CALIBRATION OF A TRAFFIC MICROSIMULATION MODEL AS A TOOL FOR ESTIMATING THE LEVEL OF TRAVEL TIME VARIABILITY

Size: px
Start display at page:

Download "CALIBRATION OF A TRAFFIC MICROSIMULATION MODEL AS A TOOL FOR ESTIMATING THE LEVEL OF TRAVEL TIME VARIABILITY"

Transcription

1 Advanced OR and AI Methods in Transportation CALIBRATION OF A TRAFFIC MICROSIMULATION MODEL AS A TOOL FOR ESTIMATING THE LEVEL OF TRAVEL TIME VARIABILITY Yaron HOLLANDER 1, Ronghui LIU 2 Abstract. A low level of day-to-day variations in travel time is a major feature of a reliable transport system. There is a growing need for credible tools that can predict the extent of travel time variability. We present methodology for using a traffic microsimulation model as such tool, through a special calibration procedure. Various issues, relating to the variability of simulation outputs and to the concept of using this variability to replicate observed travel time fluctuations, are discussed. To test the proposed calibration methodology, its ability to reproduce various distributions of travel times is examined. 1. Background Is has been widely agreed in recent years that the reliability of a transport system is a crucial issue in the appraisal and the design of proposed schemes. A reliable transport system is characterized by a low level of unpredictable travel time variability (TTV). Much research work has concentrated on the effects of TTV on system performance and users behaviour, but implementation of these models can only be effective if it is based on a credible prediction of the extent of variability itself. This paper discusses the use of a traffic microsimulation model as a tool for predicting TTV. It is part of an on-going research, carried out in the Institute for Transport Studies at the University of Leeds, that includes development of both demand-side and supply-side models of TTV. 1 Institute for Transport Studies, University of Leeds, 41 University Road, Leeds, LS2 9JT, United Kingdom, yholland@its.leeds.ac.uk. 2 Institute for Transport Studies, University of Leeds, University Road, Leeds, LS2 9JT, United Kingdom, rliu@its.leeds.ac.uk.

2 524 Y. Hollander, R. Liu 2. Predicting the level of travel time variability In the traditional transport literature, tools for predicting TTV gained much less attention than tools for predicting the mean travel time. We bring a review of exiting mathematical tools that explicitly try to model TTV [10, 11 and many others], and show that most of them are aggregate models, in which the extent of TTV is expressed as a function of macroscopic variables such as the mean travel time. Such expressions are calibrated based on empirical travel time measurements, but they usually lack the ability to explain or predict TTV in other circumstances but those that were used for their calibration. In the current paper we propose methodology for a disaggregate prediction of TTV, whose explanatory power derives from the detailed, microscopic modelling of the performance of individual vehicles, drivers and passengers. The concept of microscopic traffic modelling seems naturally fit for predicting TTV, because most of these models take account of the random nature of traffic phenomena, and of the heterogeneous composition of the population of travellers; these are clearly some of the main causes for TTV. At first glance, one might be tempted to think that estimates of TTV can be derived directly from the output of the simulation runs, by simply analyzing the level of variation among the results. We claim that this is not the case; even if a microsimulation model is proved to be able to yield credible estimates of mean travel times, there is no foundation to the assumption that the distribution of model results replicates the real distribution. Using a microsimulation model as a tool for predicting TTV required a purposely-defined methodology for calibration and validation, which focuses on the distribution of model results. 3. Variability in microsimulation outputs Methodologies for calibrating and validating traffic microsimulation models have been discussed in several recent publications [2, 3, 5, 6, 8, 9, 14], but there has not been sufficient emphasis on the use of microsimulation for analysis of the distribution of the results rather than the mean. Some of the existing calibration methodologies do consider the distribution of outputs, when verifying the match between simulated and observed measurements [4, 7, 12]; but we find that some confusion exists between different types of variation. We distinguish between three dimensions of variability in simulation results: Spatial variability, i.e. variation between measurements taken in different places at a single time point. Temporal variability, i.e. variation between measurements taken in the same place at different time points. Stochastic variation of measurements taken in the same place and same time point, between different model runs. We discuss the different causes of each of these types of variability; we illustrate how existing methodologies mainly refer to spatial or temporal variability, while the relevant definition of TTV for many applications is more similar to the stochastic variation. We show that there is a case for using stochastic TTV between model runs to replicate the random element of day-to-day TTV. We also elaborate on the flexibility in determining whether some sources of TTV, such as accidents and roadside activity, are directly

3 Calibration of a traffic microsimulation model 525 modelled; we comment on the way this should be taken into consideration in the discussed methodology. The proposed procedure aims at calibrating a microsimulation model, i.e. adjusting the values of its input parameters, in a way that will make the distribution of travel times, obtained from a series of model runs, a credible estimate of day-to-day random TTV. A main concept in this procedure is that each run of the simulation represents a single day; the procedure tries to assure that the properties of the calibrated model fix the randomness of the model results at a similar level to the actual randomness of the observed transport system. 4. Formulation of the calibration methodology Prior to the detailed discussion of the calibration procedure, we review the required input data. We stress that compared to other calibration procedures of microsimulation models, the proposed procedure does not allow flexible use of other measures of performance but travel times; nevertheless, we clarify that various definitions or scales of travel time measurements are acceptable. To calibrate the microsimulation model we define an objective function that expresses the difference between the observed and simulated travel time distributions. The calibration procedure aims at minimising the value of the objective function. We present the main stages in the procedure. The solution approach is based on the Multidimensional Downhill Simplex Method, attributed to Nelder and Mead [13]. In this method, each feasible set of the parameters we wish to calibrate is represented by a point in a multidimensional space; a simplex is a geometrical figure whose vertices are such points. In each iteration of the solution process the simplex is modified, till we can use any of the vertices as a satisfactory solution. We also illustrate that one of the manipulation types used in the original Downhill Simplex Method is not suitable for a multidimensional problem as the current one. We discuss practical ways to improve the performance of this procedure without using the unsuitable element. It should be noted that the parameter set found by our proposed methodology is not a global optimum; its uniqueness is not guaranteed, as discussed by Adamski [1]. However, given the complicated, multidimensional nature of the calibration of microsimulation models, there is value in improving the parameter set even if the optimum is local. We are aware of many applications of microsimulation models where no systematic calibration whatsoever has been performed. We also propose a subtle extension to the calibration procedure, which involves modifying the overall level of travel demand before each run of the model. Fluctuations in the daily travel demand are one of the causes of TTV; trip matrices and traffic flow data that are normally used as an input for the microsimulation model are mean values, that do not account for this source of variation. If some information is available regarding the magnitude of these fluctuations, using this extension of the calibration methods might improve the explanatory power of the calibrated model. It should be noted, however, that this also complicates the model implementation, since modification of the total demand will also be required before each run of the calibrated model whenever it is used. If the calibration procedure is used with a fixed level of demand, variations in travel time caused

