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在OpenSees中实现结构可靠度分析的Monte Carlo 模拟方法
热度 1 OneCarat 2017-6-23 09:15
Implementing Monte Carlo Simulation Method forStructural Reliability Assessment in OpenSees 在 OpenSees 中实现结构可靠度分析的 Monte Carlo 方法 ----Implemented by Chao Dang 1 (1. 党超,湖南大学,土木工程学院, E-mail: chaodang@outlook.com) OpenSees 的全称是 Open Systemfor Earthquake Engineering Simulation (地震工程模拟的开放体系),它是由美国 国家自然科学基金 (NSF)资助、西部大学联盟“太平洋地震工程研究中心”( Pacific EarthquakeEngineering Research Center ,简称 PEER )主导、加州大学伯克利分校为主研发而成的、用于结构和岩土方面地震反应模拟的一个较为全面且不断发展的开放的程序软件体系。该程序正在引起世界各国结构工程领域众多研究人员的关注和重视,而在国内也开始有少数学校开展了一些初步的学习和相关的研究工作。 经过多年的发展, OpenSees 中的可靠度分析模块也在不断完善。为了帮助科研人员更好地使用 OpenSees 进行结构可靠度分析,本文在综合了其他参考资料的基础上,以一个简单的算例阐明在OpenSees中实现Monte Carlo模拟的编程方法。读者仅需稍微掌握OpenSees有限元分析的基本方法和Tcl语言的简单应用,便可以将本文提供的程序应用于其他随机有限元的分析当中。 算例 :一个经典的9杆桁架模型将作为本文的算例(如图1所示),考虑的随机变量如表1所示。结构功能函数定义为,2、3、4和5节点的竖向位移最大值不超过一限值, 图1 9杆桁架模型 表1 随机变量信息 随机变量 分布类型 均值 变异系数 截面面积A 正态分布 2500 mm 2 0.2 弹性模量E 正态分布 206000 Mpa 0.2 荷载F1 对数正态分布 3000 kN 0.2 荷载F2 对数正态分布 4000 kN 0.2 程序 : # Model Created by Chao Dang 22/06/2017 # The script creates a static model of a nine-bartruss structure # Monte Carlo methods are used for ReliabilityAssessment wipe model BasicBuilder -ndm 2 -ndf 2 reliability # define node node 1 0.0 0.0 node 2 4000.0 0.0 node 3 4000.0 3000.0 node 4 8000.0 0.0 node 5 8000.0 3000.0 node 6 12000.0 0.0 # define boundary condition fix 1 1 1 fix 6 0 1 # define material set E 2.06E5 uniaxialMaterial Elastic 1 $E # define element set A 2500 element truss 1 1 2 $A 1 element truss 2 2 4 $A 1 element truss 3 4 6 $A 1 element truss 4 1 3 $A 1 element truss 5 2 3 $A 1 element truss 6 3 4 $A 1 element truss 7 4 5 $A 1 element truss 8 5 6 $A 1 element truss 9 3 5 $A 1 # define load set F1 3000000 set F2 4000000 pattern Plain 1 Linear { load 20 load 40 } # define random variable randomVariable 