List of Articles شبیه سازی مونت کارلو

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  1 - Classical and Bayesian inference based on progressive type-II hybrid censored data from the Poisson-Exponential distribution
  masoumeh mohammadi monfared Mohammad Hassan Behzadi reza arabi belaghi
  In this paper, the problem of estimating unknown parameters is investigated when lifetime data following Poisson-exponential distribution under classical and Bayesian frameworks based on progressively type-II hybrid censored data. We compute point and associated interva More

  In this paper, the problem of estimating unknown parameters is investigated when lifetime data following Poisson-exponential distribution under classical and Bayesian frameworks based on progressively type-II hybrid censored data. We compute point and associated interval estimates under classical and Bayesian approaches. For point estimates in the problem of estimation, we compute maximum likelihood estimators of model using Expectation-Maximization (EM) and Stochastic Expectation-Maximization (SEM) algorithms under classical approach, these algorithms are easily implemented. We compute Bayes estimates with the help of Lindley and importance sampling technique under informative and non-informative priors using different loss functions namely squared error, LINEX as well as general entropy in Bayesian framework. The associated interval estimates are obtained using the Fisher information matrix and Chen and Shao method respectively under classical and Bayesian approaches. We analysis real data set, and conduct Monte Carlo simulation study for the comparison of various proposed methods. Finally, we present a conclusion. Manuscript profile
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  2 - Combined Application of State Space in ARIMA Form Model and Monte Carlo Simulation Method to Forecast TEPIX Index
  Aghigh Farhadi Farhad Ghaffari
  In this study, we estimated the parameters using the State Space model described inARIMA form. We’ve also used the Monte Carlo Method for simulating the process in10000 reputations. Then the estimated parameters and the Monte Carlo simulationmethod are used to for More

  In this study, we estimated the parameters using the State Space model described inARIMA form. We’ve also used the Monte Carlo Method for simulating the process in10000 reputations. Then the estimated parameters and the Monte Carlo simulationmethod are used to forecast TEPIX index, including 739 observations as an in-sampledata from 21th of January 2011 to 19th February 2014 and 59 observations from 20thFebruary 2014 to 21th May 2014 as an out of sample data . Furthermore, For moreinvestigation we’ve considered different horizons of forecasting, short-term (equal to 1week), mid-term (equal to 1 month) and long term (equal to 3 month). The results showedthat Tehran stock market data has enough efficiency to forecast them, and showed that theState Space in Form ARIMA model and the Monte Carlo simulation method can be usedas a predictive algorithm for TEPIX index and other indices with similar nature. Manuscript profile
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  3 - Risk Analysis & Financial Evaluation in Power Plant BOT
  Faramarz Nouri Parastoo Mohammadi Esmaeil Vassaf
  The aim of this thesis is identifying and modeling the risks of the power plant BOTprojects. Main identified risks in this study are project financing risk(equity ratio risk)and the risk of revenue of project. In order to model the risks, we used the MartingaleVariance More

  The aim of this thesis is identifying and modeling the risks of the power plant BOTprojects. Main identified risks in this study are project financing risk(equity ratio risk)and the risk of revenue of project. In order to model the risks, we used the MartingaleVariance Model (MVM) for the revenue risk and the Triangular distribution function forthe equity ratio risk. We applicated the Monte Carlo simulations method for obtainingthe probability distribution function and critical values of the decision index (Net PresentValue, Internal Rate of Return, Debt Service Coverage Ratio). The one of thermal powerplant projects data prepared by MAPNA, has been implemented in this study. The resultsof the simulation indicate that the risk of negative NPV of project is 13.41 percent and therisk of DSCR lower than 1.2 is 8.65 percent. Therefore, the sponsors suffering more risksthan lenders in the studied project. Manuscript profile
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  4 - Installment Option Valuation by Least Squares with Checking the Solution Convergence
  Hamed Hamedinia Mahdi Rezyati
  An installment option is a European option in which the holder pays the option as a series of payments instead of paying all up-front. If all payments pay, the holder will be able to exercise the option at maturity time. However, the installment option will be terminate More

  An installment option is a European option in which the holder pays the option as a series of payments instead of paying all up-front. If all payments pay, the holder will be able to exercise the option at maturity time. However, the installment option will be terminated even if one installment is not paid. This study is divided into two sections. First, the importance of installment option is studied; the relationship between installment option and Venture Capital is explained; and it is studied how BLS model is failed to evaluate the installment option. As the exact evaluation of installment option is extremely complicated and usually intractable, Monte Carlo simulation and Least Squares (LS) have been applied to evaluate installment option. Second, the three optimum values, function type, number of base variables and number of simulated path, as important factors on this method are calculated. So, numerical valuation converges to exact solution. Manuscript profile
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  5 - برآورد پارامترهای توزیع بر نوع 12 بسط یافته با استفاده از اصل بیشینه سازی انتروپی با بر پایه ی مقادیر رکورد k
  مهدی رجایی سلماسی
  10.30495/ijim.2022.59557.1504
  در این مقاله روش جدیدی برای تخمین پارامترهای توزیع بر نوع 12 بسط یافته با استفاده از اصل بیشینه سازی انتروپی بر پایه ی مقادیر رکورد k به کار گرفته شده است. از شبیه سازی مونت کارلو برای ارزیابی عملکرد این روش و مقایسه آن با روشهای شناخته شده دیگر استفاده شده است. نتایج ش More

