities that still persist between rural and urban areas and between the coastal regions and the regions of the interior as well. The second survey puts in evidence that the effects of redistributive policies in Tunisia have not accelerated the pace of poverty reduction. As for the third survey, it suggests that taking into account the multi-dimensional aspect of poverty reveals the existence of other important dimensions in relationship with poverty that constitute an obstacle to a decent life for the Tunisian households
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Liao, Dong-Liang, and 廖東亮. "Testing PSR strategy with the stochastic dominance approach." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/d4rwa4.

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Lin, Fang-Chi, and 林芳綺. "REITs Performance and Macroeconomic Factors: A Stochastic Dominance Approach." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/33792950038688768051.

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碩士<br>國立中央大學<br>產業經濟研究所<br>95<br>This paper employs the stochastic dominance tests based on Barret and Donald (2003) to examine whether REITs have better performance than stocks under different macroeconomic conditions. We use monthly returns of FTSE NAREIT US Real Estate Index Series and S&P 500 Index over the period 1972:01-2004:12. The sample period is divided by business cycles and the real interest rates. We find that FTSE NAREIT Composite Index and FTSE NAREIT Equity REITs Index stochastically dominate S&P 500 Index at second and third order either during the whole period or in expansion. However, S&P 500 Index has better performance than FTSE NAREIT Mortgage REITs Index and FTSE NAREIT Hybrid REITs Index in expansion and in the regime with medium real interest rate. Specifically, FTSE NAREIT Equity REITs Index dominates S&P 500 Index in the regimes with low and high real interest rates. Generally speaking, FTSE NAREIT Equity REITs Index is a better choice to invest than S&P 500 Index for risk averse investors with positive skewness preference.
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Lin, Po-Cheng, and 林柏丞. "On the Performance of Commodity Investment：A Stochastic Dominance Approach." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/58069801578576105732.

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碩士<br>國立中央大學<br>財務金融研究所<br>97<br>In this thesis, we use the stochastic dominance approach to examine the relationship between the performance of commodity index and S&P 500 price index from January 1980 to November 2008. We also try to link commodity indices performance to business cycles, effective federal funds rate and Consumer Price Index (CPI). We find evidence that S&P 500 Price Index stochastically dominates several commodity indices during the full sample and boom period. But there is no stochastic dominance relation during recession period. The empirical results also show that S&P 500 price index stochastically dominates all commodity indices during 1980s, 1990s, high federal funds rate and low CPI period. However, several commodity indices stochastically dominate S&P 500 price index during low federal funds rate periods and 2000s. Although we do not discover evidence that the dominance relations are reversal during high CPI period, the performance of commodity indices in high CPI periods are better than in low CPI periods.These results could consisting with earlier studies indicate that commodities act as inflation hedge.
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Ko, Chih-Chiang, and 柯志強. "The Application of Marginal Conditional Stochastic Dominance Approach in Taiwan Stock Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/74935144422183849597.

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碩士<br>國立臺灣大學<br>國際企業學研究所<br>100<br>This thesis studies the strategy of choosing portfolio in equity market, based on the Marginal Conditional Stochastic Dominance（MCSD）method proposed by Shalit and Yitzhaki（2010）. MCSD suggests that investors can increase their expected utility by buying dominant stocks and selling dominated stock. This thesis uses the data from Taiwan market to test the suggestion. By analyzing ETF 50 index, we find out that the empirical results are consistent with that of Shalit and Yitzhaki.
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Lee, Gwoa-Chau, and 李國超. "Testing Abnormal Return of Domestic Commercial Paper with the Stochastic Dominance Approach." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/61948323864544232725.