1 normal -mean $A -stdv randomVariable 2 normal -mean $E -stdv randomVariable 3 lognormal -mean $F1 -stdv randomVariable 4 lognormal -mean $F2 -stdv # define parameter set eleNum 9 parameter 1 randomVariable 1 parameter 2 randomVariable 2 for {set i 1} {$i = $eleNum} {incr i} { # addeara of all elements to parameter 1 addToParameter1 element $i A # addmodulus of all elements to parameter 2 addToParameter2 element $i E } # define nodal load as parameter parameter 3 randomVariable 3 loadPattern 1loadAtNode 2 2 parameter 4 randomVariable 4 loadPattern 1loadAtNode 4 2 # define the nodal deflections as parameters parameter 5 node 2 disp 2 parameter 6 node 3 disp 2 parameter 7 node 4 disp 2 parameter 8 node 5 disp 2 # Monte CarloSimulation set Ntrials 100000 set Nfail 0 for {set i 1} {$i = $Ntrials} {incr i} { reset foreachrvTag { setp updateParameter$rvTag } constraintsPlain numbererRCM systemBandGeneral testEnergyIncr 1.0e-6 200 algorithmNewton integratorLoadControl 1 analysisStatic analyze1 updateParameter 5 updateParameter 6 updateParameter 7 updateParameter 8 sets(1) )] sets(2) )] sets(3) )] sets(4) )] for{set j 1} {$j 4} {incr j} { if {$s($j) $s( )} { set d $s( ) } else { set d $s($j) } } set g if {$g= 0} {incr Nfail} puts$i } puts pf = nine_bar_truss.tcl (转载、引用请注明出处)
个人分类: 科研笔记|4282 次阅读|1 个评论
MCMC的深入理解
热度 1 jiangqiuhua 2017-1-29 11:25
今天,重新将MCMC的word版本转换博文格式,但感觉还是写得很不好!重新整理一下!希望能够加深! 1. 采样的理解和Monte Carlo方法 原来学习电子技术时,对电压信号采样,有信号保持,采样间隔,AD转换等概念。可对只学过随机过程而没学过统计模拟的同学来说就理解困难了。我是一直受电子技术的采样概念影响,对采样理解不过来!尤其是经常碰到Monte Carlo采样,根本就不理解! 个人理解,随机过程的采样讨论的就是如何根据随机变量的概率分布来生成随机变量的样本!一定要注意随机变量和样本的区别,稍不注意,就乱了。 为什么要采样呢? 这就是需要谈到Monte Carlo方法,对于该方法这里我不啰嗦,它的目的就是求解某一随机变量的概率或者统计量(比如期望值、方差等)。采用的方法就是通过计算机模拟(或者人工模拟),来生成该随机变量的大量样本,然后根据样本进行无偏估计得到该随机变量的概率或者统计量。可见采样对于Monte Carlo方法的重要性! 我们知道,最简单的概率分布是均匀分布,这个在计算机中可以通过硬件或者软件来实现,Matlab,C语言中都有相关语句。