4 526 Y. Hollander, R. Liu by the daily-changing amounts of traffic are treated as part of the unexplained, random TTV; the resulting model is acceptable but its ability to forecast different levels of TTV in situations with different levels of demand fluctuations is reduced. 5. Implementing the methodology Application of the presented calibration methodology is not limited to any particular microsimulation software or model. We demonstrate such application using the DRACULA model, which is widely used in the UK. For the calibration experiments we use a simple network, representing a small section of the urban network in the city of York, England. To examine the ability of the proposed methodology to turn a microsimulation model into a tool for predicting TTV, we create a series of scenarios; in each scenario, day-to-day TTV follows a different distribution. We investigate whether appropriate calibration fixes the TTV between model runs at a level that can be seen as a satisfactory replication of the actual TTV patterns in all scenarios. 6. Conclusions We conclude with a discussion of some insights and findings relating to the following issues: The general fit of traffic microsimulation models as tools for predicting the extent of TTV. The different dimensions of TTV in traffic analysis. Contribution of the proposed method in the relatively new field of traffic microsimulation calibration. The ability of the calibration process to capture differences between different patterns of TTV. References [1] A. Adamski. Intelligent Entropy-Based Traffic Control. Proceedings of the 9 th Mini- Euro Conference: Handling Uncertainty in the Analysis of Traffic and Transportation Systems, Bari, Italy, [2] J. Barcelo and J. Casas. Methodological Notes on the Calibration and Validation of Microscopic Traffic Simulation Models. Proceedings of the 83 rd TRB annual meeting, Washington, D.C., [3] M. E. Ben-Akiva, D. Darda, M. Jha, H. N. Koutsopoulos and T. Toledo. Calibration of Microscopic Traffic Simulation Models with Aggregate Data. Proceedings of the 83 rd TRB annual meeting, Washington, D.C., 2004.

5 Calibration of a traffic microsimulation model 527 [4] J. Hourdakis, P. G. Michalopoulos and J. Kottommannil. Practial Procedure for Calibrating Microscopic Traffic Simulation Models. Transportation Research Record, No. 1852, pp , [5] R. Jayakrishnan, J. S. Oh and A. E. K. Sahraoui. Calibration and Path Dynamics Issues in Microscopic Simulation for Advanced Traffic Management and Information Systems. Transportation Research Record, No. 1771, pp. 9-17, [6] K. O. Kim and L. R. Rilett. A Genetic Algorithm Based Approach to Traffic Microsimulation Calibrating Using ITS Data. Proceedings of the 83 rd TRB annual meeting, Washington, D.C., [7] S. J. Kim, W. Kim and L. R. Rillet. Calibration of Micro-simulation Models using Non-Parametric Statistical Techniques. Proceedings of the 84 th TRB annual meeing, Washington D. C., [8] T. Ma and B. Abdulhai. Genetic Algorithm-Based Optimization Approach and Generic Tool for Calibrating Traffic Microscopic Simulation Parameters. Transportation Research Record, 1800, pp. 8-15, [9] E. Merritt. Calibration and Validation of CORSIM for Swedish Road Traffic Conditions. Proceedings of the 83 rd TRB annual meeting, Washington, D.C, [10] R. Mohammadi. Journey Time Variability in the London Area 1. Journey Time Distribution. Traffic Engineering and Control, Vol. 38, No.5, pp , [11] R. Mohammadi. Journey Time Variability in the London Area 2. Factors Affecting Journey Time Variability. Traffic Engineering and Control, Vol. 38, No.6, pp , [12] B. Park and J. D. Schneeberger. Microscopic Simulation Model Calibration and Validation Case Study of VISSIM Simulation Model for a Coordinated Signal System. Transportation Research Record, No. 1856, pp , [13] W. H. Press, S. A. Teukolsky, W. T. Vetterling and B. P. Flannery. Minimisation or Maximization of Functions. Chapter 10 in Numerical Recipes in C, pp , Cambridge University Press, United Kingdom, [14] T. Toledo and H. N. Koutsopoulos. Statistical Validation of Traffic Simulation Models. Proceedings of the 83 rd TRB annual meeting, Washington, D.C, 2004.

Calibration of Speed-Density Relationships for Freeways in Aimsun

Calibration of Speed-Density Relationships for Freeways in Aimsun Calibration of Speed-Density Relationships for Freeways in Aimsun RAFFAELE MAURO Department of Mechanical and Structural Engineering Università degli Studi di Trento, Italy Via Mesiano, 77-3813 Trento

More information

A Genetic Algorithm for the Calibration of a Micro- Simulation Model Omar Baqueiro Espinosa

A Genetic Algorithm for the Calibration of a Micro- Simulation Model Omar Baqueiro Espinosa A Genetic Algorithm for the Calibration of a Micro- Simulation Model Omar Baqueiro Espinosa Abstract: This paper describes the process followed to calibrate a microsimulation model for the Altmark region

More information

The evaluation of traffic microsimulation modelling

The evaluation of traffic microsimulation modelling Urban Transport 769 The evaluation of traffic microsimulation modelling D. O Cinnéide & B. O Mahony Traffic Research Unit, University College Cork, Ireland Abstract In recent years, traffic simulation

