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1
artículo
Publicado 2023
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The constant increase of vehicular demand at intersections hurts intersection crossing times and queue formation on avenues. This paper presents a microsimulation model using a stochastic algorithm for traffic signal control based on two variables: queue length formation and crossing time delays. To address this problem, a stochastic algorithm is built using Python software with the total lengths of each traffic light cycle and the two variables to be solved (queue formation and crossing delays) as parameters, and the number of iterations to be performed will be included in the algorithm. These variables will be used as key indicators to obtain the green and red-light duration times for each traffic light at both intersections. To validate the effectiveness of the proposed model, different traffic simulations are performed in the intersection section using Vissim 9.0. Using this microsim...
2
documento de trabajo
Publicado 2022
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This article quantifies and analyzes the evolving impact of external shocks on Peru’s macroeconomic fluctuations in 1994Q1-2019Q4. For this purpose, we use a group of models with regimeswitching time-varying parameters and stochastic volatility (RS-VAR-SV), as proposed by Chan and Eisenstat (2018). The data suggest a model with contemporaneous coefficients and constant lags and intercepts, but with regime-switching variances; and point to the existence of two regimes. The IRFs, FEVDs, and HDs show that: (i) China growth shocks have a higher impact on Peru’s output growth (around 0.8%); (ii) financial shocks contract domestic output growth by 0.3% and domestic monetary policy is synchronized with Fed rate movements; (iii) external shocks explain 35% and 70% of output fluctuations under regimes 1 and 2, respectively; and (iv) China growth shocks contributed 1.0 p.p. to the 1.1-p.p. inc...
3
tesis de grado
Las reacciones químicas autocatalíticas dan lugar a fenómenos complejos como las reacciones oscilatorias y la formación de patrones químicos. Experimentos en las reacciones de Belousov-Zhabotinsky y de iodato-ácido arsenioso (entre otras) exhiben frentes de reacción que separan reactivos de productos de la reacción. La propagación de los frentes es debida al efecto conjunto de la reacción y la difusión molecular. La mayoría de los estudios teóricos en estos sistemas se basan en modelos deterministas. Sin embargo, al realizar experimentos, fluctuaciones aleatorias estarán presentes. El objetivo de este trabajo es realizar un análisis numérico de los efectos del ruido externo en frentes de reacción-difusión. Nos enfocamos en un sistema c ́ubico de reacción-difusión con dos especies químicas que poseen distintos coeficientes de difusión. Al propagarse en dominios bidi...
4
artículo
Publicado 2007
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Mine equipment selection is a complex task due to numerous technical, geometrical and economical variables involved. The variety of equipment manufacturers and agents carrying different models, types and sizes make the selection procedure even more complex. The mine planner does not have a tool to correctly select the equipment or fl eet for a project. Simulation fi lls the gap and contributes to this goal. This study tries to apply deterministic and probabilistic simulation approaches in selecting mining equipment using fi eld data from two surface mine operations. The deterministic model uses a one year production plan from a quarry. The equipment fl eet is selected on the basis of minimum unit cost for both drilling and excavation-haulage equipment fl eets. For the probabilistic approach the GPSS language is applied. Programs were prepared for various combinations of loaders and haule...
5
documento de trabajo
Regime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Peru
Publicado 2024
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Following Chan and Eisenstat (2018a), we use a family of regime-switching models with time-varying parameters and stochastic volatility (RS-VAR-SV) to analyze the evolution of fiscal shocks impacts on Peru's economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fi with the inclusion of stochastic volatility; (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and dema...
6
tesis de maestría
Publicado 2023
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Asymmetries and heavy tails are well-known characteristics on compound daily returns stock market in dices. The THSV-SMN–Threshold Stochastic Volatility Modelwith Scale Mixture of Normal Distributions– model has become an important tool for analysis regarding forecasting asset returns and Value at Risk and Expected Shortfall portfolio estimations in order to assess marketrisk.Therefore, under a Bayesian approach,we develop an extensionon the model proposed by Abanto & Garrafa(2019).This extension allows for an endogenous threshold and will be studied under two theoretical frameworks: the use of order statistics and a random walk Metropolis–Hasting algorithm(RWMH). We test themodel extension upon stock market indices across the globe along four regions (NorthAmerica, LATAM,EuropeandAsia) withour proposed RWMH algorithm and compare the results with the original (fixedthreshold) model...