可是碰到复杂概率分布,比如正态分布, 分布,甚至只知道随机变量的条件概率分布,如何来生成随机变量的样本呢? 2. MCMC的原理 统计之都中的MCMC与Gibbs采样 文章 为什么会出现MCMC方法呢?如前面所说,因为有的随机变量概率分布 很复杂,比如下面两种情况: 1) , 可以计算,但分母的积分却难以计算。 2) 本身计算很困难,但 和 却可以计算。 这时候要生成 或 分布的样本就会用到MCMC方法。 马氏链(Markov Chain)简单的数学描述如下: (1) 其中P为转移概率矩阵,随机变量当前的概率分布只取决于前一时刻的概率分布和转移概率矩阵。 对于大多数非周期的转移概率矩阵P,从任何初始概率分布出发,随机变量的概率分布都会收敛到一个平稳分布,该平稳分布为下述方程的解: (2) 假设应用马氏链收敛于平稳分布的性质来生成给定概率分布 的样本,需要解决的关键问题是如何针对 来确定转移概率矩阵P?这时就提出了细致平稳条件的要求(为了方便,随机变量改写为离散的形式): (3) 其中 分别表示随机变量的第 个状态。 因此,如果公式(3)成立,则公式(2)成立,也即转移概率矩阵P对应的平稳分布就是我们需要得到的概率分布 。 3. Metropolis Hastings采样算法 如何根据 来构造转移概率矩阵P,使得细致平稳条件成立呢?最早的构造方法就是Metropolis Hastings采样算法。 该算法的实现思路是这样的:对于一个给定的需要生成的概率分布 和一个已知的P,改造P成为Q,使得细致平稳条件满足。 因, 令, 所以, 取, 从而, 因此转移概率矩阵Q的平稳分布为 。 在构造Q的时候需要知道 。疑问是既然都知道了 ,难道不能直接根据它来生成样本。可以,理论上是可以的,比如在一个盒子中分别放入 个小球,随机从盒子中抽取小球,这样就能得到概率分布为 的随机变量的样本了。但实际情况是如果 的取值范围特别大,就碰到了所谓的维数灾难,即使用计算机模拟也难以实现。如果应用马氏链的方法来生成样本,就不需要构造这么一大盒子球来生成样本了,而是依据算法直接生成。 4. Gibbs采样算法 应用Metropolis Hastings采样算法时,因 ,可能情况是 特别小,从而采样时随机变量总是停在同一状态上,导致采样失效。因此尽可能提高细致平稳条件下的状态转移概率。 在一些应用的情况下,条件概率 是知道的。 由于, 取, 于是细致平稳条件也得到满足,而且状态转移概率也得到了很大提高。 这就是Gibbs采样算法。
个人分类: 统计学习|7600 次阅读|1 个评论
Monte Carlo method
YF2015 2016-3-30 17:38
   蒙特卡罗方法( Monte Carlo method )    蒙特卡罗方法概述    蒙特卡罗方法又称统计模拟法、随机抽样技术 ,是一种随机模拟方法,以概率和统计理论方法为基础的一种计算方法,是使用随机数(或更常见的伪随机数)来解决很多计算问题的方法。将所求解的问题同一定的概率模型相联系,用电子计算机实现统计模拟或抽样,以获得问题的近似解。为象征性地表明这一方法的概率统计特征,故借用赌城蒙特卡罗命名。    蒙特卡罗方法的提出    蒙特卡罗方法于 20 世纪 40 年代美国在第二次世界大战中研制原子弹的 “ 曼哈顿计划 ” 计划的成员 S . M .乌拉姆和 J .冯 · 诺伊曼首先提出。数学家冯 · 诺伊曼用驰名世界的赌城 — 摩纳哥的 Monte Carlo— 来命名这种方法,为它蒙上了一层神秘色彩。在这之前,蒙特卡罗方法就已经存在。 1777 年,法国 Buffon 提出用投针实验的方法求圆周率 ∏ 。这被认为是蒙特卡罗方法的起源。    蒙特卡罗方法的基本思想    Monte Carlo 方法的基本思想很早以前就被人们所发现和利用。早在 17 世纪,人们就知道用事件发生的 “ 频率 ” 来决定事件的 “ 概率 ” 。 19 世纪人们用投针试验的方法来决定圆周率 π 。本世纪 40 年代电子计算机的出现,特别是近年来高速电子计算机的出现,使得用数学方法在计算机上大量、快速地模拟这样的试验成为可能。   考虑平面上的一个边长为 1 的正方形及其内部的一个形状不规则的 “ 图形 ” ,如何求出这个 “ 图形 ” 的面积呢 ?Monte Carlo 方法是这样一种 “ 随机化 ” 的方法:向该正方形 “ 随机地 ” 投掷 N 个点,有 M 个点落于 “ 图形 ” 内,则该 “ 图形 ” 的面积近似为 M/N 。