More information

The accuracy of traffic microsimulation modelling

The accuracy of traffic microsimulation modelling Urban Transport XII: Urban Transport and the Environment in the 21st Century 277 The accuracy of traffic microsimulation modelling D. O Cinneide & D. Connell Traffic Research Unit, University College Cork,

More information

Are Microsimulation Models Random Enough? A Comparison of Modeled and Observed Stochasticity

Are Microsimulation Models Random Enough? A Comparison of Modeled and Observed Stochasticity Shaw & Noyce Paper No. - 0 0 Are Microsimulation Models Random Enough? A Comparison of Modeled and Observed Stochasticity John W. Shaw* Researcher University of Wisconsin Traffic Operations & Safety Laboratory

More information

Commissioned title: Assessing the distributive Impacts of a CC using a synthetic population model

Commissioned title: Assessing the distributive Impacts of a CC using a synthetic population model Institute for Transport Studies FACULTY OF ENVIRONMENT Commissioned title: Assessing the distributive Impacts of a CC using a synthetic population model ITF Roundtable Social Impact of Time and Space-Based

More information

Business Strategies in Credit Rating and the Control of Misclassification Costs in Neural Network Predictions

Business Strategies in Credit Rating and the Control of Misclassification Costs in Neural Network Predictions Association for Information Systems AIS Electronic Library (AISeL) AMCIS 2001 Proceedings Americas Conference on Information Systems (AMCIS) December 2001 Business Strategies in Credit Rating and the Control

More information

1. Introduction 2. Model Formulation 3. Solution Approach 4. Case Study and Findings 5. On-going Research

1. Introduction 2. Model Formulation 3. Solution Approach 4. Case Study and Findings 5. On-going Research 1. Introduction 2. Model Formulation 3. Solution Approach 4. Case Study and Findings 5. On-going Research Natural disasters have caused: Huge amount of economical loss Fatal injuries Through effective

More information

DaySim. Activity-Based Modelling Symposium. John L Bowman, Ph.D.

DaySim. Activity-Based Modelling Symposium. John L Bowman, Ph.D. DaySim Activity-Based Modelling Symposium Research Centre for Integrated Transport and Innovation (rciti) UNSW, Sydney, Australia March 10, 2014 John L Bowman, Ph.D. John_L_Bowman@alum.mit.edu JBowman.net

More information

Estimation of Volatility of Cross Sectional Data: a Kalman filter approach

Estimation of Volatility of Cross Sectional Data: a Kalman filter approach Estimation of Volatility of Cross Sectional Data: a Kalman filter approach Cristina Sommacampagna University of Verona Italy Gordon Sick University of Calgary Canada This version: 4 April, 2004 Abstract

More information

A MODIFIED MULTINOMIAL LOGIT MODEL OF ROUTE CHOICE FOR DRIVERS USING THE TRANSPORTATION INFORMATION SYSTEM

A MODIFIED MULTINOMIAL LOGIT MODEL OF ROUTE CHOICE FOR DRIVERS USING THE TRANSPORTATION INFORMATION SYSTEM A MODIFIED MULTINOMIAL LOGIT MODEL OF ROUTE CHOICE FOR DRIVERS USING THE TRANSPORTATION INFORMATION SYSTEM Hing-Po Lo and Wendy S P Lam Department of Management Sciences City University of Hong ong EXTENDED

More information

Assessing the performance of Bartlett-Lewis model on the simulation of Athens rainfall

Assessing the performance of Bartlett-Lewis model on the simulation of Athens rainfall European Geosciences Union General Assembly 2015 Vienna, Austria, 12-17 April 2015 Session HS7.7/NP3.8: Hydroclimatic and hydrometeorologic stochastics Assessing the performance of Bartlett-Lewis model

More information

(DFA) Dynamic Financial Analysis. What is

(DFA) Dynamic Financial Analysis. What is PABLO DURÁN SANTOMIL LUIS A. OTERO GONZÁLEZ Santiago de Compostela University This work originates from «The Dynamic Financial Analysis as a tool for the development of internal models in the context of

More information

TSHWANE BRT: Development of a Traffic Model for the BRT Corridor Phase 1A Lines 1 and 2

TSHWANE BRT: Development of a Traffic Model for the BRT Corridor Phase 1A Lines 1 and 2 TSHWANE BRT: Development of a Traffic Model for the BRT Corridor Phase 1A Lines 1 and 2 L RETIEF, B LORIO, C CAO* and H VAN DER MERWE** TECHSO, P O Box 35, Innovation Hub, 0087 *Mouchel Group, 307-317,

More information

Microsimulation of Land Use and Transport in Cities

Microsimulation of Land Use and Transport in Cities of Land Use and Transport in Cities Model levels Multi-level Michael Wegener City Multi-scale Advanced Modelling in Integrated Land-Use and Transport Systems (AMOLT) 1 M.Sc. Transportation Systems TU München,

More information

The Nonlinear Real Interest Rate Growth Model: USA

The Nonlinear Real Interest Rate Growth Model: USA The Nonlinear Real Interest Rate Growth Model: USA Vesna D. Jablanovic 1 Abstract The article focuses on the chaotic real interest rate growth model. According to the classical theory, the interest rate

More information

The Optimization Process: An example of portfolio optimization

The Optimization Process: An example of portfolio optimization ISyE 6669: Deterministic Optimization The Optimization Process: An example of portfolio optimization Shabbir Ahmed Fall 2002 1 Introduction Optimization can be roughly defined as a quantitative approach

More information

The Value of Flexibility to Expand Production Capacity for Oil Projects: Is it Really Important in Practice?

The Value of Flexibility to Expand Production Capacity for Oil Projects: Is it Really Important in Practice? SPE 139338-PP The Value of Flexibility to Expand Production Capacity for Oil Projects: Is it Really Important in Practice? G. A. Costa Lima; A. T. F. S. Gaspar Ravagnani; M. A. Sampaio Pinto and D. J.