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碩士<br>國立高雄第一科技大學<br>財務管理所<br>90<br>Money market plays an important role in the financial system, It can finance the short-term money to the enterprise and other economic units, and it is also a useful market for the government to determine its money market policy. Comparing other different money market instrument, banker’s guarantee commercial paper (cp2) has the largest trading. This paper uses the interest rate of commercial paper to analyze its returns and test whether it can fully describe the information of the abnormal returns of money market. First, we collect a variety of daily ask/bid average interest rate of commercial papers to calculate their daily return, and test whether they can satisfy the assumed normality or not by the K-S rule. And we find the return of commercial paper doesn’t satisfy the assumed normality. And then we use the Stochastic Dominance Approach to test the return abnormality of commercial paper. In the paper, We find: 1. Before 1997, Tuesday’s returns and Friday’s returns exit signally abnormality. After 1998,owing to the implementation of 5-working-day or two double-day weekends every month and the change of market trade habit, Tuesday’s returns and Thursday’s returns exit signally abnormality. 2. The abnormality returns of short-term commercial paper is significantly influenced by the fact of the weekend and off-trading of money market. 3. Abnormality returns is also occurred in January, February and August. 4. The day after replenished day of reserve money can influence the abnormality returns on commercial paper but not the replenished day. 5. There are not signally differential returns between general trading day and trading days around the three Chinese lunar festivals. The abnormality returns of short-term is also occurred in the 3th-6th days before the three Chinese lunar festivals and the 3th-5th days after the three Chinese lunar festivals.
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Hsu, Ya-Ching, and 許雅晴. "Do Islamic stock indexes outperform conventional stock indexes? An Almost stochastic dominance approach." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/tjjn4s.

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Lin, Jia-Jun, and 林佳君. "The Profitability of Momentum Investment Strategy in China Stock Market-Stochastic Dominance Theory Approach." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/2p999x.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險所<br>96<br>This study applies stochastic dominance to investigate the profit and the suitable timing of momentum strategies for China stock market under short, intermediate and long horizons. The study samples are the companies of the A-share in China stock market from 1993 to 2006. Furthermore, we investigate whether the size effect on the profitability of momentum strategies and momentum life cycle hypothesis exists. (Lee and Swaminathan, 2000) In the first instance, one of the results is verified that the transformation of investment strategy in China stock market could be caused by price limits. Therefore, we explore current price limits system of China stock market principally and assess the comparison between result included transaction costs and that without transaction costs. The transaction costs affect suitable periods of investment strategies in substance. Summarily, momentum and contrarian strategies work effectively over the horizon of 3-12 months and 1-month, respectively. Especially, both of the average returns and momentum profits of investment portfolios increase progressively when formation and holding periods get longer. However, we show that winner portfolios stochastically dominate others over the horizon of 3 and 6 months, and what means that they are the only efficiency set. In addition, winner portfolios own the largest size effect, but smaller firms of loser portfolios weakly dominate larger firms in middle and long periods. Meanwhile, both of the returns and momentum profits of the winner and loser are the largest in the size effect over the horizon of 12 months. Finally, this article demonstrates the existence of size effect on momentum life cycle. Briefly, the early-stage momentum strategy dominates simply price momentum strategy by one dimension over the horizon of 9 and 12 months. Consequently, using the early-stage momentum strategy in long periods is more convenient by investors. Nevertheless, investors generally couldn’t get excess returns while using the late-stage momentum strategy and that means their failure for capturing overreaction.
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Books on the topic "Stochastic Dominance Approach"

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Ceuster, Marc de. Cost-volume-profit analysis under conditions of risk: A stochastic dominance approach. Universiteit Antwerpen, 1992.

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Perrakis, Stylianos. Stochastic Dominance Option Pricing: An Alternative Approach to Option Market Research. Palgrave Macmillan, 2019.

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Book chapters on the topic "Stochastic Dominance Approach"

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Levy, Haim. "Stochastic Dominance: The Quantile Approach." In Stochastic Dominance. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-21708-6_4.

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Levy, Haim. "Stocks Versus Bonds: A Stochastic Dominance Approach." In Stochastic Dominance. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-21708-6_14.

