Monte Carlo Simulation

COMPUTATIONAL MATHEMATICS AND ANALYSIS
MONTE CARLO SIMULATION

METHODS, ASSESSMENT
AND APPLICATIONS
No part of this digital document may be reproduced, stored in a retrieval system or transmitted in any form or
by any means. The publisher has taken reasonable care in the preparation of this digital document, but makes no
expressed or implied warranty of any kind and assumes no responsibility for any errors or omissions. No
liability is assumed for incidental or consequential damages in connection with or arising out of information
contained herein. This digital document is sold with the clear understanding that the publisher is not engaged in
rendering legal, medical or any other professional services.
COMPUTATIONAL MATHEMATICS
AND ANALYSIS
Additional books in this series can be found on Nova’s website

under the Series tab.
Additional e-books in this series can be found on Nova’s website

under the eBooks tab.
COMPUTATIONAL MATHEMATICS AND ANALYSIS
MONTE CARLO SIMULATION

METHODS, ASSESSMENT
AND APPLICATIONS
FREDERICK J. MITCHELL
EDITOR
Copyright © 2017 by Nova Science Publishers, Inc.
All rights reserved. No part of this book may be reproduced, stored in a retrieval system or transmitted
in any form or by any means: electronic, electrostatic, magnetic, tape, mechanical photocopying,
recording or otherwise without the written permission of the Publisher.
We have partnered with Copyright Clearance Center to make it easy for you to obtain permissions to
reuse content from this publication. Simply navigate to this publication’s page on Nova’s website and
locate the “Get Permission” button below the title description. This button is linked directly to the
title’s permission page on copyright.com. Alternatively, you can visit copyright.com and search by
title, ISBN, or ISSN.
For further questions about using the service on copyright.com, please contact:
Copyright Clearance Center
Phone: +1-(978) 750-8400 Fax: +1-(978) 750-4470 E-mail: info@copyright.com.
NOTICE TO THE READER

The Publisher has taken reasonable care in the preparation of this book, but makes no expressed or
implied warranty of any kind and assumes no responsibility for any errors or omissions. No liability is
assumed for incidental or consequential damages in connection with or arising out of information
contained in this book. The Publisher shall not be liable for any special, consequential, or exemplary
damages resulting, in whole or in part, from the readers’ use of, or reliance upon, this material. Any
parts of this book based on government reports are so indicated and copyright is claimed for those parts
to the extent applicable to compilations of such works.
Independent verification should be sought for any data, advice or recommendations contained in this
book. In addition, no responsibility is assumed by the publisher for any injury and/or damage to
persons or property arising from any methods, products, instructions, ideas or otherwise contained in
this publication.
This publication is designed to provide accurate and authoritative information with regard to the subject
matter covered herein. It is sold with the clear understanding that the Publisher is not engaged in
rendering legal or any other professional services. If legal or any other expert assistance is required, the
services of a competent person should be sought. FROM A DECLARATION OF PARTICIPANTS
JOINTLY ADOPTED BY A COMMITTEE OF THE AMERICAN BAR ASSOCIATION AND A
COMMITTEE OF PUBLISHERS.
Additional color graphics may be available in the e-book version of this book.
Library of Congress Cataloging-in-Publication Data
ISBN: H%RRN
Published by Nova Science Publishers, Inc. † New York

CONTENTS
Preface vii
Chapter 1 The Application of Parallel Monte Carlo Simulation
in the Reliability Evaluation of Composite Electric
Power Systems 1
Tran Ky Phuc, Pham Hai Binh and Le Thi Thanh Ha
Chapter 2 PK/PD Analysis of Stavudine-Gold Nanoparticles
by Monte Carlo Simulation 35
H. Zazo, A. Martín-Suárez and J. M. Lanao
Chapter 3 Monte Carlo Simulation of Magnetic Properties of
a Mixed Spins Ferrimagnetic and Kagomé Lattice
with RKKY Interaction 55
R. Masrour and A. Jabar
Bibliography 79
Related Nova Publication 149
Index 151
PREFACE
Chapter One presents a study on application of Monte Carlo simulation in

reliability assessment of composite electric power systems. Chapter Two
develops a PK/PD model to evaluate, by Monte Carlo simulation as a data
maximization strategy, the antiviral activity of two stavudine formulations:
conventional stavudine and stavudine-gold nanoparticles (stavudine-AuNPs).
In Chapter Three, the magnetic properties of the kagomé lattice is studied with
Ruderman–Kittel–Kasuya–Yosida (RKKY) exchange interactions in a spin-
7/2 and alternate mixed spin-5/2 and spin-2 Ising model on the Bethe lattice by
using the Monte Carlo simulations.
Chapter 1 – Power system reliability is of critical importance to the
electricity sector. This paper presents a study on application of Monte Carlo
simulation in reliability assessment of composite electric power systems. A
distributed computing environment is used to reduce the computational efforts.
Several computer system architectures are considered to comply with both
technical and economical aspects. Programming framework based on master-
slave model is selected. The approach to partition of simulation job and
selection of distributed processing grain (yearly, hourly) is considered in the
paper. A suitable methodology for random number generation in a distributed
computing environment is presented. For the purpose of the work, a
computing tool based on a cluster of multithread and multicore personal
computers as hardware and Message Passing Application Programming
Interface as software framework is implemented. Some important reliability
indices like PLC, EDLC, EFLC, EENS, are calculated as test results obtained
on IEEE-RTS24 and actual Vietnam power system with 374 buses. The high
performance of the distributed computing approach in comparison with
viii Frederick J. Mitchell
traditional Monte Carlo simulation in solving the problem is also shown in

terms of speedup and simulation time. Some ideas on optimized utilization of
computing resources are also discussed. Results of this study have shown
feasibility of applying Monte Carlo simulation in power system reliability
evaluation with using a low price and available computing resources.
Chapter 2 – Introduction: Antiretroviral drug treatments allow for the
control of HIV infection keeping low levels of viral load during various years.
After that time, viral load increases again due to the virus replication from
reservoirs, such as macrophages, where drugs do not reach successful
therapeutic conditions. The use of delivery systems such as gold nanoparticles
(AuNPs), helps to target the drug inside both HIV target and reservoir cells.
Different pharmacokinetic/pharmacodynamic (PK/PD) models have been
developed to study drug plasma and tissue levels, as well as the
pharmacological response in HIV infection. The aim of this work is the
development of a PK/PD model to evaluate, by Monte Carlo simulation as a
data maximization strategy, the antiviral activity of two stavudine
formulations: conventional stavudine and stavudine-gold nanoparticles
(stavudine-AuNPs).
Methods: For each treatment, the PK model developed describes stavudine
plasma and macrophage levels, and the disease evolution model describes
time-evolution of T cells, macrophages and viral load. Both models are linked
by Hill equation to predict the inhibition of virus replication by stavudine (PD
model). A priori information of PK and PD parameters was obtained from
in vitro and in vivo studies and they were sampled from a log-normal
distribution. Monte Carlo sampling of stochastic elements was performed to
generate data of 1000 individuals during 10 years of treatment, using a Latin
Hypercube Sampling with GoldSim software. The dosage regimens of both
treatments have been designed taking into account toxic AuNPs concentration
and conventional drug schedules.
Results: Conventional stavudine achieves therapeutic steady-state plasma
levels, though macrophage levels are very low. By contrast, stavudine-AuNPs
provide higher macrophage concentrations but with lower plasma levels. The
viral load–time profile shows that at the beginning of the disease most virus
load cames from infected T cells, where both treatments have a similar effect.
But over the course of the disease, the number of T cells decreases and the
macrophage viral load begins to be important. At this time, free stavudine
treatment fails completely while stavudine-AuNPs inhibits the viral growth.
According to this model, the probability of having low viral load with high
Preface ix
T cells/µL values is higher and lasts longer with stavudine-AuNPs treatment

than with the conventional one.
Conclusion: A PK/PD model has been developed to simulate plasma and
macrophage stavudine concentrations as well as its anti-HIV activity.
According to the Monte Carlo simulation, stavudine-AuNPs treatment allows
for the control of HIV infection for a more prolonged time.
Chapter 3 – The magnetic properties of the kagomé lattice have been
studied with Ruderman–Kittel–Kasuya–Yosida (RKKY) exchange interactions
in a spin-7/2 and alternate mixed spin-5/2 and spin-2 Ising model on the Bethe
lattice have been studied by using the Monte Carlo simulations. The RKKY
interaction between the two magnetic layers is considered for different
distances. The magnetizations and magnetic susceptibilities of this lattice are
given for different triquadratic interactions around each triangular face. The
ground state phase diagrams of kagomé lattice and alternate mixed spin-5/2
and spin-2 Ising model on the Bethe lattice have been obtained. The thermal
total magnetization and magnetization of spins-5/2 and spin-2 with the
different exchange interactions, external magnetic field and temperatures have
been studied. The critical temperature has been obtained for two systems. The
magnetic hysteresis cycle of kagomé lattice with RKKY interactions and on
the Bethe lattice are obtained for different temperatures and for different
crystal field with a fixed size.
In: Monte Carlo Simulation ISBN: 978-1-53611-989-3
Editor: Frederick J. Mitchell © 2017 Nova Science Publishers, Inc.
Chapter 1
THE APPLICATION OF PARALLEL

MONTE CARLO SIMULATION IN THE
RELIABILITY EVALUATION OF
COMPOSITE ELECTRIC POWER SYSTEMS
Tran Ky Phuc1,, Pham Hai Binh2 and Le Thi Thanh Ha2

1
Vietnam Institute of Energy, Hanoi, Vietnam
2
Hanoi Technology University, Hanoi, Vietnam
ABSTRACT
Power system reliability is of critical importance to the electricity
sector. This paper presents a study on application of Monte Carlo
simulation in reliability assessment of composite electric power systems.
A distributed computing environment is used to reduce the computational
efforts. Several computer system architectures are considered to comply
with both technical and economical aspects. Programming framework
based on master-slave model is selected. The approach to partition of
simulation job and selection of distributed processing grain (yearly,
hourly) is considered in the paper. A suitable methodology for random
number generation in a distributed computing environment is presented.
For the purpose of the work, a computing tool based on a cluster of
multithread and multicore personal computers as hardware and Message
Passing Application Programming Interface as software framework is

Corresponding Author Email: trankyp@hotmail.com.
2 Tran Ky Phuc, Pham Hai Binh and Le Thi Thanh Ha
implemented. Some important reliability indices like PLC, EDLC, EFLC,

EENS,... are calculated as test results obtained on IEEE-RTS24 and
actual Vietnam power system with 374 buses. The high performance of
the distributed computing approach in comparison with traditional Monte
Carlo simulation in solving the problem is also shown in terms of
speedup and simulation time. Some ideas on optimized utilization of
computing resources are also discussed. Results of this study have shown
feasibility of applying Monte Carlo simulation in power system reliability
evaluation with using a low price and available computing resources.
Keywords: composite power system, reliability evaluation, parallel Monte

Carlo simulation, message passing interface
1. INTRODUCTION
At present, for most power systems, growing energy demand and system
operation in power market have caused operating conditions close to the
physical limits of system components. Therefore an effective computational
tool that allows evaluation of the power system reliability becomes a necessity.
For power system reliability evaluation, as well as analytical approaches,
the Monte Carlo Simulation (MCS) is one of the most important methods due
to its advantages (Billinton & Allan, 1994). Literature survey has shown that
the reliability evaluation based on MCS has undergone a great deal of
development in the last some decades (Borges, et al., 2001; Lingfeng Wang &
Singh, 2009) (Nisha R. Godha, et al., 2012). However, large actual power
systems and strict requirements on more accurate mathematical models of
components and systems (for example, using AC load flow and AC-optimal
power flow (OPF) techniques, statistical model for hydro power generation or
multistate outage model for transmission lines and generation) have often
caused unacceptable computation problem.
Variance reduction technique (Oliveira G.C., 1989), genetic algorithm
(GA) (Lingfeng Wang & Singh, 2009), artificial neural networks (ANN)
(Singh, et al., 2006) and parallel computing (Gubbala & Singh, 1995) are some
well-known methods applied for substantial improvement of computing
efficiency. Unfortunately, the intelligent methods like GA or ANN are
basically useful for non-sequential MCS only. For sequential MCS parallel
computing (Gubbala & Singh, 1995) (Borges, et al., 2001) (Tran Ky Phuc, et
al., 2011) is likely most suitable.
The Application of Parallel Monte Carlo Simulation … 3
Information technology and parallel computing in particular belong to a

rapidly growing and changing field. That’s why reliability evaluation of
composite power systems based on parallel Monte Carlo simulation should be
systematically and frequently approached with updating new IT tools and
methods.
This chapter presents a survey on the most important issues related to
application of sequential and parallel Monte Carlo simulation in composite
power system reliability assessment. Key components of parallel computing
like parallel computer architecture, programming tools, parallel algorithms and
parallel random number generators are considered. A case study of computing
tool for reliability evaluation implemented on a cluster of multithread and
multicore personal computers as hardware and Message Passing Application
Programming Interface as software framework is presented.
2. COMPOSITE POWER SYSTEM RELIABILITY

EVALUATION IN SEQUENTIAL COMPUTING ENVIRONMENT
2.1. Definition, Classification and Methods for
PS Reliability Evaluation
Composite power system reliability evaluation involves the determination

of reliability indices of a power system, giving due consideration not only to
changes in generation and load levels, but also to transmission line and
substation capacities and outages. The typical reliability indices are Probability
of Load Curtailment (PLC), Expected Frequency of Load Curtailment (EFLC),
Expected Duration of Load Curtailment (EDLC), Expected Energy Not
Supplied (EENS), etc.
In general, the power system reliability evaluation can be divided into four
levels: generation (Hierarchical Level I, i.e., HL-I), generation and
transmission (HL-II), generation + transmission + distribution (HL-III) and
generation + transmission + distribution + distributed generation (HL-IV), see
Figure 1 for illustration. Composite generation and transmission reliability
evaluation (HL-II) is the level that draws more interest from the electric power
industry and researchers because of its important role in power system
planning and operation.
The most popular composite reliability evaluation methods are currently

contingency enumeration, state space decomposition and Monte Carlo
simulation.
Contingency enumeration consists of listing all contingencies of up to a
given order, usually second, computing their probabilities, and evaluating the
reliability indices from these probabilities. The limitation of this approach lies
in the fact that higher order contingencies often have a non-negligible
contribution in composite reliability indices. Contingency enumeration has
also been applied together with contingency ranking to reduce the number of
contingencies to be evaluated.
State space decomposition is an analytical method which recursively
decomposes the system space into sets of acceptable, unclassified, and loss-of-
load states. One of the method’s drawbacks is unmanageably large number of
loss of load sets generated in the case of huge power system.
Composite reliability evaluation by Monte Carlo simulation (Noferi P.L.,
1975) (Singh, et al., 2006) consists of random sampling system states, testing
them for acceptability, and aggregating the contribution of loss of load states
to the reliability indices till the coefficients of variation of these indices drop
below pre-specified tolerances. The advantages of MCS in context of
reliability evaluation are more accurate modelling of the power system
components and operating conditions, providing the more precious probability
distribution of variables of interest, and easily handling the chronological
aspects of power system operation. However, there is an important limitation –
it requires large computational effort to analyze huge number of operating
states, especially for large actual power systems, for highly reliable systems,
and also for the complex power flow model.
Figure 1. Hierarchical levels of power system reliability evaluation.

There are two approaches for Monte Carlo simulation: state sampling (or
“non-sequential”) and sequential simulation (SMCS). In state sampling, the
system states are sampled randomly based on the probability distribution of
the components operating states. In sequential simulation, the chronological
behavior of the system is simulated by sampling sequences of system
operating states based on the probability distribution of the components states
duration. These sequences are sampled for several pre-defined periods, usually
years, in which case they are called yearly synthetic sequences.
The expected values of the main reliability indices, including frequency
and duration (F&D) indices can be calculated by both approaches. However,
estimates of specific energy supply interruption duration and the probability
distribution of duration related indices can only be determined by the
sequential simulation approach. Unfortunately, sequential simulation demands
a much higher computational effort, what may turn infeasible the analysis of
large systems on conventional computer platforms.
Some techniques have previously been developed to reduce the
computational resources necessary for MCS in order to achieve a more
efficient and timely convergence while continuing to accurately assess the
reliability of a given system. These methods can be classified into three
groups. The first group is based on variance reduction using statistical tools
(Oliveira G.C., 1989). The second group includes intelligent methods like
Genetic Algorithm (GA) (Lingfeng Wang & Singh, 2009), Artificial Neural
Networks (ANN) (Singh C., 1997) (Singh, et al., 2006) that can reduce state
space. The third group uses high performance computing (HPC) like parallel
processing to reduce computational time.
Notes should be made, that state space pruning with intelligent methods
like GA, ANN... is applied only for non-sequential MCS. Therefore, for
sequential MCS the parallel computing is more suitable approach for system
reliability evaluation.
2.2. SMCS Based Algorithm for Composite Reliability

Evaluation
The sequential Monte Carlo simulation technique is based on sampling the

probability distributions of the system component state durations (Billinton &
Allan, 1994). The SMCS based algorithm for composite reliability evaluation
can be summarized in the following steps (Tran Ky Phuc, et al., 2015):
Step 1: Specify the initial state of each power system component.

Step 2: For each simulation year sample the system state that consists of
load level, generation status and line status.
Step 3: For each hour of the simulation year conduct a power system
analysis, including: calculate power flow; check if any operating constraint is
violated; if yes, corrective action to alleviate constraint violations must be
taken using an AC optimal power flow (OPF) solution.
Step 4: If the AC-OPF solution shows that there is no load curtailment, go
to step 3 for the next simulation hour. Otherwise, accumulate the reliability
indices functions Φ(S) for the simulation year and go to step 3.
Step 5: Repeat steps 3-4 till the end of the simulation year. Calculate the
yearly reliability indices functions and update the expected values of the
indices E(Φ) and the accuracy of SMCS.
The expected value of the indices E(Φ) can be calculated as follows:
NS
 ni ( S ) 
   ( S j ,i ) 
 
E ( )   
i 1 j 1
(1)
NS
where ni(S): number of occurrences of system state S in year i,

Φ(Sj,i): indices function corresponding to jth occurrence in year i,
NS : number of simulation years.
The accuracy of SMCS may be expressed by the coefficient of variation β,
which is a measure of the uncertainty around the estimates, and is defined as:
V ( ) / NS (2)

E ( )
where V(Φ) is the variance of the estimator.

Step 6: If the accuracy of the estimates of the index function β is less than
a predefined error ε, the simulation is terminated. Otherwise, return to step 2.
As was noted before, the key feature of this algorithm is that AC power
flow and AC-OPF (in replacing of DC methods) have been used to get more
accurate estimates of the power system reliability indices. Whenever AC
power flow algorithm does not converge to a solution, which is mostly due to
poor starting points, ill-conditioning problems or no real solution of power
flow equations, some techniques must be used to obtain a right solution, for
example, switching to DC methods, applying regularization method for ill-

conditioned algebraic linear equations system (Tikhonov, 1963) or using 2-
steps method of load curtailment to restore solvability and to operational
constraints.
Based on (1) typical composite reliability indices for load points and
overall system are defined as shown in Table 1.
Table 1. Typical composite power system reliability indices
Indice Load point indices System indices Unit

Name (at bus k)
Expected NS Nik NS Ni
hours/year
Duration of  d jik  d
i 1 j 1
ji
i 1 j 1 EDLC 
Load EDLCk  NS
NS
Curtailment
Probability EDLCk EDLC /year
PLCk  PLC 
of Load 8760 8760
Curtailment
NS NS
Expected occurrences/year
N ik N i
Frequency EFLC k  i 1 EFLC  i 1
NS
of Load NS
Curtailment
Expected NS Nik NS Ni
MWh/year
 ( BusENS jik )  (SysENS j ,i )
Energy Not i 1 j 1
EENS 
i 1 j 1
EENS k 
Supplied NS NS
where
Ni,k : Number of interruptions occurring in year i, at Bus k
dj,i,k: Duration of the j-th interruption (hours) in year i at Bus k,
NS: Number of simulation years
BusENSj,i,k : Energy not supplied in MWh for the jth interruption, in year i
at Bus k
Ni : Number of system interruptions in year i,
dj,i : Duration of the jth system interruption (hours), in year i.
SysENSj,i: System energy not supplied in MWh for the jth interruption,
in year i.
3. COMPOSITE RELIABILITY EVALUATION IN PARALLEL

AND DISTRIBUTED COMPUTING ENVIRONMENT
The flowchart of composite reliability evaluation based on SMCS is

shown in Figure 2.
Start
MASTER NODE
EDLC(k)=0; EENS(k)=0;EFLC(k)=0;
K=1,NBAll
EDLCS(k)=0; EENSS(k)=0;EFLCS(k)=0;
K=1,NB
NS=0
NS=NS+1
EENSSysY(NS)=0
ChronoUnitBranches(Cg,lg,mg,Cl,ll,ml,Cycle,CGgi,CLli) K=1,NB
Print EDLCK(k),EENSK(k),EFLCK(k)
LoadModel=Chrono
Yes PLCK(k)=EDLCK(k)/8760
ChronoHoursLoad(Pann, Pw%,Pd%,Ph%,PHi)
EDLCS(k)=EDLCS(k)+EDLCK(k)
No
NonChronoLoad(Pann) EENSS(k)=EENSS(k)+EENSK(k)
PLCS(k)=EDLCS(k)/8760
EDLCK(k)=0; k=1,NB
EFLCS(k)=EFLCS(k)+EFLCK(k)
EENSK(k)=0; k=1,NB
EENSSysY(NS)=EENSSysY(NS)+EENSK(k)
EFLCK(k)=0; k=1,NB
i=1,8760
COMPUTING NODE
K=1,NB
MASTER NODE
No EDLC(k)=EDLCS(k)/NS
OPF(i)
EENS(k)=EENSS(k)/NS
LoadCurtailment?
EFLC(k)=EFLCS(k)/NS
Yes
PLC(k)=EDLC(k)/8760
K=1,NB
No
LoadCurtailment at k-bus?
EDLCSys=0; EENSSys=0;EFLCSys=0
Yes K=1,NBAll
Yes
EDLCK(k)=EDLCK(k)+1
EDLCSys=EDLCSys+EDLC(k)
EENSSys=EENSSys+EENS(k)
EFLCSys=EFLCSys+EFLC(k)
EENSK(k)=EENSK(k)+DC(k)*Dt
PLCSys=EDLCSys/8760
CV(EENSSys,NS)
No LoadCurtailment at k-bus
at (i-1)-th time step?
(CV(EENSSys)<5%) OR
No (NS=NSmax)?
EFLCK(k)=EFLCK(k)+1 Yes
Stop
Figure 2. Flowchart of composite reliability evaluation based on SMCS.

Notes should be made, that from the algorithm the loops for hourly and
yearly simulation (with PF and OPF solutions) consume large computation
time that need to be reduced by parallel processing.
For composite power system reliability evaluation in parallel computing
environment it is necessary to consider following issues: parallel computer
architecture, parallel programming languages and tools, parallel random
generator and parallel algorithm (including task partitioning).
3.1. Parallel and Distributed Computing
3.1.1. Definition of Parallel Computing

There is no standard definition of parallel computing. Parallel computing
is a type of computation in which many calculations are carried out
simultaneously, operating on the principle that large problems can often be
divided into smaller ones, which are then solved at the same time (Gottlieb,
Allan & Almasi, George S, 1989). Parallel processing is a form of information
processing in which two or more processors together with some forms of
interprocessor communication system co-operate on the solution of a problem
(Hwang K., 1984). Parallel processing can be defined as the utilization of
multiple hardware components to perform a computation job.
3.1.2. Parallel Computer Architecture

A well-known and simple classification of parallel computers is given by
Flynn’s taxonomy as shown in Figure 3 (Flynn, M. J. , 1972). This taxonomy
characterizes parallel computers according to the global control and the
resulting data and control flows.
Figure 3. Flynn’s Taxonomy for Parallel Architecture.

Single Instruction, Single Data (SISD) is the conventional sequential

computer according to the von Neumann model. Multiple Instructions, Single
Data (MISD) is very restrictive and no commercial parallel computer of this
type has ever been built. Single Instruction, Multiple Data (SIMD) is the
model in which the instruction is synchronously applied in parallel by all
processing elements to different data elements. For applications with a
significant degree of data parallelism, the SIMD approach can be very
efficient.
At present, mostly parallel computers fall into the MIMD category. In
Multiple Instruction, Multiple Data (MIMD) model there are multiple
processing elements each of which has a separate instruction and data access
to a shared or distributed program and data memory. In each step, each
processing element loads a separate instruction and a separate data element,
applies the instruction to the data element, and stores a possible result back
into the data storage. Multicore processors or cluster systems are examples for
the MIMD model.
According to their memory organization, MIMD computers can be further
classified into two groups: computers with a physically shared memory (also
called multiprocessors, parallel computing systems or shared memory
machines - SMMs) and computers with a physically distributed memory (also
called multi-computers, distributed computing systems or distributed memory
machines -DMMs).
SMM consists of a number of processors or cores, a shared physical
memory (global memory) and an interconnection network to connect the
processors with the memory, see Figure 4 a) for illustration. The shared
memory can be implemented as a set of memory modules. Data can be
exchanged between processors via the global memory by reading or writing
shared variables. The cores of a multi-core processor are an example for an
SMM. A multi-core processor is a processor that includes multiple processing
units (called “cores”) on the same chip. A special variant of SMMs are
symmetric multiprocessors (SMPs).
Distributed Memory Machine (DMM) consists of a number of nodes and
an interconnection network which connects nodes and supports the transfer of
data between nodes. A node is an independent unit, consisting of processor,
local memory and, sometimes, periphery elements. See Figure 4 b) for
illustration.
Clusters are typical DMMs. A cluster is a type of distributed computing
system, which consists of a collection of interconnected stand-alone computers
working together as a single integrated computing resource (Buyaa, 1999)
(Pfister, 1998). The typical architecture of a cluster is shown in Figure 5.

Multiple standalone computers (PCs, Workstations, or Symmetric Multiple-
Processors SMPs), operating systems, high performance interconnects,
middleware, parallel programming environments and applications are key
components of a cluster. The entire cluster is addressed and programmed as a
single unit. The popularity of clusters as distributed machines comes from the
availability of standard high-speed interconnections like FCS (Fiber Channel
Standard), SCI (Scalable Coherent Interface), Switched Gigabit Ethernet,
Myrinet or InfiniBand.
Figure 4. Shared Memory and Distributed Memory Systems.

Figure 5. Cluster architecture.
Clusters can be classified into three groups as following.

High performance clusters: For mission critical applications. Examples: a
256-processor Sun cluster; The Blue Gene/Q. In June 2012, Blue Gene/Q
installations took the top positions in all three lists: TOP500, Graph500, and
Green500. It contains 18 core chip (16 cores for computing, 1 core for
operating system and 1 core for redundant spare) (Website, 2012). The 64-bit
PowerPC A2 processor cores are 4-way simultaneously multithreaded,
1.6 GHz. Peak performance is 204.8 GFLOPS at 1.6 GHz, drawing about 55
watts. 8 compute cards and 8 PCIe expansion slots are used for Infiniband or
10 Gigabit Ethernet networking. There are 32 compute drawers, for a total of
1024 compute nodes, 16,384 user cores and 16 TB RAM.
 Network Load balancing clusters: like web servers, mail servers.

 Science Clusters: like Beowulf. Beowulf is a cluster implemented on
multiple identical commercial off-the-shelf computers connected with
a TCP/IP Ethernet local area network.
Network of workstations (NOW) is a variation of cluster. NOW is a group

of standard workstations connected by a fast local area network (LAN)...
General-purpose computing on graphics processing units (GPGPU) that
are a fairly recent trend in computer engineering research belongs to
specialized parallel computing group. GPUs are co-processors that have been
heavily optimized for computer graphics processing (Boggan, et al., 2007).

Computer graphics processing is a field dominated by data parallel
operations—particularly linear algebra matrix operations.
Another form of parallel computing is grid computing. It makes use of
computers communicating over the Internet to work on a given problem.
Because of the low bandwidth and extremely high latency available on the
Internet, grid computing typically deals only with embarrassingly parallel
problems. Most grid computing applications use middleware, software that sits
between the operating system and the application to manage network resources
and standardize the software interface. The most common grid computing
middleware is the Berkeley Open Infrastructure for Network Computing
(BOINC).
Cloud computing (Rajkumar Buyya (Editor), 2011) is an IT model
enabling on-demand access to computing resources as a subscription service.
Cloud service providers create and maintain large data centers to provide their
clients with on-demand computing resources. Clients access and use external
resources dynamically in a pay-as-you-go manner. This proves to be very
appealing to businesses as it provides greater efficiency than maintaining local
infrastructure that is underutilized most of the time while at times it may be
insufficient.
3.1.3. Parallel Programming Tools

Parallel programming tools largely depend on the underlying architecture
being used to run parallel application, viz., shared memory machines or
distributed memory machines.
Programming Tools for Shared Memory Machines

OpenMP is a popular programming tool for shared memory machines.
OpenMP includes compiler directives identifying parallel region of the code
that can run as threads. The language creates parallelism in a fork-and-join
programming model (G. Jost, et al., 2003). Program begins sequential
execution as a single process or thread. When the directive for parallel region
is found, the single thread becomes master thread and creates several other
slave threads to execute parallel tasks. At the end of parallel region, all threads
are synchronized and joined to produce clubbed results.
The other well-known programming tools for shared memory machines
are Portable Operating System Interface (POSIX), Threads and Compute
Unified Device Architecture (CUDA).
Programming Tools for Distributed Memory Machines

Message Passing Interface (MPI) is a well-respected programming tool for
distributed memory machines. The communication among two or more
processors in distributed memory machine is carried out through message
passing. MPI consists of message passing libraries for the users that defines
the syntax and semantics of a core of library routines useful to a wide range of
users writing portable message-passing programs in C, C++, and Fortran.
There are several well-tested and efficient implementations of MPI, many of
which are open-source or in the public domain. These fostered the
development of a parallel software industry, and encouraged development of
portable and scalable large-scale parallel applications..
The other well-known programming tools for distributed memory
machines are Unified Parallel C (UPC) and Fortress.
Hybrid Programming Tool

For computing systems consisting of both shared and distributed memory
such as cluster of multi-core processors a hybrid programming model that
combines both OpenMP and MPI. In the model, OpenMP can be used to
implement loop level parallelism within a node by using compiler directives
while MPI can be used to provide process level parallelism across nodes.
Programming for GPU

In the early days, GPGPU programs used the normal graphics APIs for
executing programs. However, several new programming languages and
platforms have been built to do general purpose computation on GPUs with
both Nvidia and AMD releasing programming environments with CUDA and
Stream SDK respectively. Other GPU programming languages include
BrookGPU, PeakStream, and RapidMind. Nvidia has also released specific
products for computation in their Tesla series. The technology consortium
Khronos Group has released the OpenCL specification, which is a framework
for writing programs that execute across platforms consisting of CPUs and
GPUs. AMD, Apple, Intel, Nvidia and others are supporting OpenCL.
3.1.4. Parallel Algorithm

In parallel computing, a large problem is divided into smaller sub-tasks
and these sub-tasks are carried out in parallel on several processors. Speedup
refers to how much a parallel algorithm is faster than a corresponding
sequential algorithm. In fact, a large mathematical or engineering problem
may consist of several sequential and parallelizable portions. The speedup

achieved in computing performance after parallelizing most of the problems is
not ideal or linear speedup. According to Amdahl’s Law, a sequential portion
of the problem will limit the overall speedup achieved from parallelization
(Sharma, 2014). Moreover, depending on the nature of problem, after a certain
point, increase in number of processors will not improve the computing
performance.
The performance of a parallel algorithm largely depends on the nature of
problem, whether the problem is fine-grained, coarse-grained or
embarrassingly parallel. A computation problem is said to be fine-grained
when sub-tasks are dependent on the results of other sub-tasks. Sub-tasks more
frequently communicate with each other and a higher level of synchronization
among processor is required to solve such problems. In a computation
problem, when each sub-task is independent of all other tasks, than it is called
a coarse-grained computation problem. Sub-tasks less frequently
communicate with each other in this category. A third type is ‘embarrassingly
parallel’ in which sub-tasks never communicate with each other.
One approach to develop a parallel algorithm of a computational problem
is to convert its existing sequential algorithm by identifying inherent
parallelism in the problem. In another approach, a new parallel algorithm is
developed independent of any existing sequential algorithm. In terms of
methods, several approaches are used depending on the dividing criteria such
as divide and conquer, partitioning, pipelining etc.
3.2. Parallel Random Number Generator
3.2.1. Random Number Generator

The generation of random numbers is one of the fundamental tasks of
Monte Carlo simulation on computers.
Random number generators must provide a realization of a sequence of
independent, identically distributed random variables, distributed uniformly in
some given domain. There is no computer algorithm that provides truly
random numbers but only numbers with statistical properties of randomness.
These are called pseudorandom numbers, and the algorithms are called
pseudorandom number generators (PRNG).
3.2.2. Traditional RNG

A PRNG is defined by following components:
 An initial state s0 from a finite state space S

 A transition function f: S→S, such that sk+1=f(sk) for all k ≥ 0
 An output function g: S→[0,1], such that uk=g(sk) for all k ≥ 0
The length of the repeated cycle is called the period of the generator. A
good generator is one with a long period and no discernible correlation
between elements of the sequence.
PRNGs for generating uniform distribution random numbers can be
classified into two groups, according to the basic arithmetic operations
utilized: RNGs based on modulo arithmetic and RNGs based on binary
arithmetic.
Modular Arithmetic Based RNGs.
RNGs of this type yield sequences of random numbers s by means of
linear recurrence modulo m, where m is a large integer.
Linear Congruential Generator (LCG): LCG is one of the well-known
random number generators that is defined by the following recurrence relation:
𝑠𝑖 = (𝑎. 𝑠𝑖−1 + 𝑐) mod 𝑚 (3)
where s is the sequence of the generated random numbers and m > 0, 0 <a <
m, and 0  c; s0 < m.
If uniform distribution on [0; 1) is needed, then u = s/m should be used as
the output sequence. Numbers a, c and m should be carefully chosen to make
sure that maximum period can be achieved. LCG can be easily implemented
on computer hardware which can provide modulo arithmetic by storage-bit
truncation. RNG using LCG is provided with C library (rand()) as well as
many other languages. LCG has a relatively short period (at most 232 for 32-bit
integer) compared to other more complicated ones.
Multiple Recursive Generator (MRG): MRG is a derivative of LCG and
can achieve much longer period. A MRG of order k is defined as follows:
𝑠𝑖 = (𝑎1 . 𝑠𝑖−1 + 𝑎2 . 𝑠𝑖−2 + ⋯ + 𝑎𝑘 . 𝑠𝑖−𝑘 ) mod 𝑚 (4)
The recurrence has maximal period length mk-1, if tuple (a1,..., ak) has
certain properties (Knuth, 1969).
Combined Multiple Recursive Generator (CMR): CMR combines multiple
MRGs and can obtain better statistical properties and longer periods compared
with a single MRG. A well-known implementation of CMR, CMR32k3a
(L’Ecuyer, 1999), combines two MRGs:
𝑥𝑖 = (𝑎11 . 𝑥𝑖−1 + 𝑎12 . 𝑥𝑖−2 + 𝑎13 . 𝑥𝑖−3 ) mod 𝑚1
𝑦𝑖 = (𝑎21 . 𝑦𝑖−1 + 𝑎22 . 𝑦𝑖−2 + 𝑎23 . 𝑦𝑖−3 ) mod 𝑚2
𝑠𝑖 = 𝑥𝑖 − 𝑦𝑖 mod 𝑚1 (5)
where s forms the required sequence.