More information

An Intelligent Approach for Option Pricing

An Intelligent Approach for Option Pricing IOSR Journal of Economics and Finance (IOSR-JEF) e-issn: 2321-5933, p-issn: 2321-5925. PP 92-96 www.iosrjournals.org An Intelligent Approach for Option Pricing Vijayalaxmi 1, C.S.Adiga 1, H.G.Joshi 2 1

More information

Expert Systems with Applications

Expert Systems with Applications Expert Systems with Applications 40 (2013) 5965 5974 Contents lists available at SciVerse ScienceDirect Expert Systems with Applications journal homepage: www.elsevier.com/locate/eswa Calibration of microsimulation

More information

Linking Microsimulation and CGE models

Linking Microsimulation and CGE models International Journal of Microsimulation (2016) 9(1) 167-174 International Microsimulation Association Andreas 1 ZEW, University of Mannheim, L7, 1, Mannheim, Germany peichl@zew.de ABSTRACT: In this note,

More information

Stochastic Modelling: The power behind effective financial planning. Better Outcomes For All. Good for the consumer. Good for the Industry.

Stochastic Modelling: The power behind effective financial planning. Better Outcomes For All. Good for the consumer. Good for the Industry. Stochastic Modelling: The power behind effective financial planning Better Outcomes For All Good for the consumer. Good for the Industry. Introduction This document aims to explain what stochastic modelling

More information

UPDATED IAA EDUCATION SYLLABUS

UPDATED IAA EDUCATION SYLLABUS II. UPDATED IAA EDUCATION SYLLABUS A. Supporting Learning Areas 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging

More information

Discrete Choice Model for Public Transport Development in Kuala Lumpur

Discrete Choice Model for Public Transport Development in Kuala Lumpur Discrete Choice Model for Public Transport Development in Kuala Lumpur Abdullah Nurdden 1,*, Riza Atiq O.K. Rahmat 1 and Amiruddin Ismail 1 1 Department of Civil and Structural Engineering, Faculty of

More information

Likelihood-based Optimization of Threat Operation Timeline Estimation

Likelihood-based Optimization of Threat Operation Timeline Estimation 12th International Conference on Information Fusion Seattle, WA, USA, July 6-9, 2009 Likelihood-based Optimization of Threat Operation Timeline Estimation Gregory A. Godfrey Advanced Mathematics Applications

More information

Homeowners Ratemaking Revisited

Homeowners Ratemaking Revisited Why Modeling? For lines of business with catastrophe potential, we don t know how much past insurance experience is needed to represent possible future outcomes and how much weight should be assigned to

More information

Fast Convergence of Regress-later Series Estimators

Fast Convergence of Regress-later Series Estimators Fast Convergence of Regress-later Series Estimators New Thinking in Finance, London Eric Beutner, Antoon Pelsser, Janina Schweizer Maastricht University & Kleynen Consultants 12 February 2014 Beutner Pelsser

More information

1. Cash-in-Advance models a. Basic model under certainty b. Extended model in stochastic case. recommended)

1. Cash-in-Advance models a. Basic model under certainty b. Extended model in stochastic case. recommended) Monetary Economics: Macro Aspects, 26/2 2013 Henrik Jensen Department of Economics University of Copenhagen 1. Cash-in-Advance models a. Basic model under certainty b. Extended model in stochastic case

More information

Making Proxy Functions Work in Practice

Making Proxy Functions Work in Practice whitepaper FEBRUARY 2016 Author Martin Elliot martin.elliot@moodys.com Contact Us Americas +1.212.553.165 clientservices@moodys.com Europe +44.20.7772.5454 clientservices.emea@moodys.com Making Proxy Functions

More information

A DECISION SUPPORT SYSTEM FOR HANDLING RISK MANAGEMENT IN CUSTOMER TRANSACTION

A DECISION SUPPORT SYSTEM FOR HANDLING RISK MANAGEMENT IN CUSTOMER TRANSACTION A DECISION SUPPORT SYSTEM FOR HANDLING RISK MANAGEMENT IN CUSTOMER TRANSACTION K. Valarmathi Software Engineering, SonaCollege of Technology, Salem, Tamil Nadu valarangel@gmail.com ABSTRACT A decision

More information

DEVELOPMENT AND IMPLEMENTATION OF A NETWORK-LEVEL PAVEMENT OPTIMIZATION MODEL FOR OHIO DEPARTMENT OF TRANSPORTATION

DEVELOPMENT AND IMPLEMENTATION OF A NETWORK-LEVEL PAVEMENT OPTIMIZATION MODEL FOR OHIO DEPARTMENT OF TRANSPORTATION DEVELOPMENT AND IMPLEMENTATION OF A NETWOR-LEVEL PAVEMENT OPTIMIZATION MODEL FOR OHIO DEPARTMENT OF TRANSPORTATION Shuo Wang, Eddie. Chou, Andrew Williams () Department of Civil Engineering, University

More information

Artificially Intelligent Forecasting of Stock Market Indexes

Artificially Intelligent Forecasting of Stock Market Indexes Artificially Intelligent Forecasting of Stock Market Indexes Loyola Marymount University Math 560 Final Paper 05-01 - 2018 Daniel McGrath Advisor: Dr. Benjamin Fitzpatrick Contents I. Introduction II.