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Chakravarty, Satya R. "An Axiomatic Approach to Multidimensional Poverty Measurement via Fuzzy Sets." In Poverty, Social Exclusion and Stochastic Dominance. Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-3432-0_9.

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Chakravarty, Satya R., Nachiketa Chattopadhyay, Joseph Deutsh, Zoya Nissanov, and Jacques Silber. "Reference Groups and the Poverty Line: An Axiomatic Approach with an Empirical Illustration." In Poverty, Social Exclusion and Stochastic Dominance. Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-3432-0_5.

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Li, Sheng, and Oliver Linton. "Evaluating Hedge Fund Performance: A Stochastic Dominance Approach." In Handbook of Portfolio Construction. Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77439-8_20.

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De Schuymer, Bart, Hans De Meyer, and Bernard De Baets. "A Fuzzy Approach to Stochastic Dominance of Random Variables." In Lecture Notes in Computer Science. Springer Berlin Heidelberg, 2003. http://dx.doi.org/10.1007/3-540-44967-1_30.

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Levy, Haim. "Cumulative Prospect Theory: Tests Using the Stochastic Dominance Approach." In Behavioral Finance. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118258415.ch12.

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Górecka, Dorota. "Decision-Making for Projects Realization/Support: Approach Based on Stochastic Dominance Rules Versus Multi-Actor Multi-Criteria Analysis." In Operations Research Proceedings. Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-48439-2_18.

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Liefooghe, Arnaud, Salma Mesmoudi, Jérémie Humeau, Laetitia Jourdan, and El-Ghazali Talbi. "A Study on Dominance-Based Local Search Approaches for Multiobjective Combinatorial Optimization." In Engineering Stochastic Local Search Algorithms. Designing, Implementing and Analyzing Effective Heuristics. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-03751-1_11.

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"Stochastic Dominance Revisited." In A Probability Metrics Approach to Financial Risk Measures. Wiley-Blackwell, 2011. http://dx.doi.org/10.1002/9781444392715.ch8.

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Conference papers on the topic "Stochastic Dominance Approach"

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AlAshery, Mohamed Kareem, Wei Qiao, and Liyan Qu. "Portfolio Risk Management via a CVaR and Stochastic Dominance Hybrid Approach." In 2020 IEEE Power & Energy Society General Meeting (PESGM). IEEE, 2020. http://dx.doi.org/10.1109/pesgm41954.2020.9281860.

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Bily, Christopher S., and Richard J. Malak. "Efficient Sampling Methods for Tradeoff Studies Under Uncertainty." In ASME 2012 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/detc2012-70551.

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Tradeoff studies help designers better understand how different design considerations relate to one another and to make decisions. Generally a tradeoff study involves a systematic multi-criteria evaluation of various alternatives for a particular system or subsystem. After evaluating these alternatives, designers eliminate those that perform poorly using the Pareto dominance criterion and explore more carefully those that remain. An analogous procedure is possible when design criteria are uncertain. This approach is based on stochastic dominance principles that involve comparisons of probability distributions defined in the design criteria space. Although this is well-founded mathematically, the procedure can be computationally expensive because it typically entails a sampling-based uncertainty propagation method (e.g. Monte Carlo or quasi-Monte Carlo methods) for each alternative being considered. In this paper we describe a statistically sound method which allows designers to sample the minimum number of samples necessary to eliminate dominated design alternatives under uncertainty. Dominance is evaluated using the appropriate hypothesis testing with specified confidence for a small sample, and the sample incrementally increased until dominance conditions can be determined. The method is demonstrated in the context of a tradeoff study for an automobile transmission.
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Cook, Laurence W., and Jerome P. Jarrett. "Using Stochastic Dominance in Multi-Objective Optimizers for Aerospace Design Under Uncertainty." In 2018 AIAA Non-Deterministic Approaches Conference. American Institute of Aeronautics and Astronautics, 2018. http://dx.doi.org/10.2514/6.2018-0665.