Binary Arithmetic Based RNGs
Binary arithmetic based RNGs are defined directly in terms of bit strings
and sequences(L'Ecuyer P., 2012). RNGs of this type can be more efficient
than modulo arithmetic based ones because of fast binary arithmetic
operations.
Xorshift: This RNG produces random numbers by means of repeated use
of bit-wise exclusive-or (xor, ) and shift (≪ for left and ≫ for right)
operations.
The underlying algorithm of a xorshift with four seeds (x; y; z; s) is as
follows:
𝑡 = (𝑥(𝑥𝑖 ≪ 𝑎))
𝑥=𝑦
𝑦=𝑧
𝑧=𝑠
𝑠 = (𝑠  (𝑤 ≫ 𝑏))  (𝑡  (𝑡 ≫ 𝑐)) (6)
where s forms the required sequence.

With a carefully selected tuple (a; b; c), the generated sequence can have
a period as long as 2128 - 1.
Mersenne Twister (MT): MT as a twisted Generalized Feedback Shift
Register (GFSR) is one of the most popular RNGs (Matsumoto & Takuji
Nishimura, 1998). MT can be implemented as follows:
Set r w-bit numbers (xi, i = 1, 2,..., r) randomly as initial values.
Let
0 𝐼𝑤−1
𝐴=( ),
𝑎𝑤 𝑎𝑤−1 𝑎1
where Iw-1 is the (w -1) x (w - 1) identity matrix and ai, i = 1,..., w take values
of either 0 or 1.
Define
(𝑤:(𝑙+1)) (𝑙:1)
𝑥𝑖+𝑟 = (𝑥𝑖+𝑟  (𝑥𝑖 | 𝑥𝑖+1 ) 𝐴),
where xi(w:(l+1)) | xi+1(l:1) indicates the concatenation of the most significant

(upper) w-l bits of xi and the least significant l bits of xi+ .
1
Perform the following operations sequentially:
𝑧 = 𝑥𝑖+𝑟  (𝑥𝑖+𝑟 ≥ 𝑡1 )
𝑧 = 𝑧  ((𝑧 ≪ 𝑡2 ) & 𝑚1)
𝑧 = 𝑧  ((𝑧 ≪ 𝑡3 ) & 𝑚2)
𝑧 = 𝑧  (𝑥 ≫ 𝑡4 )
𝑠𝑖+𝑟 = 𝑧/(2𝑤 − 1), (7)
where t1, t2, t3 and t4 are integers and m1 and m2 are bit-masks and ‘&’ is a bit-
wise AND operation.
si+r; i = 1, 2,... form the required sequence on interval (0; 1].
With proper parameter values, MT can generate sequence with a period as
long as 219,937 and extremely good statistical properties(Matsumoto & Takuji
Nishimura, 1998). Strategies for selecting good initial values are studied in
(Mutsuo Saito & Makoto Matsumoto, 2008) while Saito et al. proposed
efficient implementation for fast execution on GPUs.
3.2.3. Parallel RND

There are many approaches to obtain parallel random numbers streams (a
stream is a random number sequence) either by partitioning the main sequence
of a given generator into subsequences (substreams) or by parameterizing one
generator to have several sequences (multiple streams). Some techniques have
been surveyed and more recently, we have proposed the following survey
(David Hill, et al., 2012), according to that the techniques can be classified
to some main groups: Partitioning a main sequence (a unique original stream)
and Partitioning multiple streams via parametrization.
Partitioning a unique original stream is the approach which splits random
numbers from the considered cycle between the different processing elements
(PEs). Depending on the method that splits the main stream, this approach can
be classified into four main techniques.
1. Central server technique: It consists in using a central sever, running an
RNG and providing on-demand pseudo-random numbers to different PEs. The
advantage of this technique is avoiding the problem of generating multiple
independent random sequences.” However, this approach makes
reproducibility hard to achieve because of providing on-demand that might
change the order in which numbers will be distributed to PEs. Another
drawback is that a bottleneck will be created if too many PEs are applied. As a
result, this technique is not quite suitable for scientific applications.
2. Sequence splitting: It consists in allocating non-overlapping, contiguous
and equally sized blocks from the original random stream to form substream.
When partitioning a sequence xi, i =0, 1,... into N substreams, the j-th
substream is xk+(j−1)m, k =0,..., m−1, where m is the length of each substream.
One of the drawbacks is that m must be chosen so that each substream is long
enough to achieve the stochastic simulation performed by the corresponding
process. In addition, long-range correlations in the initial RNG can lead to
small-range correlations between the potential substreams.
3. Random spacing (indexed sequences methods): The random spacing or
indexed sequences method builds a partition of n streams by initializing the
same generator with n random statuses. In the case of old LCGs, it was named
random seeding. For modern generators with a more complex status, the
random statuses are generated with another RNG, and this technique is
interesting when generators have a huge period. This technique should be
avoided when the period of the RNG is smaller than 260 and when a single
simulation is consuming more than 1011 random numbers. Random spacing is
suitable for limited-memory environments like GPUs.
4. Leap frog: The leap frog (LF) is the way to partition a random stream in
the manner of dealing cards to several players. Random numbers are allocated
in turn to PEs, in the same way as cards are dealt to players. Pragmatically, let
each processor hold an i identifier. Every such PE will build a Yi substream
from an X original random stream such as Yi = Xi, Xi+N,..., Xi+kN, with N equal
to the number of processors(Aluru S., 1997).
Given the period P of the global sequence, the period of each stream is
P/N. As with the splitting technique, the long-range correlations in the initial
RNG can lead to small-range correlations between the potential substreams,
particularly if we have a large number of PEs. This technique needs to be used
with caution depending on the environment it is set up in. Thus, to preserve
reproducibility between two executions of the same simulation, one should not
use this technique when the parallelism grain is not fixed yet.
Partitioning multiple streams with parameterization: This approach
consists in using several declinations of the same PRNG: each generator has
the same structure and generation mechanism with a unique parameter set.
Although no mathematical proof can establish this independence, some
implementations of parameterization are safe according to the current state of
the art.
The use of random numbers in parallel Monte Carlo simulation is still a
challenging technical problem. Parallel simulations must first consider the
choice of a nice sequential generator. Test batteries are the only empirical way
to ensure that the generator in use fits for s wide set of applications. Selection
of techniques for parallel RNDs (the sequence splitting, the random spacing,
the leap frog or the parametrization...) largely depends on the nature of
application, the partitioning method and the results of current test methods
when available.
4. CASE STUDY
This section describes some issues related to implementing a VietReli
called computing tool for composite power system reliability evaluation based
on Monte Carlo simulation and parallel processing.
4.1. Parallel Computer Architecture and Programming Tool
Choosing parallel computer architecture and programming tool depends

on the problem characteristics and the available budget.
At present, High Performance Cluster (Supercomputers), Cluster of
Multicore PCs and Network of Workstations are the parallel computer
architecture options to be considered.
Figure 6. VietReli computing system.
Cluster of multicore PCs is feasible today due to the availability of very

powerful and cheap desktop computers, which can be interconnected by very
fast networks. Considering the problem characteristics, such as size of power
system, detail of system models (load, generator and transmission line), task
partitioning method, requirements on on-line computing..., a cluster of
multicore PCs was selected as basic hardware for computing tool VietReli. For
cluster of multicore PCs, the most suitable software model is the master –
slave model with message passing interface (MPI) as programming tool
(Thomsen, 2008).
As can be seen in Figure 6 the computing system VietReli consists of
Registry Node, Master Node, Computing Nodes, Database Server and Web
Server.
4.2. Parallel Random Generator
Considering task distribution process of the simulation, a parallel random

generator model with partitioning multiple streams (parameterization) was
used in VietReli. The binary arithmetic based RNGs MT and Xorshift have
been selected as primary random number generators. TestU1 (L’Ecuyer P. &
Simard R., 2007) has been used as empirical statistical test tool. Some test
results for well-known RNGs are shown in Table 2.
Table 2. Some test results for well-known RNGs
Base Execution Time Period Correlation (b/w 2 first sets of

RNG (ms) (approx.) 25,000 elements)
LCG 13,56 2^31 0,000604942
MRG 19,69 2^38 0,001023406
MT 17,46 2^19937 -0,000935539
MWC 14,01 2^60 0,002245278
XorShift 13,56 2^32 -0,000217948
4.3. Task Partitioning and Algorithm
As shown above the sequential algorithm of composite reliability

evaluation consists of two kinds of iterative loop: through each simulation year
and through each simulation hour. Moreover, the simulation process of each
hour (or each year) is independent from the process of other hours (years).
Thus, the main simulation job can be partitioned in two ways: i) one year or ii)
one hour as distributed processing grain. However, one hour grain partition
may cause an increase in communication time and a difficulty in arranging
simulation output that can lead to bottleneck problem. Therefore in VietReli
each thread of PC should be responsible for one simulation year.
The distributed computing algorithm for composite reliability evaluation
can be summarized as follows (see Figure 7 and Figure 8):
 Registration: Master Node and Computing Nodes register to Register

Node.
 Simulation preparation: Master Node sets up simulation parameters
through user interface or database, initiates its own simulation
environment, and sends general simulation information to the
Computing Nodes. Each Computing Node uses general information
received from Master Node and its own specific information to set up
simulation environment of the Computing Node.
 Simulation Process: Each Computing Node sends a message to the

Master Node to inquire a simulation task -> Master Node sends
information about assigned tasks (which operating years to be
simulated), to the Computing Node, -> Each Computing Node
dispatches simulation tasks to its workers. Each worker carries out
simulation for assigned year and returns the result to the Computing
Node -> Computing Node returns simulation results (i.e., yearly
reliability indices) for assigned years to the Master Node -> Master
Node updates estimate of reliability indices based on results for
simulated time span, checks convergence and stopping criterion. This
process is repeated until the Computing Nodes receives a termination
request from the Master Node.
 Termination: Computing Nodes will terminate simulation if they
receive a termination request from the Master Node. Simulation
results will be presented to users and stored in the database.
Master Node
User Interface
Simulation Task Partition

Receive yearly simulation result
Update reliability indices
Check for convergence and stopping
Database MPAPI Registry Node
MPAPI
Computing Node 1 Computing Node M

MPAPI MPAPI
Distributed Computing Control Distributed Computing Control
Worker 1 Worker 1
Worker N1 Worker N2
MCS for assigned year MCS for assigned year

Return result to Comp. Node 1 Return result to Comp.Node M
Figure 7. Task distribution in Computing System VietReli.

Master node Computing node
Initiate simulation environment for Master Node
Start simulation
Inquire job information

Provide job information
Initiate simulation environment for Computing Node
loop Inquire task information

Working Flag = true
alt
Continue to simulate Provide task information
Simulation for each task
Report simulation result
Process report and check stopping criteria
Stopping criteria is reached

Demand to stop
Set Working Flag = false
Figure 8. Message exchange between Master Node and Computing Node.
4.4. Test Results
The tests are explored in several power systems, mainly the 24 bus IEEE
Reliability Test System (IEEE Committee Report, 1979) and VietPS – the
Vietnam power system. The communication environment is a Local Area
Network with up to 8 PCs, each PC with core i5 processor. The LAN speed is
100 Mbps. The parallel and distributed processing is implemented in Visual
C# with TCP/IP protocol for message passing based on a MPAPI framework
(Thomsen, 2008).
The testing procedure is described as follows. First, the test systems are
examined for reliability evaluation on standalone multicore PC (core i5) using
different numbers of threads (from 1 to 8). Secondly, the test systems are
examined on a cluster of 8 PCs (core i5); each PC involves 4 threads for

simulation. Performance indices are average computation time per simulated
year, speedup and efficiency. Speedup and efficiency are defined by the
following equations:
Speedup = T1/Tp (8)
Efficiency= (Speedup/p) (9)
where T1 and Tp are average simulation time on 1 and p threads, respectively

(for test on standalone PC); T1 and Tp are average simulation time on 1 and p
PCs, respectively (for test on cluster of p computers).
These are the observations from the test results:
Multithreading test on standalone multicore PC: As shown in Table 2, for
IEEE-RTS, when number of involved threads increases from 1 to 4, the
speedup increases from 1 to 4.04, the simulation time is reduced from 193s to
48s and the efficiency, in general, decreases; when number of threads
increases from 4 to 8, the speedup drops and the efficiency decreases at a
higher rate. Thus, one should find out the optimal number of threads to
optimize utilized computing resource of the PC (in this instance, 4 threads). It
is easy to see from Table 2 that, the larger system scale is, the lower rate of
increase of speedup when number of involved threads increases.
Cluster test on 8 connected multicore PCs: For IEEE-RTS, when the
number of PCs increases from 1 to 8, the speedup increases from 1 to 7.92, the
simulation time is reduced from 49.6s to 6.2s. For VietPS, the speedup
increases from 1 to 7.62 and the simulation time is reduced from 729.4s to
95.7s.
Table 3. Simulation time, speedup and efficiency
with different number of threads
Test System Performance Number of Threads

indices 1 2 3 4 5 6 7 8
IEEE-RTS Simulation time (s) 193 99 66 48 50 52 57 55
Speedup (times) 1.00 1.95 2.92 4.00 3.86 3.68 3.41 3.51
Efficiency (%) 100 97 97 100 77 61 49 44
VietPS Simulation time (s) 1954 1011 843 725 1066 1724 868 1071
Speedup (times) 1.00 1.93 2.32 2.70 1.83 1.13 2.25 1.82
Efficiency (%) 100 97 77 67 37 19 32 23
CONCLUSION
MCS based composite system reliability evaluation has often faced time-
consuming computation problem, in particular for large actual power systems
and accurate mathematical models of system components. This problem
practically cannot be solved without using intelligent techniques especially
parallel computing environment. As IT and parallel computing grows and
changes rapidly, the methodology for reliability evaluation should be
systematically and frequently approached with updating new IT tools and
methods.
Many surveys have shown that at present all popular parallel computers
are based on MIMD architecture. MIMD computers can be classified into
shared memory machines - SMMs (or parallel computing systems) and
distributed memory machines - DMMs (or distributed computing systems).
Nowadays High Performance Cluster (i.e., Supercomputers); Cluster of
Multicore PCs and Network of Workstations are the parallel computer
architectures options to be considered. Final selection of the computer
architecture depends on the required performance and available budget.
OpenMP and MPI are the most popular programming tools and suitable
for SMM and DMM respectively. For hybrid shared memory and distributed
memory architecture both OpenMP and MPI languages should be used. There
are several parallel programming tools that combined OpenMP and MPI
functions together.
Random number generation is the first critical issue for parallel MCS
based composite system reliability evaluation. Partitioning a unique original
stream (which includes central server technique, sequence splitting, random
spacing and leap frog) and partitioning multiple streams with parameterization
are two groups of well-respected methods that should be considered. Basic
RNGs can be modular arithmetic based or binary arithmetic based algorithms
depending on size of the simulated system and result of statistical tests for
RNGs.
Parallel algorithm including task partitioning is the second critical issue.
The performance of a parallel algorithm largely depends on whether the
problem is fine-grained, coarse-grained or embarrassingly parallel. For the
MCS based reliability evaluation a grain can be an hour, several hours or a
year of simulation. Selection of suitable grain depends on largely computer
architecture and nature of the problem.
In the case study a cluster of multicore PCs was selected for two reasons.
First, the cluster is available and cost-effective. Second, cluster of multicore
PCs is a typical hybrid SMM&DMM architecture that requires both OpenMP

and MPI paradigms. Programming framework based on master-slave model
and Message Passing Application Programming Interface was implemented.
Related to task partitioning each thread of PC should be responsible for one
simulation year as a grain at a time. Random number generation was based on
fast binary arithmetic algorithms Xorshift and MT as basic generator and
partitioning multiple streams with parameterization as parallel distribution
techniques. Several important reliability indices such as PLC, EDLC, EFLC,
and EENS... are calculated as test results obtained on IEEE-RTS24 and actual
Vietnam power system with 374 buses. Test result on IEEE-RTS and the
Vietnam power system have shown that the computation time is actually
reduced with the increasing number of PCs in cluster, and for each PC the
number of threads involved in simulation should be defined beforehand to
optimize the utilization of computing resources.
To get increased performance in the future, new IT tools should be
updated. In particular GPGPU should be included for AC-OPF solution and
multistate model of power system’s elements could be used. Grid computing
and cloud computing (Qiuhua Huang, 2010) can be considered for cost-
effective solution of the problem.
ACKNOWLEDGMENTS
The work presented in this chapter was supported by the Ministry of
Science and Technology and Ministry of Industry and Trade Grant
44/2012G/HD-ĐTĐL.
REFERENCES
Aluru S., 1997. Lagged fibonacci random number generators for distributed
memory parallel computers. Journal of Parallel and Distributed
Computing, Volume 45(1), pp. 1-12.
Billinton, R. & Allan, R., 1994. Reliability evaluation of power systems.
Second ed. New York: Plenum Press.
Billinton, R. & Wangdee W, 2006. Predicting bulk electricity system
reliability performance indices using sequential Monte Carlo simulation.
IEEE Transactions on Power Delivery, March, 21(2), pp. 909 - 917.
Boggan, Sha'Kia & Daniel M. Pressel, 2007. GPUs: An Emerging Platform
for General-Purpose Computation, s.l.: U. S. Army Research Lab..
Borges, C. L. T., Falcao, D. M., Mello, J. & Melo, A., 2001. Composite
Reliability Evaluation by Sequential Monte Carlo Simulation on Parallel
and Distributed Processing Environments. IEEE Trans. on Power Systems,
May, 16(2), pp. 203-209.
Buyaa, R., 1999. High Performance Cluster Computing:,,,. s.l.:s.n.
Chee, S. Y. & Buyya, R., 2004. Cluster Computing: High-Performance, High-
Avalability, and High-Throughput Processing on a Network of Computers,
s.l.: s.n.
Chee, S. Y. & Buyya, R., 2004. Cluster Computing: High-Performance, High-
Avalability, and High-Throughput Processing on a Network of Computers,
s.l.: s.n.
Creel M., G. W., 2007. Multi-core CPUs, Clusters, and Grid Computing: A
Tutorial, NY: s.n.
David Hill, Claude Mazel, Jonathan Passerat-Palmba & Mamadou Kaba
Traore, 2012. Distributionof Random Streams for Simulation
Practitioners.. In: Concurrency and Computation: Practice and
Experience. s.l.:Wiley, pp. 1427 - 1442.
Deng Z., S. C., 1992. A new approach to reliability evaluation of
interconnected power systems including planned outages and f. IEEE
Trans. PWRS, 7(2), pp. 734-743.
Endrenyi, J., 1979. Reliability modeling in electric power systems. New York:
Wiley & Sons.
EPRI, 1987. Composite System Reliability Evaluation Methods, Final Report
on Research Project 2473-10, EPRI EL-5178, s.l.: s.n.
Flynn, M. J., 1972. Some Computer Organizations and Their Effectiveness.
IEEE Trans. Comput. C–21 (9):, Volume C–21 (9), p. 948–960.
G. Jost, H. Jin, D. Mey & F. Hatay, 2003. Comparing the OpenMP, MPI, and
Hybrid Programming Paradigms on an SMP Cluster. Fifth European
Workshop on OpenMP (EWOMP03). s.l., s.n.
Gottlieb, Allan & Almasi, George S, 1989. Highly parallel computing..
Redwood City, Calif.: Benjamin/Cummings.
Gubbala, N. & Singh, C., 1995. Models and considerations for parallel
implementation of Monte Carlo simulation methods for power system
reliability evaluation. May, 10(2), pp. 779-.
Guo Liang Chen & Yun Quan Zhang, Sept. 2012. Survey on Parallel
Computing. Journal of Computer Science & Technology, 21(5), pp. 665-
673.
Hawick, 2010. Mixing muli-Core CPUs and GPUs. Res. Lett. Inf. Math. Sci.,
Volume 14.
Hoemmen, M., 2007. Generating random number in parallel, s.l.: AT cs DOT

berkeley DOT edu.
Huang, Q., 2010. Exploiting Cloud Computing for Power System Analysis.
s.l.:s.n.
Hwang K., B. F., 1984. Computer Architecture and Parallel Processing. New
York: McGraw-Hill.
IEEE Committee Report, 1979. “IEEE Reliability Test System.” IEEE
Transaction on Power Apparatus and Systems, Nov/Dec, PAS-98(6), pp.
2047-2054.
Knuth, D. E., 1969. The Art of Computer Programming, volume 2:
Seminumerical Algorithms, Amsterdam, London: s.n.
L’Ecuyer P. & Simard R., 2007. TestU01: A C Library for Empirical Testing
of Random Number. ACM Transactions on Mathemathical Software,
33(4).
L’Ecuyer, P., 1999. Good parameters and implementations for combined
multiple recursive random number generators. Operations Research,
Volume 47.1, p. 159–164.
L'Ecuyer P., 2012. “Random Number Generation” In: Handbook of
Computational Statistics: Concepts and Methods. s.l.:Springer Berlin
Heidelberg.
Lemaitre C., T. B., 1996. Two Application of Parallel Processing in Power
System Computation. IEEE Trans. on Poweer Systems, 11(1), pp. 246-
253.
Lewis, T. & El-Rewini, H., 1992. Introduction to Parallel Computing. New
York: Prentice Hall.
Lingfeng Wang & Singh, C., 2009. Reliability evaluation of composite power
systems using parallel genetic algorithms: Some conceptual and
simulation studies. PSCE '09, IEEE/PES.
M. V. F. Pereira & L. M. V. G. Pinto, 1992. A New Computational Tool for
Composite Reliability Evaluation. IEEE Transactions on Power Systems,
February, 7(1), pp. 258-264.
Marsaglia, G., 2003. “Xorshift RNGs.” In: Journal of Statistical Software.
s.l.:s.n.
Mascagni, M., 1998. High-performance monte carlo tools. IEEE
Computational Science & Engineering, 5(2), p. 97–98..
Matlof, N., 2013?. Programming on Parallel Machines. s.l.:s.n.
Matsumoto, M. & Takuji Nishimura, 1998. Mersenne twister: a 623-

dimensionally equidistributed uniform pseudo-random number generator.
ACM Transactions on Modeling and Computer Simulation (TOMACS), p.
3–30.
Mello J. C. O, P. M. L. d. S. A., 1994. Evaluation of Reliability Worth in
Composite Systems Based on Pseudo-Sequential Monte Carlo Simulation.
Trans. on Power Systems, 9(3).
Melo, A. C. G., Melo, J. & Granville, S., 1997. The Effect of Voltage Collapse
Problems in the Reliability Evaluation of Composite Systems. Trans. on
Power Systems, 12(1).
Micheal, Q., 2004. Parallel Programming in C with MPI and OpenMP.
s.l.:s.n.
Mutsuo Saito & Makoto Matsumoto, (Feb. 2013). Variants of Mersenne
Twister Suitable for Graphic Processors. ACM Trans. Math. Softw., 39(2).
Mutsuo Saito & Makoto Matsumoto, 2008. SIMD-Oriented Fast Mersenne
Twister: a 128-bit Pseudorandom. In: S. H. a. H. N. Alexander Keller, ed.
Monte Carlo and Quasi-Monte Carlo Methods. s.l.:Springer Berlin
Heidelberg, p. 607–622.
Nikolay Grozev, R. B., 2006?. Performance Modelling and Simulation of
Three-Tier Applications in Cloud and Multi-Cloud Environments.. s.l.:s.n.
Nikolay Grozev, R. B., n.d. Performance Modelling and Simulation of Three-
Tier Applications in Cloud and Multi-Cloud Environments.. s.l.:s.n.
Nisha R. Godha, Surekha R. Deshmukh & Rahul V. D, 2012. Time Sequential
Monte Carlo Simulation for Evaluation of Reliability Indices of Power
Distribution System. s.l., ISCI.
Noferi P. L., P. L. S. L., 1975. Monte Carlo Methods for Power System
Reliability Evaluation in transmission or Generation Planning.
Washington DC, s.n.
Oliveira G. C., P. M. C. S., 1989. A technique for reducing computational
effort in Monte-Carlo based composite reliability evaluation. IEEE Trans.
on Power Systems, 4(4).
Pfister, G. F., 1998. In search of Clusters. 2nd Edition ed. s.l.:Prentice Hall.
Qiuhua Huang, M. Z. Y. Z. Z. W., 2010. Exploiting Cloud Computing for
Power System, s.l.: https://www.researchgate.net/publication/251974998.
Rajkumar Buyya (Editor), J. B. (. A. M. G. (., 2011. Cloud Computing:
Principles and Paradigms. s.l.:s.n.
Rünger, T. R. a. G., 2013. Parallel Programming. Berlin: Springer Verlag.
Sharma, R., 2014. ADVANCES AT A GLANCE IN parallel Computing.
Indian Journal of Computer Science and Engineering (IJCSE), 5(3).
Singh C., M. J., 1997. Composite system Reliability Evaluation using State
Space Pruning. IEEE Transactions on Power Systems, 12(1).
Singh, C., Xiaochuan Luo & Hyu, 2006. Power System Adequacy and Security
Calculations Using Monte Carlo Simulation incorporating Intelligent
System Methodology. Stockholm, Sweden, KTH.
Thomsen, F., 2008. Introduction to Message Passing and the MPAPI
framework. [Online].
Tikhonov, A. N., 1963. Solution of incorrectly formulated problems and the
regularization. Soviet Math. Dokl. 4, p. 1035–1038.
Tran Ky Phuc, Vu Toan Thang & Le Thi Thanh Ha, 2011. A Monte Carlo
simulation based computing tool for assessing reliability of generation
systems. Journal of science & technology - Technical universities, Issue
85, pp. 7-12.
Tran Ky Phuc, Vu Toan Thang, Pham Hai Binh & Le Thi Thanh Ha, 2015. A
Computing Tools for Composite Power System Reliability Evaluation
Based on Monte Carlo Simulation and Parallel Processing: Proceedings
of the Second Int. Conf. on Mechatronics and Automatic Control. s.l.,
Verlag Springer.
Vietnam Institute of Energy, 2011, 2014. The National Master Plan for power
development for the 2011 – 2020 period with the vision to 2030, Hanoi:
Vietnam Institute of Energy.
Website, 2012. http://www.kurzweilai.net/ibm-announces-20-petaflops-
supercomputer. [Online].
Website, n.d. http://www.10gea.org, s.l.: s.n.
Website, n.d. http://www.mcs.anl.gov/research/ projects/mpi. [Online].
Website, n.d. https://en.wikipedia.org/wiki/Parallel_computing#cite_note-1.
[Online].
Website, n.d. Wikipedia. [Online].
BIOGRAPHICAL SKETCHES
Pham Hai Binh
Affiliation: VietSoftware International Inc, 6th floor, 15 Pham Hung road,

Hanoi, Vietnam. Email: hbiisme@gmail.com
Education: Master graduated from Hanoi University of Science and
Technology in 2013
Address: VietSoftware International Inc, 6th floor, 15 Pham Hung road,

Hanoi, Vietnam. Email: hbiisme@gmail.com
Research and Professional Experience:

Monte Carlo simulation.
Sound classification using artificial neuron network
Enterprise Content Management System
Professional Appointments:
2010-2012: Researcher at International Research Institute MICA
2012-2016: Senior Software Engineer / ECM Technical Leader at
VietSoftware International Inc.
Publications Last 3 Years:

Tran Ky Phuc, Vu Toan Thang & Pham Hai Binh, 2014. A Monte Carlo
simulation and Genetic Algorithm based power system reliability
evaluation. Proceeding of Conference Science and Technology in Electric
Power Industry.Danang (in Vietnamese).
Verlag Springer.
Le Thi Thanh Ha
Affiliation: Hanoi University of Technology, 1 Dai Co Viet street, Hanoi,

Vietnam. Email: hale2305@gmail.com
Education: Master of Science graduated from Kharkov Technology
University in 1991
Address: Hanoi University of Technology, 1 Dai Co Viet street, Hanoi,
Vietnam. Email: hale2305@gmail.com

Instrumentation
Load forecasting in power system using artificial neuron network
Power system reliability and stability.
Since 1998: Teacher in Hanoi University of Technology

85, pp. 7-12. Hanoi (in English)
simulation based power system reliability assessment: Techniques
reducing computation time. Journal of science & technology in Vietnam.
Issue 20. Hanoi (in Vietnamese).
Verlag Springer.
Tran Ky Phuc
Affiliation: Vietnam Institute of Energy, 6 Ton That Tung street, Hanoi,

Vietnam. Email: trankyp@hotmail.com
Education: PhD graduated from Moscow Energy Institute in 1993
Doctor of Science graduated from Kharkov Technology University in
1996
Address: Vietnam Institute of Energy, 6 Ton That Tung street, Hanoi,
Vietnam. Email: trankyp@hotmail.com

Non-destructive diagnostics based on partial discharge detection in HV
apparatus
Load forecasting in power system using artificial neuron network
Power system reliability and stability.
Before 2000: Researcher in Electricity of Vietnam.
2000-2001: Vice-Director of Power Network Department of Electricity of

Vietnam
2001-2005: Director of Science an Department of Electricity of Vietnam
Since 2005:Vice-Director of Vietnam Institute of Energy (under Ministry
of Industry and Trade)

85, pp. 7-12. Hanoi (in English)
simulation based power system reliability assessment: Techniques
reducing computation time. Journal of science & technology in Vietnam.
Issue 20. Hanoi (in Vietnamese).
Tran Ky Phuc, Vu Toan Thang & Pham Hai Binh, 2014. A Monte Carlo
simulation and Genetic Algorithm based power system reliability
evaluation. Proceeding of Conference Science and Technology in Electric
Power Industry.Danang (in Vietnamese).
Verlag Springer.
Chapter 2
PK/PD ANALYSIS OF
STAVUDINE-GOLD NANOPARTICLES
BY MONTE CARLO SIMULATION
H. Zazo, A. Martín-Suárez and J. M. Lanao