7
tesis de maestría
Publicado 2023
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Asymmetries and heavy tails are well-known characteristics on compound daily returns stock market in dices. The THSV-SMN–Threshold Stochastic Volatility Modelwith Scale Mixture of Normal Distributions– model has become an important tool for analysis regarding forecasting asset returns and Value at Risk and Expected Shortfall portfolio estimations in order to assess marketrisk.Therefore, under a Bayesian approach,we develop an extensionon the model proposed by Abanto & Garrafa(2019).This extension allows for an endogenous threshold and will be studied under two theoretical frameworks: the use of order statistics and a random walk Metropolis–Hasting algorithm(RWMH). We test themodel extension upon stock market indices across the globe along four regions (NorthAmerica, LATAM,EuropeandAsia) withour proposed RWMH algorithm and compare the results with the original (fixedthreshold) model...
8
otro
Publicado 2022
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This study uses a family of VAR models with time-varying coefficients and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assessed using the deviance information criterion (DIC) and the marginal log-likelihood calculated using the cross-entropy (CE) method. The results show that: (i) it is more relevant to introduce SV than TVP; i.e., the best fitting model admits only varying intercepts and SV; and TVP-VAR and CVAR are the least performing models; (ii) the models impulse response functions indicate that the impacts from external shocks are different under high inflation, economic crisis, and monetary policy change, with a greater impact in episodes of high uncertainty; (iii) the impact and importance of external shocks has increased over time; and (iv) the resu...
9
artículo
Publicado 2002
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A faster algorithm, the selective dynamics releasing frame (SORF), to computer-simulate the stochastic aggregation of diffusing particles is introduced. The SORF is presented making reference to the OLA model of Witen & Sander, however it can be applied to any OLA-Iike model which simulates cluster growth by diffusion. Traditional OLA-like models use the longest radius of the growing aggregate to control the radius of a Circular Launching Frame from where the particles are released to diffusion. The SORF uses the different radii of the regions of the growing cluster to fix a particular distance from where to release the particles to diffusion in every region. In bi-dimensional OLA simulations, a reduction in 30% of computer time was observed when the SORF was used. The algorithm here introduced is for a bi dimensional simulation, however its application to higher dimensions is stra...
10
artículo
Publicado 2010
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The cysticercosis is a zoonotic disease of world-wide distribution and in Peru represents the main parasitic zoonosis with 17 and 75% seroprevalence in humans and pigs respectively. The high seroprevalence indicates that Peru is an endemic area. The objective of this study was to obtain a representative level of infection with T. solium larvae in pigs of Omia, Nuevo Chirimoto, Mashuyacu and Tocuya villages, Omia district, Amazonas. Sampling was conducted in 48 animals, resulting 27.1% (13/48) of positives to the Electroimmuno Transference Blot (EITB) test. Data was analyzed in a program that uses stochastic simulations of the beta distribution (@Risk®) resulting in a mean seroprevalence of 28% with a distribution between 18.2 and 38.8%. Seroprevalence for Tocuya was 14.3% (0.8-39.3%), Nuevo Chirimoto was 4.8% (0.3-13.9%), Mashuyacu was 71.4% (50.5-88.7%), and Omia was 35.7% (16.6-57.2%)...
11
artículo
Publicado 2010
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La cisticercosis es una enfermedad zoonótica de distribución mundial y en el Perú representa la principal zoonosis parasitaria con seroprevalencias que alcanzan el 17% en humanos y 75% en porcinos, calificando al país como área endémica. El objetivo de este trabajo fue obtener un valor representativo del grado de infección de la forma larvaria de Taenia solium en cerdos criados en los caseríos de Omia, Nuevo Chirimoto, Mashuyacu y Tocuya del distrito de Omia, Amazonas. Se muestreó a 48 animales, resultando el 27.1% (13/48) positivo a la prueba de Electroinmuno Transferencia Blot (EITB). Estos valores se ingresaron en un programa de simulaciones estocásticas de distribución beta (@Risk®), calculándose una seroprevalencia media de 28.0% con una distribución entre 18.2 y 38.8%. La seroprevalencia media para el caserío de Tocuya fue de 14.3% (0.8-39.3%), Nuevo Chirimoto de 4.8...
12
tesis de grado
Nowadays, the challenges that covid-19 has generated to the financial community that operates within the stock market has generated a greater uncertainty in the profitability and consequently has made this practice more difficult. To overcome that problem the present study aims to develop a model that facilitates this work; this model uses the SVR regression algorithm and through technical indicators provide us with the possible trend that the stock may take in the future and thus suggest that the investor in question buys, sells or holds the stock in view of that result. As a result of the project, it was proposed to use 7 technical indicators RSI, MACD, ROC, WMA, OBV, the Williams indicator and the stochastic oscillator that determine the current market condition. After validating the model, it was concluded that there are different Peruvian companies that have been able to overcome th...
13
artículo
Publicado 2018
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In the present paper, the effect of interdependence and contagion will be performed in the purchase and sale decisions of investors in a Black-Schole financial market, where there are two financial assets: stocks (risky assets) and bonds (risk-free asset); and two investor states: lover and risk aversion; under different probabilities of contagion. This economic-financial phenomenon could be modeled by a system of stochastic equations; however, not all stochastic equations have a closed solution, so it is decided to perform computational simulations to analyze their numerical behavior. In this sense, a computational simulation will be performed using cellular automata.