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Saini, Rohit, and Ashoke De. "Simulations of Non-Reacting Transient N-Dodecane Spray in a High-Pressure Combustion Vessel." In ASME 2015 Gas Turbine India Conference. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/gtindia2015-1278.

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In many combustion systems, fuel atomization and the spray breakup process play an important role in determining combustion characteristics and emission formation. Due to the ever-rising need for better fuel efficiency and lower emissions, the development of a fundamental understanding of its process is essential and remains a challenging task. The Spray-A case of the Engine Combustion Network (ECN) is considered in the study, in which liquid n-Dodecane (Spray-A) is injected at 1500 bar through a nozzle diameter of 90 μm into a constant volume vessel with an ambient density of 22.8 kg / m3 and an ambient temperature of 900 K. The unsteady Reynolds averaged Navier-Stokes (URANS) in conjunction with k-ε turbulence model is used to investigate the flow physics in a two-dimensional axisymmetric computational domain. A reduced chemical mechanism from Wang et al. [1] with 100 species and 432 reactions is invoked to represent the kinetics. The gas and liquid phases are modeled using Eulerian-Lagrangian coupled approach. The present model is validated with the experimental data as well as computational data of Pei et al. [2]. Initially, the effects of various turbulence models with modified constants are examined without introducing the breakup phenomena in the computational physics. Later on, primary and secondary breakup processes of the liquid fuel are taken into account. In the present study, we examine the effects of secondary breakup modeling on the spray under high-pressure conditions using different breakup models, including Wave, Kelvin-Helmholtz and Rayleigh-Taylor (KH-RT) and Stochastic Secondary Droplet (SSD) models. It has been observed that KH-RT model is more dominant in such high-pressure sprays and predict physics more accurately as compared to other models. The dominance of convection as well as diffusion controlled vaporization model is also realized over the diffusion controlled vaporization model. The investigations at different fuel injection pressures are also modeled and validated with the experimental data [3]. The results strongly suggest that applying high-pressure, leads to high injection velocity and momentum which enhances the air entrainment near the injector region and the mixing process.
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Riha, David, Joseph Hassan, Marlon Forrest, and Ke Ding. "Development of a Stochastic Approach for Vehicle FE Models." In ASME 2003 International Mechanical Engineering Congress and Exposition. ASMEDC, 2003. http://dx.doi.org/10.1115/imece2003-55107.

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This paper describes the development of a mathematical model capable of providing realistic simulations of vehicle crashes by accounting for uncertainty in the model input parameters. The approach taken was to couple advanced and efficient probabilistic and reliability analysis methods with well-established, high fidelity finite element and occupant modeling software. Southwest Research Institute has developed probabilistic analysis software called NESSUS. This code was used as the framework for a stochastic crashworthiness FE model. The LS-DYNA finite element model of vehicle frontal offset impact and the MADYMO model of a 50th percentile male Hybrid III dummy were integrated with NESSUS to comprise the crashworthiness characteristics. The system reliability of the vehicle is computed by defining ten acceptance criteria performance functions; four occupant injury criteria and six compartment intrusion criteria. The reliability for each acceptance criteria was computed using NESSUS to identify the dominant acceptance criteria of the original design. The femur axial load acceptance criteria event has the lowest reliability (46%) followed by the HIC event (58%) and the door aperture closure event (73%). One approach to improve the reliability is to change vehicle parameters to improve the reliability for the dominant criteria. However, a parameter change such as vehicle strength/stiffness may have a beneficial effect on certain acceptance criteria but be detrimental to others. A system reliability analysis was used to include the contribution of all acceptance criteria to correctly quantify the vehicle reliability and identify important parameters. A redesign analysis was performed using the computed probabilistic sensitivity factors. These sensitivities were used to identify the most effective changes in model parameters to improve the reliability. A redesign using 11 design modifications was performed that increased the original reliability from 23% to 86%. Several of the design changes include increasing the rail material yield strength and reducing its variation, reducing the variation of the bumper and rail installation tolerances, and increasing the rail weld stiffness and reducing its variation. The results show that major reliability improvements for occupant injury and compartment intrusion can be realized by certain specific modifications to the model input parameters. A traditional (deterministic) method of analysis would not have suggested these modifications.
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6

Amir, Yosef. "Applying Stochastic Method in Engineering Design Under Uncertainty." In ASME 2010 International Mechanical Engineering Congress and Exposition. ASMEDC, 2010. http://dx.doi.org/10.1115/imece2010-38775.