Area of Pharmacy and Pharmaceutical Technology.
University of Salamanca. Salamanca. Spain
Institute of Biomedical Research of Salamanca (IBSAL),
Salamanca. Spain
ABSTRACT
Introduction: Antiretroviral drug treatments allow for the control of
HIV infection keeping low levels of viral load during various years. After
that time, viral load increases again due to the virus replication from
reservoirs, such as macrophages, where drugs do not reach successful
therapeutic conditions. The use of delivery systems such as gold
nanoparticles (AuNPs), helps to target the drug inside both HIV target
and reservoir cells. Different pharmacokinetic/pharmacodynamic
(PK/PD) models have been developed to study drug plasma and tissue
levels, as well as the pharmacological response in HIV infection. The aim
of this work is the development of a PK/PD model to evaluate, by Monte
Carlo simulation as a data maximization strategy, the antiviral activity of
two stavudine formulations: conventional stavudine and stavudine-gold
nanoparticles (stavudine-AuNPs).
36 H. Zazo, A. Martín-Suárez and J. M. Lanao
Methods: For each treatment, the PK model developed describes

stavudine plasma and macrophage levels, and the disease evolution model
describes time-evolution of T cells, macrophages and viral load. Both
models are linked by Hill equation to predict the inhibition of virus
replication by stavudine (PD model). A priori information of PK and PD
parameters was obtained from in vitro and in vivo studies and they were
sampled from a log-normal distribution. Monte Carlo sampling of
stochastic elements was performed to generate data of 1000 individuals
during 10 years of treatment, using a Latin Hypercube Sampling with
GoldSim software. The dosage regimens of both treatments have been
designed taking into account toxic AuNPs concentration and conventional
drug schedules.
Results: Conventional stavudine achieves therapeutic steady-state
plasma levels, though macrophage levels are very low. By contrast,
stavudine-AuNPs provide higher macrophage concentrations but with
lower plasma levels. The viral load–time profile shows that at the
beginning of the disease most virus load cames from infected T cells,
where both treatments have a similar effect. But over the course of the
disease, the number of T cells decreases and the macrophage viral load
begins to be important. At this time, free stavudine treatment fails
completely while stavudine-AuNPs inhibits the viral growth. According
to this model, the probability of having low viral load with high T
cells/µL values is higher and lasts longer with stavudine-AuNPs
treatment than with the conventional one.
Conclusion: A PK/PD model has been developed to simulate plasma
and macrophage stavudine concentrations as well as its anti-HIV activity.
According to the Monte Carlo simulation, stavudine-AuNPs treatment
allows for the control of HIV infection for a more prolonged time.
Keywords: Monte Carlo simulation, PK/PD modelling, stavudine,

nanoparticles, HIV
1. INTRODUCTION
Antiretroviral drug treatments allow for the control of human
immunodeficiency virus (HIV) infection keeping low levels of viral load
during various years. After that time, viral load increases again due to the virus
replication from reservoirs, like macrophages (Cassol, Alfano, Biswas, & Poli,
2006a), where the drug does not reach successfully. Mononuclear phagocytes
have been proposed as the main reservoir for viral dissemination, reaching
tissues with limited drug entry (Shegokar & Singh, 2011).
PK/PD Analysis of Stavudine-Gold Nanoparticles … 37
The use of nanoparticles in infectious diseases has been intensively

researched in the last decades (Zazo, Colino, & Lanao, 2016). The use of
delivery systems such as gold nanoparticles (AuNPs), helps to target the drug
inside both HIV target and reservoir cells, such as macrophages. Nanoparticles
are recognized as foreign agents by macrophages (Chellat, Merhi, Moreau, &
Yahia, 2005). The drug uptake kinetic with nanocarriers is different from that
with the conventional formulation. The use of gold nanoparticles as
nanocarriers allows for an increase in the amount of drug into the cell (Zazo et
al., n.d.). Once inside the cells, the drug is released from the nanoparticle to
carry out the antiretroviral action.
However, most of this knowledge is based on in vitro and in vivo studies,
so there is an urgent need for methodologies that will enable interpretration of
experimental data and assistance in the rational design of future clinical
studies. The use of modelling and simulation may help to resolve this issue. In
fact, European guidelines have listed them as a support tool for investigation
of nanoparticles hazards assessment (Li, Al-Jamal, Kostarelos, & Reineke,
2010). PK/PD modelling integrate preclinical and literature data to test
treatment efficacy or other hypotheses, as well as to calculate likelihood of
resistence, toxicity and so on. The use of Monte Carlo Simulation also helps to
have a probabilistic idea of the process, seeing that it takes into account the
uncertainty and wide variability of parameters.
Mathematical models provide a rigorous means of describing the infection
evolution (Perelson, 2002), helping to improve the knowledge about HIV
infection and suggesting new avenues of pharmacologic and/or
pharmacokinetic actions (Nowak & Bangham, 1996). Different
pharmacokinetic/pharmacodynamic (PK/PD) models have been developed to
study drug plasma and tissue levels, as well as the pharmacological response
to antiretroviral drugs. There are different mathematical approachs to model
the course of HIV infection, taking into account latent cells, reservoirs, drug
resistant virus mutation and the pharmacodynamics of therapy (Baggaley,
Powers, & Boily, 2011; Bonhoeffer, 1998; Duffin & Tullis, 2002; Nowak &
Bangham, 1996; Perelson, 2002; Raimundo, Yang, Venturino, & Massad,
2012; Ribeiro, 2007; Sedaghat & Wilke, 2011; Wasserstein-Robbins, 2010;
Wein, D’Amato, & Perelson, 1998; Wodarz, 2014). Regarding HIV drug
therapy there are also pharmacokinetic models which take into account
profilaxis, multidrug-therapy, drug resistance and population variability
(Koizumi & Iwami, 2014; van de Vijver et al., 2013).
The dynamic of HIV-1–infected cells is influenced by the
pharmacokinetic parameters whose values depends on the kind of drug
formulation. Trough simulation, these changes can be predicted with an

integrated PK/PD model of HIV infection, without testing the Stavudine-
AuNP treatment in real patients. To model the variability characteristic of the
real situations, probabilistic simulations include random variables in their
parameters. In this way, each result is made from probability functions and it’s
possible to control all the factors that take part in the process. Therefore, the
results are accurately predicted (Averill M.L., 2000). In order to do a
probabilistic prediction, Monte Carlo Simulation has been used, which is a
common stochastic tool to model the variability and uncertainty of the
parameters (Nestorov, 2001).
The aim of this work is to describe, the PK/PD effect of the antiretroviral
drug stavudine both as the conventional formulation and with gold
nanoparticles as nanocarriers (stavudine-AuNPs). The antiviral activity of
these different treatments are going to be evaluated by the use of Monte Carlo
simulation as a data maximization strategy.
Based on modelling and simulation results, limitations and uncertainties of
the treatments can be identified in order to optimize the design of a nanocarrier
therapy before any clinical efficacy data are available.
2. METHODS
2.1. Dosage Regimens Design
The conventional stavudine dose schedule in HIV patients is 40 mg/12 h

(1 mg/kg/day). The efficacy of the conventional regimen of free stavudine by
i.v. and oral administration has been compared with the same regimen of
stavudine-AuNPs by i.v. administration. The pharmacokinetic parameters of
stavudine-AuNPs are based on the results of the previous study (Zazo et al.,
n.d.).
After that, other schedules were simulated to choose the best stavudine-
AuNP dosage regimen: 40 mg/24 h (0.5 mg/kg/day), 80 mg/24 h (1
mg/kg/day) and 80 mg/12 h (2 mg/kg/day).
Table 1. Pharmacokinetic and pharmacodynamic parameters used for the simulation.
Pharmacokinetic Parameters Pharmacodynamic Parameter

Parameter Value Ref. Parameter Value Ref.
(Units) (CV%) (Units) (CV%)
Stavudine Dose 1 (20) (Dolin, Masur, & INH IC50m (ng/µL) 0.038 (76) (Dolin et al.,
(mg/kg/day) Saag, 2007) 2007)
IC50 (ng/µL) 0.124 (90) (Shen et al.,
2008)
Ka (1/day) 103.2 (30) T cells y 1.13 (44) (Stafford et al.,
Vd (L/kg) 0.743 (20) dT (1/day) 0.01 (57) 2000)
Cl (L/day/kg) 7.28 (32) (Maderuelo et al., dTi (1/day) 0.39 (49)
2011)
Kin-drug (h-1) 0.008 (30) (Zazo et al., n.d.) To (cell/µL) 10 (15)
Kei (1/day) 2.38 (20) (Cassol et al., 2006b) Kt (virions/µL/ 0.56*e-3 (37)
day)
Macrophages dM (1/day) 0.0037 (20) (Duffin &
Stavudine- Krel (1/day) 418.8 (30) (Zazo et al., n.d.) dMi 0.024 (20) Tullis, 2002)
AuNP Kmac 0.00056 (37)
b_rel (-) 0.400 (30) HIV Virus Vo (cell/µL) 10-6 (20)
Kin-NP (1/day) 54.96 (30) C (1/day) 3 (15) (Stafford et al.,
bin (-) 0.458 (30) pT (virions/day) 884 (52) 2000)
pM (virions/day) 0.1*103*(0.00028t) (Duffin &
Tullis, 2002)
40 Zazo. H, Martín-Suárez. A and Lanao. JM
2.2. Pharmacokinetic/Pharmacodynamic (PK/PD) Parameters
A priori information of PK and PD parameters was obtained from the

literature (Table 1.). Stavudine PK parameters are based on the population
pharmacokinetic parameters corresponding to noncompartmental analysis
(Maderuelo, Zarzuelo, & Lanao, 2011) and in vitro studies (Cassol, Alfano,
Biswas, & Poli, 2006b; Garg, Asthana, Agashe, Agrawal, & Jain, 2006; Zazo
et al., n.d.), while stavudine-AuNP PK parameters were collected mainly from
an in vitro study (Zazo et al., n.d.). PD parameters were estimated from HIV
patient data (Duffin & Tullis, 2002; Stafford et al., 2000).
2.3. Pharmacokinetic and Pharmacodynamic (PK/PD) Model
A specific stavudine PK/PD model was used to simultaneously simulate

stavudine serum and intracellular macrophage levels as well as the
antiretroviral responses for the different dosage regimens tested.
2.3.1. Pharmacokinetic Model (PK model)

A one-compartment open kinetic model has been used to define the
behaviour of conventional stavudine and stavudine-AuNP. First-order oral and
i.v administration and elimination were considered to describe stavudine
plasma and macrophage concentration (Conventional stavudine submodel)
(Figure 1A). The experimental kinetic models taken from the literature have
been used to define the behaviour of stavudine-AuNP and stavudine released
from them after the i.v. administration of stavudine-AuNP (stavudine-AuNP
submodel) (Figure 1B).
Equations for conventional i.v. stavudine treatment
dSC/dt = – ((Kin-drug+Ke)* SC) C.Initial = Dose/Vd (1)
dMC/dt = (Kin-drug*SC)*(Vd/Vi)- (Ke-i* MC) (2)
Equations for conventional oral stavudine treatment
dAC/d t = -Ka*AC C.Initial = Dose/Vd

(3)
dSC/dt = (Ka*AC) – ((Kin-drug +Ke)* SC) (4)
dMC/dt = (Kin-drug*SC)*(Vd/Vi)- (Kei* MC) (5)
Equations for i.v. stavudine-AuNP treatment
dNP-SC/dt = –((Krel/ ((Time)^b_rel))+(Kin-NP/((Time)^b_in)))* NP-SC

(6)
C.Initial = Dose_NP/Vd
dNP-MC/dt = ((Kin-NP/((Time)^b_in))* NP-SC)*(Vd/Vi)–

(Krel/((Time)^b_rel))* NP-MC (7)
dDrug-SC/dt = (Krel/ ((Time)^b_rel))* NP-SC )– ((Kin+Ke)* Drug-SC)

(8)
dDrug-MC/dt = ((Kin-drug*Drug-SC*(Ve/Vi))+((Krel/ ((Time)^b_rel))*

NP-MC))- (Ke-i*Drug-MC) (9)
Figure 1. Pharmacokinetic model of conventional stavudine treatment (A) and

stavudine-AuNP treatment (B).
2.3.2. Pharmacodynamic Model (PD model)

PK model was linked to PD behaviour by Hill equation, in order to predict
the inhibition of virus replication by stavudine (Rosario, Jacqmin, Dorr, van
der Ryst, & Hitchcock, 2005). Stavudine acts by reducing the viral infection
rate constant, by factor INH, and the effectiveness is given by the expression:
1- INH. The maximum inhibition is assumed to be equal to 1 assuming no
escape routes. The IC50 of stavudine has a huge variability both in T cells and
macrophage. The CV for T cells was 90 % and 75 % for macrophages based
on the values of the literature (Bristol-Myers Squibb Company, n.d.; Dolin et
al., 2007; Shegokar & Singh, 2011).
Free stavudine inside macrophages inhibited the viral load from them
(INHM), while the free stavudine serum inhibited viral load from T cells
(INH). The differential equations used are:
INH = (Imax* (SC)^y)/(IC50^y + (SC)^y) (10)
INHM = (Imax* (MC)^y)/(IC50m^y + (MC)^y) (11)
Figure 2. Disease evolution model.
The PD model (Figure 2) is based on the mathematical model of the

complete course of HIV infection developed by Duffin et al. (Duffin & Tullis,
2002). It describes: 1) time-evolution of infected and noninfected T cells (HIV
target cells); 2) time-evolution of infected and non infected macrophages (HIV
reservoir); and 3) time-evolution of virus load from T cells, macrophages and
total.
The differential equation used are:
T = (dT*To) - [(dT*T) + ((Kt*T*V)*(1-INH))] (12)
Ti = ((Kt*T*V)*(1-INH)) - (dTi*Ti) (13)
M = (dM*Mo)-[(dM* M) + ((Kmac*M*V)*(1-INH))] (14)

Mi = ((Km*M*V)*(1-INHM)) - (dMi* Mi) (15)
V = [(PT*Ti) + (PM*Mi)] - [(c*V)] (16)
2.4. Monte Carlo Simulation
Monte Carlo simulation was performed to generate 1000 simulated

stavudine steady-state plasma curves and viral loads during 10 years after the
initiation of the treatment. The treatment starts, according to the guidelines,
when T cell value is lower than 500 cells/µL (Levy, 2007). The geometric
mean and geometric standard deviation of the PK/PD parameter values were
employed. The parameters were sampled from a log-normal distribution.
GoldSim Pro v.10.1 (GoldSim Technology Group, Issaquah, WA) was the
software package used for the simulations and Monte Carlo sampling of
stochastic elements was performed using a Latin Hypercube Sampling (Iman,
R.L., J.C. Helton, J.E., Campbell, & J.E., 1981).
3. RESULTS AND DISCUSSION

Different types of models have been widely and successfully applied for
drug pharmacokinetic and pharmacodynamic prediction, either in preclinical
and clinical studies or in usual clinical practice. PK/PD simulation studies
need to know a structural and/or regression model, PK/PD parameters values
and their statistical distribution. These studies are very useful to translate
preclinical data to clinical ones, avoiding the loss of millions due to the failure
of badly designed clinical studies, as well as in cases with very few data or
difficulty in managing them.
HIV reservoirs are an important handicap to successful HIV therapy.
Drugs are not able to reach them or the concentrations are not high enough. A
way to overcome this problem is using carriers which release the drug inside
the reservoir, such as antiretroviral drug-nanoparticles. Nanoparticles can
control the release of the high amount of drug that they carry, decreasing the
fluctuations of drug concentrations which favour drug resistance (Kepler &
Perelson, 1998). Moreover, they are recognized by the macrophages which
phagocite them, so the drug is easily targeted inside of the cells. The use of
nanoparticles as drug carriers is currently being investigated, so the use of
modelling and simulation is essential to predict in a realistic way the drug

kinetic, effect and/or toxicity prior to starting clinical trials.
Though the development of drug resistance is not inevitable, the use of
nanoparticle treatment could help to avoid it. Owing to the controlled drug
release and faster internalization of the drug with nanocarriers, the fluctuations
of serum concentration produced by nanoparticles are smaller than with free
drug treatments with the same dosage schedule (Figure 3 and Table 1).
Moreover, the drug concentration inside macrophages is much higher with
nanocarriers (Figure 3).
A1 ivFreeDrugSerum A2 ivFreeDrugIntraCell
400
1.4
intracellular concentration (mg/L)

serum concentration (mg/L)
1.2 300
1.0
0.8 200
0.6
0.4 100
0.2
0.0 0
100.0 100.2 100.4 100.6 100.8 101.0 101.2 101.4 101.6 101.8 100.0 100.2 100.4 100.6 100.8 101.0 101.2 101.4 101.6 101.8
Time (day) Time (day)
B1 OralFreeDrugSerum B2 OralFreeDrugIntraCell
400
1.4
Serum concentration (mg/L)
1.2
300
1.0
0.8 200
0.6
0.4 100
0.2
0.0 0
100.0 100.2 100.4 100.6 100.8 101.0 101.2 101.4 101.6 101.8 100.0 100.2 100.4 100.6 100.8 101.0 101.2 101.4 101.6 101.8
C1 GNPFreeDrugSerum
C2 GNPFreeDrugIntraCell
400
1.4
serum concentration (mg/L)
1.2 300
1.0
0.8 200
0.6
0.4 100
0.2
0.0 0
100.0 100.2 100.4 100.6 100.8 101.0 101.2 101.4 101.6 101.8 100.0 100.2 100.4 100.6 100.8 101.0 101.2 101.4 101.6 101.8
Figure 3. Monte Carlo Simulation of stavudine concentrations for (A) conventional i.v.
stavudine (B) conventional oral stavudine and (C) stavudine-AuNPs i.v. administration
at the dose of 40 mg/12h (Serum concentrations [1] and intracellular macrophages
concentrations [2]).
In the stavudine phase II dose–ranging study, the greatest antiviral

response was achieved with 2 mg/kg/day but it was also the maximum
tolerated dose stabilised in phase I, mainly due to peripheral neurophaties
(Dolin et al., 2007). But with the use of nanocarriers the serum dose is
decreased (Table 2), reducing side effects, and the efficacy is also increased
due to the better control of viral load from macrophages (Figure 4).
Based on different doses, 40 mg or 80 mg, and different time schedules,
each 12 or 24 h, stavudine-AuNPs regimens have been compared (Table 2).
The treatment of Stavudine-AuNP 40 mg/24 h reduces the daily dose by half
and increases the time between administrations. But even so, it has a higher
probability of lowering symptomatic viral load than with the conventional
treatment (Figure 4). On the other hand, based on the same dose/day as the
conventional one but with administration once a day, the peak serum
concentrations is lower than the maximum concentration established (1.2 mg/L
(Dolin et al., 2007)). Moreover, this schedule is more patient-friendly and
achieves much lower viral load (Figure 4). Finally, the regimen of 2
mg/kg/day was also compared, despite the fact that it was eliminated in the
free drug preclinical studies. But due to the controlled drug release from
nanocarriers, the serum concentration does not reach the maximum and the
viral load was lower, though not by much more than with 80 mg/24h.
Table 2. Mean serum concentrations of stavudine for different

dosage regimens
Formulation Dosage Peak (mg/L) Through (mg/L)

Regimen
Conventional stavudine 40 mg/12 h 0.8 0.01
Stavudine-AuNP 40 mg/12 h 0.5 0.1
80 mg/24 h 1.0 0.01
40 mg/24 h 0.5 0.002
80 mg/12 h 1.0 0.08
Figure 4. Probability of exceeding a specific viral load level after 10 years with
different treatments.
Table 3. Probability of Target Attainment with conventional stavudine

or stavudine-AuNP treatment
Target Attainment Conventional

Time Stavudine-AuNP
(Value (Dolin et al., stavudine
(years) (80 mg/24h) (%)
2007; Levy, 2007)) (40 mg/12h) (%)
Healthy T cells value 3 48 57
(>500 cells/µL) 6 40 50
10 23 45
AIDS-indicator T cells 3 17 10
value (<200 cells/µL) 6 22 23
10 60 25
Healthy Macrophages 3 30 35
value (> 200 cells/µL) 6 33 33
10 23 30
Symptomatic HIV 3 18 15
viral load 6 28 18
(>100 virions/µL) 10 60 38
The main problem of HIV infection is the decrease of the immunologic

system action, so most of the complications are due to opportunistic
pathogens. For that reason, keeping higher T cells values is so important in
this infection. Modifications of the serum stavudine PK profile have influence
over inhibition of the virus from T cells and the over immunologic cell values.
Depending on the T cells value and viral load, patients are divided into clinical
categories. The lower grade of infection is considered when the T cells value is
over 500 cells/µL, so the symptomatic grade depends on the viral load.
However, if the T cell value is lower than 200 cells/µL, it is considered as an
AIDS-indicator independent of the viral load (Levy, 2007). According to the
probability of target attainment (PTA), Stavudine-AuNP treatment has a
higher probability to reach good T cells levels, in other words, the PTA of
AIDS-indicator T cells values is much lower with nanoparticles than with the
free drug among all the treatments and especially after 10 years (Table 3).
After a long time of treatment, T cell values start to decrease and
macrophage levels, as well as the viral load from them, begin to get especially
relevant (Martín & Bandrés, 1999). At this time, the higher intracellular
concentration inside macrophages allow the control of the infection much
better with the nanoparticle treatment. During the entire duration of treatment,
the probability of target 200 cells/µL of macrophages is higher with
nanoparticles (Table 3), though the main difference is after 10 years of
treatment. At this time, higher values of the macrophages probability density
with stavudine nanoparticles is around healthy values (200 cells/µL (Levy,
2007)), while with free stavudine, there is a higher density of values even
lower than 50 cells/µL (Figure 6).
These better values of immunologic cells have an effect on the viral load.
Although during the first years the treatments efficacy is similar, after 6 and 10
years the probability of surpassing the symptomatic HIV viral load is much
lower with drug-nanoparticles than with the free drug. This is clearly shown in
Figure 4 where the probability of exceeding a specific value of viral load is
always higher with free drug treatment than with nanoparticles treatment, even
when the dose/day is lower.
To sum up, the use of nanocarriers increases the drug concentration inside
reservoirs, improving the control of HIV infection during a longer time.
Moreover, the serum concentration is a bit lower, so the adverse effects could
be decreased, and it presents lower fluctuations decreasing the likelihood of
resistance development. So, according to the simulation results the Stavudine-
AuNP is a promising therapy with more comfortable schedules such as every
24 h.
Conventional stavudine 40 mg/12h
0.008
0.007
Probability Density
0.006
0.005
0.004
0.003
0.002
0.001
0.000
100 200 300 400
Macrophages [cell/uL]
Figure 5. Cells number probability density of macrophages with conventional

stavudine and stavudine-AuNP after 10 years of treatment.
According to this model, the dose-response of different new treatments

could be characterized easily with a real variability. Both serum and
intracellular macrophage concentrations can be known without any limit of
detection. These values can be used later to develop an analytical technique
with a useful range of detection. Regarding the evolution of cells, the
evolution of the number of macrophages could be predicted, which normally is
very difficult to estimate and measure in patients. Similarly, this model can
differentiate between the viral load from reservoir and from serum. However,
the current analytical techniques used to estimate the viral load only measure
the serum, which is not completely accurate.
Another important application of modelling is the extrapolation of
experimental data between species, tissues, exposure routes, nanoparticles and
doses. Probably, the main applications could be the dose determination of
nanoparticles for humans from animal data (Li et al., 2010).
However, modelling and simulation also have limitations. Modelling
requires large amounts of information, so general rules of study design are
needed to usefully manage experimental data for modelling. Moreover, some
of the data are from non-human studies even from in vitro ones, so these
values cannot completely represent the behaviour and effects in humans. For
example this model does not take into account the influence of the depletion of
the immune system which can delay the response and therefore the drug effect
(Burg, Rong, Neumann, & Dahari, 2009), or drug resistant development
(Bonhoeffer & Nowak, 1997). Finally, a further limitation is that modelling
requires cross-disciplinary work with knowledge about nanoparticles,
pharmacokinetics, pharmacodynamics, mathematics and computational
methods. These problems can be the reason why there are few works regarding
nanoparticles modelling (Li et al., 2010).
CONCLUSION
Modelling and simulation were used to interpret preclinical data. We have
been able to characterize the dose-response curves of viral load and
immunological cell levels with a new HIV therapy, much faster and cheaper
than is expected with clinical trials.
According to our PK/PD model, the use of nanoparticles treatment results
in a better control of the infection. This treatment:
 reaches lower stavudine serum concentrations, but there are also

lower fluctuations between peak and trough. The reason is based on
the controlled release of the drug and the different drug uptake
kinetic.
 reaches higher stavudine macrophage concentrations.
 achieves higher T cell and macrophage levels all through the
treatment
 achieves lower viral load all through the treatment, avoiding the
change of the treatment.
Once preclinical and clinical data became available, the model will be
updated and used to make predictions with higher confidence in the following
phases of the studies. This model-based approach could be used as a tool to
communicate with the clinical team, making the risks and assumptions clearer,
given the knowledge from the model at that time.
GLOSSARY
HIV Human immunodeficiency virus
AuNPs Gold nanoparticles
PK/PD Pharmacokinetic and Pharmacodynamic
PTA Probability of Target Attainment
SC Stavudine serum concentration
MC Stavudine intracellular macrophage concentration
NP-SC Stavudine-AuNP serum concentration
NP-MC Stavudine-AuNP intracellular macrophage concentration
Drug-SC Free stavudine from stavudine-AuNP serum concentration
Drug-MC Free stavudine from stavudine-AuNP intracellular

macrophage concentration
INH Inhibition factor of stavudine in T cells
INHM Inhibition factor of stavudine in macrophages
Ka Absortion rate
Vd Distribution Volume
Vi Intracellular Total Volume
Cl Clearence
Ke-S Elimination rate constant (Ke = Cl/Vd)
Ke-I Intracellular elimination rate
Kin-drug Stavudine Uptake rate
Kin-NP Stavudine-AuNP uptake rate
Krel Drug release rate constant from gold nanoparticles
b_rel shape parameter of drug release
b_in shape parameter of stavudine-AuNP uptake rate
IC50T half maximal inhibitory concentration of T cells
IC50M half maximal inhibitory concentration of macrophages
Imax maximal inhibition
y sigmoidal factor
T No infected T cells
Ti Infected T cells
M No infected Macrophages
Mi Infected Macrophages
V Total viral load
dT Natural death rate of no infected T cells
dM Natural death rate of no infected macrophages
dTi Death rate of infected T cells
dMi Death rate of infected macrophages
To Uninfected activated T cells
Mo Uninfected macrophages
Kt Viral infection rate T cells
Kmac Viral infection rate macrophages
c Clearance rate of the virus
PT Viral production per T cell
PM Viral production per macrophage
REFERENCES
Averill M.L., K. W. . (2000). Simulation Modeling and Analysis, (Third
Edition). McGraw-Hill. Retrieved from http://www.mhhe.com/
engcs/industrial/lawkelton/.
Baggaley, R. F., Powers, K. A., & Boily, M.-C. (2011). What do mathematical
models tell us about the emergence and spread of drug-resistant HIV?
Current Opinion in HIV and AIDS, 6(2), 131–140. http://doi.org/10.1097/
COH.0b013e328343ad03.
Bonhoeffer, S. (1998). Models of viral kinetics and drug resistance in HIV-1
infection. AIDS Patient Care and STDs, 12(10), 769–774. http://doi.org/
10.1089/apc.1998.12.769.
Bonhoeffer, S., & Nowak, M. A. (1997). Pre-existence and emergence of drug
resistance in HIV-1 infection. Proceedings. Biological Sciences/The Royal
Society, 264(1382), 631–637. http://doi.org/10.1098/rspb.1997.0089.
Bristol-Myers Squibb Company. (n.d.). ZERIT®XR (stavudine). U.S. Food an
d Drug Administration. Retrieved from http://www.
accessdata.fda.gov/drugsatfda_docs/label/2005/21453s004lbl.pdf.
Burg, D., Rong, L., Neumann, A. U., & Dahari, H. (2009). Mathematical
modeling of viral kinetics under immune control during primary HIV-1
infection. Journal of Theoretical Biology, 259(4), 751–759.
http://doi.org/10.1016/j.jtbi.2009.04.010.
Cassol, E., Alfano, M., Biswas, P., & Poli, G. (2006a). Monocyte-derived
macrophages and myeloid cell lines as targets of HIV-1 replication and
persistence. Journal of Leukocyte Biology, 80(5), 1018–1030.
http://doi.org/10.1189/jlb.0306150.
Cassol, E., Alfano, M., Biswas, P., & Poli, G. (2006b). Monocyte-derived
macrophages and myeloid cell lines as targets of HIV-1 replication and
persistence. Journal of Leukocyte Biology, 80(5), 1018–1030.
http://doi.org/10.1189/jlb.0306150.
Chellat, F., Merhi, Y., Moreau, A., & Yahia, L. (2005). Therapeutic potential
of nanoparticulate systems for macrophage targeting. Biomaterials,
26(35), 7260–7275. http://doi.org/10.1016/j.biomaterials.2005.05.044.
Dolin, R., Masur, H., & Saag, M. S. (2007). AIDS Therapy. Elsevier Health
Sciences.
Duffin, R. P., & Tullis, R. H. (2002). Mathematical models of the complete
course of HIV infection and AIDS. Journal of Theoretical Medicine, 4(4),
215–221.
Garg, M., Asthana, A., Agashe, H. B., Agrawal, G. P., & Jain, N. K. (2006).
Stavudine-loaded mannosylated liposomes: in-vitro anti-HIV-I activity,
tissue distribution and pharmacokinetics. The Journal of Pharmacy and
Pharmacology, 58(5), 605–616. http://doi.org/10.1211/jpp.58.5.0005.
Iman, R.L., J.C. Helton, J.E., Campbell, & J.E. (1981). An Approach to
Sensitivity Analysis of Computer Models, Part 1. Introduction, Input
Variable Sele ction and Preliminary Variable Assessment. Journal of
Quality Technology, 13(3), 174–183.
Kepler, T. B., & Perelson, A. S. (1998). Drug concentration heterogeneity
facilitates the evolution of drug resistance. Proceedings of the National
Academy of Sciences of the United States of America, 95(20), 11514–
11519.
Koizumi, Y., & Iwami, S. (2014). Mathematical modeling of multi-drugs
therapy: a challenge for determining the optimal combinations of antiviral
drugs. Theoretical Biology & Medical Modelling, 11, 41.
http://doi.org/10.1186/1742-4682-11-41.
Levy, J. A. (2007). HIV and the Pathogenesis of AIDS. ASM Press.
Li, M., Al-Jamal, K. T., Kostarelos, K., & Reineke, J. (2010). Physiologically
based pharmacokinetic modeling of nanoparticles. ACS Nano, 4(11),
6303–6317. http://doi.org/10.1021/nn1018818.
Maderuelo, C., Zarzuelo, A., & Lanao, J. M. (2011). Optimization of release
kinetics from sustained-release formulations using model-independent
pharmacokinetic simulation. Journal of Pharmaceutical Sciences, 100(8),
3260–3267. http://doi.org/10.1002/jps.22565
Martín, J. C., & Bandrés, J. C. (1999). Cells of the monocyte-macrophage
lineage and pathogenesis of HIV-1 infection. Journal of Acquired Immune
Deficiency Syndromes (1999), 22(5), 413–429.
Nestorov, I. (2001). Modelling and simulation of variability and uncertainty in
toxicokinetics and pharmacokinetics. Toxicology Letters, 120(1-3), 411–
420.
Nowak, M. A., & Bangham, C. R. M. (1996). Population Dynamics of
Immune Responses to Persistent Viruses. Science, 272(5258), 74–79.
http://doi.org/10.1126/science.272.5258.74.
Perelson, A. S. (2002). Modelling viral and immune system dynamics. Nature
Reviews. Immunology, 2(1), 28–36. http://doi.org/10.1038/nri700.
Raimundo, S. M., Yang, H. M., Venturino, E., & Massad, E. (2012). Modeling
the emergence of HIV-1 drug resistance resulting from antiretroviral
therapy: insights from theoretical and numerical studies. Bio Systems,
108(1-3), 1–13. http://doi.org/10.1016/j.biosystems.2011.11.009.
Ribeiro, R. M. (2007). Dynamics of CD4+ T cells in HIV-1 infection.