  در این مقاله روش جدیدی برای تخمین پارامترهای توزیع بر نوع 12 بسط یافته با استفاده از اصل بیشینه سازی انتروپی بر پایه ی مقادیر رکورد k به کار گرفته شده است. از شبیه سازی مونت کارلو برای ارزیابی عملکرد این روش و مقایسه آن با روشهای شناخته شده دیگر استفاده شده است. نتایج شیبیه سازی نشان دادند که روش اصل بیشینه سازی انتروپی عملکرد بهتری داشته است. Manuscript profile
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  6 - Present an algorithm based on Gert method and Monte Carlo simulation to manage and control The research and development projects (Case study: Model airplane)
  Amir Afsar Seyed Jalal Ziaei
  10.30495/imj.2022.1943850.1706
  Given the growing importance of project management and control issues and the benefits of choosing the right management method according to the specific type of project, The purpose of this study is to provide an appropriate method for planning and managing research and More

  Given the growing importance of project management and control issues and the benefits of choosing the right management method according to the specific type of project, The purpose of this study is to provide an appropriate method for planning and managing research and development projects. Uncertainty of activities and time required to complete each project activity, requires the project manager to use techniques appropriate to the specific nature of the project under review. In this paper, by describing the probabilistic project of constructing a model airplane according to the probabilistic conditions, a suitable algorithm based on Gert method and Monte Carlo simulation is presented in such a way that as a result the project manager can analyze the basic components from the output of the algorithm and estimate random variables such as the expected time of project completion and the average cost of completing project activities and extract the desired results to better manage and control the project. In order to provide a better understanding of the proposed algorithm, the results of using the algorithm to plan and manage the model aircraft construction project will be reviewed and explained and As a result, the expected time and cost of the project is extracted within a 95% confidence interval. Manuscript profile
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  7 - برنامه ریزی بهینه واحد تعهد با توجه به عدم قطعیت باد با استفاده از الگوریتم جستجو فاخته
  Saniya Maghsudlu sirus mohammadi
  در این مقاله، یک روش جدید برای بررسی نقش واحدهای باد به عنوان یک تولید کننده  انرژی در برنامه ریزی مشکل تعهد واحد ارائه شده است. امروزه، منابع انرژی تجدید پذیر به علت عدم آلودگی محیط زیست، و در نتیجه هزینه های حاشیه ای بسیار کم، در سیستم قدرت خیلی مورد توجه قرار گر More

  در این مقاله، یک روش جدید برای بررسی نقش واحدهای باد به عنوان یک تولید کننده  انرژی در برنامه ریزی مشکل تعهد واحد ارائه شده است. امروزه، منابع انرژی تجدید پذیر به علت عدم آلودگی محیط زیست، و در نتیجه هزینه های حاشیه ای بسیار کم، در سیستم قدرت خیلی مورد توجه قرار گرفتند. اما این منابع با عدم اطمینان همراه هستند، حل مشکل تعهد واحد به عنوان یک بهینه سازی سیستم برنامه قدرت سنتی مطرح شده است که تلاش میکند با تعیین واحد های ورود و خروج مطلوب و تولید بهینه در هر واحد کل هزینه تولید  را به حداقل رساند. سپس، در این مطالعه با استفاده از یک الگوریتم تکرار شونده به طور تصادفی با تخصیص توابع چگالی متناسب  با سرعت باد، عدم اطمینان از واحد باد تولید شده است در برنامه تعهد واحد . تجزیه و تحلیل UC با نیروی باد به منظور به حداقل رساندن هزینه کل سیستم انجام می شود. در این مقاله برای رسیدن به راه حل بهینه، یک الگوریتم جستجوکاکو فرا ابتکاری (CS) با سرعت همگرایی بالا استفاده می شود تا مشکل تعهد واحد با توجه IEEE  سیستم تست 10 واحد استاندارد را حل کند. نتایج شبیه سازی   کارآمدی روش پیشنهادی  را برای کاهش هزینه های تولید و بهبود سودها نشان میدهد. Manuscript profile
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  8 - رفتار فازی و ویژگی های اختلاط نانوساختارهای مواد فعال سطحی دوقلوی متقارن با نظریه quasichemical
  زهرا خدادادی
  بررسی نظری رفتار نانو ساختار سورفاکتانت

  بررسی نظری رفتار نانو ساختار سورفاکتانت Manuscript profile
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  9 - Estimating the probability of Loss of Credit Portfolio using the sharp asymptotic method and Latent variable model
  Mohammad reza Haddadi Reza Maaboudi Saeedeh Fallahyan
  The purpose of the study is to obtain a probability of a very high loss for a credit portfolio in a fixed time horizon and to calculate the loss of this portfolio in the worst possible case (the defaults of all customers). For this purpose, the Copula function approach More

  The purpose of the study is to obtain a probability of a very high loss for a credit portfolio in a fixed time horizon and to calculate the loss of this portfolio in the worst possible case (the defaults of all customers). For this purpose, the Copula function approach is used. A Copula function is a new tool that increases the accuracy of the calculation of this probability. Gaussian Copulas cannot simulate the dependence between the members of the portfolio. For this reason, the T- Copula method has been used as an alternative model in this paper. The T-Copula pattern, in contrast to the normal Copula method, supports the extreme dependence between variables. The structure of a multivariate distribution t is the ratio of a multivariate normal distribution on the second root of a Chi-square random variable. If the denominator of the distribution chooses values ​​close to zero, then the corresponding vector coordinates of the random variables are distributed t , Can record large joint movements. The Chi-square random variable plays "common shock" roles. The present study, using the hidden variables method, has calculated the probable unpredictability of loss for a heterogeneous portfolio of given facilities consisting of 250 borrowers. For this purpose, based on the type of borrowed loans, borrowers are divided into three groups. Using the Monte Carlo simulation method, the probability of a loss in this portfolio is estimated, then the residue levels in each group of agents and the total amount of exposure are calculated. The findings showed that, considering the degree of freedom 2 for the distribution of the student's t-test related to the vector of hidden variables, the maximum probability of loss of credit portfolio Has been 11.01. Manuscript profile