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Very often design engineer uses a single-point or deterministic approach. The design modeling involves using a single “best-guess” estimate of each variable within a model to determine the model’s outcome(s). The deterministic approach often leads the engineer to make unjustified assumptions and inherent design risk decisions. To improve this design process, this paper proposes applying a stochastic method in engineering design particularly, designs under uncertainty. This paper presents three design cases of applying a stochastic method by using a Monte Carlo simulation. The first case presents a Bolted Joints (BJ) design; prediction of a bolt preload to prevent a joint of slipping investigated for a confidence of 99.97% certainty. This BJ design case demonstrates how to overcome the obstacles that exist in a deterministic Bolted Joints analysis. The variables included in this investigation are the variations of coefficient of friction, preload scatter, Bolt and the Joint geometry. The second design case investigates the angular position control of Four Bars Mechanism (FBM). In this case, the paper shows how to quantify the design risk of the real FBM angular position for a given resolution spec. Sensitivity analysis uses after each simulation to identify the driver parameters influencing the angular position of the FBM. The dominant parameters influencing the design analysis include: bars tolerance variations and an actuator driver backlash. The third case of engineering design demonstrates a stochastic optimization of a flat spring design. The goal of this stochastic optimization is to achieve the maximum spring Specific_Resilience. The optimal solution of this optimization is to select the best material of six given materials and spring geometry that fit within a given restricted envelope.
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Wickenheiser, Adam M. "Model Reduction of Piezoelectric Energy Harvesters Subject to Band-Limited, Stochastic Base Excitation." In ASME 2012 Conference on Smart Materials, Adaptive Structures and Intelligent Systems. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/smasis2012-7995.

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In many scenarios where vibration energy harvesting can be utilized — particularly those involving bio-motions or environmental disturbances — energy sources are broadband and non-stationary. On the other hand, design procedures have been predominantly developed for harmonic or white noise excitation, specifically for single degree of freedom approximations of the transducer. In this paper, a general approach for design optimization of cantilevered, piezoelectric energy harvesters in the presence of band-limited, white-noise excitation is outlined. For this study, human and vehicular motions are considered; these complex waveforms are distilled into a small set of dominant features with regard to their impact on the power output of the device. Criteria based on modal participation factors, including pre-filtering of the disturbance, are used in guiding the reduction of the input and plant degrees of freedom in order to make the design optimization problem tractable. This process determines the error in assuming a low-order model for the transducer in the presence of broadband noise that may excite multiple modes of vibration. Furthermore, this study considers the quantitative impact of charge cancellation in higher modes and the benefits of inserting multiple electrodes along the length. To illustrate these methods, energy harvesters are designed for acceleration data collected from walking and car idling. It is shown that a simple method that is a generalization of naïve approaches that assume harmonic or white noise excitation and a single degree of freedom can determine which simplifications are appropriate and the inaccuracies that can be expected from them.
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Peng, Hao, Yuwen Zhang, and P. Frank Pai. "Uncertainty Analysis of Solid-Liquid-Vapor Phase Change of a Metal Particle Subject to Nanosecond Laser Heating." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-85555.