Immunology and Cell Biology, 85(4), 287–294. http://doi.org/10.1038/
sj.icb.7100056.
Rosario, M. C., Jacqmin, P., Dorr, P., van der Ryst, E., & Hitchcock, C.
(2005). A pharmacokinetic-pharmacodynamic disease model to predict in
vivo antiviral activity of maraviroc. Clinical Pharmacology and
Therapeutics, 78(5), 508–519. http://doi.org/10.1016/j.clpt.2005.07.010.
Sedaghat, A. R., & Wilke, C. O. (2011). Kinetics of the viral cycle influence
pharmacodynamics of antiretroviral therapy. Biology Direct, 6, 42.
http://doi.org/10.1186/1745-6150-6-42.
Shegokar, R., & Singh, K. K. (2011). Stavudine entrapped lipid nanoparticles
for targeting lymphatic HIV reservoirs. Die Pharmazie, 66(4), 264–271.
Shen, L., Peterson, S., Sedaghat, A. R., McMahon, M. A., Callender, M.,
Zhang, H., … Siliciano, R. F. (2008). Dose-response curve slope sets
class-specific limits on inhibitory potential of anti-HIV drugs. Nature
Medicine, 14(7), 762–766. http://doi.org/10.1038/nm1777.
Stafford, M. A., Corey, L., Cao, Y., Daar, E. S., Ho, D. D., & Perelson, A. S.
(2000). Modeling plasma virus concentration during primary HIV
infection. Journal of Theoretical Biology, 203(3), 285–301.
http://doi.org/10.1006/jtbi.2000.1076.
van de Vijver, D. A. M. C., Nichols, B. E., Abbas, U. L., Boucher, C. A. B.,
Cambiano, V., Eaton, J. W., … Hallett, T. B. (2013). Preexposure
prophylaxis will have a limited impact on HIV-1 drug resistance in sub-
Saharan Africa: a comparison of mathematical models. AIDS (London,
England), 27(18), 2943–2951. http://doi.org/10.1097/01.aids.
0000433237.63560.20.
Wasserstein-Robbins, F. (2010). A mathematical model of HIV infection:
Simulating T4, T8, macrophages, antibody, and virus via specific anti-
HIV response in the presence of adaptation and tropism. Bulletin of
Mathematical Biology, 72(5), 1208–1253. http://doi.org/10.1007/s11538-
009-9488-5
Wein, L. M., D’Amato, R. M., & Perelson, A. S. (1998). Mathematical
analysis of antiretroviral therapy aimed at HIV-1 eradication or
maintenance of low viral loads. Journal of Theoretical Biology, 192(1),
81–98. http://doi.org/10.1006/jtbi.1997.0622.
Wodarz, D. (2014). Mathematical models of HIV replication and
pathogenesis. Methods in Molecular Biology (Clifton, N.J.), 1184, 563–
581. http://doi.org/10.1007/978-1-4939-1115-8_30.
Zazo, H., Colino, C. I., & Lanao, J. M. (2016). Current Applications of

Nanoparticles in Infectious Diseases. Journal of Controlled Release, 224,
86–102. http://doi.org/10.1016/j.jconrel.2016.01.008
Zazo, H., Colino, C. I., Warzecha, Hoss, M., Gbureck, U., Trautwein, C.,
Bartneck, M. (n.d.). Gold nanocarriers for macrophage-targeted therapy of
HIV. Nanomedicine: Nanotechnology, Biology and Medicine, in press.
Chapter 3
MONTE CARLO SIMULATION OF

MAGNETIC PROPERTIES OF A MIXED SPINS
FERRIMAGNETIC AND KAGOMÉ LATTICE
WITH RKKY INTERACTION
R. Masrour and A. Jabar

Laboratory of Materials, Processes, Environment and Quality,
Cady Ayyed University, National School of Applied Sciences,
Safi, Morocco
ABSTRACT
The magnetic properties of the kagomé lattice have been studied with
Ruderman–Kittel–Kasuya–Yosida (RKKY) exchange interactions in a
spin-7/2 and alternate mixed spin-5/2 and spin-2 Ising model on the
Bethe lattice have been studied by using the Monte Carlo simulations.
The RKKY interaction between the two magnetic layers is considered for
different distances. The magnetizations and magnetic susceptibilities of
this lattice are given for different triquadratic interactions around each
triangular face. The ground state phase diagrams of kagomé lattice and
alternate mixed spin-5/2 and spin-2 Ising model on the Bethe lattice have
been obtained. The thermal total magnetization and magnetization of
spins-5/2 and spin-2 with the different exchange interactions, external
magnetic field and temperatures have been studied. The critical

Corresponding author Email: rachidmasrour@hotmail.com.
56 R. Masrour and A. Jabar
temperature has been obtained for two systems. The magnetic hysteresis
cycle of kagomé lattice with RKKY interactions and on the Bethe lattice
are obtained for different temperatures and for different crystal field with
a fixed size.
Keywords: mixed-spin lattice, Kagomé lattice, Monte Carlo simulations,

RKKY interactions, transition temperature, magnetic hysteresis cycle
1. INTRODUCTION
Many works have been carried out to investigate the magnetic properties
of the mixed spin-2 and spin-5/2 ferrimagntic system with different numerical
methods, such as Monte Carlo simulations (MCS) [1–5], effective-field theory
(EFT) [6–10], the exact recursion equations [11], mean field theory (MFT)
[12–14] and the Green’s function approach [15–17]. These studies have
focused mainly on magnetic and thermodynamic properties of the mixed spin
ferrimagnetic system, including magnetization, the initial susceptibility,
internal energy, specific heat and the ground phase diagram. Especially, the
tricritical and compensation behaviors have been also investigated in detail [6,
8, 11, 12]. The ground state phase diagrams and the critical temperature and
compensation temperature have been deduced of alternate mixed spin-5/2 and
spin-2 Ising model on the Bethe lattice has been obtained [18] and [19, 20],
respectively. The thermal magnetizations, the magnetic susceptibilities and the
transition temperature of the bilayer spin-1 and 2 on the Bethe lattice are
studied for different values of crystal field and intralayer coupling constants of
the two layers and interlayer coupling constant between the layers [21]. The
magnetic properties of the kagomé lattice have been studied with Ruderman–
Kittel–Kasuya–Yosida exchange interactions in a spin-7/2 Ising model using
MCS [22]. Monte Carlo simulation has been used to study the magnetic
properties of a mixed spin-1 and spin-3/2 ferrimagnetic through Ising model
on a honeycomb lattice [23] and on a ferrimagnetic nanoparticles [24]. The
thermal and magnetic hysteresis cycles of a mixed spins (2-1) hexagonal Ising
nanowire with core–shell structure are given for different values of the crystal
field using MCS by Ref. [25]. The dynamic hysteresis behaviors for the two-
dimensional (2D) mixed spin (2, 5/2) ferrimagnetic Ising model on a
hexagonal lattice in an oscillating magnetic field within the framework of
dynamic mean-field calculations is investigated [26]. The effect of inter-
ladder ferromagnetic (FM) coupling in spin-1/2 two-leg ladders with
Monte Carlo Simulation of Magnetic Properties … 57
antiferromagnetic (AFM) legs and rungs interactions using the stochastic

series expansion quantum Monte Carlo is studied [27]. Experimental efforts
have been devoted towards the study of the mixed-spin magnetic systems
applied to a longitudinal magnetic field for many years [28–30]. This chapter
is arranged as follows: in Section 2, the model and Theory; in Section 3 MC
simulations method are described in detail; in Section 4 results and discussion;
finally, the conclusions are summarized in Section 5.
2. THEORY AND MODEL

We consider the kagomé lattice of the honeycomb lattice, as depicted in
Figure 1 consisting of two magnetic layers of spin-7/2 is separated by a
nonmagnetic layer of thickness L. The Hamiltonian of the system with an
ferromagnetic spin-7/2 configuration includes nearest (J), next nearest (J3)
neighbors interactions, external magnetic field and the crystal field is given as:
H   J  Si S j J 3  Si S j Sk  J RKKY SS i j D Si2  h Si

i , j  i , j , k  i , j  i i
(1)
where i, j  stand for the first nearest neighbor sites (i and j) and i, j , k  is
over all triplets of sites belonging to elementary triangles. D represent the
crystal field and h is the external magnetic field. JRKKY is the Ruderman-
Kittel-Kasuya-Yoshida (RKKY) interaction between the two magnetic layers.
The spin moment is: S = ±7/2;±5/2;±3/2; ±1/2. The new parameters used in the
text are: R3 = J3/J and J = 1.0. To better understand the physical origin of the
exchange coupling phenomenon indirect, several theoretical models have been
developed, with the first model it was applied it to Ruderman Kittel Kasuya
and Yoschida, this model Consider a uniform spin distribution within each
layer ferromagnetic coupling between two remote JRKKY spin plans is d such as
given in Figure 1 of the form:
a2 J0
J RKKY  cos  k f d 
d2 (2)
JRKKY is the “RKKY-like” coupling, across the non-magnetic layers,

between the two magnetic layers. d = L+2 (where L is the number of
nonmagnetic layers and 2 is the number of magnetic layers) is the distance
between the two magnetic layers in the system such as given in Figure 1.
Where Kf = 0.5 and a2J0 = 1. Kf is the Fermi level, J0 is a magnetic coupling
constant [31-33]. In the mixed spins-5/2 and 2 Ising model on the Bethe lattice
with different spins such as in see Figure 2, the Hamiltonian of given by Eq.(1)
includes nearest neighbors interactions, the crystal field and external magnetic
field is becomes:
   
H   J 
i , j 
i j  J S  S
i , k 
i k  D   i2   Sk2   h    i   Sk 
 i   i 
k k
(3)
where i, j  stand for the first nearest neighbor spins i and j, D represent the
crystal field and h is the external magnetic field. The J and JS are the
exchange interactions between the first nearest-neighbor magnetic atoms with
spins - and S-, respectively. The spins moment S and  are: ±5/2, ±3/2,
±1/2 and ±2, ±1, 0, respectively. In full text, the J has been taken 1.
Figure 1. A schematic illustration of the model.

Figure 2. Bethe lattice for mixed spin-5/2 and spin-2 Ising model on the Bethe with
N = 9 and NS = 15 spins numbers.
3. MONTE CARLO SIMULATIONS

The kagomé lattice of the honeycomb lattice consisting of two magnetic
layers is separated by a nonmagnetic layer formed by ferromagnetic spin-7/2
configuration and is assumed to reside in the unit cells. We have considered in
each magnetic layer N = 96 spins of (i), (j) and (k) such as given in Figure 1.
For the mixed spins S = 5/2 and  = 2 Ising model on the Bethe lattice is
assumed to reside in the unit cells and the system consists of the total number
of spins N = N+NS, with N = 9 and NS = 15 spins. We apply a standard
sampling method [34] to simulate the Hamiltonian given by Eq. (1). Cyclic
boundary conditions on the lattice were imposed and the configurations were
generated by sequentially traversing the lattice and making single-spin flip
attempts. The flips are accepted or rejected according to a heat-bath algorithm
under the Metropolis approximation (see chart of Monte Carlo simulations).
Flow chart of Monte Carlo simulations.
Our data were generated with 105 Monte Carlo steps per spin, discarding
the first 104 Monte Carlo simulations. Starting from different initial conditions,
we performed the average of each parameter and estimate the Monte Carlo
simulations, averaging over many initial conditions. Our program calculates
the following parameters, namely:
The magnetization of kagomé lattice is given by:
1
M 
N
S
i
i
(4)
The magnetizations of each atoms with spins  and S on Bethe lattice are:
1
M 
N
 i
i (5)
1
MS 
NS
S i
i
(6)
The total magnetization of Ising ferrimagnetic on Bethe lattice is:
15M S  9M 
M
24 (7)
The internal energy per site E is given by:
1 (8)
E H
N
where N = NS + N
The magnetic susceptibilities of atoms with spins  and S are given by:
 2 2
  1  1  (9)
    
 N
 i  
N
 i 
  i  i 
 
 2 2
  1  1 
    Si    Si  (10)
  N S i NS 
S
 i
 
The total susceptibility for mixed spins-S and  Ising model on the Bethe
lattice mixed spins-S and  Ising model on the Bethe lattice is:
9   15 S
tot 
14 (11)
For kagomé lattice of the honeycomb lattice, the total magnetic

susceptibility is:
 2
  Si 
  2  (12)
    Si 
 N 2  i i 
 
1
where   k T , T denotes the absolute temperature and k B is the Boltzmann’s
B
constant.
Figures 3a-c. The ground state phase diagrams of kagomé lattice with RKKY
interaction on the ((Δ/J1, R3) with h/J1 = 0.0), ((h/J1,R3), Δ/J1 = 0) with (h, Δ) and ((h/J1,
Δ/J1) with R3 = 1.0), respectively for L = 4.
4. RESULTS AND DISCUSSION

The magnetic properties of kagomé lattice with RKKY interactions and
mixed spins-5/2 and 2 Ising model on the Bethe lattice are investigated by
Monte Carlo simulation. The ground state phase diagrams of kagomé lattice
with RKKY interaction on the ((Δ/J1, R3) (1) with h/J1 = 0.0), ((h/J1, R3) (2),
Δ/J1 = 0) with (h, Δ) and ((h/J1, Δ/J1) (3) with R3 = 1.0), respectively for L = 4
are presented in Figures 3a-3c. In plane (1), the phases obtained are: (+1),+7/2,
-1/2 and -7/2. For Δ/J1 = -4 and R3 = 0, the (+1),+7/2, -1/2 and -7/2 phases are
found. The (7/2) and (1/2) are symmetrical in relation to the R3 = 0 axis and
some either the value of the crystal field (see Figure 3a). When we varied R3
(with R3 < 0) versus the external field the (3/2) and (5/2) are appeared such
as given in Figure 3b. by against in the (3) plane, the appearance of phase
(7/2) and (5/2) are observed and the absence of the phase (3/2) and (1/2)
such as given in Figure 3c. Figures 4(a)-d, show the ground state phase
diagrams of alternate mixed spin-5/2 and spin-2 Ising model on the Bethe
lattice in (Δ, JS), (h, JS), (h, Δ) for JS = 1.0 and (h, Δ) planes for JS = -1.0,
respectively. The obtained configurations are presented in Figures 4(a)-(d) and
are given in table 1, where more than one phase can coexist. It should be
mentioned that the ground state phase diagram is important in classifying the
different phase regions of the model for the phase diagrams at higher
temperatures. This behavior is observed in previously work [35]. The I, II, V,
VI, XV, XVI, XVII, XVIII, XIX, XX, XXIII, XXIV phases represent the usual
ferromagnetic ordering. The VII, VIII, IX, X, XI, XII phases presents the
paramagnetic ordering. The others phases are presented in Table 1 with the
antiferromagnetic ordering. For h > 0 the ferromagnetic (FM) and
antiferromagnetic (AFM) phases are observed with JS > 0 and JS < 0,
respectively. The mixed spins (2, 5/2) Ising system displays the dynamic
reentrant behavior for the FM/FM, AFM/FM and AFM/AFM interactions. For
h < 0 the FM and AFM phases are observed with JS > 0 and JS < 0,
respectively (see Figure 4c). When I change the sign of the coupling between
spin- and spin-S, the nature and number of phase changes its change (see
Figures 4(d) and 4(e)). We have given in Figure 5(a)-b, the thermal
magnetization and magnetic susceptibility of mixed spins-5/2 and 2 Ising
model on the Bethe lattice for JS = 1.0 and JS = -1.0 with Δ = 0.0 and h =
0.75. The obtained transitions temperatures for JS > 0 and JS < 0 are 5 and
3.3, respectively. These values are comparable with those given by effective-
field theory and the Glauber-type stochastic dynamics approach [36, 37, 19].
The second-order phase transition temperature is observed in these figures.
This behavior is observed in the previously work [38]. In the previously study
[19] the temperature compensation and transition temperatures are observed
and in the present study we have obtained only the transition temperature. The
thermal total magnetization and magnetic susceptibility for JS = 1, 1.5, 2 and
JS = -1, -1.5, -2 are presented in Figures 6(a) and 6b, respectively with Δ = 0.0
and h = 0.75. The obtained values of transitions temperatures for JS = 1, 1.5, 2
are: 5.70, 7 and 8.1, respectively. The obtained values for JS = -1, -1.5, -2 are:
3.45, 4.3, 5.4, respectively. The transitions temperatures increases with
increasing the absolute value of exchange interactions JS. These values are
comparable with those given by Refs. [39, 40]. The obtained values for N = 24
spins in the non-alternate mixed spins [19] is inferior to those obtained in the
presented work. From the figure, one can see that the sublattice with spin-S is
more ordered than the sublattice with spin- below TC, i.e., |MS| > |M|. We
have presented in Figure 7, the thermal magnetization and magnetic
susceptibility of kagomé lattice for R3 = 0.1, 0.3, 0.5 with Δ/J = 0, h/J = 0 for L
= 4. We see that the magnetic moment remains in the high-spin state in the low
temperature range for all the structures and then drops to near zero at the Curie
temperature. These values indicate that the ferromagnetism that we observed
in these kagome lattices can be detected at room temperature. Thus, the
designer 2D ferromagnetic kagome lattices may have advantages over the well
known dilute magnetic semiconductors in the applications of spintronic
materials. The critical temperatures TC/J are obtained from the maximum of
the magnetic susceptibilities. The critical temperatures obtained values are:
16.2, 20, 24 for R3 = 0.1, 0.3 and 0.5, respectively. The critical temperatures
obtained increase with increasing the exchange interactions such as given in
Figure 8, for h/J = D/J = 0 and h/J = 0. This behavior is observed in previously
work [41]. The JRKKY exchange interactions as a function of distance between
the two magnetic layers have been shown in Figure 9. The intralayer RKKY
interactions of kagomé lattice have same oscillatory factor. The same behavior
is observed in previously work [42]. At very large impurity distances, JRKKY
shows a decay close to 1/d which is similar to the long-distance behavior of
the RKKY interaction in the ordinary two-dimensional electron gas [41].
Similar result for power law decay of JRKKY has been reported in Ref.[43].
Figures 10a-c show the variation of the magnetization versus the R3 for L = 1,
2, 3, 4, T/J = 5, Δ/J = 0.0, D/J = 0,-1, -1.2, -1.5, T/J = 5 and T/J = 4, 5, 8, 10,
Δ/J = 0, respectively with h/J = 0 and L = 4. The magnetization is independent
of the size effect for R3 < 0.2 and R3 > 0.3. The magnetization increase rapidly
until reached saturation for 0.2 < R3 < 0.3. The same behavior is observed in
the crystal field and temperature effect for R3 > 0.3. The magnetization versus
the crystal field D/J for (L = 1, 2, 3, 4, T/J = 1, R3 = 0.01), (R3 = 0.01, 0.1, 0.2,
0.4, T/J = 1) and (T/J = 1, 2, 3, 4, R3 = 0.01) has been given in Figures 11a,
11b and 11c, respectively with h/J = 0.2 and L = 4. The magnetization increase
with increasing the crystal field and decrease with increasing the size of
system such as that in Figure 11a for D < -0.4. The magnetization increases
with increasing the exchange interactions (see Figure 11b) for fixed size and
fixed crystal field. The magnetization decrease with increasing the
temperatures for fixed size of system and for fixed crystal field such as given
in Figure 11c. We have presented in Figure 12(a)-d, the total magnetization
versus the crystal field for mixed spins-5/2 and 2 Ising model on the Bethe
lattice with JS = 0.5, 1.5, 2.5, 3, T = 1, JS = -1, -2, -3, -3.5, T = 1, T = 1, 2.5,
3.5, 4.5, JS = 0.5 and JS = -0.5, respectively with Δ = 0.0 and h = 1. The total
magnetization increase with increasing of the absolute value of exchange
interactions JS( see Figures 12(a) and b) for -4 < D0. This behavior is
confirmed by the results given in Figure 12b. The total magnetization is
independent of exchange interaction JS for D > 0. The total magnetization
decrease with increasing of the temperature absolute value of exchange
interactions JS (see Figures 12c and 12d). Figure 13 illustrates, the total
magnetization versus the exchange interaction JS for T = 1, 2.5, 3.5, 4.5 with
Δ = 0.0 and h = 1. The total magnetization decrease with increasing of the
temperature for a fixed value of exchange interactions JS > 0. The inverse
behavior is observed for JS < 0. Finally, we have given in Figure 14, the
magnetic hysteresis cycle of kagomé lattice for T/J = 1, 5, 10, 20, Δ/J = 0 and
Δ/J = 0, -1.5, -2.5, -3.5 with R3 = 0.01 and L = 4. We have presented in Figure
15 (a,b)-(e,f), the variation of total magnetization and magnetization of each
superlattice with spin-5/2 and 2 versus the external magnetic field for D = 0, -
0.5, -1, respectively, with T = 1 and JS = 1. The increasing of absolute value
of the crystal field decreasing the magnetic coercive field for JS > 0. For
negative values of the crystal field such as Δ/J = −3.5 and the temperature T/J
= 20 again only one hysteresis loop and flatness exist in the system, seen in
Figures 14a and 14b, respectively. The coercive field decrease with increasing
the temperatures and crystal field values. The same behavior is observed in
previously works [44, 45]. This loop decreases with the increasing of the
temperature and at last, it disappears at a certain temperature value. Finally,
we have given in Figure 15(a,b)-(e,f), the variation of total magnetization and
magnetization of each superlattice with spin- and S versus the external
magnetic field for D = 0, -0.5, -1 with, temperature T = 1 and JS = +1. The
systems becomes superparamagnetic for D = -1, T = 1 and JS = +1 such as in
Figure 15e. The increase of absolute value of the crystal field decreasing the
magnetic coercive field for JS < 0. This behavior is similar to those obtained
by Ref. [46]. Figures 15e and 15e show that the coercive field is very low
in the ferromagnetic case and the system remain superparamagnitc rapidly
when compared with the case of antiferromagnetic case. The saturation
magnetization and remanent magnetization changing rapidly with the change
of sign of JS.
Figures 4a-d. The ground state phase diagrams of alternate mixed spin-5/2 and spin-2
Ising model on the Bethe lattice on the (Δ, J S), (h,JS) and (h, Δ), respectively for JS =
1.0 and (h, Δ) planes for JS = -1.0.
Figure 5. The thermal magnetization and magnetic susceptibility for JS = 1.0 (a), JS =
-1.0 (b) with Δ = 0.0 and h = 0.75.
Figure 6. (Continued).
Figure 6. The thermal total magnetization and magnetic susceptibility for JS = 1, 1.5, 2
(a), JS = -1, -1.5, -2 (b) with Δ = 0.0 and h = 0.75.
Figure 7. The thermal magnetization and magnetic susceptibility of kagomé lattice for
R3 = 0.1, 0.3, 0.5 with Δ/J = 0, h/J = 0 for L = 4.
Figure 8. The critical temperature versus the R3 of kagomé lattice for h/J = D/J = 0 and
with h/J = 0.
Figure 9. Plot of JRKKY as a function of d.

Figure 10. The magnetization versus the R3 of kagomé lattice for L = 1, 2, 3, 4, T/J = 5,
Δ/J = 0.0 (a), D/J = 0,-1, -1.2, -1.5, T/J = 5 (b) and T/J = 4, 5, 8, 10, Δ/J = 0 (c) with h/J
= 0 and L = 4.

Figure 11. The magnetization versus the crystal field D/J of kagomé lattice for L = 1, 2,
3, 4, T/J = 1, R3 = 0.01 (a), R3 = 0.01, 0.1, 0.2, 0.4, T/J = 1 (b) and T/J = 1, 2, 3, 4, R 3 =
0.01 (c) with h/J = 0.2 and L = 4.

Figure 12. The total magnetization versus the crystal field for JS = 0.5, 1.5, 2.5, 3, T =
1 (a), JS = -1, -2, -3, -3.5, T = 1(b), T = 1, 2.5, 3.5, 4.5, J S = 0.5 (c) and JS = -0.5 (d)
with Δ = 0.0 and h = 1.
Figure 13. The total magnetization versus the exchange interaction (JS) between spin-
5/2 and 2 for T = 1, 2.5, 3.5, 4.5 with Δ = 0.0 and h = 1.
Figure 14. The magnetic hysteresis cycle of kagomé lattice for T/J = 1, 5, 10, 20, Δ/J =
0 and Δ/J = 0, -1.5, -2.5, -3.5 with R3 = 0.01 and L = 4.

Figure 15. The variation of total magnetization and magnetization of each superlattice
with spin-5/2 and 2 vs the external magnetic field for D = 0 (a,b), -0.5 (c,d), -1 (e,f)
with temperature T = 1 and JS = -1.
Figure 16. (Continued)

Figure 16. The variation of total magnetization and magnetization of each superlattice
with spin-5/2 and 2 vs the external magnetic field for D = 0 (a,b), -0.5 (c,d), -1 (e,f)
with temperature T = 1 and JS = 1.
CONCLUSION
The magnetic properties of kagomé lattice with RKKY interactions and
mixed spins-5/2 and 2 Ising model on the Bethe lattice are investigated by
Monte Carlo simulation. The RKKY exchange interaction is obtained for
different distance between the two magnetic layers. The different phases are
found in the kagomé lattice with RKKY interactions and mixed spins-5/2 and
2 Ising model on the Bethe lattice. The critical temperature is obtained for
fixed size and increase with increasing the exchange interactions. The coercive
field decrease with increasing the temperatures and crystal filed. The effect of
FM and AFM in coercive field is studied. The coercive magnetic field
decrease with decreasing the crystal field for a positive and for a negative of
exchanges interactions in alternate and non alternate mixed spins. The
magnetic coercive field decreasing when the absolute value of the crystal field
increases for JS < 0 and for JS > 0. The field dependences of the hysteresis
curves show features characteristic of experimental studies [47–50].
Table 1. The ground state configurations for alternate mixed spin-5/2

and spin-2 Ising model on the Bethe lattice.
Regions Phases
I (-2,-5/2)
II (+2,+5/2)
III (-2,+5/2)
IV (+2,-5/2)
V (-1,-5/2)
VI (+1,+5/2)
VII (0,-5/2)
VIII (0,+5/2)
IX (0,-3/2)
X (0,+3/2)
XI (0,-1/2)
XII (0,+1/2)
XIII (-1,+5/2)
XIV (+1,-5/2)
XV (-1,-5/2)
XVI (+1,+5/2)
XVII (-1,-1/2)
XVIII (+1,+1/2)
XIX (-2,-1/2)
XX (+2,+1/2)
XXI (-2,+1/2)
XXII (+2,-1/2)
XXIII (-2,-3/2)
XXIV (+2,+3/2)
XXV (-2,+3/2)
XXVI (+2,-3/2)
XXVII (-1,+1/2)
XXVIII (+1,-1/2)
XXIX (-1,+3/2)
XXX (+1,-3/2)
REFERENCES
[1] Y. Nakamura, Phys. Rev. B 62 (2000) 11742.
[2] Y. Nakamura, J. Phys.: Condens. Matter 12 (2000) 4067.
[3] P. Henelius, R. S. Fishman, Phys. Rev. B 78 (2008) 214405.
[4] Simon G. Carling, Peter Day, Polyhedron 20 (2001) 152.
[5] Yasen Hou, Qi Zhang, Yu Jia. Physica B 442 (2014) 52–56.
[6] Q. Zhang, G. Z. Wei, J. Magn. Magn. Mater. 253 (2002) 96.
[7] G. Z. Wei, Q. Zhang, Z. H. Xin, Y. Q. Liang, J. Magn. Magn. Mater.
277 (2004) 1.
[8] G. Z. Wei, Q. Zhang, J. Zhao, Y. W. Gu, Phys. B: Condens. Matter 381
(2006) 6.
[9] W. Jiang, C. Liu, Y. Jiang, Phys. A: Stat. Mech. Appl. 387 (2008) 4599.
[10] W. Jiang, W. Wang, F. Zhang, W. J. Ren, J. Appl. Phys. 105 (2009)
07E321.
[11] A. Yigit, E. Albayrak, Phys. Lett. A 372 (2008) 361.
[12] J. S. da Cruz Filho, M. Godoy, A. S. de Arruda, Phys. A: Stat. Mech.
Appl. 392 (2013) 6247.
[13] E. Albayrak, Phys. A: Stat. Mech. Appl. 375 (2007) 174.
[14] H. K. Mohamad, E. P. Domashevskaya, A. F. Klinskikh, Phys. A: Stat.
Mech. Appl. 388 (2009) 4713.
[15] J. Li, A. Du, G. Wei, Phys. Satus Solidi (b) 240 (2003) 610.
[16] J. Li, A. Du, G. Z. Wei, Phys. B: Condens. Matter 348 (2004) 79.
[17] K. L. Yao, J. W. Li, Z. L. Liu, H. H. Fu, L. Zu, Commun. Theor. Phys.
47 (2007) 741.
[18] A. Jabar, R. Masrour, A. Benyoussef, M. Hamedoun. J. Magn. Magn.
Mater. 397 (2016) 287–294.
[19] R. Masrour, A. Jabar, A. Benyoussef, M. Hamedoun. J. Magn. Magn.
Mater. 393 (2015) 151–156.
[20] N. De La Espriella, C. A. Mercado, J. C. Madera. J. Magn. Magn.
Mater. 401 (2016) 22–29.
Mater. 401 (2016) 700–705.
Mater. 401 (2016) 695–699.
[23] R. Masrour , A. Jabar, A. Benyoussef, M. Hamedoun. Chemical Physics
Letters 631–632 (2015) 92–96.
[24] Liqin Jiang, Jianmin Zhang, Zhigao Chen, Qian Feng, Zhigao Huang.
Physica B 405 (2010) 420–424.
[25] R. Masrour , A. Jabar, A. Benyoussef, M. Hamedoun, L. Bahmad.

Physica B 472 (2015) 19–24.
[26] Mehmet Ertas. Superlattices and Microstructures 85 (2015) 734–742.
[27] J. Jahangiri, H. Hadipour, S. Mahdavifar, S. Farjami Shayesteh. Physica
B. 459 (2015) 52–57.
[28] M. Doerr, S. Kramp, M. Loewenhaupt, Phys. B: Condens. Matter 294
(2001) 164.
[29] K. Koyama, H. Fujii, Phys. B: Condens. Matter 294 (2001) 168.
[30] F. Albertini, F. Bolzoni, A. Paoluzi, Phys. B: Condens. Matter 294
(2001) 172.
[31] M. A. Ruderman and C. Kittel. Phys. Rev. 96 (1954) 99-102.
[32] T. Kasuya. Theor. Phys. 16 (1956) 45-57.
[33] K. Yosida. Phys. Rev. 106 (1957) 893-898.
[34] N. Metropolis, A. W. Rosenbluth, M. N. Rosenbluth, A. H. Teller, E.
Teller, J. Chem. Phys. 21 (1953) 1087.
[35] E. Albayrak. Physica. B 391 (2007) 47–53.
[36] Mustafa Keskin, and Mehmet Ertaş. Phys. Rev. E. 80 (2009) 061140.
[37] Mehmet Ertas, Mustafa Keskin, Bayram Deviren. J. Magn. Magn.
Mater. 324 (2012) 1503–1511.
[38] E. Albayrak, S. Yilmaz. Physica A 387 (2008) 1173–1184.
[39] E. Albayrak, S. Yilmaz, S. Akkaya. J. Magn. Magn. Mater. 310 (2007)
98–106.
[40] Mehmet Ertaş, Mustafa Keskin, Bayram Deviren. Physica A 391 (2012)
1038–1047.
[41] B. Fischer and M. W. Klein. Phys. Rev. B 11 (1975) 2025-2029.
[42] Y. Mohammadi, R. Moradian. J. Magn. Magn. Mater. 396 (2015) 121.
[43] L. Jiang, X. Lu, W. Gao, G. Yu, Z. Liu and Y. Zheng. J. Phys: Condens.
Matter 24 (2012) 206003:-206003:12.
[44] Y. Yüksel, Ü. Akıncı. Physica. B. 462 (2015) 54.
[45] O. Yalçina, R. Erdemb, S. ÄOvÄunc. Acta. Physica. Polonica A.; 114
(2008) 835-844.
[46] D L Peng, K Sumiyama, S. Yamamuro, T. Hihara, T. J. Konno. Phys.
Stat. Sol. (a).; 172 (1999) 209-216.
[47] Q. Jiang, H. Yang, G. C. Wang, Phys. Rev. B 52 (1995) 14911.
[48] V. Y. Galkin, P. C. de Camargo, N. Ali, E. Fawcett, J. Phys.: Condens.
Matter 8 (1996) 7925.
[49] J. Suen, J. L. Erskine, Phys. Rev. Lett. 78 (1997) 3567.
[50] J. Restrepo, G. A. Pérez Alcázar, J. M. González, J. Appl. Phys. 87
(2000) 7425.
BIBLIOGRAPHY
Advanced analytics with Spark

LCCN 2015472823
Type of material Book
Personal name Ryza, Sandy, author.
Main title Advanced analytics with Spark / Sandy Ryza, Uri
Laserson, Sean Owen and Josh Wills.
Edition First edition.
Published/Produced Beijing; Sebastopol, CA: O'Reilly, 2015.
Description xii, 260 pages: illustrations; 23 cm.
ISBN 9781491912768
1491912766
LC classification QA76.9.D343 R93 2015
Variant title Subtitle on cover: Patterns for learning from data at
scale
Related names Laserson, Uri, author.
Owen, Sean, author.
Wills, Josh, author.
Summary "In this practical book, four Cloudera data scientists
present a set of self-contained patterns for performing
large-scale data analysis with Spark. The authors bring
Spark, statistical methods, and real-world data sets
together to teach you how to approach analytics
problems by example. You'll start with an introduction
to Spark and its ecosystem, and then dive into patterns
that apply common techniques-classification,
collaborative filtering, and anomaly detection among
80 Bibliography
others-to fields such as genomics, security, and

finance. If you have an entry-level understanding of
machine learning and statistics, and you program in
Java, Python, or Scala, you'll find these patterns useful
for working on your own data applications. Patterns
include: Recommending music and the Audioscrobbler
data set, Predicting forest cover with decision trees,
Anomaly detection in network traffic with K-means
clustering, Understanding Wikipedia with Latent
Semantic Analysis, Analyzing co-occurrence networks
with GraphX, Geospatial and temporal data analysis on
the New York City Taxi Trips data, Estimating
financial risk through Monte Carlo simulation,
Analyzing genomics data and the BDG project and
Analyzing neuroimaging data with PySpark and
Thunder." from publisher's website.
Contents Analyzing big data -- Introduction to data analysis with
Scala and Spark -- Recommending music and the
audioscrobbler data set -- Predicting forest cover with
decision trees -- Anomaly detection in network traffic
with K-means clustering -- Understanding Wikipedia
with latent semantic analysis -- Analyzing co-
occurrence networks with GraphX -- Geospatial and
temporal data analysis on the New York City taxi trip
data -- Estimating financial risk through Monte Carlo
simulation -- Analyzing genomics data and the BDG
project -- Analyzing neuroimaging data with PySpark
and Thunder.
Subjects Spark (Electronic resource: Apache Software
Foundation)
Big data.
Data mining--Computer programs.
Notes Includes index.
An introduction to exotic option pricing

LCCN 2011049467
Personal name Buchen, Peter.
Main title An introduction to exotic option pricing / Peter
Bibliography 81
Buchen.
Published/Created Boca Raton, FL: CRC Press, c2012.
Description xvii, 278 p.: ill.; 25 cm.
ISBN 9781420091007 (hardback)
142009100X (hardback)
LC classification HG6024.A3 B83 2012
Summary "In an easy-to-understand, nontechnical yet
mathematically elegant manner, An Introduction to
Exotic Option Pricing shows how to price exotic
options, including complex ones, without performing
complicated integrations or formally solving partial
differential equations (PDEs). The author incorporates
much of his own unpublished work, including ideas
and techniques new to the general quantitative finance
community.The first part of the text presents the
necessary financial, mathematical, and statistical
background, covering both standard and specialized
topics. Using no-arbitrage concepts, the Black-Scholes
model, and the fundamental theorem of asset pricing,
the author develops such specialized methods as the
principle of static replication, the Gaussian shift
theorem, and the method of images. A key feature is
the application of the Gaussian shift theorem and its
multivariate extension to price exotic options without
needing a single integration.The second part focuses
on applications to exotic option pricing, including
dual-expiry, multi-asset rainbow, barrier, lookback,
and Asian options. Pushing Black-Scholes option
pricing to its limits, the author introduces a powerful
formula for pricing a class of multi-asset, multiperiod
derivatives. He gives full details of the calculations
involved in pricing all of the exotic options.Taking an
applied mathematics approach, this book illustrates
how to use straightforward techniques to price a wide
range of exotic options within the Black-Scholes
framework. These methods can even be used as control
variates in a Monte Carlo simulation of a stochastic
volatility model"--Provided by publisher.
"Preface This book is a collection of a large amount of
82 Bibliography
material developed from my teaching, research, and

supervision of student projects and PhD theses. It also
contains a significant quantity of original unpublished
work. One of my main interests in Financial
Mathematics was to seek elegant methods for pricing
derivative securities. Although the literature on
derivatives is vast, virtually none outside the academic
journals, concentrates solely on pricing methods.
Where it is considered, details are often glossed over,
with comments like: "ʺ ʺ ʺ and after a length
integration, we arrive at the result", or "ʺ ʺ ʺ this partial
differential equation can be solved to yield the
answer". In my experience, many students, even the
mathematically gifted ones, found the subject of
pricing any but the simplest derivatives, somewhat
unsatisfactory and often quite daunting. One aim of
this book is to correct the impression that exotic option
pricing is a subject only for the technophiles. My plan
is to present it in a mathematically elegant and easily
understood fashion. To this end: I show in this book
how to price, in a Black-Scholes economy, the
standard exotic options, and a host of non-standard
ones as well, without generally performing a single
integration, or formally solving a partial differential
equation. How is this to be achieved? In a nutshell, the
book devotes a lot of space to developing specialized
methods based on no-arbitrage concepts, the Black-
Scholes model and the Fundamental Theorem of Asset
Pricing. These include the Principal of Static
Replication, the Gaussian Shift Theorem and the
Method of Images. The last of these, which has been
borrowed from Theoretical Physics, is ideally suited to
pricing barrier and lookback options"--Provided by
publisher.
Contents Financial preliminaries -- Mathematical preliminaries -
- Gaussian random variables -- Simple exotic options -
- Dual expiry options -- Two-asset rainbow options --
Barrier options -- Lookback options -- Asian options --
Exotic multi-options.
Bibliography 83
Subjects Options (Finance)--Prices.