More information

Increasing Efficiency for United Way s Free Tax Campaign

Increasing Efficiency for United Way s Free Tax Campaign Increasing Efficiency for United Way s Free Tax Campaign Irena Chen, Jessica Fay, and Melissa Stadt Advisor: Sara Billey Department of Mathematics, University of Washington, Seattle, WA, 98195 February

More information

Discussion of Trend Inflation in Advanced Economies

Discussion of Trend Inflation in Advanced Economies Discussion of Trend Inflation in Advanced Economies James Morley University of New South Wales 1. Introduction Garnier, Mertens, and Nelson (this issue, GMN hereafter) conduct model-based trend/cycle decomposition

More information

Technical analysis of selected chart patterns and the impact of macroeconomic indicators in the decision-making process on the foreign exchange market

Technical analysis of selected chart patterns and the impact of macroeconomic indicators in the decision-making process on the foreign exchange market Summary of the doctoral dissertation written under the guidance of prof. dr. hab. Włodzimierza Szkutnika Technical analysis of selected chart patterns and the impact of macroeconomic indicators in the

More information

Use of Internal Models for Determining Required Capital for Segregated Fund Risks (LICAT)

Use of Internal Models for Determining Required Capital for Segregated Fund Risks (LICAT) Canada Bureau du surintendant des institutions financières Canada 255 Albert Street 255, rue Albert Ottawa, Canada Ottawa, Canada K1A 0H2 K1A 0H2 Instruction Guide Subject: Capital for Segregated Fund

More information

The Dynamic Cross-sectional Microsimulation Model MOSART

The Dynamic Cross-sectional Microsimulation Model MOSART Third General Conference of the International Microsimulation Association Stockholm, June 8-10, 2011 The Dynamic Cross-sectional Microsimulation Model MOSART Dennis Fredriksen, Pål Knudsen and Nils Martin

More information

Financial system and agricultural growth in Ukraine

Financial system and agricultural growth in Ukraine Financial system and agricultural growth in Ukraine Olena Oliynyk National University of Life and Environmental Sciences of Ukraine Department of Banking 11 Heroyiv Oborony Street Kyiv, Ukraine e-mail:

More information

BRIDGE REHABILITATION PROGRAM WITH ROUTE CHOICE CONSIDERATION

BRIDGE REHABILITATION PROGRAM WITH ROUTE CHOICE CONSIDERATION BRIDGE REHABILITATION PROGRAM WITH ROUTE CHOICE CONSIDERATION Ponlathep LERTWORAWANICH*, Punya CHUPANIT, Yongyuth TAESIRI, Pichit JAMNONGPIPATKUL Bureau of Road Research and Development Department of Highways

More information

Guidance paper on the use of internal models for risk and capital management purposes by insurers

Guidance paper on the use of internal models for risk and capital management purposes by insurers Guidance paper on the use of internal models for risk and capital management purposes by insurers October 1, 2008 Stuart Wason Chair, IAA Solvency Sub-Committee Agenda Introduction Global need for guidance

More information

Curve fitting for calculating SCR under Solvency II

Curve fitting for calculating SCR under Solvency II Curve fitting for calculating SCR under Solvency II Practical insights and best practices from leading European Insurers Leading up to the go live date for Solvency II, insurers in Europe are in search

More information

PART II IT Methods in Finance

PART II IT Methods in Finance PART II IT Methods in Finance Introduction to Part II This part contains 12 chapters and is devoted to IT methods in finance. There are essentially two ways where IT enters and influences methods used

More information

SCAF Annual Conference Cost Benefit Analysis: What is the Benefit

SCAF Annual Conference Cost Benefit Analysis: What is the Benefit The following presentation was given at: SCAF Annual Conference Cost Benefit Analysis: What is the Benefit Tuesday 11th September 2018 The Royal United Services Institute (RUSI), London Released for distribution

More information

DEVELOPMENT OF A STATISTICALLY-BASED METHODOLOGY FOR ANALYZING

DEVELOPMENT OF A STATISTICALLY-BASED METHODOLOGY FOR ANALYZING ARCHIVES OF TRANSPORT ISSN (print): 0866-9546 Volume 44, Issue 4, 2017 e-issn (online): 2300-8830 DOI: 10.5604/01.3001.0010.6163 DEVELOPMENT OF A STATISTICALLY-BASED METHODOLOGY FOR ANALYZING AUTOMATIC

More information

Spectral Yield Curve Analysis. The IOU Model July 2008 Andrew D Smith

Spectral Yield Curve Analysis. The IOU Model July 2008 Andrew D Smith Spectral Yield Curve Analysis. The IOU Model July 2008 Andrew D Smith AndrewDSmith8@Deloitte.co.uk Presentation Overview Single Factor Stress Models Parallel shifts Short rate shifts Hull-White Exploration

More information

ALM Analysis for a Pensionskasse

ALM Analysis for a Pensionskasse ALM Analysis for a Pensionskasse Asset Liability Management Study Francesco Sandrini MSc, PhD New Thinking in Finance London, February 14 th 2014 For Internal Use Only. Not to be Distributed to the Public.

More information

Getting Started with CGE Modeling

Getting Started with CGE Modeling Getting Started with CGE Modeling Lecture Notes for Economics 8433 Thomas F. Rutherford University of Colorado January 24, 2000 1 A Quick Introduction to CGE Modeling When a students begins to learn general

More information

1. Money in the utility function (continued)

1. Money in the utility function (continued) Monetary Economics: Macro Aspects, 19/2 2013 Henrik Jensen Department of Economics University of Copenhagen 1. Money in the utility function (continued) a. Welfare costs of in ation b. Potential non-superneutrality

More information

Development of Debt Management IT Systems in Peru

Development of Debt Management IT Systems in Peru R E P U B L I C O F P E R U Development of Debt Management IT Systems in Peru Presented to: Sovereign Debt Management Forum World Bank Washington DC, October 2012 Agenda The first step Developing the system

More information

Comparative Study between Linear and Graphical Methods in Solving Optimization Problems

Comparative Study between Linear and Graphical Methods in Solving Optimization Problems Comparative Study between Linear and Graphical Methods in Solving Optimization Problems Mona M Abd El-Kareem Abstract The main target of this paper is to establish a comparative study between the performance

More information

Modelling the Sharpe ratio for investment strategies

Modelling the Sharpe ratio for investment strategies Modelling the Sharpe ratio for investment strategies Group 6 Sako Arts 0776148 Rik Coenders 0777004 Stefan Luijten 0783116 Ivo van Heck 0775551 Rik Hagelaars 0789883 Stephan van Driel 0858182 Ellen Cardinaels