14
documento de trabajo
Publicado 2016
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Symmetric and asymmetric autoregressive conditional heteroskedasticity models and stochastic volatility models are applied to daily data of Peruvian stock and Forex markets returns for the period January 5, 1998 until December 30, 2011. Following the approach developed by Omori et al. (2007), Bayesian estimation methodology is used with different structures in the behavior of the disturbance terms. The results suggest the presence of asymmetric effects in both markets. In the stock market, we find that negative shocks generate higher volatility than positive shocks. In the Forex market, shocks related to episodes of depreciation create higher uncertainty in comparison with episodes of appreciation. Thus, the Central Reserve Bank faces relatively major difficulties in its intention of smoothing Forex volatility. The model with the best fit in both returns is the Asymmetric Stochastic Vola...
15
tesis de maestría
Publicado 2017
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This work considers the study of chance constrained Model Predictive Control (MPC) for reliable spacecraft trajectory tracking and landing. Objectives of the master thesis: • To identify and study mathematical dynamic models of a spacecraft. • To study the trajectory design and landing schemes for a given mission. • To study the source of uncertainty in the model parameters and external disturbances. • To study the chance constrained MPC scheme for the reliable and optimal trajectory tracking and landing. • To testing the new analytic approximation approaches, Inner and Outer, for chance constraints. • To study appropriate MPC algorithms and implement on case-studies. In the first part of the thesis considers deterministic dynamical models of spacecraft are discussed. The first example is about the tracking of trajectory and soft landing on the surface of an asteroid EROS433,...
16
tesis de maestría
Publicado 2017
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This work considers the study of chance constrained Model Predictive Control (MPC) for reliable spacecraft trajectory tracking and landing. Objectives of the master thesis: • To identify and study mathematical dynamic models of a spacecraft. • To study the trajectory design and landing schemes for a given mission. • To study the source of uncertainty in the model parameters and external disturbances. • To study the chance constrained MPC scheme for the reliable and optimal trajectory tracking and landing. • To testing the new analytic approximation approaches, Inner and Outer, for chance constraints. • To study appropriate MPC algorithms and implement on case-studies. In the first part of the thesis considers deterministic dynamical models of spacecraft are discussed. The first example is about the tracking of trajectory and soft landing on the surface of an asteroid EROS433,...
17
tesis de maestría
Publicado 2017
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This work considers the study of chance constrained Model Predictive Control (MPC) for reliable spacecraft trajectory tracking and landing. Objectives of the master thesis: • To identify and study mathematical dynamic models of a spacecraft. • To study the trajectory design and landing schemes for a given mission. • To study the source of uncertainty in the model parameters and external disturbances. • To study the chance constrained MPC scheme for the reliable and optimal trajectory tracking and landing. • To testing the new analytic approximation approaches, Inner and Outer, for chance constraints. • To study appropriate MPC algorithms and implement on case-studies. In the first part of the thesis considers deterministic dynamical models of spacecraft are discussed. The first example is about the tracking of trajectory and soft landing on the surface of an asteroid EROS433,...
18
artículo
Publicado 2019
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New versions of the metaheuristic Multi-Particle Collision Algorithm (MPCA) are presented. In order to provide more effective candidate solutions for an optimization problem, the concept of opposition and reflection is introduced to improve the capacity to find a solution in the search space. Four different strategies to compute the reflected and opposite points are implemented. The performance of all implementations is evaluated over thirty objective functions with different complexities, using serial and parallel versions of the algorithms.
19
artículo
Publicado 2019
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New versions of the metaheuristic Multi-Particle Collision Algorithm (MPCA) are presented. In order to provide more effective candidate solutions for an optimization problem, the concept of opposition and reflection is introduced to improve the capacity to find a solution in the search space. Four different strategies to compute the reflected and opposite points are implemented. The performance of all implementations is evaluated over thirty objective functions with different complexities, using serial and parallel versions of the algorithms.
20
artículo
Publicado 2018
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Decision making in the emergency area, given its implication of caring for patients at risk, is extremely sensitive. An inappropriate decision canmake the difference between life and death. The system must respond quickly, efficiently and effectively, and the medical human factor plays the leading role. It can be concluded then that the adequate distribution of the human potential available at the time of emergency is decisive in providing adequate care to the patient. In this work, a model is presented that estimates the appropriate configurations ofmedical equipment in the emergency area, based on parameters measured quantitatively by simulation, which are used to estimate the quality ofthe attention. These parameters support each of the response requirements. There are parameters based on the control of response time, toensure speed of care according to the patient's urgency. In addit...