Notes Includes bibliographical references and index.
Series Chapman & Hall/CRC financial mathematics series
Chapman & Hall/CRC financial mathematics series.
An option Greeks primer: building intuition using Delta hedging and

Monte Carlo simulation in Excel
LCCN 2014038793
Personal name Farid, Jawwad Ahmed.
Main title An option Greeks primer: building intuition using
Delta hedging and Monte Carlo simulation in Excel /
Jawwad Farid, Fellow Society of Actuaries.
Published/Produced Basingstoke, Hampshire; New York, NY: Palgrave
Macmillan, 2015.
Description xxxii, 246 pages: illustrations; 24 cm.
LC classification HG6024.A3 F175 2015
Subjects Microsoft Excel (Computer file)
Options (Finance)
Hedging (Finance)
Finance--Mathematical models.
Monte Carlo method.
Series Global financial markets
Bayesian methods for management and business: pragmatic solutions for

real problems
LCCN 2014011434
Personal name Hahn, Eugene D.
Main title Bayesian methods for management and business:
pragmatic solutions for real problems / Eugene D.
Hahn, Department of Information and Decision
Systems, Salisbury University Salisbury, MD.
Published/Produced Hoboken, New Jersey: John Wiley & Sons, Inc., 2014.
Description xvii, 365 pages; 25 cm
Links Cover image http://catalogimages.wiley.com/
images/db/jimages/9781118637555.jpg
84 Bibliography
LC classification HD30.215 .H34 2014

Summary "Features the use of Bayesian statistics to gain insights
from empirical dataFeaturing an accessible approach,
Bayesian Methods for Management and Business:
Pragmatic Solutions for Real Problems demonstrates
how Bayesian statistics can help to provide insights
into important issues facing business and management.
The book draws on multidisciplinary applications and
examples and utilizes the freely available software
WinBUGS and R to illustrate the integration of
Bayesian statistics within data-rich environments.
Computational issues are discussed and integrated with
coverage of linear models, sensitivity analysis, Markov
Chain Monte Carlo (MCMC), and model comparison.
In addition, more advanced models including
hierarchal models, generalized linear models, and
latent variable models are presented to further bridge
the theory and application in real-world usage.
Bayesian Methods for Management and Business:
Pragmatic Solutions for Real Problems alsofeatures:
Numerous real-world examples drawn from multiple
management disciplines such as strategy, international
business, accounting, and information systems An
incremental skill-building presentation based on
analyzing data sets with widely-applicable models of
increasing complexity An accessible treatment of
Bayesian statistics that is integrated with a broad range
of business and management issues and problems A
practical problem-solving approach to illustrate how
Bayesian statistics can help provide insight into
important issues facing business and management The
use of WinBUGS and R to showcase the benefits of
Bayesian statistics for the increasingly data-rich
business environment Bayesian Methods for
Management and Business: Pragmatic Solutions for
Real Problems is an important textbook for Bayesian
statistics courses at the advanced MBA-level and also
for business and management PhD candidates as a first
course in methodology. In addition, the book is a
Bibliography 85
useful resource for management scholars and

practitioners as well as business academics and
practitioners who need to broaden their methodological
skill sets"-- Provided by publisher.
Contents Machine generated contents note: 1 Introduction to
Bayesian Methods 1 1.1 Bayesian Methods: An Aerial
Survey 1 1.2 Bayes' Theorem 4 1.3 Bayes' Theorem
and the Focus Group 6 1.4 The Flavors of Probability
9 1.5 Summary 12 1.6 Notation Introduced in This
Chapter 12 2 A First Look at Bayesian Computation
13 2.1 Getting Started 13 2.2 Selecting the Likelihood
Function 14 2.3 Selecting the Functional Form 18 2.4
Selecting the Prior 19 2.5 Finding the Normalizing
Constant 20 2.6 Obtaining the Posterior 20 2.7
Communicating Findings 25 2.8 Predicting Future
Outcomes 28 2.9 Summary 30 2.10 Exercises 31 2.11
Notation Introduced in This Chapter 32 3 Computer-
Assisted Bayesian Computation 33 3.1 Getting Started
33 3.2 Random Number Sequences 34 3.3 Monte
Carlo Integration 36 3.4 Monte Carlo Simulation for
Inference 40 3.5 The Conjugate Normal Model 44 3.6
In Practice: The Conjugate Normal Model 50 3.7
Count Data and the Conjugate Poisson Model 57 3.8
Summary 61 3.9 Exercises 62 3.10 Notation
Introduced in This Chapter 63 3.11 Appendix - In
Detail: Finding Posterior Distributions for the Normal
Model 63 4 MCMC and Regression Models 71 4.1
Introduction to Markov Chain Monte Carlo 71 4.2
Fundamentals of MCMC 73 4.3 Gibbs Sampling 75
4.4 Gibbs Sampling and the Simple Linear Regression
Model 82 4.5 In Practice: The Simple Linear
Regression Model 85 4.6 The Metropolis Algorithm
88 4.7 Hastings' Extension of the Metropolis
Algorithm 97 4.8 Summary 102 4.9 Exercises 103 5
Estimating Bayesian Models with WinBUGS 105 5.1
An Introduction to WinBUGS 106 5.2 In Practice: A
First WinBUGS Model 107 5.3 In Practice: Models for
the Mean in WinBUGS 117 5.4 Examining the Prior
with Sensitivity Analysis 125 5.5 In Practice:
86 Bibliography
Examining Proportions in WinBUGS 136 5.6 Analysis

of Variance Models 142 5.7 Higher-order ANOVA
Models 155 5.8 Regression and ANCOVA Models in
WinBUGS 163 5.9 Summary 171 5.10 Chapter
Appendix: Exporting WinBUGS MCMC Output to R
171 5.11 Exercises 173 6 Assessing MCMC
Performance in WinBUGS 175 6.1 Convergence
Issues in MCMC Modeling 175 6.2 Output
Diagnostics in WinBUGS 178 6.3 Reparameterizing to
Improve Convergence 181 6.4 Number and Length of
Chains 186 6.5 Metropolis-Hastings Acceptance Rates
197 6.6 Summary 199 6.7 Exercises 200 7 Model
Checking and Model Comparison 203 7.1 Graphical
Model Checking 203 7.2 Predictive Densities and
Checking Model Assumptions 209 7.3 Variable
Selection Methods 216 7.4 Bayes Factors and BIC 227
7.5 Deviance Information Criterion 234 7.6 Summary
241 7.7 Exercises 241 8 Hierarchical Models 243 8.1
Fundamentals of Hierarchical Models 243 8.2 The
Random Coefficients Model 256 8.3 Hierarchical
Models for Variance Terms 267 8.4 Functional Forms
at Multiple Hierarchical Levels 273 8.5 In Detail:
Modeling Covarying Hierarchical Terms 279 8.6
Summary 286 8.7 Exercises 286 8.8 Notation
Introduced in This Chapter 288 9 Generalized Linear
Models 289 9.1 Fundamentals of Generalized Linear
Models 289 9.2 Count Data Models: Poisson
Regression 292 9.3 Models for Binary Data: Logistic
Regression 296 9.4 The Probit Model 303 9.5 In
Detail: Multinomial Logistic Regression for
Categorical Outcomes 306 9.6 Hierarchical Models for
Count Data 314 9.7 Hierarchical Models for Binary
Data 320 9.8 Summary 324 9.9 Exercises 325 9.10
Notation Introduced in This Chapter 327 10 Models
for Difficult Data 329 10.1 Living with Outliers-
Robust Regression Models 329 10.2 Handling
Heteroscedasticity by Modeling Variance Parameters
340 10.3 Dealing with Missing Data 345 10.4 Types of
Missing Data 349 10.5 Missing Covariate Data and
Bibliography 87
Non-Normal Missing Data 357 10.6 Summary 358

10.7 Exercises 359 10.8 Notation Introduced in This
Chapter 360 11 Introduction to Latent Variable Models
361 11.1 Not Seen but Felt 361 11.2 Latent Variable
Models for Binary Data 362 11.3 Structural Break
Models 366 11.4 In Detail: The Ordinal Probit Model
376 11.5 Summary 383 11.6 Exercises 383 A
Common Statistical Distributions 385 Bibliography
389 Author Index 403 Subject Index 407 .
Subjects Management--Statistical methods.
Commercial statistics.
Bayesian statistical decision theory.
Mathematics / Probability & Statistics / Bayesian
Analysis.
Additional formats Online version: Hahn, Eugene D. Bayesian methods
for management and business Hoboken, New Jersey:
John Wiley & Sons, Inc., 2014 9781118935194 (DLC)
2014019645
Building winning algorithmic trading systems: a trader's journey from

data mining to Monte Carlo simulation to live trading
LCCN 2014007104
Personal name Davey, Kevin J., 1966-
Main title Building winning algorithmic trading systems: a
trader's journey from data mining to Monte Carlo
simulation to live trading / Kevin J. Davey.
Published/Produced Hoboken, New Jersey,: Wiley, [2014]
Description xi, 269 pages; 24 cm.
ISBN 9781118778982 (pbk.)
LC classification HG6024.A3 D38 2014
Summary "Award-winning trader Kevin Davey explains how he
evolved from a discretionary to a systems trader and
began generating triple-digit annual returns. An
inveterate systems developer, Davey explains the
process of generating a trading idea, validating the idea
through statistical analysis, setting entry and exit
points, testing, and implementation in the market.
88 Bibliography
Along the way, Davey provides insightful tips culled

from his many years of successful trading. He
emphasizes the importance of identifying the
maximum loss a system is likely to produce and to
understand that the higher the returns on a system, the
higher the maximum loss. To smooth returns and
minimize risk, Davey recommends that a trader utilize
more than one system. He provides rules for increasing
or decreasing allocation to a system and rules for when
to abandon a system. As market patterns change and
system performance changes and systems that
performed spectacularly in the past may perform
poorly going forward. The key for traders is to
continue to develop systems in response to markets
evolving statistical tendencies and to spread risk
among different systems. An associated website will
provide spreadsheets and other tools that will enable a
reader to automate and test their own trading ideas.
Readers will learn:- The systems Davey used to
generate triple-digit returns in the World Cup Trading
Championships- How to develop an algorithmic
approach for around any trading idea, from very
simple to the most complex using off-the-shelf
software or popular trading platforms.- How to test a
system using historical and current market data- How
to mine market data for statistical tendencies that may
form the basis of a new system Davey struggled as a
trader until he developed an algorithmic approach. In
this book, he shows traders how to do the same"--
Provided by publisher.
Contents Machine generated contents note: Acknowledgments
About the Author Introduction Part 1: A Trader's
Journey Chapter 1 The Birth of a Trader Chapter 2
Enough Is Enough Chapter 3 World Cup
Championship of Futures Trading(r) Triumph Chapter
4 Making the Leap?Transitioning to Full Time Part 2:
Your Trading System Chapter 5 Testing and
Evaluating A Trading System Chapter 6 Preliminary
Analysis Chapter 7 Detailed Analysis Chapter 8
Bibliography 89
Designing and Developing Systems Part 3: Developing

a Strategy Chapter 9 Strategy Development?Goals and
Objectives Chapter 10 Trading Idea Chapter 11 Let's
Talk about Data Chapter 12 Limited Testing Chapter
13 In-Depth Testing/Walkforward Analysis Chapter 14
Monte Carlo Analysis and Incubation Chapter 15
Diversification Chapter 16 Position Sizing and Money
Management Chapter 17 Documenting the Process
Part 4: Creating a System Chapter 18 Goals, Initial and
Walkforward Testing Chapter 19 Monte Carlo Testing
and Incubation Part 5: Considerations before Going
Live Chapter 20 Account and Position Sizing Chapter
21 Trading Psychology Chapter 22 Other
Considerations before Going Live Part 6: Monitoring a
Live Strategy Chapter 23 The Ins and Outs of
Monitoring a Live Strategy Chapter 24 Real Time Part
7: Putting It All Together Chapter 25 Delusions of
Grandeur Chapter 26 Conclusion Appendix A Monkey
Trading Example, Tradestation Easy Language Code
Appendix B Euro Night Strategy, Tradestation Easy
Language Format Appendix C Euro Day Strategy,
Tradestation Easy Language Format About the
Companion Website Index .
Subjects Futures.
Portfolio management.
Investment analysis.
Monte Carlo method.
Electronic trading of securities.
Business & Economics / Finance.
Additional formats Online version: Davey, Kevin J, 1966- Building
algorithmic trading systems Hoboken, New Jersey:
Wiley, [2014] 9781118778913 (DLC) 2014014899
Series Wiley trading
Derivatives analytics with Python: data analysis, models, simulation,

calibration and hedging
LCCN 2015010191
90 Bibliography

Personal name Hilpisch, Yves J.
Main title Derivatives analytics with Python: data analysis,
models, simulation, calibration and hedging / Yves
Hilpisch.
Published/Produced Chichester: Wiley, 2015.
Description xvii, 356 pages: illustrations; 25 cm.
LC classification HG6024.A3 H56 2015
Summary "Supercharge options analytics and hedging using the
power of Python Derivatives Analytics with Python
shows you how to implement market-consistent
valuation and hedging approaches using advanced
financial models, efficient numerical techniques, and
the powerful capabilities of the Python programming
language. This unique guide offers detailed
explanations of all theory, methods, and processes,
giving you the background and tools necessary to
value stock index options from a sound foundation.
You'll find and use self-contained Python scripts and
modules and learn how to apply Python to advanced
data and derivatives analytics as you benefit from the
5,000+ lines of code that are provided to help you
reproduce the results and graphics presented. Coverage
includes market data analysis, risk-neutral valuation,
Monte Carlo simulation, model calibration, valuation,
and dynamic hedging, with models that exhibit
stochastic volatility, jump components, stochastic short
rates, and more. The companion website features all
code and IPython Notebooks for immediate execution
and automation. Python is gaining ground in the
derivatives analytics space, allowing institutions to
quickly and efficiently deliver portfolio, trading, and
risk management results. This book is the finance
professional's guide to exploiting Python's capabilities
for efficient and performing derivatives analytics.
Reproduce major stylized facts of equity and options
Bibliography 91
markets yourself Apply Fourier transform techniques

and advanced Monte Carlo pricing Calibrate advanced
option pricing models to market data Integrate
advanced models and numeric methods to dynamically
hedge options Recent developments in the Python
ecosystem enable analysts to implement analytics tasks
as performing as with C or C++, but using only about
one-tenth of the code or even less. Derivatives
Analytics with Python -- Data Analysis, Models,
Simulation, Calibration and Hedging shows you what
you need to know to supercharge your derivatives and
risk analytics efforts"-- Provided by publisher.
Subjects Derivative securities.
Hedging (Finance)
Python (Computer program language)
Notes Includes bibliographical references (pages 341-345)
and index.
Additional formats Online version: Hilpisch, Yves J. Derivatives analytics
with Python 1 Hoboken: Wiley, 2015 9781119037934
(DLC) 2015013871
Series The wiley finance series
Energy and process optimization for the process industries

LCCN 2013020443
Personal name Zhu, Frank Xin X.
Main title Energy and process optimization for the process
industries / Frank (Xin X.) Zhu.
Published/Produced Hoboken, New Jersey: John Wiley and Sons, Inc.,
[2014]
Description xvii, 513 pages; 25 cm
LC classification TS176 .Z53 2014
Contents Machine generated contents note: Dedications Preface
Part 1: Basic concepts and theory Chapter 1: Overview
of this book 1.1 Introduction 1.2 Who is the book
written for 1.3 Five ways to improve energy efficiency
1.4 Four key elements for continuous improvements
1.5 Promoting improvement ideas in the organization
92 Bibliography
Chapter 2: Theory of Energy Intensity 2.1 Introduction

2.2 Definition of energy intensity for a process 2.3 The
concept of fuel equivalent for steam and power 2.4
Energy intensity for a total site 2.5 Concluding
remarks 2.6 Nomenclature 2.7 References Chapter 3:
Energy benchmarking 3.1 Introduction 3.2 Data
extraction from historian 3.3 Convert all energy usage
to fuel equivalent 3.4 Energy balance 3.5 Fuel
equivalent for steam and power 3.6 Energy
performance index method for energy benchmarking
3.7 Concluding remarks 3.8 Nomenclature 3.9
References Chapter 4: Key indicators and targets 4.1
Introduction 4.2 Key indicators represent operation
opportunities 4.3 Define key indicators 4.4 Set up
targets for key indicators 4.5 Economic evaluation for
key indicators 4.6 Application 1: Implementing key
indicators into an "Energy Dashboard" 4.7 Application
2: Implementing key indicators to controllers 4.8 It is
worth the effort 4.9 Nomenclature 4.10 References
Part 2: Energy system assessment methods Chapter 5:
Fired heater assessment 5.1 Introduction 5.2 Fired
heater design for high reliability 5.3 Fired heater
operation for high reliability 5.4 Efficient fired heater
operation 5.5 Fired heater revamp 5.6 Nomenclature
5.7 References Chapter 6: Heat exchanger
performance assessment 6.1 Introduction 6.2 Basic
concepts and calculations 6.3 Understand Performance
criterion - U values 6.4 Understand pressure drop 6.5
Heat exchanger rating assessment 6.6 Improving heat
exchanger performance 6.7 Appendix: TEMA Types
of Heat Exchangers 6.8 Nomenclature 6.9 References
Chapter 7: Heat exchanger fouling assessment 7.1
Introduction 7.2 Fouling mechanisms 7.3 Fouling
mitigation 7.4 Fouling mitigation for crude preheat in
oil refining 7.5 Fouling resistance calculations 7.6 A
cost-based model for clean cycle optimization 7.7
Revised cost-based model for clean cycle optimization
7.8 A practical method for clean cycle optimization 7.9
Putting all together - A practical example of fouling
Bibliography 93
mitigation 7.10 Nomenclature 7.11 References Chapter

8: Energy loss assessment 8.1 Introduction 8.2 Energy
loss audit 8.3 Energy loss audit results 8.4 Energy loss
evaluation 8.5 Brainstorming 8.6 Energy audit report
8.7 Nomenclature 8.8 References Chapter 9: Process
heat recovery opportunity assessment 9.1 Introduction
9.2 Data extraction 9.3 Composite curves 9.4 Basic
concepts 9.5 Energy targeting 9.6 Pinch golden rules
9.7 Cost targeting: determine optimal ΔTmin 9.8
Case study 9.9 Be aware of sub-optimal 9.10
Integrated cost targeting and process design 9.11
Challenges for applying the systematic design
approach 9.12 Nomenclature 9.13 References Chapter
10: Heat recovery modification assessment 10.1
Introduction 10.2 Network pinch - the bottleneck of
existing heat recovery system 10.3 Identification of
modifications 10.4 Automated network pinch retrofit
approach 10.5 Case studies for applying the network
pinch approach 10.6 References Chapter 11: Process
integration opportunity assessment 11.1 Introduction
11.2 Definition of process integration 11.3 Plus and
minus (+/-) principle 11.4 Grand composite curves
11.5 Appropriate placement principle for process
changes 11.6 Examples of process changes 11.7
References Part 3: Process system assessment and
optimization Chapter 12: Distillation operating
window 12.1 Introduction 12.2 What is distillation
12.3 Distillation efficiency 12.4 Definition of feasible
operating window 12.5 Understanding operating
window 12.6 Typical capacity limits 12.7 Effects of
design parameters 12.8 Design check list 12.9
Example calculations for developing operating
window 12.10 Concluding remarks 12.11
Nomenclature 12.12 References Chapter 13:
Distillation system assessment 13.1 Introduction 13.2
Define a base case 13.3 Calcu7lations for missing and
incomplete data 13.4 Building process simulation 13.5
Heat and material balance assessment 13.6 Tower
efficiency assessment 13.7 Operating profile
94 Bibliography
assessment 13.8 Tower rating assessment 13.9 Heat

integration assessment for column design 13.10
Guidelines for reuse of an existing tower 13.11
Distillation system optimization 14.1 Introduction 14.2
Tower optimization basics 14.3 Energy optimization
for distillation system 14.4 Overall process
optimization 14.5 Concluding remarks 14.6 References
Part 4: Utility system assessment and optimization
Chapter 15: Modeling of steam and power system 15.1
Introduction 15.2 Boiler 15.3 Deaerator 15.4 Steam
turbine 15.5 Gas turbine 15.6 Letdown valve 15.7
Steam desuperheater 15.8 Steam flush drum 15.9
Steam trap 15.10 Steam distribution losses 15.11
Establishing steam balances 16.1 Introduction 16.2
Guidelines for generating steam balance 16.3 A
working example for generating steam balance 16.4 A
practical example for generating steam balance 16.5
Verify steam balance 16.6 Concluding remarks 16.7
Determining steam pricing 17.1 Introduction 17.2 The
cost of steam generation from boiler 17.3 Enthalpy-
based steam pricing 17.4 Work-based steam pricing
17.5 Fuel equivalent-based steam pricing 17.6 Cost-
based steam pricing 17.7 Comparison of different
steam pricing methods 17.8 Marginal steam pricing
17.9 Effects of condensate recovery on steam cost
17.10 Concluding remarks 17.11 Nomenclature 17.12
References Chapter 18: Benchmarking steam and
power system 18.1 Introduction 18.2 Benchmark
steam cost - minimize generation cost 18.3 Benchmark
steam and condensate losses 18.4 Benchmark process
steam usage and energy cost allocation 18.5
Benchmark steam system operation 18.6 Benchmark
steam system efficiency 18.7 Nomenclature 18.8
References Chapter 19: Steam and power management
and optimization 19.1 Introduction 19.2 Optimizing
steam header pressure 19.3 Optimizing steam
Bibliography 95
equipment loadings 19.4 Optimizing onsite power

generation versus import 19.5 Minimizing steam
letdowns and venting 19.6 Optimizing steam system
configuration 19.7 Developing steam system
optimization model 19.8 Nomenclature 19.9
References Part 5: Retrofit project evaluation and
implementation Chapter 20: Determine true benefits
from OSBL 20.1 Introduction 20.2 Energy
improvement options under evaluation 20.3 A method
for evaluating energy improvement options in OSBL
20.4 Feasibility assessment and make decision for
implementation Chapter 21: Determine true benefits
from operation variations 21.1 Introduction 21.2
Collect online data for the whole operation cycle 21.3
Normal distribution and Monte Carlo simulation 21.4
Basic statistic summary for normal distribution 21.5
Nomenclature 21.6 References Chapter 22: Feasibility
Assessment 22.1 Introduction 22.2 Scope and stages of
feasibility assessment 22.3 Feasibility assessment
methodology 22.4 Get the project basis and data right
in the very beginning 22.5 Get the project economics
right 22.6 Don't forget OSBL costs 22.7 Squeeze
capacity out of design margin 22.8 Identify and relax
plant constraints 22.9 Interactions of process
conditions, yields ad equipment 22.10 Don't get misled
by false balances 22.11 Prepare for fuel gas long 22.12
Two revamp cases for shifting bottlenecks 22.13
Concluding remarks 22.14 Nomenclature 22.15
References Chapter 23: Create optimization culture
with measurable results 23.1 Introduction 23.2 Site
wide energy optimization strategy 23.3 Case study of
the site wide energy optimization strategy 23.4
Establishing energy management system 23.5 Energy
operation management 23.6 Energy project
management 23.7 An overall work process from idea
discovery to implementation 23.8 References .
Subjects Production engineering.
Manufacturing processes--Energy conservation.
Technology & Engineering / Chemical & Biochemical.
96 Bibliography
Engineering decision making and risk management

LCCN 2014041070
Personal name Herrmann, Jeffrey W.
Main title Engineering decision making and risk management /
Jeffrey W. Herrmann.
Published/Produced Hoboken, New Jersey: Wiley, [2015]
Description xv, 338 pages; 25 cm
LC classification TA190 .H467 2015
Summary "Engineering Decision Making and Risk Management
uniquely presents and discusses three perspectives on
decision making: problem solving, the decision-
making process, and decision-making systems"--
Contents Machine generated contents note: 1. Introduction to
Engineering Decision Making 1.1 Introduction 1.2
Decision Making in Engineering Practice 1.3 Decision
Making and Optimization 1.4 Decision Making and
Problem Solving 1.5 Decision Making and Risk
Management 1.6 Problems in Decision Making 1.7
The Value of Improving Decision Making 1.8
Perspectives on Decision Making Exercises
References 2. Decision Making Fundamentals 2.1
Decision Characteristics 2.2 Objectives in Decision
Making 2.3 Influence Diagrams 2.4 Rationality 2.5
Dominance 2.6 Choice Strategies 2.7 Making
Tradeoffs 2.8 Reframing the Decision 2.9 Risk
Acceptance 2.10 Measurement Scales Exercises
References 3. Multicriteria Decision Making 3.1 Pugh
Concept Selection Method 3.2 Analytic Hierarchy
Process (AHP) 3.3 Multiattribute Utility Theory
(MAUT) 3.4 Conjoint Analysis 3.5 Value of a
Statistical Life 3.6 Compensation 3.7 The Impact of
Changing Weights Exercises References 4. Group
Bibliography 97
Decision Making 4.1 Ranking 4.2 Scoring and

Majority Judgment 4.3 Arrow's Impossibility Theorem
Exercises References 5. Decision Making Under
Uncertainty 5.1 Types of Uncertainties 5.2 Assessing a
Subjective Probability 5.3 Imprecise Probabilities 5.4
Cumulative Risk Profile and Dominance 5.5 Decision
Trees: Modeling 5.6 Decision Trees: Determining
Expected Values 5.7 Sequential Decision Making 5.8
Modeling Risk Aversion 5.9 Robustness 5.10
Uncertainty Propagation: Sensitivity Analysis 5.11
Uncertainty Propagation: Method of Moments 5.12
Uncertainty Propagation: Monte Carlo Simulation
Exercises References 6. Game Theory 6.1 Game
Theory Basics 6.2 Zero-sum Games 6.3 Optimal
Mixed Strategies for Zero-sum Games 6.4 The
Minimax Theorem 6.5 Resource Allocation Games 6.6
Mixed Motive Games 6.7 Bidding 6.8 Stackelberg
Games Exercises References 7. Decision-making
Processes 7.1 Decision-making Contexts 7.2 Technical
Knowledge and Problem Consensus 7.3 Optimization:
Search and Evaluation 7.4 Diagnosing Risk Decision
Situations 7.5 Values and Ethics 7.6 Systematic
Decision-making Processes 7.7 The Decision-making
Cycle 7.8 The Analytic-deliberative Process 7.9
Concept Selection 7.10 Decision Calculus 7.11
Recognition-primed Decision Making 7.12 Heuristics
7.13 Unconscious Decision Making 7.14 Search 7.15
Types of Search in Practice 7.16 Secretary Problem
7.17 Composite Decisions 7.18 Separation 7.19
Product Development Processes Exercises References
8. The Value of Information 8.1 The Expected Value
of Perfect Information 8.2 The Expected Value of
Imperfect Information 8.3 Experimentation to Reduce
Ambiguity 8.4 Experimentation to Compare
Alternatives 8.5 Experimentation to Compare
Alternatives with Multiple Attributes Exercises
References 9. Risk Management 9.1 Risk Management
Process 9.2 Potential Problem Analysis 9.3 Risk
Management Guide for DOD Acquisition 9.4 Risk
98 Bibliography
Management at NASA 9.5 Precursors 9.6 Warnings

9.7 Risk Communication 9.8 Managing the Risk of a
Bad Decision 9.9 Learning from Failures 9.10
Transforming Failure Information Exercises
References 10. Decision-making Systems 10.1
Introduction to Decision-making Systems 10.2
Mechanisms of Organization Influence 10.3 Roles in
Decision-making Systems 10.4 Information Flow 10.5
The Structure of Decision-making Systems 10.6
Product Development Organizations 10.7 Information
Flow in Product Development 10.8 The Design
Factory Exercises References 11. Modeling and
Improving Decision-making Systems 11.1 Modeling
Decision-making Systems 11.2 Rich Pictures 11.3
Swimlanes 11.4 Root Definitions 11.5 Conceptual
Models 11.6 Models of Product Development
Organizations 11.7 Improving Decision-making
Systems 11.8 An Integrative Strategy Exercises
References .
Subjects Engineering--Decision making.
Decision making.
Risk management.
Business & Economics / Management Science.
Business & Economics / Decision-Making & Problem
Solving.
Additional formats Online version: Herrmann, Jeffrey W. Engineering
decision making and risk management Hoboken, New
Jersey: Wiley, 2015 9781118919385 (DLC)
2015003799
Engineering risk assessment with subset simulation

LCCN 2013046743
Personal name Au, Siu-Kui.
Main title Engineering risk assessment with subset simulation /
Siu-Kui Au, University of Liverpool, UK, Yu Wang,
City University of Hong Kong, China.
Published/Produced Singapore: Wiley, 2014.
Bibliography 99
Description xix, 315 pages: illustrations; 25 cm

LC classification TA330 .A839 2014
Related names Wang, Yu.
Summary "A unique book giving a comprehensive coverage of
Subset Simulation - a robust tool for general
applicationsThe book starts with the basic theory in
uncertainty propagation using Monte Carlo methods
and the generation of random variables and stochastic
processes for some common distributions encountered
in engineering applications. It then introduces a class
of powerful simulation method called Markov Chain
Monte Carlo method (MCMC), an important
machinery behind Subset Simulation that allows one to
generate samples for investigating rare scenarios in a
probabilistically consistent manner. The theory of
Subset Simulation is then presented, addressing related
practical issues encountered in the actual
implementation. A number of variants of Subset
Simulation that can lead to improved performance for
specific classes of problems will also be covered. The
second half the book introduces the reader to
probabilistic failure analysis and reliability-based
design, which are laid out in a context that can be
efficiently tackled within the context of Subset
Simulation or Monte Carlo simulation in general. The
result is a general framework that allows the
practitioner to investigate reliability sensitivity to
uncertain parameters and to explore possible design
scenarios systematically for selection of the final
design in a convenient but computationally efficient
manner via simulation.A unique feature of this book is
that it is complemented with a VBA (Visual Basic for
Applications) that implements Subset Simulation in
the Excel spreadsheet environment. This allows the
reader to experiment with the examples in the book
and get hands-on experience with simulation. A
100 Bibliography
chapter is devoted to the software framework that

allows a practical solution by resolving the risk
assessment problem into three uncoupled procedures,
namely, deterministic modeling, uncertainty modeling
and uncertainty propagation. Presents a powerful
simulation method called Subset Simulation for
efficient engineering risk assessment and reliability-
based design Illustrates application examples with MS
Excel spreadsheets allowing readers to gain hands-on
experience with simulation techniques Covers
theoretical fundamentals as well as advanced
implementation issues in practical engineering
problems A companion website is available to include
the developments of the software ideas "-- Provided by
publisher.
Subjects Risk assessment--Mathematics.
Engineering design--Mathematics.
Set theory.
Technology & Engineering / Mechanical.
Additional formats Online version: Au, Siu-Kui. Engineering risk
assessment and design with subset simulation
Singapore: John Wiley & Sons, 2014 9781118398067
(DLC) 2014004007
Essentials of Monte Carlo simulation: statistical methods for building

simulation models
LCCN 2012953256
Personal name Thomopoulos, Nicholas T.
Main title Essentials of Monte Carlo simulation: statistical
methods for building simulation models / Nick T.
Thomopoulos.
Published/Created New York: Springer, c2013.
Description xviii, 171 p.: ill. (some col.); 24 cm.
ISBN 9781461460213 (alk. paper)
1461460212 (alk. paper)
9781461460220 (ebk.)
LC classification QA298 .T497 2013
Bibliography 101
Contents Random Number Generators -- Generating Random