More information

Strategic Asset Allocation A Comprehensive Approach. Investment risk/reward analysis within a comprehensive framework

Strategic Asset Allocation A Comprehensive Approach. Investment risk/reward analysis within a comprehensive framework Insights A Comprehensive Approach Investment risk/reward analysis within a comprehensive framework There is a heightened emphasis on risk and capital management within the insurance industry. This is largely

More information

Chapter 3. Dynamic discrete games and auctions: an introduction

Chapter 3. Dynamic discrete games and auctions: an introduction Chapter 3. Dynamic discrete games and auctions: an introduction Joan Llull Structural Micro. IDEA PhD Program I. Dynamic Discrete Games with Imperfect Information A. Motivating example: firm entry and

More information

Based on BP Neural Network Stock Prediction

Based on BP Neural Network Stock Prediction Based on BP Neural Network Stock Prediction Xiangwei Liu Foundation Department, PLA University of Foreign Languages Luoyang 471003, China Tel:86-158-2490-9625 E-mail: liuxwletter@163.com Xin Ma Foundation

More information

Modelling economic scenarios for IFRS 9 impairment calculations. Keith Church 4most (Europe) Ltd AUGUST 2017

Modelling economic scenarios for IFRS 9 impairment calculations. Keith Church 4most (Europe) Ltd AUGUST 2017 Modelling economic scenarios for IFRS 9 impairment calculations Keith Church 4most (Europe) Ltd AUGUST 2017 Contents Introduction The economic model Building a scenario Results Conclusions Introduction

More information

Online Appendix. Bankruptcy Law and Bank Financing

Online Appendix. Bankruptcy Law and Bank Financing Online Appendix for Bankruptcy Law and Bank Financing Giacomo Rodano Bank of Italy Nicolas Serrano-Velarde Bocconi University December 23, 2014 Emanuele Tarantino University of Mannheim 1 1 Reorganization,

More information

AIM-AP. Accurate Income Measurement for the Assessment of Public Policies. Citizens and Governance in a Knowledge-based Society

AIM-AP. Accurate Income Measurement for the Assessment of Public Policies. Citizens and Governance in a Knowledge-based Society Project no: 028412 AIM-AP Accurate Income Measurement for the Assessment of Public Policies Specific Targeted Research or Innovation Project Citizens and Governance in a Knowledge-based Society Deliverable

More information

PUBLIC INQUIRY QUESTION

PUBLIC INQUIRY QUESTION M4 Corridor around Newport PUBLIC INQUIRY QUESTION REFERENCE NO. : PIQ/164 RAISED BY: The Inspector DATE: 26/02/2018 RESPONDED BY: Matthew Jones DATE: 20/03/2018 SUBJECT: List of questions from the Inspectors

More information

Option Pricing Formula for Fuzzy Financial Market

Option Pricing Formula for Fuzzy Financial Market Journal of Uncertain Systems Vol.2, No., pp.7-2, 28 Online at: www.jus.org.uk Option Pricing Formula for Fuzzy Financial Market Zhongfeng Qin, Xiang Li Department of Mathematical Sciences Tsinghua University,

More information

HyetosR: An R package for temporal stochastic simulation of rainfall at fine time scales

HyetosR: An R package for temporal stochastic simulation of rainfall at fine time scales European Geosciences Union General Assembly 2012 Vienna, Austria, 22-27 April 2012 Session HS7.5/NP8.3: Hydroclimatic stochastics HyetosR: An R package for temporal stochastic simulation of rainfall at

More information

A Novel Prediction Method for Stock Index Applying Grey Theory and Neural Networks

A Novel Prediction Method for Stock Index Applying Grey Theory and Neural Networks The 7th International Symposium on Operations Research and Its Applications (ISORA 08) Lijiang, China, October 31 Novemver 3, 2008 Copyright 2008 ORSC & APORC, pp. 104 111 A Novel Prediction Method for

More information

Pension risk: How much are you really taking?

Pension risk: How much are you really taking? Pension risk: How much are you really taking? Vanguard research June 2013 Executive summary. In May 2012, Vanguard conducted the second of a planned series of surveys of corporate defined benefit (DB)

More information

What types of policy decisions is CGE model findings most useful for

What types of policy decisions is CGE model findings most useful for How can public policy more effectively level out inequality and in what ways can evidence be used to inform this process? The application of the CGE Model Selim Raihan Professor of Economics, Dhaka University,

More information

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management H. Zheng Department of Mathematics, Imperial College London SW7 2BZ, UK h.zheng@ic.ac.uk L. C. Thomas School

More information

STOCHASTIC COST ESTIMATION AND RISK ANALYSIS IN MANAGING SOFTWARE PROJECTS

STOCHASTIC COST ESTIMATION AND RISK ANALYSIS IN MANAGING SOFTWARE PROJECTS Full citation: Connor, A.M., & MacDonell, S.G. (25) Stochastic cost estimation and risk analysis in managing software projects, in Proceedings of the ISCA 14th International Conference on Intelligent and

More information

Estimation and Management of Construction Cost

Estimation and Management of Construction Cost IOSR Journal of Mechanical and Civil Engineering (IOSR-JMCE) e-issn: 2278-1684,p-ISSN: 2320-334X, Volume 13, Issue 3 Ver. V (May- Jun. 2016), PP 54-62 www.iosrjournals.org Estimation and Management of

More information

Strategies for Improving the Efficiency of Monte-Carlo Methods

Strategies for Improving the Efficiency of Monte-Carlo Methods Strategies for Improving the Efficiency of Monte-Carlo Methods Paul J. Atzberger General comments or corrections should be sent to: paulatz@cims.nyu.edu Introduction The Monte-Carlo method is a useful

More information

Danny Givon, Jerusalem Transportation Masterplan Team, Israel

Danny Givon, Jerusalem Transportation Masterplan Team, Israel Paper Author (s) Gaurav Vyas (corresponding), Parsons Brinckerhoff (vyasg@pbworld.com) Peter Vovsha, PB Americas, Inc. (vovsha@pbworld.com) Rajesh Paleti, Parsons Brinckerhoff (paletir@pbworld.com) Danny