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Effects of uncertainties of various parameters, including laser fluence, diameter of metal powder articles, laser pulse width and initial temperature of metal particles, on solid-liquid-vapor phase change processes of metal particles under nanosecond laser heating are investigated in this paper. A systematic approach of simulating phase change with uncertain parameters are presented and a sample-based stochastic model are established to investigate the influence of different uncertain parameters on maximum surface temperature of metal particles, maximum solid-liquid interface location, maximum liquid-vapor interface location, maximum saturation temperature and maximum recoil pressure, and time needed to reach maximum solid-liquid interface location. The results show that the mean value and standard deviation of laser fluence have dominant effects on all output parameters.
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Lloyd, George M., and K. J. Kim. "Power/Efficiency Optimization of a Sorption Cooler Under Quantified Design Uncertainty." In ASME 2007 International Mechanical Engineering Congress and Exposition. ASMEDC, 2007. http://dx.doi.org/10.1115/imece2007-43742.

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While the design paradigm in engineering of searching for the optimum system has proven fruitful (and given a good model relatively straightforward, in principle), the desired end result of engineering development is rarely a model (even the optimum one), but a system. In this regard it has frequently been observed (generally with some disappointment) that what one can specify is not always what one gets. It is frequently the case that realized systems, no matter how carefully constructed according to specifications derived from verified and validated models, frequently depart from the designed-for behaviour, due to parametric incertitude. Given this not uncommon circumstance, a somewhat more useful question one might seek to answer during an optimization process is “what is the best system under the constraints which I can reasonably hope to build?” Design optimization under incertitude approaches based on intrusive modifications to the deterministic model, such as stochastic finite elements and chaos expansions, are tedious to apply, computationally expensive, and fraught with convergence issues. The simplest nonintrusive approach—direct Monte Carlo sampling— is far too slow to efficiently sample the joint response distribution of complex thermophysics transient models. The purpose of this paper is to address this topic by incorporating design uncertainty itself as a constraint during the optimization of a sorption cooler. In our method a Markov Chain Monte Carlo sampler is used as the means to develop a suitable ensemble from a practical set of computational results which circumscribe the power/efficiency characteristics of a cooler as a function of several dimensionless stochastic optimization parameters. The ensemble is used to estimate the covariance structure of the design uncertainty, which is then projected into the best low rank subspace where tests of hypothesis under the dominant generalized parameters can be formulated; growth in fluctuations of the generalized parameters along optimization trajectories becomes clearly evident and quantifiable. The method results in a classical power/efficiency diagram, with the addition of quantified design uncertainty. The utility of these diagrams is that they enable rapid-prototyping efforts to target the best cooler design that is most likely to function as expected.
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Hanjalic´, K., and S. Kenjeresˇ. "RANS-Based VLES of Thermal and Magnetic Convection at Extreme Conditions." In ASME/JSME 2003 4th Joint Fluids Summer Engineering Conference. ASMEDC, 2003. http://dx.doi.org/10.1115/fedsm2003-45344.

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For thermal and magnetic convection at very high Rayleigh and Hartman numbers, which are inaccessible to the conventional large eddy simulation (LES), we propose a time-dependent Reynolds-average-Navier-Stokes (T-RANS) approach in which the large-scale deterministic motion is fully resolved by time and space solution, whereas the unresolved stochastic motion is modelled by a “subscale” model for which an one-point RANS closure is used. The resolved and modelled contribution to the turbulence moments are of the same order of magnitude and in near-wall regions the modelled heat transport becomes dominant, emphasizing the role of the subscale model. This VLES approach, with an algebraic stress/flux subscale model, verified earlier in comparison with direct numerical simulation (DNS) and experiments in classic Rayleigh-Be´nrad convection, is now expanded to simulate Rayleigh-Be´nard (R-B) convection at very high Ra numbers — at present up to O(1016) — and to magnetic convection in strong uniform magnetic fields. The simulations reproduce the convective cell structure and its reorganization caused by an increase in Ra number and effects of the magnetic field. The T-RANS simulations of classic R-B indicate expected thinning of both the thermal and hydraulic wall boundary layer with an increase in the Ra number and an increase in the exponent of the Nu ∝ Ran correlation in accord with recent experimental findings and Kraichnan asymptotic theory.
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