Variates -- Generating Continuous Random Variates --
Generating Discrete Random Variates -- Generating
Multivariate Random Variates -- Special Applications
-- Output from Simulation Runs -- Analysis of Output
Data -- Choosing the Probability Distribution from
Data -- Choosing the Probability Distribution When
No Data.
Subjects Monte Carlo method.
Notes Includes bibliographical references (p. 165) and index.
Excel simulations
LCCN 2013938520
Personal name Verschuuren, G. M. N. (Geert M. N.), author.
Main title Excel simulations / Dr. Gerald M. Verschuuren.
Published/Produced Uniontown, OH: Holy Macro! Books, [2014]
Description iv, 172 pages: illustrations; 27 cm
Links Contributor biographical information http://www.loc.
gov/catdir/enhancements/fy1511/2013938520-b.html
Publisher description http://www.loc.gov/catdir/
enhancements/fy1511/2013938520-d.html
ISBN 9781615470228
1615470220
LC classification HF5548.4.M523 V47 2014
Summary "Covering a variety of Excel simulations, from
gambling to genetics, this introduction is for people
interested in modeling future events, without the cost
of an expensive textbook. The simulations covered
offer a fun alternative to the usual Excel topics and
include situations such as roulette, password cracking,
sex determination, population growth, and traffic
patterns, among many others"--"--Amazon.com,
viewed December 31, 2013.
Contents Gambling -- Statistics -- Genetics -- Financial --
Expansion -- Monte Carlo simulation -- Iterations --
Extras.
Subjects Microsoft Excel (Computer file)
Digital computer simulation.
102 Bibliography
Computer simulation.
Notes "Using Excel to model risk, investments, genetics,
growth, gambling and Monte Carlo analysis"--Cover.
Includes index.
Finance with Monte Carlo

LCCN 2013945890
Personal name Shonkwiler, Ronald W., 1942- author.
Main title Finance with Monte Carlo / Ronald W. Shonkwiler.
Published/Produced New York: Springer, [2013]
Description xix, 250 pages: illustrations; 27 cm.
ISBN 9781461485100 (hbk)
146148510X (hbk)
LC classification HG106 .S56 2013
Subjects Finance--Mathematical models.
Monte Carlo method.
Monte Carlo method.
Finanzmathematik.
Optionspreistheorie.
Monte-Carlo-Simulation.
and index.
Series Springer undergraduate texts in mathematics and
technology, 1867-5506
Springer undergraduate texts in mathematics and
technology.
Financial modeling with Crystal Ball and Excel

LCCN 2012020174
Personal name Charnes, John Martin.
Main title Financial modeling with Crystal Ball and Excel / John
Charnes.
Edition Second edition.
Published/Produced Hoboken, New Jersey: John Wiley & Sons, Inc.,
Bibliography 103
[2012]
Description xix, 314 pages; 24 cm.
ISBN 9781118175446 (pbk.)
LC classification HG106 .C485 2012
Cover title Financial modeling with Oracle Crystal Ball and Excel
+ website
Summary "Updated look at financial modeling and Monte Carlo
simulation with software by Oracle Crystal Ball. This
revised and updated edition of the bestselling book on
financial modeling provides the tools and techniques
needed to perform spreadsheet simulation. It answers
the essential question of why risk analysis is vital to
the decision-making process, for any problem posed in
finance and investment. This reliable resource reviews
the basics and covers how to define and refine
probability distributions in financial modeling, and
explores the concepts driving the simulation modeling
process. It also discusses simulation controls and
analysis of simulation results. The second edition of
Financial Modeling with Crystal Ball and Excel
contains instructions, theory, and practical example
models to help apply risk analysis to such areas as
derivative pricing, cost estimation, portfolio allocation
and optimization, credit risk, and cash flow analysis. It
includes the resources needed to develop essential
skills in the areas of valuation, pricing, hedging,
trading, risk management, project evaluation, credit
risk, and portfolio management. Offers an updated
edition of the bestselling book covering the newest
version of Oracle Crystal Ball Contains valuable
insights on Monte Carlo simulation--an essential skill
applied by many corporate finance and investment
professionals Written by John Charnes, the former
finance department chair at the University of Kansas
and senior vice president of global portfolio strategies
at Bank of America, who is currently President and
Chief Data Scientist at Syntelli Solutions, Inc. Risk
104 Bibliography
Analytics and Predictive Intelligence Division

(Syntelli RAPID) Engaging and informative, this book
is a vital resource designed to help you become more
adept at financial modeling and simulation"-- Provided
by publisher.
Subjects Crystal ball (Computer file)
Microsoft Excel (Computer file)
Investments--Mathematical models.
Business & Economics / Investments & Securities.
Include bibliographical references (pages 301-309) and
index.
Series The Wiley finance series
Full-band Monte Carlo simulation of single photon avalanche diodes

LCCN 2012415587
Personal name Dolgos, Denis, 1981- author.
Main title Full-band Monte Carlo simulation of single photon
avalanche diodes / Denis Dolgos.
Edition First edition.
Published/Produced Konstanz: Hartung-Gorre Verlag, 2012.
Description xv, 177 pages: illustrations, chiefly color; 21 cm.
ISBN 9783866284210 (pbk.)
3866284217 (pbk.)
LC classification TK8312 .D65 2012
Subjects Avalanche photodiodes.
Monte Carlo method.
Notes Originally presented as the author's thesis (doctoral).
"Reprint of Diss. ETH no. 2-121"--T.p. verso.
Includes bibliographical references.
Summary in German.
Series Series in microelectronics, 0936-5362; volume 217
Handbook in Monte Carlo simulation: applications in financial

engineering, risk management, and economics
LCCN 2013047832
Bibliography 105
Personal name Brandimarte, Paolo.

Main title Handbook in Monte Carlo simulation: applications in
financial engineering, risk management, and
economics / Paolo Brandimarte, Department of
Mathematical Sciences, Politecnico di Torino,Torino,
Italy.
Published/Produced Hoboken, New Jersey: Wiley, [2014]
Description xvii, 662 pages; 27 cm.
ISBN 9780470531112 (cloth)
LC classification HG106 .B735 2014
Subjects Finance--Mathematical models.
Economics--Mathematical models.
Monte Carlo method.
Additional formats Online version: Brandimarte, Paolo. Handbook in
Monte Carlo simulation Hoboken, New Jersey: John
Wiley & Sons, Inc., [2014] 9781118593646 (DLC)
2013049970
Series Financial engineering and econometrics
Introduction to random signals and applied Kalman filtering: with

MATLAB exercises
LCCN 2011042847
Personal name Brown, Robert Grover.
Main title Introduction to random signals and applied Kalman
filtering: with MATLAB exercises / Robert Grover
Brown, Patrick Y.C. Hwang.
Edition 4th ed.
Published/Created Hoboken, NJ: John Wiley, c2012.
Description xii, 383 p.: ill.; 26 cm.
0470609699 (hardback)
LC classification TK5102.9 .B75 2012
Related names Hwang, Patrick Y. C.
Summary "The Fourth Edition to the Introduction of Random
Signals and Applied Kalman Filtering is updated to
cover innovations in the Kalman filter algorithm and
the proliferation of Kalman filtering applications from
106 Bibliography
the past decade. The text updates both the research

advances in variations on the Kalman filter algorithm
and adds a wide range of new application examples.
Several chapters include a significant amount of new
material on applications such as simultaneous
localization and mapping for autonomous vehicles,
inertial navigation systems and global satellite
navigation systems"--Provided by publisher.
Contents Machine generated contents note: PART 1. RANDOM
SIGNALS BACKGROUND Chapter 1 Probability and
Random Variables: A Review Chapter 2.
Mathematical Description of Random Signals Chapter
3. Linear Systems Response, State-Space Modeling,
and Monte Carlo Simulation -- PART 2. KALMAN
FILTERING AND APPLICATIONS Chapter 4.
Discrete Kalman Filter Basics Chapter 5. Intermediate
Topics on Kalman Filtering Chapter 6. Smoothing and
Further Intermediate Topics Chapter 7. Linearization,
Nonlinear Filtering, and Sampling Bayesian Filters
Chapter 8. The "Go-Free" Concept, Complementary
Filter, and Aided Inertial Examples Chapter 9. Kalman
Filter Applications to the GPS and Other Navigation
Systems APPENDIX A. Laplace and Fourier
Transforms APPENDIX B. The Continuous Kalman
Filter.
Subjects MATLAB.
Signal processing--Data processing.
Random noise theory.
Kalman filtering--Data processing.
Notes Machine generated contents note: PART 1: RANDOM
SIGNALS BACKGROUND Chapter 1 Probability and
Random Variables: A Review Chapter 2 Mathematical
Description of Random Signals Chapter 3 Linear
Systems Response, State-space Modeling and Monte
Carlo Simulation PART 2: KALMAN FILTERING
AND APPLICATIONS Chapter 4 Discrete Kalman
Filter Basics Chapter 5 Intermediate Topics on Kalman
Filtering Chapter 6 Smoothing and Further
Intermediate Topics Chapter 7 Linearization,
Bibliography 107
Nonlinear Filtering and Sampling Bayesian Filters

Chapter 8 the "Go-Free" Concept, Complementary
Filter and Aided Inertial Examples Chapter 9 Kalman
Filter Applications to the GPS and Other Navigation
Systems APPENDIX A. Laplace and Fourier
Transforms APPENDIX B. The Continuous Kalman
Filter.
Includes bibliographical references and index.
Introduction to risk and uncertainty in hydrosystem engineering

LCCN 2012953193
Personal name Goodarzi, Ehsan.
Main title Introduction to risk and uncertainty in hydrosystem
engineering / Ehsan Goodarzi, Mina Ziaei, Lee Teang
Shui.
©2013
Description xiii, 157 pages: illustrations (some color); 24 cm.
ISBN 9789400758506 (alk. paper)
9400758502 (alk. paper)
LC classification TC153 .G66 2013
Portion of title Risk and uncertainty in hydrosystem engineering
Related names Ziaei, Mina.
Teang Shui, Lee.
Contents Basic Concepts -- Probability Theories -- Risk and
Uncertainty Analysis -- Monte Carlo Simulation --
Evaluation of Dam Overtopping Risk Based on
Univariate Frequency Analysis -- Evaluation of Dam
Overtopping Risk Based on Univariate and Bivariate
Flood Frequency Analyses.
Subjects Hydraulic engineering.
Hydraulic engineering.
Series Topics in safety, risk, reliability and quality, 1566-
0443; volume 22
Topics in safety, reliability, and quality; 22. 1566-0443
Investment theory and risk management

108 Bibliography
LCCN 2011050888
Personal name Peterson, Steven P.
Main title Investment theory and risk management / Steven P.
Peterson.
Published/Created Hoboken, N.J.: Wiley, 2012.
Description xix, 441 p.: ill.; 24 cm.
1118129598 (hardback)
LC classification HG4529 .P478 2012
Summary "A unique perspective on applied investment theory
and risk management from the Senior Risk Officer of a
major pension fundInvestment Theory and Risk
Management is a practical guide to today's investment
environment. The book's sophisticated quantitative
methods are examined by an author who uses these
methods at the Virginia Retirement System and
teaches them at the Virginia Commonwealth
University. In addition to showing how investment
performance can be evaluated, using Jensen's Alpha,
Sharpe's Ratio, and DDM, he delves into four types of
optimal portfolios (one that is fully invested, one with
targeted returns, another with no short sales, and one
with capped investment allocations). In addition, the
book provides valuable insights on risk, and topics
such as anomalies, factor models, and active portfolio
management. Other chapters focus on private equity,
structured credit, optimal rebalancing, data problems,
and Monte Carlo simulation. Contains investment
theory and risk management spreadsheet models based
on the author's own real-world experience with stock,
bonds, and alternative assets Offers a down-to-earth
guide that can be used on a daily basis for making
common financial decisions with a new level of
quantitative sophistication and rigor Written by the
Director of Research and Senior Risk Officer for the
Virginia Retirement System and an Associate
Bibliography 109
Professor at Virginia Commonwealth University's

School of Business Investment Theory and Risk
Management empowers both the technical and non-
technical reader with the essential knowledge
necessary to understand and manage risks in any
corporate or economic environment"--Provided by
publisher.
Contents Machine generated contents note: Preface
Acknowledgments Chapter 1: Discount Rates and
Returns Estimating Returns Geometric and Arithmetic
Averages Caveats to Return Extrapolation Discounting
Present Values of Cash Flow Streams Internal Rate of
Return and Yield to Maturity Real and Nominal
Returns Summary Chapter 2: Fixed Income Securities
Coupon Bearing Bonds Infinite Cash Flow Streams
(Perpetuities) General Pricing Formulas for Finite
Cash Flow Streams Interest Rate Risk Analysis of
Duration Interest Rate Risk Dynamics Immunization
and Duration Applications -- Liability Discounting and
Cash Matching Pension Logic Risky Coupons
Inflation Risk and TIPS A Bond Portfolio Strategy
(Optional) Summary Appendix 2.1: Solving Infinite
and Finite Power Series References Chapter 3: Term
Structure Discounting Using Spot Rates Forward Rates
NPV revisited Short Rates The Bootstrap Method
Duration Redux Summary Chapter 4: Equity The
Determination of Stock Prices Discount Rates Redux
Price and Dividend Multiples Extrapolating Multiples
to Forecast Returns Pitfalls of Trend Analysis The
Gordon Growth Model Sources of Return Summary
References Chapter 5: Portfolio Construction
Stochastic Returns and Risk Diversification The
Efficient Frontier Markowitz Portfolio Selection
Criteria Capital Market Line and the CAPM
Performance Evaluation Summary Appendix 5.1:
Statistical Review Appendix 5.2: Risk Adjusted
Performance References Chapter 6: Optimal Portfolios
Portfolio 1: Minimum Variance Portfolio (Fully
Invested) Portfolio 2: Minimum Variance Portfolios
110 Bibliography
with Targeted Return Portfolio 3: Minimum Variance

Portfolios with No Short Sales Portfolio 4: Minimum
Variance Portfolios with Capped Allocations Portfolio
5: Maximum Risk-Adjusted Return Performance
Attribution The Efficient Frontier (Again) Summary
Appendix 6.1: Matrix Operations Chapter 7: Data and
Applications Analyzing Returns on a Ten Asset
Portfolio Performance Attribution Changing the
Investment Horizon Benchmarking to the Market
Portfolio The Cost of Constraints A Bond Strategy
Summary Chapter 8: Anomalies Deviations from the
CAPM Behavioral Finance Summary References
Chapter 9: Factor Models Arbitrage Pricing Theory
(APT) Factor Selection Model Estimation Principal
Components Applications and Examples Summary
References Chapter 10: Active Portfolio Management
Active Portfolio Construction and Attribution Analysis
Performance Attribution Summary Appendix 10.1:
Active Space Chapter 11: Risk The Failure of VaR
Taxonomy of Risk Visualizing Risk Estimating
Volatilities Maximum Likelihood Estimation
(Optional) Credit Risk Adjusting for Leverage
Adjusting for Illiquidity Other Risks Summary
References Chapter 12: Monte Carlo Methods
Example 1: Generating Random Numbers --
Estimating pi Example 2: Confirming the Central
Limit Theorem Example 3: Credit Default Risk Non-
Normal Distributions The Gaussian Copula Summary
References Chapter 13: Systemic Risk Extreme Value
Theory Estimating the Hazards of Downside Risks A
Systemic Risk Indicator Summary References Chapter
14: Incorporating Subjective Views Methodological
Concepts An Example using Black-Litterman Active
Space Risk Attribution Summary References Chapter
15: Futures, Forwards, and Swaps Institutional Detail
and Futures Mechanics The Relationship between Spot
Prices and Forward (Futures) Prices Hedging Basis
Risk Hedging Portfolio Risk Futures Pricing Swaps
Summary References Chapter 16: Introduction to
Bibliography 111
Options Option Payoffs and Put-Call Parity Pricing

European Call Options Pricing European Put Options
Option Strategies Real Options Summary References
Chapter 17: Models of Stock Price Dynamics Stock
Price Dynamics Ito Processes Lognormal Stock Prices
Deriving the Parameters of the Binomial Lattice
Black-Scholes-Merton Model The Greek Letters
Monte Carlo Methods Summary Appendix 17.1:
Derivation of Ito's Lemma Chapter 18: Hedging
Portfolio Risk Simple Hedging Strategies S&P 500
Index Puts Selling Volatility VIX Calls Liability
Driven Investment Summary References Chapter 19:
Private Equity The Private Equity Model Return and
Risk Methodology Summary Appendix 19.1: CAPM
References Chapter 20: Structured Credit
Securitization Credit Enhancement Basics of Pricing
Interest Rate Derivatives Interest Rate Dynamics CDO
Valuation The Crash of the Housing Bubble Summary
References Chapter 21: Optimal Rebalancing Trigger
Strategies and No-trade Regions An Optimal Control
Problem Implications Optimal Rebalancing in a Static
Optimization Model The Comparative Statics of
Transactions Costs References Chapter 22: Data
Problems* Covariance Estimation An Example
Empirical Results Overlapping Observations
Conclusions Appendix 22.1: Covariance Matrix
Estimation Removing the effects of smoothing
References About the Author Index.
Subjects Investment analysis.
Portfolio management.
Risk management.
Series Wiley finance series
Wiley finance series.
Investment valuation: tools and techniques for determining the value of

any asset
LCCN 2011052858
112 Bibliography
Personal name Damodaran, Aswath.

Main title Investment valuation: tools and techniques for
determining the value of any asset / Aswath
Damodaran.
Edition 3rd ed.
Published/Created Hoboken, N.J.: Wiley, c2012.
Description xv, 974 p.: ill.; 26 cm.
111801152X (hardback)
LC classification HG4028.V3 D353 2012
Summary "The definitive source of information on all topics
related to investment valuation tools and
techniquesValuation is at the heart of any investment
decision, whether that decision is buy, sell or hold.
But the pricing of many assets has become a more
complex task in modern markets, especially after the
recent financial crisis. In order to be successful at this
endeavor, you must have a firm understanding of the
proper valuation techniques. One valuation book
stands out as withstanding the test of time among
investors and students of financial markets, Aswath
Damodaran'sInvestment Valuation.Now completely
revised and updated to reflect changing market
conditions, this third edition comprehensively
introduces investment professionals and students to
the range of valuation models available and how to
chose the right model for any given asset valuation
scenario. This edition includes valuation techniques
for a whole host of real options, start-up firms,
unconventional assets, distressed companies and
private equity, and real estate. All examples have
been updated and new material has been added. Fully
revised to incorporate valuation lessons learned from
the last five years, from the market crisis and
emerging markets to new types of equity investments
Includes valuation practices across the life cycle of
companies and emphasizes value enhancement
Bibliography 113
measures, such as EVA and CFROI Contains a new

chapter on probabilistic valuation techniques such as
decision trees and Monte Carlo Simulation Author
Aswath Damodaran is regarded as one of the best
educators and thinkers on the topic of investment
valuation This indispensable guide is a must read for
anyone wishing to gain a better understanding of
investment valuation and its methods. With it, you
can take the insights and advice of a recognized
authority on the valuation process and immediately
put them to work for you"-- Provided by publisher.
Subjects Corporations--Valuation--Mathematical models.
Series Wiley finance series
Wiley finance series.
Ionizing radiation effects in electronics: from memories to imagers

LCCN 2016285058
Main title Ionizing radiation effects in electronics: from
memories to imagers / edited by Marta Bagatin,
Simone Gerardin; Krzysztof Iniewski, managing
editor.
Published/Produced Boca Raton; London; New York: CRC Press: Taylor
& Francis Group, [2016] ©2016
Description xvii, 391 pages: illustrations; 25 cm.

ISBN 9781498722605 hardback
1498722601 hardback
LC classification QC795 .I555 2016
Related names Bagatin, Marta, editor.
Gerardin, Simone, editor.
Iniewski, Krzysztof, 1960- editor.
Contents Chapter 1. Introduction to the Effects of Radiation on
Electronic Devices -- Chapter 2. Monte Carlo
Simulation of Radiation Effects -- Chapter 3. A
Complete Guide to Multiple Upsets in SRAMs
Processed in Decananometric CMOS Technologies --
Chapter 4. Radiation Effects in DRAMs -- Chapter 5.
114 Bibliography
Radiation Effects in Flash Memories -- Chapter 6.

Microprocessor Radiation Effects -- Chapter 7. Soft-
Error Hardened Latch and Flip-Flop Design -- Chapter
8. Assuring Robust Triple-Modular Redundancy
Protected Circuits in SRAM-Based FPGAs -- Chapter
9. Single-Event Mitigation Techniques for Analog and
Mixed-Signal Circuits -- Chapter 10. CMOS
Monolithic Sensors with Hybrid Pixel-Like, Time-
Invariant Front-End Electronics: TID Effects and Bulk
Damage Study -- Chapter 11. Radiation Effects on
CMOS Active Pixel Image Sensors -- Chapter 12.
Natural Radiation Effects in CCD Devices -- Chapter
13. Radiation Effects on Optical Fibers and Fiber-
Based Sensors.
Subjects Ionizing radiation.
Electronic circuits--Effect of radiation on.
Integrated circuits--Effect of radiation on.
Series Devices, circuits, and systems
Devices, circuits, and systems.
Mathematical foundations for signal processing, communications, and

networking
LCCN 2011039835
Main title Mathematical foundations for signal processing,
communications, and networking / edited by Erchin
Serpedin, Thomas Chen, Dinesh Rajan.
Published/Created Boca Raton: CRC Press, c2012.
Description xl, 795 p.: ill.; 24 cm.
ISBN 9781439855133 (hbk.: acid-free paper)
LC classification TK5102.5 .M2966 2012
Related names Serpedin, Erchin, 1967-
Chen, Thomas M.
Rajan, Dinesh.
Summary "Mathematical Foundations for Signal Processing,
Communications, and Networking describes
mathematical concepts and results important in the
design, analysis, and optimization of signal processing
Bibliography 115
algorithms, modern communication systems, and

networks. Helping readers master key techniques and
comprehend the current research literature, the book
offers a comprehensive overview of methods and
applications from linear algebra, numerical analysis,
statistics, probability, stochastic processes, and
optimization.From basic transforms to Monte Carlo
simulation to linear programming, the text covers a
broad range of mathematical techniques essential to
understanding the concepts and results in signal
processing, telecommunications, and networking.
Along with discussing mathematical theory, each self-
contained chapter presents examples that illustrate the
use of various mathematical concepts to solve different
applications. Each chapter also includes a set of
homework exercises and pointers to further readings
for additional topics and applications.This text helps
readers understand fundamental and advanced results
as well as recent research trends in the interrelated
fields of signal processing, telecommunications, and
networking. It provides all the necessary mathematical
background to prepare students for more advanced
courses and train specialists working in these areas"--
"Preface The rationale behind this textbook is to
provide all the necessary mathematical background to
facilitate the training and education of students and
specialists working in the interrelated elds of signal
processing, telecommunications and networking. Our
intention was to create a self-contained textbook that
contains both the fundamental results in the areas of
signal processing, telecommunications and networking
as well as the more advanced results and recent
research trends in these areas. In our collective
academic experience, students often begin their
graduate education with widely varying undergraduate
backgrounds in terms of needed subjects such as
probability theory, stochastic processes, statistics,
linear algebra, calculus, optimization techniques, game
116 Bibliography
theory and queuing theory. While some students are

well prepared for advanced courses in signal
processing, telecommunications and networking,
others are not as well prepared and must make extra
remedial e orts. However, obtaining the necessary
mathematical background is often difficult because
these topics are usually dispersed across a large
number of courses, where the emphasis is frequently
put on topics di erent than signal processing,
telecommunications and networking. We hope that this
textbook will serve as a reference for graduate level
students to reach a common standard level of
preparedness before undertaking more advanced
specialized studies. We believe that this book will be
also useful for researchers, engineers, and scientists
working in related areas in electrical engineering,
computer science, bioinformatics and system biology"-
- Provided by publisher.
Subjects Telecommunication--Mathematics.
Computers / Networking / General.
Mathematics / Applied.
Technology & Engineering / Electrical.
Monte Carlo calculations in nuclear medicine: applications in diagnostic

imaging
LCCN 2012028848
Main title Monte Carlo calculations in nuclear medicine:
applications in diagnostic imaging / [edited by]
Michael Ljungberg, Lund University Hospital,
Sweden, Sven-Erik Strand, Lund University Hospital,
Sweden, Michael A. King, University of
Massachusetts Medical School, Worchester, USA.
Edition Second edition.
Published/Produced Boca Raton: CRC Press, Taylor & Francis Book,
[2013]
Description xx, 337 pages: illustrations; 24 cm.
ISBN 9781439841099 (alk. paper)
Bibliography 117
LC classification RC78.7.D53 M66 2013

Related names Ljungberg, Michael, editor of compilation.
Strand, Sven-Erik, editor of compilation.
King, Michael A., editor of compilation.
Summary "Preface Monte Carlo methods have become an
important tool for exploring complicated systems and
especially for investigation of imaging parameters in
nuclear medicine. By using sampling methods based
on probability distribution function in combination
with methods that simulate the various particle
interaction that can occur, a detailed radiation transport
can be simulated from the patient into the imaging
system. Monte Carlo simulation does not replace
experimental measurements but offers a unique
possibility to gain understanding in the underlying
physics phenomena that form nuclear medicine
images. It also provides a substantial help to
researchers to develop methods for image
improvement. When combining an accurate model of
the imaging system and a realistic model of the
patient's geometry and activity distribution, the
simulated images can be highly clinically realistic and
almost undistinguishable from a real patient
measurement. The first edition of this book was
published in 1998. It was one of the first books that
combined a description of the Monte Carlo methods
and principles with relevant Monte Carlo programs
and applications in the field of diagnostic nuclear
medicine. It is now 14 years since that publication and
we therefore felt that it was important to have a second
edition since new and very powerful Monte Carlo
programs and methods have become available. This
new edition provides the background to, and a
summary of, the current Monte Carlo techniques that
are in use today. The focus is still on the diagnostic
imaging application but several programs that are
described in the book also allow for charge-particle
simulations applicable to dosimetryrelated
applications"-- Provided by publisher.
118 Bibliography
Subjects Monte Carlo method.

Diagnostic imaging.
Medical / Radiology & Nuclear Medicine.
Science / Physics.
Technology & Engineering / Biomedical.
Series Series in medical physics and biomedical engineering
Monte Carlo simulation and resampling methods for social science

LCCN 2013007917
Personal name Carsey, Thomas M., 1966
Main title Monte Carlo simulation and resampling methods for
social science / Thomas M. Carsey, University of
North Carolina at Chapel Hill, Jeffrey J. Harden,
University of Colorado Boulder.
Published/Produced Los Angeles: Sage, [2014]
©2014
Description x, 293 pages: illustrations; 24 cm
ISBN 9781452288901 (alk. paper)
1452288909 (alk. paper)
LC classification HA29 .C33 2014
Related names Harden, Jeffrey J.
Subjects Social sciences--Statistical methods.
Monte Carlo method.
Social sciences--Methodology.
Social sciences--Research--Computer simulation.
Monte Carlo simulation with applications to finance

LCCN 2012016086
Personal name Wang, Hui, 1976-
Main title Monte Carlo simulation with applications to finance /
Hui Wang.
Published/Created Boca Raton: CRC Press, 2012.
Description 282 p.: ill.; 25 cm.
ISBN 9781439858240
LC classification HG106 .W35 2012
Summary "Preface This book can serve as the text for a one-
Bibliography 119
semester course on Monte Carlo simulation. The

intended audience is advanced undergraduate students
or students on master's programs who wish to learn the
basics of this exciting topic and its applications to
finance. The book is largely self-contained. The only
prerequisite is some experience with probability and
statistics. Prior knowledge on option pricing is helpful
but not essential. As in any study of Monte Carlo
simulation, coding is an integral part and cannot be
ignored. The book contains a large number of
MATLAB coding exercises. They are designed in a
progressive manner so that no prior experience with
MATLAB is required. Much of the mathematics in the
book is informal. For example, randomvariables are
simply defined to be functions on the sample space,
even though they should be measurable with respect to
appropriate algebras; exchanging the order of
integrations is carried out liberally, even though it
should be justified by the Tonelli-Fubini Theorem. The
motivation for doing so is to avoid the technical
measure theoretic jargon, which is of little concern in
practice and does not help much to further the
understanding of the topic. The book is an extension of
the lecture notes that I have developed for an
undergraduate course on Monte Carlo simulation at
Brown University. I would like to thank the students
who have taken the course, as well as the Division of
Applied Mathematics at Brown, for their support. Hui
Wang Providence, Rhode Island January, 2012"--
Subjects Finance--Mathematical methods.
Monte Carlo method.
Business & Economics / Finance.
Mathematics / General.
Mathematics / Probability & Statistics / General.
Notes Includes bibliographical references (p. [277]-279) and
index.
Series Chapman & Hall/CRC financial mathematics series
120 Bibliography
Numerical analysis
LCCN 2011014232
Personal name Sauer, Tim.
Main title Numerical analysis / Timothy Sauer.
Edition 2nd ed.
Published/Created Boston: Pearson, c2012.
Description xvi, 646 p.: ill.; 26 cm.
ISBN 9780321783677
0321783670
LC classification QA297 .S348 2012
Contents Machine generated contents note: ch. 0 Fundamentals -
- 0.1.Evaluating a Polynomial -- 0.2.Binary Numbers -
- 0.2.1.Decimal to binary -- 0.2.2.Binary to decimal --
0.3.Floating Point Representation of Real Numbers --
0.3.1.Floating point formats -- 0.3.2.Machine
representation -- 0.3.3.Addition of floating point
numbers -- 0.4.Loss of Significance -- 0.5.Review of
Calculus -- Software and Further Reading -- ch. 1
Solving Equations -- 1.1.The Bisection Method --
1.1.1.Bracketing a root -- 1.1.2.How accurate and how
fast? -- 1.2.Fixed-Point Iteration -- 1.2.1.Fixed points
of a function -- 1.2.2.Geometry of Fixed-Point
Iteration -- 1.2.3.Linear convergence of Fixed-Point
Iteration -- 1.2.4.Stopping criteria -- 1.3.Limits of
Accuracy -- 1.3.1.Forward and backward error --
1.3.2.The Wilkinson polynomial -- 1.3.3.Sensitivity of
root-finding -- 1.4.Newton's Method -- 1.4.1.Quadratic
convergence of Newton's Method -- 1.4.2.Linear
convergence of Newton's Method -- 1.5.Root-Finding
without Derivatives -- 1.5.1.Secant Method and
variants -- 1.5.2.Brent's Method -- Reality Check 1
Kinematics of the Stewart platform -- Software and
Further Reading -- ch. 2 Systems of Equations --
2.1.Gaussian Elimination -- 2.1.1.Naive Gaussian
elimination -- 2.1.2.Operation counts -- 2.2.The LU
Factorization -- 2.2.1.Matrix form of Gaussian
elimination -- 2.2.2.Back substitution with the LU
factorization -- 2.2.3.Complexity of the LU
Bibliography 121
factorization -- 2.3.Sources of Error -- 2.3.1.Error

magnification and condition number --
2.3.2.Swamping -- 2.4.The PA = LU Factorization --
2.4.1.Partial pivoting -- 2.4.2.Permutation matrices --
2.4.3.PA = LU factorization -- Reality Check 2 The
Euler-Bernoulli Beam -- 2.5.Iterative Methods --
2.5.1.Jacobi Method -- 2.5.2.Gauss-Seidel Method and
SOR -- 2.5.3.Convergence of iterative methods --
2.5.4.Sparse matrix computations -- 2.6.Methods for
symmetric positive-definite matrices --
2.6.1.Symmetric positive-definite matrices --
2.6.2.Cholesky factorization -- 2.6.3.Conjugate
Gradient Method -- 2.6.4.Preconditioning --
2.7.Nonlinear Systems of Equations --
2.7.1.Multivariate Newton's Method -- 2.7.2.Broyden's
Method -- Software and Further Reading -- ch. 3
Interpolation -- 3.1.Data and Interpolating Functions --
3.1.1.Lagrange interpolation -- 3.1.2.Newton's divided
differences -- 3.1.3.How many degree d polynomials
pass through n points? -- 3.1.4.Code for interpolation -
- 3.1.5.Representing functions by approximating
polynomials -- 3.2.Interpolation Error --
3.2.1.Interpolation error formula -- 3.2.2.Proof of
Newton form and error formula -- 3.2.3.Runge
phenomenon -- 3.3.Chebyshev Interpolation --
3.3.1.Chebyshev's theorem -- 3.3.2.Chebyshev
polynomials -- 3.3.3.Change of interval -- 3.4.Cubic
Splines -- 3.4.1.Properties of splines -- 3.4.2.Endpoint
conditions -- 3.5.Bezier Curves -- Reality Check 3
Fonts from Bezier curves -- Software and Further
Reading -- ch. 4 Least Squares -- 4.1.Least Squares
and the Normal Equations -- 4.1.1.Inconsistent systems
of equations -- 4.1.2.Fitting models to data --
4.1.3.Conditioning of least squares -- 4.2.A Survey of
Models -- 4.2.1.Periodic data -- 4.2.2.Data
linearization -- 4.3.QR Factorization -- 4.3.1.Gram-
Schmidt orthogonalization and least squares --
4.3.2.Modified Gram-Schmidt orthogonalization --
4.3.3.Householder reflectors -- 4.4.Generalized
122 Bibliography
Minimum Residual (GMRES) Method -- 4.4.1.Krylov