More information

IAS Quantitative Finance and FinTech Mini Workshop

IAS Quantitative Finance and FinTech Mini Workshop IAS Quantitative Finance and FinTech Mini Workshop Date: 23 June 2016 (Thursday) Time: 1:30 6:00 pm Venue: Cheung On Tak Lecture Theater (LT-E), HKUST Program Schedule Time Event 1:30 1:45 Opening Remarks

More information

The Impact of Tax Policies on Economic Growth: Evidence from Asian Economies

The Impact of Tax Policies on Economic Growth: Evidence from Asian Economies The Impact of Tax Policies on Economic Growth: Evidence from Asian Economies Ihtsham ul Haq Padda and Naeem Akram Abstract Tax based fiscal policies have been regarded as less policy tool to overcome the

More information

Optimization of Fuzzy Production and Financial Investment Planning Problems

Optimization of Fuzzy Production and Financial Investment Planning Problems Journal of Uncertain Systems Vol.8, No.2, pp.101-108, 2014 Online at: www.jus.org.uk Optimization of Fuzzy Production and Financial Investment Planning Problems Man Xu College of Mathematics & Computer

More information

The most general methodology to create a valid correlation matrix for risk management and option pricing purposes

The most general methodology to create a valid correlation matrix for risk management and option pricing purposes The most general methodology to create a valid correlation matrix for risk management and option pricing purposes Riccardo Rebonato Peter Jäckel Quantitative Research Centre of the NatWest Group 19 th

More information

Membrane Computing Applications in Computational Economics Eduardo Sánchez Karhunen

Membrane Computing Applications in Computational Economics Eduardo Sánchez Karhunen Membrane Computing Applications in Computational Economics Eduardo Sánchez Karhunen BWMC 2017 Sevilla, February 3, 2017 Contents 1. Preliminaries 2. Producer Retailer problem: Initial Model Description.

More information

Measuring the Wealth of Nations: Income, Welfare and Sustainability in Representative-Agent Economies

Measuring the Wealth of Nations: Income, Welfare and Sustainability in Representative-Agent Economies Measuring the Wealth of Nations: Income, Welfare and Sustainability in Representative-Agent Economies Geo rey Heal and Bengt Kristrom May 24, 2004 Abstract In a nite-horizon general equilibrium model national

More information

AIRCURRENTS: PORTFOLIO OPTIMIZATION FOR REINSURERS

AIRCURRENTS: PORTFOLIO OPTIMIZATION FOR REINSURERS MARCH 12 AIRCURRENTS: PORTFOLIO OPTIMIZATION FOR REINSURERS EDITOR S NOTE: A previous AIRCurrent explored portfolio optimization techniques for primary insurance companies. In this article, Dr. SiewMun

More information

Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs)

Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs) Prudential Standard APS 117 Capital Adequacy: Interest Rate Risk in the Banking Book (Advanced ADIs) Objective and key requirements of this Prudential Standard This Prudential Standard sets out the requirements

More information

DEVELOPMENT OF THE LINSIG MICROSIMULATION TOOLKIT ABSTRACT

DEVELOPMENT OF THE LINSIG MICROSIMULATION TOOLKIT ABSTRACT DEVELOPMENT OF THE LINSIG MICROSIMULATION TOOLKIT ABSTRACT This paper will introduce the conceptualisation, development and delivery of a new software interface between widely used microsimulation modelling

More information

Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach

Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach Nelson Kian Leong Yap a, Kian Guan Lim b, Yibao Zhao c,* a Department of Mathematics, National University of Singapore

More information

DATA GAPS AND NON-CONFORMITIES

DATA GAPS AND NON-CONFORMITIES 17-09-2013 - COMPLIANCE FORUM - TASK FORCE MONITORING - FINAL VERSION WORKING PAPER ON DATA GAPS AND NON-CONFORMITIES Content 1. INTRODUCTION... 3 2. REQUIREMENTS BY THE MRR... 3 3. TYPICAL SITUATIONS...

More information

Demographic Transition, Consumption and Capital Accumulation in Mexico

Demographic Transition, Consumption and Capital Accumulation in Mexico Demographic Transition, Consumption and Capital Accumulation in Mexico Iván Mejía-Guevara, Virgilio Partida, and Félix Vélez Fernández-Varela Extended abstract submitted for EPC 2012 October 14, 2011 As

More information

Volatility reduction: How minimum variance indexes work

Volatility reduction: How minimum variance indexes work Insights Volatility reduction: How minimum variance indexes work Minimum variance indexes, which apply rules-based methodologies with the aim of minimizing an index s volatility, are popular among market

More information

Tools for testing the Solvency Capital Requirement for life insurance. Mariarosaria Coppola 1, Valeria D Amato 2

Tools for testing the Solvency Capital Requirement for life insurance. Mariarosaria Coppola 1, Valeria D Amato 2 Tools for testing the Solvency Capital Requirement for life insurance Mariarosaria Coppola 1, Valeria D Amato 2 1 Department of Theories and Methods of Human and Social Sciences,University of Naples Federico

More information

Review of the literature on the comparison

Review of the literature on the comparison Review of the literature on the comparison of price level targeting and inflation targeting Florin V Citu, Economics Department Introduction This paper assesses some of the literature that compares price

More information

Double Ratio Estimation: Friend or Foe?