methods -- 4.4.2.Preconditioned GMRES --
4.5.Nonlinear Least Squares -- 4.5.1.Gauss-Newton
Method -- 4.5.2.Models with nonlinear parameters --
4.5.3.The Levenberg-Marquardt Method -- Reality
Check 4 GPS, Conditioning, and Nonlinear Least
Squares -- Software and Further Reading -- ch. 5
Numerical Differentiation and Integration --
5.1.Numerical Differentiation -- 5.1.1.Finite difference
formulas -- 5.1.2.Rounding error -- 5.1.3.Extrapolation
-- 5.1.4.Symbolic differentiation and integration --
5.2.Newton-Cotes Formulas for Numerical Integration
-- 5.2.1.Trapezoid Rule -- 5.2.2.Simpson's Rule --
5.2.3.Composite Newton-Cotes formulas -- 5.2.4.Open
Newton-Cotes Methods -- 5.3.Romberg Integration --
5.4.Adaptive Quadrature -- 5.5.Gaussian Quadrature --
Reality Check 5 Motion Control in Computer-Aided
Modeling -- Software and Further Reading -- ch. 6
Ordinary Differential Equations -- 6.1.Initial Value
Problems -- 6.1.1.Euler's Method -- 6.1.2.Existence,
uniqueness, and continuity for solutions -- 6.1.3.First-
order linear equations -- 6.2.Analysis of IVP Solvers --
6.2.1.Local and global truncation error -- 6.2.2.The
explicit Trapezoid Method -- 6.2.3.Taylor Methods --
6.3.Systems of Ordinary Differential Equations --
6.3.1.Higher order equations -- 6.3.2.Computer
simulation: the pendulum -- 6.3.3.Computer
simulation: orbital mechanics -- 6.4.Runge-Kutta
Methods and Applications -- 6.4.1.The Runge-Kutta
family -- 6.4.2.Computer simulation: the Hodgkin-
Huxley neuron -- 6.4.3.Computer simulation: the
Lorenz equations -- Reality Check 6 The Tacoma
Narrows Bridge -- 6.5.Variable Step-Size Methods --
6.5.1.Embedded Runge-Kutta pairs -- 6.5.2.Order 4/5
methods -- 6.6.Implicit Methods and Stiff Equations --
6.7.Multistep Methods -- 6.7.1.Generating multistep
methods -- 6.7.2.Explicit multistep methods --
6.7.3.Implicit multistep methods -- Software and
Further Reading -- ch. 7 Boundary Value Problems --
Bibliography 123
7.1.Shooting Method -- 7.1.1.Solutions of boundary

value problems -- 7.1.2.Shooting Method
implementation -- Reality Check 7 Buckling of a
Circular Ring -- 7.2.Finite Difference Methods --
7.2.1.Linear boundary value problems --
7.2.2.Nonlinear boundary value problems --
7.3.Collocation and the Finite Element Method --
7.3.1.Collocation -- 7.3.2.Finite elements and the
Galerkin Method -- Software and Further Reading --
ch. 8 Partial Differential Equations -- 8.1.Parabolic
Equations -- 8.1.1.Forward Difference Method --
8.1.2.Stability analysis of Forward Difference Method
-- 8.1.3.Backward Difference Method -- 8.1.4.Crank-
Nicolson Method -- 8.2.Hyperbolic Equations --
8.2.1.The wave equation -- 8.2.2.The CFL condition --
8.3.Elliptic Equations -- 8.3.1.Finite Difference
Method for elliptic equations -- Reality Check 8 Heat
distribution on a cooling fin -- 8.3.2.Finite Element
Method for elliptic equations -- 8.4.Nonlinear partial
differential equations -- 8.4.1.Implicit Newton solver --
8.4.2.Nonlinear equations in two space dimensions --
Software and Further Reading -- ch. 9 Random
Numbers and Applications -- 9.1.Random Numbers --
9.1.1.Pseudo-random numbers -- 9.1.2.Exponential
and normal random numbers -- 9.2.Monte Carlo
Simulation -- 9.2.1.Power laws for Monte Carlo
estimation -- 9.2.2.Quasi-random numbers --
9.3.Discrete and Continuous Brownian Motion --
9.3.1.Random walks -- 9.3.2.Continuous Brownian
motion -- 9.4.Stochastic Differential Equations --
9.4.1.Adding noise to differential equations --
9.4.2.Numerical methods for SDEs -- Reality Check 9
The Black-Scholes Formula -- Software and Further
Reading -- ch. 10 Trigonometric Interpolation and the
FFT -- 10.1.The Fourier Transform -- 10.1.1.Complex
arithmetic -- 10.1.2.Discrete Fourier Transform --
10.1.3.The Fast Fourier Transform --
10.2.Trigonometric Interpolation -- 10.2.1.The DFT
Interpolation Theorem -- 10.2.2.Efficient evaluation of
124 Bibliography
trigonometric functions -- 10.3.The FFT and Signal

Processing -- 10.3.1.Orthogonality and interpolation --
10.3.2.Least squares fitting with trigonometric
functions -- 10.3.3.Sound, noise, and filtering --
Reality Check 10 The Wiener Filter -- Software and
Further Reading -- ch. 11 Compression -- 11.1.The
Discrete Cosine Transform -- 11.1.1.One-dimensional
DCT -- 11.1.2.The DCT and least squares
approximation -- 11.2.Two-Dimensional DCT and
Image Compression -- 11.2.1.Two-dimensional DCT -
- 11.2.2.Image compression -- 11.2.3.Quantization --
11.3.Huffman Coding -- 11.3.1.Information theory and
coding -- 11.3.2.Huffman coding for the JPEG format -
- 11.4.Modified DCT and Audio Compression --
11.4.1.Modified Discrete Cosine Transform --
11.4.2.Bit quantization -- Reality Check 11 A Simple
Audio Codec -- Software and Further Reading -- ch. 12
Eigenvalues and Singular Values -- 12.1.Power
Iteration Methods -- 12.1.1.Power Iteration --
12.1.2.Convergence of Power Iteration --
12.1.3.Inverse Power Iteration -- 12.1.4.Rayleigh
Quotient Iteration -- 12.2.QR Algorithm --
12.2.1.Simultaneous iteration -- 12.2.2.Real Schur
form and the QR algorithm -- 12.2.3.Upper
Hessenberg form -- Reality Check 12 How Search
Engines Rate Page Quality -- 12.3.Singular Value
Decomposition -- 12.3.1.Finding the SVD in general --
12.3.2.Special case: symmetric matrices --
12.4.Applications of the SVD -- 12.4.1.Properties of
the SVD -- 12.4.2.Dimension reduction --
12.4.3.Compression -- 12.4.4.Calculating the SVD --
Software and Further Reading -- ch. 13 Optimization --
13.1.Unconstrained Optimization without Derivatives -
- 13.1.1.Golden Section Search -- 13.1.2.Successive
parabolic interpolation -- 13.1.3.Nelder-Mead search --
13.2.Unconstrained Optimization with Derivatives --
13.2.1.Newton's Method -- 13.2.2.Steepest Descent --
13.2.3.Conjugate Gradient Search -- Reality Check 13
Molecular Conformation and Numerical Optimization
Bibliography 125
-- Software and Further Reading -- Appendix A --

A.1.Matrix Fundamentals -- A.2.Block Multiplication -
- A.3.Eigenvalues and Eigenvectors -- A.4.Symmetric
Matrices -- A.5.Vector Calculus -- Appendix B --
B.1.Starting Matlab -- B.2.Graphics --
B.3.Programming in Matlab -- B.4.Flow Control --
B.5.Functions -- B.6.Matrix Operations --
B.7.Animation and Movies.
Subjects Numerical analysis.
Practical statistics for astronomers

LCCN 2012006798
Personal name Wall, J. V.
Main title Practical statistics for astronomers / J. V. Wall, C. R.
Jenkins.
Edition 2nd ed.
Published/Created Cambridge [England]; New York: Cambridge
University Press, c2012.
Description xix, 353 p.: ill.; 23 cm.
Links Cover image http://assets.cambridge.org/
97805217/32499/cover/9780521732499.jpg
ISBN 9780521732499 (pbk.)
LC classification QB149 .W35 2012
Related names Jenkins, C. R., 1955-
Summary "Astronomy needs statistical methods to interpret data,
but statistics is a many-faceted subject which is
difficult for non-specialists to access. This handbook
helps astronomers analyze the complex data and
models of modern astronomy. This second edition has
been revised to feature many more examples using
Monte Carlo simulation, and now also includes
Bayesian inference, Bayes factors and Markov Chain
Monte Carlo integration. Chapters cover basic
probability, correlation analysis, hypothesis testing,
Bayesian modelling, time series analysis, luminosity
functions and clustering. Exercises at the end of each
chapter guide readers through the techniques and tests
126 Bibliography
necessary for most observational investigations. The

data tables from the book are available online at
www.cambridge.org/9780521732499. Bringing
together the most relevant statistical and probabilistic
techniques for use in observational astronomy, this
handbook is a practical manual for advanced
undergraduate and graduate students and professional
astronomers"-- Provided by publisher.
Contents Machine generated contents note: 1. Decision; 2.
Probability; 3. Statistics and expectations; 4.
Correlation and association; 5. Hypothesis-testing; 6.
Data modelling and parameter-estimation: basics; 7.
Data modelling and parameter-estimation: advanced
topics; 8. Detection and surveys; 9. Sequential data -
1D statistics; 10. Statistics of large-scale structure; 11.
Epilogue: statistics and our Universe; Appendices;
References; Index.
Subjects Statistical astronomy.
SCIENCE / Astronomy.
Series Cambridge observing handbooks for research
astronomers; 8
Project risk analysis made ridiculously simple

LCCN 2016013143
Personal name Virine, Lev, 1964- author.
Main title Project risk analysis made ridiculously simple / Lev
Virine (Project Decisions, Calgary, Canada) &
Michael Trumper (Project Decisions, Calgary,
Canada).
Published/Produced New Jersey: World Scientific, 2016.
ISBN 9789814759373 (hc: alk. paper)
9789814759229 (pbk: alk. paper)
LC classification HD69.P75 V56827 2016
Related names Trumper, Michael, 1963- author.
Contents Introduction -- Project risk management and
qualitative project risk analysis -- What is project risk
management and risk analysis -- Risk identification,
Bibliography 127
monitoring and control -- Risk registers and risk

prioritization -- Risk mitigation and response planning
-- Quantitative project risk analysis -- Monte carlo
schedule risk analysis -- Project risk analysis with
events: an introduction to event chain methodology --
Event chain diagrams -- Event chain methodology:
managing event chains -- Interpreting results of
quantitative analysis -- Project performance
measurement with risks and uncertainties -- Advanced
quantitative project risk analysis -- More uncertainties:
calendars, success rates, work and resources --
Scenario analysis, branching, and decision trees --
Probabilistic cost and cash flow analysis -- Non-
schedule related risks and integrated risk analysis --
Portfolio risk analysis -- Introduction to portfolio risk
analysis -- Monte Carlo simulations of project
portfolios -- Conclusions -- Appendixes -- Appendix
A. Basic principles of event chain methodology --
Appendix B. What can we get from monte carlo
simulation -- Appendix C. Project risk analysis
software -- Future reading -- Glossary -- References --
Index.
Subjects Project management.
Risk management.
Series World scientific-now publishers series in business;
Volume 13
Soft errors: from particles to circuits

LCCN 2015297036
Personal name Autran, Jean-Luc, 1969- author.
Main title Soft errors: from particles to circuits / Jean-Luc
Autran, Daniela Munteanu.
Published/Produced Boca Raton, Florida: CRC Press, [2015]
Description xlii, 397 pages: illustrations; 26 cm
LC classification QC912.3 .A94 2015
Related names Munteanu, Daniela, author.
Summary This book addresses soft errors in digital integrated
128 Bibliography
circuits subjected to the terrestrial natural radiation

environment. It details the physical mechanisms at the
origin of soft errors and explains how to detect,
characterize, and simulate these phenomena in
electronic circuits.
Contents Chapter 1: Terrestrial cosmic rays and atmospheric
radiation background -- Chapter 2: Detection and
characterization of atmospheric neutrons at terrestrial
level: neutron monitors -- Chapter 3: Natural
radioactivity of electronic materials -- Chapter 4:
Alpha-radiation metrology in electronic materials --
Chapter 5: Particle interactions with matter and
mechanisms of soft errors in semiconductor circuits --
Chapter 6: Accelerated tests -- Chapter 7: Real-time
(life) testing Chapter 8: Modeling and simulation of
single-event effects in devices and circuits -- Chapter
9: Soft-error rate (SER) Monte Carlo simulation codes
-- Chapter 10: Scaling effects and their implications for
soft errors -- Chapter 11: Natural radiation in
nonvolatile memories: a case study -- Chapter 12: SOI,
FinFET, and emerging devices.
Subjects Soft errors (Computer science)
Atmospheric radiation.
Cosmic rays.
Particles.
Notes Includes bibliographical reference and index.
Series Devices, circuits, and systems
Devices, circuits, and systems.
Spectroscopic methods of analysis: methods and protocols

LCCN 2012934692
Main title Spectroscopic methods of analysis: methods and
protocols / edited by Wlodek M. Bujalowski.
Published/Created New York: Humana Press, c2012.
Description xii, 397 p.: ill. (some col.); 27 cm.
ISBN 9781617798054 (hdbk.: acid-free paper)
1617798053 (hdbk.: acid-free paper)
LC classification QC454.O66 S64 2012
Bibliography 129
Related names Bujalowski, Wlodek M.

Contents Fluorescence lifetime imaging comes of age how to do
it and how to interpret it / Yi-Chun Chen, Bryan Q.
Spring, and Robert M. Clegg -- Förster resonance
energy transfer and trapping in selected systems:
analysis by Monte-Carlo simulation / P. Bojarski ... [et
al.] -- Molecular organization of polyene antibiotic
amphotericin B studied by means of fluorescence
technique / Wieslaw I. Gruszecki ... [et al.] --
Spectroscopic probes of RNA structure and dynamics /
Kathleen B. Hall -- Fluorescence methods to study
DNA translocation and unwinding kinetics by nucleic
acid motors / Christopher J. Fischer ... [et al.] --
Fluorescence intensity, anisotropy, and transient
dynamic quenching stopped-flow kinetics / Wlodek M.
Bujalowski and Maria J. Jezewska -- Using structure-
function constraints in FRET studies of large
macromolecular complexes / Wlodek M. Bujalowski
and Maria J. Jezewska -- Illuminating allostery in
metal sensing transcriptional regulators / Nicholas E.
Grossoehme and David P. Giedroc -- Fluorescence-
based biosensors / Maria Strianese ... [et al.] -- Metal-
enhanced immunoassays / Ignacy Gryczynski ... [et al.]
-- Initial stages of angiosperm greening monitored by
low-temperature fluorescence spectra and fluorescence
lifetimes / Beata Mysliwa-Kurdziel, Anna Stecka, and
Kazimierz Strzalka -- Activation of the mammalian
cells by using light-sensitive ion channels / Mandy Siu
Yu Lung, Paul Pilowsky, and Ewa M. Goldys --
Detection of specific strains of viable bacterial
pathogens by using RNA bead assays and flow
cytometry with 2100 Bioanalyzer / Philip Butterworth
... [et al.] -- Photosynthetic antenna complex LHCII
studied with novel fluorescence techniques / Wieslaw
I. Gruszecki ... [et al.] -- Analysis of RNA folding and
ribonucleoprotein assembly by single-molecule
fluorescence spectroscopy / Goran Pljevaljčić ... [et al.]
-- Single-molecule force spectroscopy of polycystic
kidney disease proteins / Liang Ma, Meixiang Xu, and
130 Bibliography
Andres F. Oberhauser -- Single molecule detection

approach to muscle study: kinetics of a single cross-
bridge during contraction of muscle / Julian Borejdo ...
[et al.] -- Single-molecule optical-trapping
measurements with DNA anchored to an array of gold
nanoposts / D. Hern Paik and Thomas T. Perkins --
Electro-optical analysis of macromolecular structure
and dynamics / Dietmar Porschke -- Cryoradiolysis
and cryospectroscopy for studies of heme-oxygen
intermediates in cytochromes P450 / I.G. Denisov,
Y.V. Grinkova, and S.G. Sligar.
Subjects Optical spectroscopy--Laboratory manuals.
Spectrum Analysis.
Series Springer protocols
Methods in molecular biology; 875
Springer protocols.
Methods in molecular biology (Clifton, N.J.); v. 875.
Statistical methods for astronomical data analysis

LCCN 2014945364
Personal name Chattopadhyay, Asis Kumar, author.
Main title Statistical methods for astronomical data analysis /
Asis Kumar Chattopadhyay, Tanuka Chattopadhyay.
©2014
Description xiii, 362 pages: illustrations (some color); 24 cm.
ISBN 9781493915064 (cloth)
1493915061 (cloth)
LC classification QB149 .C48 2014
Related names Chattopadhyay, Tanuka, author.
Summary This book introduces "Astrostatistics" as a subject in
its own right with rewarding examples, including work
by the authors with galaxy and Gamma Ray Burst data
to engage the reader. This includes a comprehensive
blending of Astrophysics and Statistics. The first
chapter's coverage of preliminary concepts and
terminologies for astronomical phenomenon will
Bibliography 131
appeal to both Statistics and Astrophysics readers as

helpful context. Statistics concepts covered in the book
provide a methodological framework. A unique feature
is the inclusion of different possible sources of
astronomical data, as well as software packages for
converting the raw data into appropriate forms for data
analysis. Readers can then use the appropriate
statistical packages for their particular data analysis
needs. The ideas of statistical inference discussed in
the book help readers determine how to apply
statistical tests. The authors cover different
applications of statistical techniques already developed
or specifically introduced for astronomical problems,
including regression techniques, along with their
usefulness for data set problems related to size and
dimension. Analysis of missing data is an important
part of the book because of its significance for work
with astronomical data. Both existing and new
techniques related to dimension reduction and
clustering are illustrated through examples. There is
detailed coverage of applications useful for
classification, discrimination, data mining and time
series analysis. Later chapters explain simulation
techniques useful for the development of physical
models where it is difficult or impossible to collect
data. Finally, coverage of the many R programs for
techniques discussed makes this book a fantastic
practical reference. Readers may apply what they learn
directly to their data sets in addition to the data sets
included by the authors.-- Source other than Library of
Congress.
Contents Introduction to astrophysics -- Introduction to statistics
-- Sources of astronomical data -- Statistical inference -
- Advanced regression and its applications with
measurement error -- Missing observations and
imputation -- Dimension reduction and clustering --
Clustering, classification and data mining -- Time
series analysis -- Monte Carlo simulation -- Use of
software -- Appendix.
132 Bibliography
Subjects Statistical astronomy.

Statistical astronomy.
Series Springer Series in Astrostatistics, 2199-1030; 3
Springer series in astrostatistics; 3.
Stochastic analysis in production process and ecology under uncertainty

LCCN 2012938447
Personal name Bieda, Bogusław.
Main title Stochastic analysis in production process and ecology
under uncertainty / Bogusław Bieda.
Published/Created Heidelberg; New York: Springer, c2012.
Description xvi, 168 p.: ill.; 25 cm.
Links Publisher description http://www.loc.gov/catdir/
Table of contents only http://www.loc.gov/catdir/
enhancements/fy1409/2012938447-t.html
ISBN 9783642280559 (alk. paper)
3642280552 (alk. paper)
9783642280566 (ebk.)
LC classification QA274.2 .B54 2012
Contents 1. Introduction to Monte Carlo (MC) method: random
variables in stochastic models -- 2. Stochastic model of
the diffusion of pollutants in landfill management
using Monte Carlo simulation -- 3. The role of risk
assessment in investment costs management, based on
the example of waste treatment (gasification) facility
in the city of Konin -- 4. Stochastic analysis of the
environmental impact of energy production processes,
based on the example of MSP power plant -- 5.
Stochastic analysis, using Monte Carlo (MC)
simulation, of the life cycle management of waste,
from an annual perspective, generated by MSP -- 6.
Summary.
Subjects Stochastic analysis.
Manufacturing processes--Mathematical models.
Ecology--Mathematical models.
Ecology--Mathematical models.
Bibliography 133
Manufacturing processes--Mathematical models.

Stochastic analysis.
Notes Includes bibliographical references (p. 155-168).
Stochastic dynamics of marine structures

LCCN 2012024936
Personal name Næss, Arvid.
Main title Stochastic dynamics of marine structures / Arvid
Naess, Norwegian University of Science and
Technology, Torgeir Moan, Norwegian University of
Science and Technology.
Published/Produced New York, NY: Cambridge University Press, 2013.
Description xiv, 410 pages: illustrations; 27 cm
Links Cover image http://assets.cambridge.org/97805218/
81555/cover/9780521881555.jpg
LC classification TC1665 .N34 2013
Related names Moan, Torgeir.
Summary "Stochastic Dynamics of Marine Structures is a text for
students and reference for professionals on the basic
theory and methods used for stochastic modelling and
analysis of marine structures subjected to
environmental loads. The first part of the book
provides a detailed introduction to the basic dynamic
analysis of structures, serving as a foundation for later
chapters on stochastic response analysis. This includes
an extensive chapter on the finite element method. A
careful introduction to stochastic modelling is
provided, which includes the concepts: stochastic
process, variance spectrum, random environmental
processes, response spectrum, response statistics and
short- and long-term extreme value models. The
second part of the book offers detailed discussion of
limit state design approaches, fatigue design methods,
the equations of motion for dynamic structures and
numerical solution techniques. The final chapter
highlights methods for prediction of extreme values
from measured data or data obtained by Monte Carlo
134 Bibliography
simulation"-- Provided by publisher.

Contents Machine generated contents note: 1. Preliminaries; 2.
Dynamics of single-degree-of-freedom linear systems;
3. Dynamics of multi-degree-of-freedom linear
systems; 4. Finite element method; 5. Stochastic
processes; 6. Variance spectrum; 7. Environmental
loads; 8. Random environmental processes; 9.
Response spectrum; 10. Response statistics; 11.
Statistics for nonlinear problems; 12. Short-term and
long-term extremes; 13. Dynamic load effects for
design checks; 14. Equations of motion; 15. Numerical
solution techniques; 16. Monte Carlo methods and
extreme value estimation.
Subjects Offshore structures.
Structural dynamics.
Stochastic processes.
Technology & Engineering / Engineering (General).
and index.
Stochastic simulation optimization for discrete event systems:

perturbation analysis, ordinal optimization and beyond
LCCN 2013012700
Main title Stochastic simulation optimization for discrete event
systems: perturbation analysis, ordinal optimization
and beyond / edited by Chun-Hung Chen, George
Mason University, USA, Qing-Shan Jia, Tsinghua
University, China & Loo Hay Lee, National University
of Singapore, Singapore.
Published/Produced New Jersey: World Scientific, 2013.
Description xxviii, 245 pages; 24 cm
ISBN 9789814513005 (alk. paper)
LC classification TA343 .S76 2013
Related names Chen, Chun-Hung, 1964- editor of compilation.
Jia, Qing-Shan, 1980- editor of compilation.
Lee, Loo Hay, editor of compilation.
Summary "Discrete event systems (DES) have become pervasive
in our daily life. Examples include (but are not
Bibliography 135
restricted to) manufacturing and supply chains,

transportation, healthcare, call centers, and financial
engineering. However, due to their complexities that
often involve millions or even billions of events with
many variables and constraints, modeling of these
stochastic simulations has long been a "hard nut to
crack". The advance in available computer technology,
especially of cluster and cloud computing, has paved
the way for the realization of a number of stochastic
simulation optimization for complex discrete event
systems. This book will introduce two important
techniques initially proposed and developed by
Professor Y.C. Ho and his team; namely perturbation
analysis and ordinal optimization for stochastic
simulation optimization, and present the state-of-the-
art technology, and their future research directions.
Contents: Part I: Perturbation Analysis: IPA Calculus
for Hybrid Systems; Smoothed Perturbation Analysis:
A Retrospective and Prospective Look; Perturbation
Analysis and Variance Reduction in Monte Carlo
Simulation; Adjoints and Averaging; Infinitesimal
Perturbation Analysis in On-Line Optimization;
Simulation-based Optimization of Failure-Prone
Continuous Flow Lines; Perturbation Analysis,
Dynamic Programming, and Beyond; Part II: Ordinal
Optimization: Fundamentals of Ordinal Optimization;
Optimal Computing Budget Allocation; Nested
Partitions; Applications of Ordinal Optimization.
Readership: Professionals in industrial and systems
engineering, graduate reference for probability &
statistics, stochastic analysis and general computer
science, and research."-- Provided by publisher.
Subjects Discrete-time systems--Mathematical models.
Perturbation (Mathematics)
Systems engineering--Computer simulaton.
Notes Includes bibliographical references.
136 Bibliography
The essential retirement guide: a contrarian's perspective

LCCN 2015029018
Personal name Vettese, Fred, 1953-
Main title The essential retirement guide: a contrarian's
perspective / Fred Vettese.
Published/Produced Hoboken: Wiley, 2015.
LC classification HQ1062 .V48 2015
Summary "A Contrarian Twist to Saving for Your Golden Years
The Essential Retirement Guide: A Contrarian's
Perspective brings a much-needed shift in thinking to
the age-old question of how best to prepare for your
retirement. This handbook helps you reject confusing,
outdated information and figure out how much wealth
youreally need to retire securely. In the process, this
groundbreaking text discusses when to save, why to
save, how to save, and how much to save--providing
new insights in an environment that is cluttered with
misinformation about retirement planning. This
comprehensive resource explains when you should
start saving for your golden years, how to prioritize
your retirement saving amid other spending
obligations, and how much you can comfortably spend
each year once you have retired. Additionally, the text
provides hard data that underscores the fragility of
humans in spite of ever-increasing lifespans and how
that fragility should inform our actions in the earlier
stages of our retirement. With baby boomers
approaching their golden years, retirement planning
has become more popular than ever before. This book
offers fresh insights on how to: Dispel some of the
inconsistent messages about retirement, such as the
conventional retirement income target and the 4
percent rule Determine your lifespan and how it is
affected by your lifestyle Consider the possibility of
long-term care and how it may affect your retirement
Bibliography 137
planning Prepare for the change in spending habits that

typically occurs over the course of retirement The
Essential Retirement Guide: A Contrarian's
Perspective takes a fresh look at retirement saving
strategies and guides you in creating a plan that fits
your finances and your lifestyle"-- Provided by
publisher.
"The Essential Retirement Guide will detail saving for
retirement-- when, why, how, and how much. There is
much miscommunication and false information about
retirement planning. Inconsistences such as retirement
target percentages of final pay, the amount of
retirement income needed, and the use of proper
investment vehicles, most of which cost hundreds of
thousands of dollars more than necessary, all add to the
mystification of most retirement planning advice. The
book will answer: - When should I start to save? -
What takes priority: paying off the mortgage or saving
for retirement? - What is the most tax-effective
investment vehicle during the accumulation phase? -
How should I invest? - How much money do I need to
retire comfortably? - How much retirement income
will I need? - What percentage of my assets can I
spend each year in retirement? - How will my
spending habits change over the course of my
retirement? - Do I need to worry about the cost of
long-term care?"-- Provided by publisher.
Contents Machine generated contents note: Preface
Acknowledgments Chapter 1 The Road to Retirement
Detours Chapter 2 Doubts about the 70 percent
retirement income target Niggling doubts Saving for
retirement is a 2-dimensional problem The macro case
against 70 percent Low-income workers Conclusions
Notes Chapter 3 Honing in on the Real Target Setting
the ground rules Howard and Barb Steve and Ashley
1.0 Steve and Ashley 2.0 Expressing consumption in
dollars Conclusions Chapter 4 A New Rule of Thumb
Guiding principles Retirement income targets under
different scenarios General rule of thumb Conclusions
138 Bibliography
Notes Chapter 5 Quantifying Your Wealth Target A

rough and ready estimate A more actuarial approach
Notes Chapter 6 Why Interest Rates Will Stay Low
(And Why You Should Care) The rise of the savers
The Japan experience Applicability to the US and
Canada Possible remedies Implications Notes Chapter
7 How Spending Decreases with Age Doubts
Quantifying the decline in consumption Why does
consumption decline? Next steps Notes Chapter 8
Death Takes a Holiday Present day life expectancy
Dispersion of deaths Who is benefiting the most? Why
is mortality improving? The future Conclusions Notes
Chapter 9 Estimating Your Own Life Expectancy
Conclusions Notes Chapter 10 Is long-term care in
your future? Long-term care (LTC) What does LTC
entail? What are the chances you will need LTC? How
long is LTC usually required? Conclusions Notes
Chapter 11 Paying for Long-term Care Typical LTC
insurance contract Does the math work? The verdict
The consequences of not insuring LTC Notes Chapter
12 Putting It All Together New wealth targets Buffers
Conclusion Notes Chapter 13 Picking a Savings Rate
Historical performance Lessons learned What the
future holds Generalizing the results Notes Chapter 14
Optimizing Your Savings Strategy The goal Strategy
1: Simple Strategy 2: Simple Lifecycle approach
Strategy 3: Modified Lifecycle Strategy 4: Variable
contribution Strategy 5: The SMART approach
Conclusions The Third Lever Methodology Chapter 15
A Gentler Approach to Saving Path 1 - Pain now, gain
later on Path 2 - Smooth and steady improvement A
comparison in dollar terms Conclusions Chapter 16
Rational Roulette Call to action Watch out for your
children Notes Chapter 17 Revisiting the 4 Percent
Rule The 4 percent rule Problems with the 4 percent
rule A more rational spending rule A Monte Carlo
simulation Conclusions Chapter 18 Why people hate
annuities (but should still buy one) Why annuities
should be popular The psychology behind the
Bibliography 139
unpopularity Tontines The insured annuity strategy

Indexed annuities? Forget it Conclusions Notes
Chapter 19 How Workplace Pension Plans fit in Why
employers offer workplace plans Getting the most out
of your workplace plan How a workplace pension plan
affects your dollar target Online forecast tools Chapter
20 Bubble Trouble Why worry about financial
bubbles? Examples of recent financial bubbles
Common Characteristics The everything bubble Notes
Chapter 21 Carpe Diem The numbers Healthy life
years Trends Personal genome testing Notes Chapter
22 A Life Well Lived Retirement and happiness Final
thoughts Notes Appendix A Similarities between the
US and Canada Social Security programs High-level
comparison of retirement vehicles A tax comparison
Appendix B Social Security in the US and Canada
Name of Social Security pension plan Purpose of
Social Security Earnings base for pension calculation
How pension is calculated How the plans are funded
Normal retirement age Early retirement age Delayed
retirement Indexation Other government-sponsored
pension plans Taxability Appendix C Retirement
income targets under other scenarios Appendix D
About the assumptions used in the book Thoughts on
Conservatism Assumptions used to estimate personal
consumption Assumptions used to calculate future
retirement savings Assumptions used to estimate the
historical accumulation of savings Couple
contemplating long-term care insurance Assets needed
to cover long-term care (LTC) About the Author
Index.
Subjects Retirement--Planning.
Finance, Personal.
Business & Economics / Personal Finance / Retirement
Planning.
Additional formats Online version: Vettese, Fred, 1953- Essential
retirement guide Hoboken: Wiley, 2015
9781119111146 (DLC) 2015031133
140 Bibliography
The Monte Carlo simulation method for system reliability and risk
analysis.
LCCN 2012950369
Main title The Monte Carlo simulation method for system
reliability and risk analysis.
Published/Created New York: Springer, 2012.
Links Contributor biographical information http://www.loc.
gov/catdir/enhancements/fy1316/2012950369-b.html
Publisher description http://www.loc.gov/catdir/
Table of contents only http://www.loc.gov/catdir/
enhancements/fy1316/2012950369-t.html
ISBN 9781447145875
The Palgrave handbook of research design in business and management

LCCN 2014037214
Main title The Palgrave handbook of research design in business
and management / edited by Kenneth D. Strang.
Published/Produced New York City, NY: Palgrave Macmillan, 2015.
Description xxxvi, 565 pages; 25 cm
LC classification HD30.4 .P35 2015
Related names Strang, Kenneth D.
Summary "Any research study needs a solid design before data
collection or analysis can begin. This design ensures
that any experimental evidence obtained by a
researcher serves its purpose in making the researcher's
argument more robust. Just as an architect prepares a
blueprint before he approves a construction project, a
researcher needs to prepare a plan their own before
they start their research. The Palgrave Handbook of
Research Design in Business and Management uses a
new state-of-the-art research design typology model to
guide researchers in creating the blueprints for their
experiments. By focusing on theory and cutting-edge
empirical best-practices, this handbook utilizes visual
techniques to appease all learning styles. "-- Provided
Bibliography 141
by publisher.
"This is a scholarly double-blind peer-reviewed edited
book. Quality was designed-in through the team
selection and review processes. Over 40 experienced
practitioner-scholars and subject matter experts were
selected from accredited universities and respected
organizations around the world. For example, our
foreword author Dr. Joseph F. Hair Jr. is a well-known
research methods textbook author. A new state-of-the-
art research design typology model was developed to
guide authors and readers. The authors used visual
techniques - tables and diagrams - to appease all
learning styles and especially English Second
Language Learners. Additionally, the authors
integrated and applied authentic examples into their
chapters based on their experience or a published
scholarly study. A visual chapter map in each chapter
shows where the design theory is positioned on the
research ideology continuum and which research
design typology components are addressed. The
closing chapter on gaps in future practices contains an
interesting surprise"-- Provided by publisher.
Contents Machine generated contents note: -- Preliminary
Material -- i. Foreword: Vision and Reality; Joseph F.
Hair, Jr -- ii. Preface: What's Unique for Practitioners;
Kenneth D. Strang -- Research Design Guidelines -- 1.
Why Practitioner-Scholars Need a Research Design
Typology; Kenneth D. Strang -- 2. Articulating a
Research Design Ideology; Kenneth D. Strang -- 3.
Developing a Goal-Driven Research Strategy; Kenneth
D. Strang -- 4. Matching Research Method with
Ideology and Strategy; Kenneth D. Strang -- 5.
Selecting Research Techniques for a Method and
Strategy; Kenneth D. Strang -- 6. Design Issues in
Cross-Cultural Research: Suggestions for Researchers;
Linda Brennan, Lukus Parker, Dang Nguyen, Torgeir
Aleti -- 7. Establishing Rationale and Significance of
Research; Judith Hahn -- 8. Organizing and
Conducting Scholarly Literature Reviews; Linnaya
142 Bibliography
Graf -- 9. Interpreting Findings and Discussing

Implications for all Ideologies; Mary Ann Rafoth,
George Semich, Richard Fuller -- Positivist
Applications -- 10. Implications of Experimental
Versus Quasi-Experimental Designs; Jeremy W.
Grabbe -- 11. Structural Equation Modeling:
Principles, Processes, and Practices; Sewon Kim,
Edward Sturman, Eun Sook Kim -- 12. Correlation to
Logistic Regression Illustrated with a Victimization-
Sexual Orientation Study; Creaig A. Dunton, Mark
Beaulieu -- 13. Survey Method versus Longitudinal
Surveys and Observation for Data Collection; John F.
Gaski -- 14. Cross-Sectional Survey and
Correspondence Analysis of Financial Manager
Behavior; Kenneth D. Strang -- 15. Control Variables:
Problematic Issues and Best Practices; Leon Schjoedt,
Krittaya Sangboon -- 16. Monte-Carlo Simulation
Using Excel: Case Study in Financial Forecasting;
Seifedine Kadry -- Pragmativist Applications -- 17.
Critical Analysis using Four Case Studies Across
Industries; Linnaya Graf -- 18. Integrating Multiple
Case Studies with a Merger and Acquisition Example;
Lars Schweizer -- 19. Iterative-Pragmatic Case Study
Method and Comparisons with other Case Study
Method Ideologies; Harm-Jan Steenhuis -- 20. Action
Research Applied with Two Single Case Studies;
Angeline Lim, Dae Seok-Chai -- 21. Transportation
Queue Action Research at an Australian Titanium
Dioxide Mining Refinery; Kenneth D. Strang -- 22.
Participant Observation as Ethnography or
Ethnography as Participant Observation in
Organizational Research; Peter Sandiford --
Constructivist Applications -- 23. Constructivist
Grounded Theory Applied to a Culture Study;
Narasimha R.Vajjhala -- 24. Phenomenology
Variations from Traditional Approaches to Eidetic and
Hermeneutic Applications; Jillian McCarthy -- 25.
Hermeneutic and Eidetic Phenomenology Applied to a
Clinical Healthcare Study; Jillian McCarthy -- 26.
Bibliography 143
Structure of a Dissertation for a Participatory

Phenomenology Design; Judith Hahn -- 27.
Emancipatory Phenomenology Applied to a Child Sex
Offender Study; Rodney Alexander -- Final
Generalizations and Descriptive Characteristics -- 28.
Gaps to Address in Future Research Design Practices;
Kenneth D. Strang, Linda Brennan, Narasimha
R.Vajjhala, Judith Hahn -- 29. Contributor
Biographies.
Subjects Business--Research.
Management--Research.
Business & Economics / Careers / General.
Business & Economics / Reference.
Business & Economics / Skills.
Theory of magnetism: application to surface physics

LCCN 2013036797
Personal name Diep, H. T., author.
Main title Theory of magnetism: application to surface physics /
Hung T. Diep, University of Cergy-Pontoise, France.
Published/Produced New Jersey: World Scientific, [2013]
©2013
Description xvii, 420 pages: illustrations; 24 cm
ISBN 9789814569941 (hardcover: alk. paper)
9814569941 (hardcover: alk. paper)
LC classification QC753.2 .D54 2013
Contents Magnetism of free electrons and atoms -- Exchange
interaction in an electron gas -- Magnetic exchange
interactions -- Magnetism: mean-field theory -- Theory
of magnons -- Green's function method in magnetism -
- Phase transition -- Methods of Monte Carlo
simulation -- Magnetic properties of thin films --
Monte Carlo simulation of spin transport.
Subjects Magnetism--Textbooks.
Statistical physics--Textbooks.
Surfaces (Physics)--Textbooks.
144 Bibliography

and index.
Transport of energetic electrons in solids: computer simulation with

applications to materials analysis and characterization
LCCN 2014931495
Personal name Dapor, Maurizio.
Main title Transport of energetic electrons in solids: computer
simulation with applications to materials analysis and
characterization / Maurizio Dapor.
Published/Created Cham [Switzerland]; New York: Springer, c2014.
Description xiv, 146 p.: ill.; 24 cm.
ISBN 9783319038827 (acid-free paper)
3319038826 (acid-free paper)
LC classification QC178.8.E4 D26 2014
QC1 .S797 v. 257
Subjects Electron transport.
Electrons--Scattering.
Electron beams.
Monte Carlo method.
Aufprall.
Elektronenstrahl.
Elektronentransport.
Festkörper.
Heisses Elektron.
Monte-Carlo-Simulation.
Series Springer tracts in modern physics; v. 257
Springer tracts in modern physics; 257.
Understanding probability
LCCN 2012010536
Personal name Tijms, H. C.
Main title Understanding probability / Henk Tijms.
Edition 3rd ed.
Published/Created New York: Cambridge University Press, 2012.
Description x, 562 p.: ill.; 23 cm.
Bibliography 145
Links Cover image http://assets.cambridge.org/97811076/

58561/cover/9781107658561.jpg
ISBN 9781107658561 (pbk.)
LC classification QA273 .T48 2012
Summary "Understanding Probability is a unique and stimulating
approach to a first course in probability. The first part
of the book demystifies probability and uses many
wonderful probability applications from everyday life
to help the reader develop a feel for probabilities. The
second part, covering a wide range of topics, teaches
clearly and simply the basics of probability. This fully
revised third edition has been packed with even more
exercises and examples, and it includes new sections
on Bayesian inference, Markov chain Monte Carlo
simulation, hitting probabilities in random walks and
Brownian motion, and a new chapter on continuous-
time Markov chains with applications. Here you will
find all the material taught in an introductory
probability course. The first part of the book, with its
easy-going style, can be read by anybody with a
reasonable background in high school mathematics.
The second part of the book requires a basic course in
calculus"-- Provided by publisher.
Contents Machine generated contents note: Preface;
Introduction; Part I. Probability in Action: 1.
Probability questions; 2. The law of large numbers and
simulation; 3. Probabilities in everyday life; 4. Rare
events and lotteries; 5. Probability and statistics; 6.
Chance trees and Bayes' rule; Part II. Essentials of
Probability: 7. Foundations of probability theory; 8.
Conditional probability and Bayes; 9. Basic rules for
discrete random variables; 10. Continuous random
variables; 11. Jointly distributed random variables; 12.
Multivariate normal distribution; 13. Conditioning by
random variables; 14. Generating functions; 15.
Discrete-time Markov chains; 16. Continuous-time
Markov chains; Appendix; Counting methods and ex;
Recommended reading; Answers to odd-numbered
problems; Bibliography; Index.
146 Bibliography
Subjects Probabilities.
Mathematical analysis.
Chance.
Mathematics / Probability & Statistics / General
Notes Includes bibliographical references (p. 556-557) and
index.
Will you be alive 10 years from now?: and numerous other curious
questions in probability: a collection of not so well-known mathematical
mind-benders (with solutions, with one exception)
LCCN 2013010221
Personal name Nahin, Paul J.
Main title Will you be alive 10 years from now?: and numerous
other curious questions in probability: a collection of
not so well-known mathematical mind-benders (with
solutions, with one exception) / Paul J. Nahin.
Published/Produced Princeton: Princeton University Press, [2014]
Description xxvi, 220 pages; 25 cm
LC classification QA273.25 .N344 2014
Summary "What are the chances of a game-show contestant
finding a chicken in a box? Is the Hanukkah dreidel a
fair game? Will you be alive ten years from now?
These are just some of the one-of-a-kind probability
puzzles that acclaimed popular math writer Paul Nahin
offers in this lively and informative book.Nahin brings
probability to life with colorful and amusing historical
anecdotes as well as an electrifying approach to
solving puzzles that illustrates many of the techniques
that mathematicians and scientists use to grapple with
probability. He looks at classic puzzles from the past--
from Galileo's dice-tossing problem to a disarming
dice puzzle that would have astonished even Newton--
and also includes a dozen challenge problems for you
to tackle yourself, with complete solutions provided in
the back of the book.Nahin then presents twenty-five
unusual probability puzzlers that you aren't likely to
find anywhere else, and which range in difficulty from
Bibliography 147
ones that are easy but clever to others that are

technically intricate. Each problem is accompanied by
an entertaining discussion of its background and
solution, and is backed up by theory and computer
simulations whenever possible in order to show how
theory and computer experimentation can often work
together on probability questions. All the MATLAB
Monte Carlo simulation codes needed to solve the
problems computationally are included in the book.
With his characteristic wit, audacity, and insight,
Nahin demonstrates why seemingly simple probability
problems can stump even the experts"-- Provided by
publisher.
Subjects Probabilities--Problems, exercises, etc.
Mathematics / Probability & Statistics / General.
RELATED NOVA PUBLICATION
SOME RADIATION DOSIMETRIC STUDIES ON
INHOMOGENEITY IN PHOTON RADIOTHERAPY
USING MONTE CARLO SIMULATIONS *
James Chun Lam Chow †
Radiation Medicine Program, Princess Margaret Cancer Center,

University Health Network, Canada
Department of Radiation Oncology, University of Toronto, Canada
A central concern in photon radiotherapy is to provide tumour control by

killing cancerous cells while simultaneously sparing surrounding healthy
tissues. Although patient’s anatomy contains mostly soft tissue with relative
density close to one, tissue inhomogeneity such as air and bone is a dosimetric
issue. The inhomogeneity with different relative electron densities and
interaction cross-sections compared to soft tissue affects the photon transport,
as well as the energy deposition of the photon and hence the dose distribution.
Since inhomogeneity is present in the patient’s body such as the head-and-
neck, an accurate dose calculation algorithm with a thorough physics
consideration of the inhomogeneity is necessary. Monte Carlo method is well-
known to be the benchmark in the dose calculation involving the
inhomogeneity. This Chapter reports some recent Monte Carlo dosimetric
*
The full version of this chapter can be found in New Developments in Photon and Materials
Research, edited by Joon I. Jang, published by Nova Science Publishers, Inc, New York, 2013.
†
E-mail address: james.chow@rmp.uhn.on.ca.
150 Related Nova Publication
investigations in the bone and air inhomogeneity when photon beams in the
kilovoltage (kV) and megavoltage (MV) range were used in radiotherapy. For
the kV photon beams, the variations of the bone and mucosal doses with
different soft tissue and bone thicknesses mimicking the oral or nasal cavity
were examined using Monte Carlo simulation. Inhomogeneous phantoms
containing water, bone and air layers were irradiated with photon beams. It is
found that the 105 kVp photon beam produced more than twice the bone dose
than the 220 kVp, when the water thickness at the phantom surface was small
(0.5 cm). In another work, the dosimetric impact of surface dose reduction due
to the loss of backscatter from the bone interface was evaluated using the 105
kVp photon beam. It is concluded that the decrease of surface dose results in
an overestimation of prescribed dose at the patient’s surface, and might be a
concern when using superficial photon beam to treat skin tumours in sites such
as forehead, chest wall and kneecap. On the other hand, the variations of the
dose and dose distribution, due to the photon beam energy and presence of
inhomogeneity in a small-animal irradiation, were studied using photon beam
energies of 50, 100, 150, 200, 250, 300 and 1250 kV. The results showed that
the increase of mean dose due to the bone dose enhancement could be a
dosimetric concern, when using kV photon beam in the small-animal
irradiation and model. For the MV photon beams, the dependences of mucosal
dose in the oral or nasal cavity on the beam energy, beam angle and mucosal
thickness were studied. Two inhomogeneous phantoms namely, slab and
cylindrical, were used with the 6 and 18 MV photon beams. Results from the
slab phantom showed that the mucosal dose with bone varied with the beam
energy, beam angle and mucosal thickness. For the more realistic cylindrical
phantom, it is found that the mucosal surface doses decreased slightly with an
increase of mucosal thickness, when the beam angle was equal to zero. These
dosimetric variations are important to consider when improving the treatment
strategy to minimize the mucosal complications in head-and-neck
radiotherapy.
INDEX
biosensors, 129
A blueprint, 140
bonds, 108
access, 10, 13, 125
bone, 149
acid, 114, 128, 129, 144
boundary value problem, 123
AFM, 57, 63, 75
Brownian motion, 123, 145
algorithm, 2, 5, 6, 9, 14, 15, 17, 22, 23, 26,
business environment, 84
59, 105, 124, 149
businesses, 13
angiosperm, 129
anisotropy, 129
ANOVA, 86 C
antiviral drugs, 52
applied mathematics, 81 C++, 14, 91
arbitrage, 81, 82 calculus, 115, 145
architect, 140 calibration, 89, 90
arithmetic, 16, 17, 22, 26, 27, 123 call centers, 135
Artificial Neural Networks, 5 cancerous cells, 149
assessment, vii, 1, 3, 33, 34, 37, 92, 98, 100, case study, 3, 26, 128
132 cash flow, 103, 127
assets, 108, 112, 125, 133, 137, 145 classification, 9, 32, 79, 81, 83, 84, 87, 90,
atoms, 58, 61, 143 91, 96, 99, 100, 101, 102, 103, 104, 105,
107, 108, 112, 113, 114, 117, 118, 120,
125, 126, 127, 128, 130, 131, 132, 133,
B 134, 136, 140, 143, 144, 145, 146
clinical trials, 44, 49
baby boomers, 136
Cloud computing, 13
bacterial pathogens, 129
clustering, 80, 125, 131
base, 93, 99, 139
coefficient of variation, 6
Bayesian methods, 83, 87
communication, 9, 14, 22, 24, 115
beams, 144, 150
compensation, 56, 63
bioinformatics, 116
compilation, 117, 134
biomaterials, 51
152 Index
complications, 47, 150 distributed memory machines, 10, 13, 14,

composite power system, 2, 3, 7, 9, 20, 29 26
compression, 124 distributed memory parallel computers, 27
computation, 2, 9, 14, 15, 25, 26, 27, 33, 34 distribution, viii, 3, 4, 5, 16, 22, 27, 36, 43,
computer, vii, 1, 3, 5, 9, 10, 12, 15, 16, 20, 52, 57, 94, 117, 123, 145, 149
26, 101, 116, 135, 144, 147 distribution function, 117
computer simulations, 147 DMMs, 10, 26
computer technology, 135 dosage, viii, 36, 38, 40, 44, 45
computing, vii, 1, 2, 3, 4, 5, 9, 10, 12, 13, drug carriers, 43
14, 20, 21, 23, 25, 26, 27, 28, 31, 33, 34, drug release, 44, 45, 50
135 drug resistance, 37, 43, 44, 51, 52, 53
conditioning, 6 drug therapy, 37
configuration, 57, 59, 95 drug treatment, viii, 35, 36, 44, 47
convergence, 5, 23, 120 drugs, viii, 35, 37, 52, 53
corporate finance, 103
correlation analysis, 125
correlations, 19, 20 E
cosmic rays, 128
ECM, 32
cost, 26, 27, 92, 101, 103, 127, 137
economics, 95, 104, 105
coupling constants, 56
ecosystem, 79, 91
covering, 81, 103, 145
electricity, vii, 1, 27
cytochromes, 130
electron, 64, 143, 144, 149
cytometry, 129
electronic circuits, 128
electronic materials, 128
D emerging markets, 112
employers, 139
data analysis, 79, 80, 89, 90, 130, 131 energy, 2, 5, 7, 56, 61, 91, 129, 132, 149
data center, 13 energy efficiency, 91
data collection, 140 energy supply, 5
data mining, 87, 131 energy transfer, 129
data set, 79, 80, 84, 131 engineering, 12, 14, 95, 99, 104, 105, 107,
decision trees, 80, 113, 127 116, 118, 135
decision-making process, 96, 103 environment, vii, 1, 9, 11, 14, 19,20, 23, 24,
decomposition, 4 26, 84, 99, 108, 128, 136
delivery systems, viii, 35, 37 environmental impact, 132
derivatives, 81, 82, 90 equipment, 95
Design Guide, 141 equity, 90, 108, 112
detection, 33, 48, 79, 80, 130 everyday life, 145
differential equations, 42, 81, 123 evidence, 140
discrete event systems, 134, 135 evolution, viii, 36, 37, 42, 48, 52
discrete random variable, 145 execution, 13, 18, 90
discrimination, 131 exercises, 105, 115, 119, 145, 147
disease model, 53
distributed computing, vii, 1, 10, 23, 26
Index 153
heterogeneity, 52
F hexagonal lattice, 56
high performance computing, 5
Fermi level, 58
Hill equation, viii, 36, 41
ferromagnetic, 56, 57, 59, 63
HIV/AIDS, viii, ix, 35, 36, 37, 38, 39, 40,
ferromagnetism, 64
42, 43, 46, 47, 49, 51, 52, 53, 54
FFT, 123
HIV-1, 37, 51, 52, 53
field theory, 56, 63, 143
human, 36, 48
financial, 80, 81, 83, 90, 103, 104, 105, 108,
human immunodeficiency virus, 36
112, 119, 135, 139
hybrid, 14, 26, 27
financial crisis, 112
hypothesis test, 125
financial markets, 83, 112
hysteresis, ix, 56, 65, 73, 76
finite element method, 133
flatness, 65
fluctuations, 43, 44, 47, 49 I
fluorescence, 129
forecasting, 32, 33 identification, 126
formula, 81, 121 ideology, 141
foundations, 114 image, 81, 83, 90, 96, 99, 103, 108, 112,
Fourier transform technique, 91 117, 125, 133, 136, 145
fragility, 136 immune system, 48, 52
freedom, 134 immunodeficiency, 36, 49
in vitro, viii, 36, 37, 40, 48
in vivo, viii, 36, 37, 53
G income, 136, 137
independence, 20
Galileo, 146
individuals, viii, 36
gambling, 101, 102
inertial navigation system, 106
game theory, 116
infection, viii, ix, 35, 36, 37, 38, 41, 42, 47,
gasification, 132
49, 50, 51, 52, 53
Gaussian random variables, 82
information processing, 9
genetics, 101, 102
infrastructure, 13
genome, 139
inhibition, viii, 36, 41, 47, 50
genomics, 80
inhomogeneity, 149
geometry, 117
initial state, 6, 16
gold nanoparticles, vii, viii, 35, 37, 38, 50
initiation, 43
GPS, 106, 107, 122
institutions, 90
graduate education, 115
integrated circuits, 128
graduate students, 126
integration, 81, 82, 84, 93, 122, 125
grid computing, 13
interface, 2, 13, 21, 23, 150
growth, viii, 36, 101, 102
internalization, 44
interprocessor communication, 9
H investment, 102, 103, 108, 112, 132, 137
investors, 112
Hamiltonian, 57, 58, 59 ion channels, 129
hedging, 83, 89, 90, 103 irradiation, 150
154 Index
materials, 64, 128, 144

K mathematics, 48, 81, 83, 102, 119, 145
mean-field theory, 143
Kagomé lattice, 56
measurement, 117, 127, 131
kidney, 129
memory, 10, 13, 14, 19, 26, 27
kinetic model, 40
message passing interface, 2, 21
kinetics, 51, 52, 129
message-passing programs, 14
methodology, vii, 1, 26, 84, 95, 127
L mixed-spin lattice, 56
modelling, 4, 36, 37, 38, 44, 48, 125, 126,
Latin Hypercube Sampling, viii, 36, 43 133
lead, 19, 20, 22, 99 models, viii, 2, 21, 26, 35, 36, 37, 40, 43,
learning, 79, 80, 140, 141 51, 53, 57, 83, 84, 89, 90, 100, 102, 103,
learning styles, 140, 141 104, 105, 108, 112, 113, 121, 125, 131,
Least squares, 124 132, 133, 135
life cycle, 112, 132 modifications, 93
life expectancy, 138 modules, 10, 90
linear model, 84 molecular biology, 130
linear programming, 115 Mononuclear phagocytes, 36
linear systems, 134 Monte Carlo method, 83, 89, 99, 101, 102,
liposomes, 52 104, 105, 117, 118, 119, 134, 144, 149
localization, 106 Monte Carlo Simulations, i, iii, v, vii, viii,
long-term care insurance, 139 ix, 1, 2, 4, 5, 15, 20, 27, 28, 30, 31, 32,
LTC, 138 33, 34, 35, 36, 37, 38, 43, 44, 55, 56, 59,
luminosity, 125 60, 63, 75, 80, 81, 83, 85, 87, 90, 95, 97,
99, 100, 101, 103, 104, 105, 106, 107,
108, 113, 115, 117, 118, 119, 123, 125,
M 127, 128, 131, 132, 134, 135, 138, 140,
143, 145, 147, 149, 150
machine learning, 80 MPI, 14, 21, 26, 27, 28, 30
macrophages, viii, 35, 36, 37, 42, 43, 44, 45,
47, 48, 50, 51, 53
magnetic field, ix, 55, 56, 57, 58, 65, 74, 75 N
magnetic hysteresis cycle, ix, 56, 65, 73
magnetic moment, 64 nanocarriers, 37, 38, 44, 45, 47, 54
magnetic properties, vii, ix, 55, 56, 62, 75 nanoparticles, vii, viii, 35, 36, 37, 38, 43,
magnetism, 143 44, 47, 48, 49, 50, 52, 53, 56
magnetization, ix, 55, 56, 60, 61, 63, 67, 68, National Academy of Sciences, 52
70, 71, 72, 74, 75 navigation system, 106
magnetizations, ix, 55, 56, 61 networking, 12, 114, 115
mammalian cells, 129 neuroimaging, 80
management, 83, 84, 87, 89, 90, 94, 96, 98, nodes, 10, 12, 14
103, 104, 105, 107, 108, 111, 126, 127, normal distribution, viii, 36, 43, 95, 145
132, 140 nucleic acid, 129
manufacturing, 135 numerical analysis, 115
Markov chain, 145
Index 155
probability, viii, 4, 5, 36, 38, 45, 47, 48,

O 103, 115, 117, 119, 125, 135, 144, 145,
146
operating system, 11, 12, 13
probability distribution, 4, 5, 103, 117
operations, 13, 16, 17, 18
probability theory, 115, 145
opportunities, 92
problem solving, 84, 96
optimization, 91, 92, 103, 114, 115, 134,
professionals, 103, 112, 133
135
programming, 3, 9, 11, 13, 14, 20, 21, 26,
90, 115
P project, 80, 95, 103, 126, 140
parallel, 2, 3, 5, 9, 10, 11, 12, 13, 14, 15, 18,

Q
20, 22, 24, 26, 27, 28, 29, 30
parallel algorithm, 3, 9, 14, 15, 26
quantization, 124
parallel implementation, 28
queuing theory, 116
parallel Monte Carlo simulation, 2, 3, 20
parallel processing, 5, 9, 20
parallelism, 10, 13, 14, 15, 20 R
parallelization, 15
partial differential equations, 81, 123 radiation, 113, 114, 117, 128, 149
partition, vii, 1, 19, 22 radiotherapy, 149
pathogenesis, 52, 53 Random Number Generator, 15, 101
pathogens, 47, 129 random numbers, 15, 16, 17, 18, 19, 20, 123
PD model, vii, viii, ix, 35, 36, 38, 40, 41, random walk, 145
42, 49 reading, 10, 127, 145
PDEs, 81 regression, 43, 131
pension plans, 139 regression model, 43
performance measurement, 127 reliability, vii, viii, 1, 2, 3, 4, 5, 6, 7, 8, 9,
personal computers, vii, 1, 3 20, 22, 23, 24, 26, 27, 28, 30, 31, 32, 33,
PES, 29 34, 92, 99, 107, 140
pharmacokinetic/pharmacodynamic reliability evaluation, viii, 2, 3, 4, 5, 8, 9,
(PK/PD) models, viii, 35, 36, 37, 38, 40, 20, 22, 23, 24, 26, 28, 30, 32, 34
41, 43, 52, 53 replication, viii, 35, 36, 41, 51, 53, 81
pharmacokinetics, 48, 52 researchers, 3, 116, 117, 140
phase diagram, ix, 55, 56, 62, 63, 66 resistance, 37, 43, 44, 47, 51, 52, 53, 92
physical mechanisms, 128 resources, viii, 2, 5, 13, 27, 103, 127
physics, 117, 118, 143, 144, 149 response, viii, 35, 37, 45, 48, 49, 53, 88,
PK/PD modelling, 36, 37 127, 133
plasma levels, viii, 36 retirement, 136, 137, 139
polycystic kidney disease, 129 risk assessment, 98, 100, 132
population, 37, 40, 101 risk management, 90, 96, 98, 103, 104, 105,
portfolio, 90, 103, 108, 127 107, 108, 126
power generation, 2, 95 RKKY interactions, ix, 56, 62, 75
principles, 117, 127, 137 RTS, 25, 27
rules, 48, 88, 93, 137, 145
156 Index
technology, 3, 14, 31, 33, 34, 102, 135

S temperature, ix, 56, 62, 63, 68, 74, 75, 129
textbook, 84, 101, 115, 141
science, 31, 33, 34, 52, 116, 118, 128, 135
therapy, 37, 38, 43, 47, 49, 52, 53, 54
securities, 82, 89, 91
thermodynamic properties, 56
sensitivity, 84, 99
time series, 125, 131
serum, 40, 42, 44, 45, 47, 48, 49
tissue, viii, 35, 37, 52, 149
simulation, vii, viii, ix, 1, 2, 3, 4, 5, 6, 7, 9,
toxicity, 37, 44
15, 19, 20, 22, 23, 25, 26, 27, 28, 29, 31,
transition temperature, 56, 63
32, 33, 34, 35, 36, 37, 38, 39, 43, 44, 47,
translocation, 129
48, 49, 52, 56, 63, 75, 80, 81, 83, 87, 89,
transmission, 2, 3, 21, 30
90, 93, 98, 99, 100, 101, 102, 103, 104,
transport, 117, 143, 144, 149
105, 108, 115, 117, 118, 119, 122, 125,
treatment, viii, ix, 36, 37, 38, 40, 41, 43, 44,
127, 128, 129, 131, 132, 134, 135, 138,
45, 46, 47, 48, 49, 84, 132, 150
140, 143, 144, 145, 147, 150
trigonometric functions, 124
Singapore, 98, 100, 134
software, vii, viii, 1, 3, 13, 14, 21, 36, 43,
84, 88, 100, 103, 127, 131 U
SOI, 128
solution, 6, 9, 27, 100, 133, 134, 147 United States (USA), 116, 134, 52
specific heat, 56 universities, 31, 33, 34, 141
spectroscopy, 129, 130
spending, 136, 137, 138
spin, vii, ix, 55, 56, 57, 59, 60, 63, 66, 72, V
74, 75, 76, 143
statistical inference, 131 valuation, 90, 95, 103, 111, 112
stavudine, vii, viii, ix, 35, 36, 38, 40, 41, 42, Valuation, 111, 112, 113
43, 44, 45, 46, 47, 48, 49, 50, 51 variables, 4, 10, 15, 38, 82, 99, 132, 135,
stochastic model, 132, 133 145
stochastic processes, 99, 115 variations, 95, 106, 150
structure, 20, 56, 126, 129 vehicles, 106, 137, 139
styles, 140, 141, 145 Vietnam, vii, 1, 2, 24, 27, 31, 32, 33, 34
superlattice, 65, 74, 75 viral infection, 41
susceptibility, 56, 61, 62, 63, 67, 68 viral load, viii, 35, 36, 42, 43, 45, 46, 47,
48, 49, 50, 53
virus replication, viii, 35, 36, 41
T voiding, 49
volatility, 81, 90
T cell, viii, 36, 39, 42, 43, 46, 47, 49, 50, 53
target, viii, 35, 37, 42, 47, 136, 137
techniques, 2, 5, 6, 18, 19, 20, 26, 27, 48, W
79, 81, 90, 100, 103, 111, 112, 115, 117,
125, 129, 131, 133, 134, 135, 140, 141, wealth, 136, 138
146 workers, 23, 137
worry, 137, 139

Monte Carlo Simulation - Methods, Assessment and Applications

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Monte Carlo Simulation - Methods, Assessment and Applications

Uploaded by

Copyright:

Available Formats

COMPUTATIONAL MATHEMATICS AND ANALYSIS

Additional books in this series can be found on Nova’s website

Additional e-books in this series can be found on Nova’s website

MONTE CARLO SIMULATION

NOTICE TO THE READER

Library of Congress Cataloging-in-Publication Data

ISBN:  H%RRN

Published by Nova Science Publishers, Inc. † New York

Chapter One presents a study on application of Monte Carlo simulation in

traditional Monte Carlo simulation in solving the problem is also shown in

T cells/µL values is higher and lasts longer with stavudine-AuNPs treatment

THE APPLICATION OF PARALLEL

Tran Ky Phuc1,, Pham Hai Binh2 and Le Thi Thanh Ha2

implemented. Some important reliability indices like PLC, EDLC, EFLC,

Keywords: composite power system, reliability evaluation, parallel Monte

Information technology and parallel computing in particular belong to a

2. COMPOSITE POWER SYSTEM RELIABILITY

Composite power system reliability evaluation involves the determination

The most popular composite reliability evaluation methods are currently

Figure 1. Hierarchical levels of power system reliability evaluation.

2.2. SMCS Based Algorithm for Composite Reliability

The sequential Monte Carlo simulation technique is based on sampling the

Step 1: Specify the initial state of each power system component.

The expected value of the indices E(Φ) can be calculated as follows:

where ni(S): number of occurrences of system state S in year i,

where V(Φ) is the variance of the estimator.

example, switching to DC methods, applying regularization method for ill-

Table 1. Typical composite power system reliability indices

Indice Load point indices System indices Unit

3. COMPOSITE RELIABILITY EVALUATION IN PARALLEL

The flowchart of composite reliability evaluation based on SMCS is

Figure 2. Flowchart of composite reliability evaluation based on SMCS.

3.1. Parallel and Distributed Computing

3.1.1. Definition of Parallel Computing

3.1.2. Parallel Computer Architecture

Figure 3. Flynn’s Taxonomy for Parallel Architecture.

Single Instruction, Single Data (SISD) is the conventional sequential

(Pfister, 1998). The typical architecture of a cluster is shown in Figure 5.

Figure 4. Shared Memory and Distributed Memory Systems.

Figure 5. Cluster architecture.

Clusters can be classified into three groups as following.

 Network Load balancing clusters: like web servers, mail servers.

Network of workstations (NOW) is a variation of cluster. NOW is a group

heavily optimized for computer graphics processing (Boggan, et al., 2007).

3.1.3. Parallel Programming Tools

Programming Tools for Shared Memory Machines

Programming Tools for Distributed Memory Machines

Hybrid Programming Tool

Programming for GPU

3.1.4. Parallel Algorithm

may consist of several sequential and parallelizable portions. The speedup

3.2. Parallel Random Number Generator

3.2.1. Random Number Generator

3.2.2. Traditional RNG

 An initial state s0 from a finite state space S

𝑠𝑖 = (𝑎. 𝑠𝑖−1 + 𝑐) mod 𝑚 (3)

𝑠𝑖 = (𝑎1 . 𝑠𝑖−1 + 𝑎2 . 𝑠𝑖−2 + ⋯ + 𝑎𝑘 . 𝑠𝑖−𝑘 ) mod 𝑚 (4)

𝑥𝑖 = (𝑎11 . 𝑥𝑖−1 + 𝑎12 . 𝑥𝑖−2 + 𝑎13 . 𝑥𝑖−3 ) mod 𝑚1

𝑦𝑖 = (𝑎21 . 𝑦𝑖−1 + 𝑎22 . 𝑦𝑖−2 + 𝑎23 . 𝑦𝑖−3 ) mod 𝑚2

where s forms the required sequence.

𝑠 = (𝑠  (𝑤 ≫ 𝑏))  (𝑡  (𝑡 ≫ 𝑐)) (6)

where s forms the required sequence.

ISBN: H%RRN