Double Ratio Estimation: Friend or Foe? Double Ratio Estimation: Friend or Foe? Jenna Bagnall-Reilly, West Hill Energy and Computing, Brattleboro, VT Kathryn Parlin, West Hill Energy and Computing, Brattleboro, VT ABSTRACT Double ratio estimation

More information

A TEMPORAL PATTERN APPROACH FOR PREDICTING WEEKLY FINANCIAL TIME SERIES

A TEMPORAL PATTERN APPROACH FOR PREDICTING WEEKLY FINANCIAL TIME SERIES A TEMPORAL PATTERN APPROACH FOR PREDICTING WEEKLY FINANCIAL TIME SERIES DAVID H. DIGGS Department of Electrical and Computer Engineering Marquette University P.O. Box 88, Milwaukee, WI 532-88, USA Email:

More information

A Framework for Valuing, Optimizing and Understanding Managerial Flexibility

A Framework for Valuing, Optimizing and Understanding Managerial Flexibility A Framework for Valuing, Optimizing and Understanding Managerial Flexibility Charles Dumont McKinsey & Company Charles_dumont@mckinsey.com Phone: +1 514 791-0201 1250, boulevard René-Lévesque Ouest, suite

More information

A Comparative Analysis of Crossover Variants in Differential Evolution

A Comparative Analysis of Crossover Variants in Differential Evolution Proceedings of the International Multiconference on Computer Science and Information Technology pp. 171 181 ISSN 1896-7094 c 2007 PIPS A Comparative Analysis of Crossover Variants in Differential Evolution

More information

Project Management and Resource Constrained Scheduling Using An Integer Programming Approach

Project Management and Resource Constrained Scheduling Using An Integer Programming Approach Project Management and Resource Constrained Scheduling Using An Integer Programming Approach Héctor R. Sandino and Viviana I. Cesaní Department of Industrial Engineering University of Puerto Rico Mayagüez,

More information

CEIOPS-DOC-35/09. (former CP 41) October 2009

CEIOPS-DOC-35/09. (former CP 41) October 2009 CEIOPS-DOC-35/09 CEIOPS Advice for Level 2 Implementing Measures on Solvency II: Technical Provisions Article 86(c) Circumstances in which technical provisions shall be calculated as a whole (former CP

More information

UNCTAD s Seventh Debt Management Conference. Risk Models and Public Debt Management. Mr. Phillip Anderson

UNCTAD s Seventh Debt Management Conference. Risk Models and Public Debt Management. Mr. Phillip Anderson UNCTAD s Seventh Debt Management Conference 9-11 November 2009 Risk Models and Public Debt Management by Mr. Phillip Anderson Senior Manager Public Debt Management, World Bank Treasury The views expressed

More information

A Cash Flow-Based Approach to Estimate Default Probabilities

A Cash Flow-Based Approach to Estimate Default Probabilities A Cash Flow-Based Approach to Estimate Default Probabilities Francisco Hawas Faculty of Physical Sciences and Mathematics Mathematical Modeling Center University of Chile Santiago, CHILE fhawas@dim.uchile.cl

More information

Prediction Using Back Propagation and k- Nearest Neighbor (k-nn) Algorithm

Prediction Using Back Propagation and k- Nearest Neighbor (k-nn) Algorithm Prediction Using Back Propagation and k- Nearest Neighbor (k-nn) Algorithm Tejaswini patil 1, Karishma patil 2, Devyani Sonawane 3, Chandraprakash 4 Student, Dept. of computer, SSBT COET, North Maharashtra

More information

Structure and Dynamics of Labour Market in Bangladesh

Structure and Dynamics of Labour Market in Bangladesh A SEMINAR PAPER ON Structure and Dynamics of Labour Market in Bangladesh Course title: Seminar Course code: AEC 598 Summer, 2018 SUBMITTED TO Course Instructors 1.Dr. Mizanur Rahman Professor BSMRAU, Gazipur

More information

Using Models for Monetary Policy Analysis

Using Models for Monetary Policy Analysis Using Models for Monetary Policy Analysis Carl E. Walsh University of California, Santa Cruz Modern policy analysis makes extensive use of dynamic stochastic general equilibrium (DSGE) models. These models

More information

Comparison of Logit Models to Machine Learning Algorithms for Modeling Individual Daily Activity Patterns

Comparison of Logit Models to Machine Learning Algorithms for Modeling Individual Daily Activity Patterns Comparison of Logit Models to Machine Learning Algorithms for Modeling Individual Daily Activity Patterns Daniel Fay, Peter Vovsha, Gaurav Vyas (WSP USA) 1 Logit vs. Machine Learning Models Logit Models:

More information

Xiaoli Jin and Edward W. (Jed) Frees. August 6, 2013

Xiaoli Jin and Edward W. (Jed) Frees. August 6, 2013 Xiaoli and Edward W. (Jed) Frees Department of Actuarial Science, Risk Management, and Insurance University of Wisconsin Madison August 6, 2013 1 / 20 Outline 1 2 3 4 5 6 2 / 20 for P&C Insurance Occurrence

More information

Integrated GIS-based Optimization of Municipal Infrastructure Maintenance Planning

Integrated GIS-based Optimization of Municipal Infrastructure Maintenance Planning Integrated GIS-based Optimization of Municipal Infrastructure Maintenance Planning Altayeb Qasem 1 & Dr. Amin Hammad 2 1 Department of Building, Civil& Environmental Engineering 1 2 Concordia Institute

More information

Global and National Macroeconometric Modelling: A Long-run Structural Approach Overview on Macroeconometric Modelling Yongcheol Shin Leeds University

Global and National Macroeconometric Modelling: A Long-run Structural Approach Overview on Macroeconometric Modelling Yongcheol Shin Leeds University Global and National Macroeconometric Modelling: A Long-run Structural Approach Overview on Macroeconometric Modelling Yongcheol Shin Leeds University Business School Seminars at University of Cape Town

More information

Calibration of PD term structures: to be Markov or not to be

Calibration of PD term structures: to be Markov or not to be CUTTING EDGE. CREDIT RISK Calibration of PD term structures: to be Markov or not to be A common discussion in credit risk modelling is the question of whether term structures of default probabilities can

More information

2015, IJARCSSE All Rights Reserved Page 66

2015, IJARCSSE All Rights Reserved Page 66 Volume 5, Issue 1, January 2015 ISSN: 2277 128X International Journal of Advanced Research in Computer Science and Software Engineering Research Paper Available online at: www.ijarcsse.com Financial Forecasting

More information