可用民意测验来作一个不严格的比喻。民意测验的人不是征询每一个登记选民的意见,而是通过对选民进行小规模的抽样调查来确定可能的优胜者。其基本思想是一样的。   科技计算中的问题比这要复杂得多。比如金融衍生产品(期权、期货、掉期等)的定价及交易风险估算,问题的维数(即变量的个数)可能高达数百甚至数千。对这类问题,难度随维数的增加呈指数增长,这就是所谓的 “ 维数的灾难 ” ( Curse of Dimensionality ),传统的数值方法难以对付(即使使用速度最快的计算机)。 Monte Carlo 方法能很好地用来对付维数的灾难,因为该方法的计算复杂性不再依赖于维数。以前那些本来是无法计算的问题现在也能够计算量。为提高方法的效率,科学家们提出了许多所谓的 “ 方差缩减 ” 技巧。   另一类形式与 Monte Carlo 方法相似,但理论基础不同的方法 —“ 拟蒙特卡罗方法 ” ( Quasi - Monte Carlo 方法) — 近年来也获得迅速发展。我国数学家华罗庚、王元提出的 “ 华 — 王 ” 方法即是其中的一例。这种方法的基本思想是 “ 用确定性的超均匀分布序列(数学上称为 Low Discrepancy Sequences )代替 Monte Carlo 方法中的随机数序列。对某些问题该方法的实际速度一般可比 Monte Carlo 方法提出高数百倍,并可计算精确度。    蒙特卡罗方法的基本原理    由概率定义知,某事件的概率可以用大量试验中该事件发生的频率来估算,当样本容量足够大时,可以认为该事件的发生频率即为其概率。因此,可以先对影响其可靠度的随机变量进行大量的随机抽样,然后把这些抽样值一组一组地代入功能函数式,确定结构是否失效,最后从中求得结构的失效概率。蒙特卡罗法正是基于此思路进行分析的。   设有统计独立的随机变量 Xi ( i = 1 , 2 , 3 , … , k ),其对应的概率密度函数分别为 fx1 , fx2 , … , fxk ,功能函数式为 Z = g ( x1 , x2 , … , xk )。   首先根据各随机变量的相应分布,产生 N 组随机数 x1 , x2 , … , xk 值,计算功能函数值 Zi = g ( x1 , x2 , … , xk )( i = 1 , 2 , … , N ),若其中有 L 组随机数对应的功能函数值 Zi≤0 ,则当 N→∞ 时,根据伯努利 大数定理 及正态随机变量的特性有:结构失效概率,可靠指标。   从蒙特卡罗方法的思路可看出,该方法回避了结构可靠度分析中的数学困难,不管状态函数是否非线性、随机变量是否非正态,只要模拟的次数足够多,就可得到一个比较精确的失效概率和可靠度指标。特别在岩土体分析中, 变异系数 往往较大,与 JC 法计算的可靠指标相比,结果更为精确,并且由于思路简单易于编制程序。    蒙特卡罗方法在数学中的应用    通常蒙特 · 卡罗方法通过构造符合一定规则的随机数来解决数学上的各种问题。对于那些由于计算过于复杂而难以得到解析解或者根本没有解析解的问题,蒙特 · 卡罗方法是一种有效的求出数值解的方法。一般蒙特 · 卡罗方法在数学中最常见的应用就是蒙特 · 卡罗积分。    蒙特卡罗方法的应用领域    蒙特卡罗方法在 金融工程学 , 宏观经济学 ,生物医学,计算物理学(如粒子输运计算、量子热力学计算、空气动力学计算)等领域应用广泛。    蒙特卡罗方法的工作过程    在解决实际问题的时候应用蒙特 · 卡罗方法主要有两部分工作:    1 . 用蒙特 · 卡罗方法模拟某一过程时,需要产生各种 概率分布 的 随机变量 。    2 . 用 统计方法 把模型的数字特征估计出来,从而得到实际问题的数值解。    蒙特卡罗方法分子模拟计算的步骤    使用蒙特 · 卡罗方法进行分子模拟计算是按照以下步骤进行的:    1 . 使用随机数发生器产生一个随机的分子构型。    2 . 对此分子构型的其中粒子坐标做无规则的改变,产生一个新的分子构型。    3 . 计算新的分子构型的能量。    4 . 比较新的分子构型于改变前的分子构型的能量变化,判断是否接受该构型。    · 若新的分子构型能量低于原分子构型的能量,则接受新的构型,使用这个构型重复再做下一次迭代。    · 若新的分子构型能量高于原分子构型的能量,则計算玻尔兹曼因子,并产生一个随机数。    * 若这个随机数大于所计算出的玻尔兹曼因子,则放弃这个构型,重新计算。    * 若这个随机数小于所计算出的玻尔兹曼因子,则接受这个构型,使用这个构型重复再做下一次迭代。    5 . 如此进行迭代计算,直至最后搜索出低于所给能量条件的分子构型结束。    蒙特卡罗模型的发展运用    从理论上来说,蒙特卡罗方法需要大量的实验。实验次数越多,所得到的结果才越精确。以上 Buffon 的投针实验为例、历史上的记录如下表 1 。      从表中数据可以看到,一直到公元 20 世纪初期,尽管实验次数数以千计,利用蒙特卡罗方法所得到的圆周率 ∏ 值,还是达不到公元 5 世纪祖冲之的推算精度。这可能是传统蒙特卡罗方法长期得不到推广的主要原因。   计算机技术的发展,使得蒙特卡罗方法在最近 10 年得到快速的普及。现代的蒙特卡罗方法,已经不必亲自动手做实验,而是借助计算机的高速运转能力,使得原本费时费力的实验过程,变成了快速和轻而易举的事情。它不但用于解决许多复杂的科学方面的问题,也被 项目管理 人员经常使用。   借助计算机技术,蒙特卡罗方法实现了两大优点:   一是简单,省却了繁复的数学报导和演算过程,使得一般人也能够理解和掌握;   二是快速。简单和快速,是蒙特卡罗方法在现代 项目管理 中获得应用的技术基础。   蒙特卡罗方法有很强的适应性,问题的几何形状的复杂性对它的影响不大。该方法的收敛性是指概率意义下的收敛,因此问题维数的增加不会影响它的收敛速度,而且存贮单元也很省,这些是用该方法处理大型复杂问题时的优势。因此,随着电子计算机的发展和科学技术问题的日趋复杂,蒙特卡罗方法的应用也越来越广泛。它不仅较好地解决了多重积分计算、微分方程求解、积分方程求解、特征值计算和非线性方程组求解等高难度和复杂的数学计算问题,而且在统计物理、核物理、真空技术、 系统科学 、信息科学 、公用事业、地质、医学, 可靠性 及计算机科学等广泛的领域都得到成功的应用。    项目管理中蒙特卡罗模拟方法的一般步骤    项目管理中蒙特卡罗模拟方法的一般步骤是:    1 、对每一项活动,输入最小、最大和最可能估计数据,并为其选择一种合适的先验分布模型;    2 、计算机根据上述输入,利用给定的某种规则,快速实施充分大量的随机抽样;    3 、对随机抽样的数据进行必要的数学计算,求出结果;    4 、对求出的结果进行统计学处理,求出最小值、最大值以及数学期望值和单位标准偏差;    5 、根据求出的统计学处理数据,让计算机自动生成概率分布曲线和累积概率曲线(通常是基于正态分布的概率累积 S 曲线);    6 、依据累积概率曲线进行项目风险分析。    非权重蒙特卡罗积分    非权重蒙特卡罗积分,也称确定性抽样,是对被积函数变量区间进行随机均匀抽样,然后对被抽样点的函数值求平均,从而可以得到函数积分的近似值。此种方法的正确性是基于 概率论 的 中心极限定理 。当抽样点数为 m 时,使用此种方法所得近似解的 统计误差 恒为 1 除于根号 M ,不随积分维数的改变而改变。因此当积分维度较高时,蒙特卡罗方法相对于其他数值解法更优。    蒙特卡罗方法案例分析    案例一:蒙特卡罗模型在投资项目决策中的开发应用    一、问题的提出   随着社会主义市场经济体制的逐步完善、经济水平的逐步提高,我国社会经济活动日趋复杂,越来越多变,其影响越来越广泛,越来越深远,不确定性逐渐成为企业决策时所面临的主要难题。因此,如何在不确定条件下做出投资决策,就成为目前理论和实践工作者们广泛关注的一个核心课题。   传统的投资评价理论 —— 以净现值法( NPV ) 为代表的投资决策分析方法,其根本缺陷在于它们是事先对未来的现金流量做出估计,并假设其为不变或静态的状况,无法衡量不确定因素的影响,不能体现递延决策以应对所带来的管理弹性。所以,在不确定环境下的投资,用净现值法评估项目不能体现柔性投资安排决策所体现的价值,无助于项目在决策中回避风险。在多变的市场环境中,不确定性与竞争者的反应使实际收入与预期收入有所出入, 所以净现值法( NPV ) 适用于常规项目,未来不确定性比较小的项目。   为此理论界对未来投资环境不确定性大的项目提出了实物期权法,但在实践中应用的还是比较少。实物期权法的应用对企业决策者的综合素质要求比较高,对企业资源能力要求也比较高。但是实物期权法改变了我国管理者对战略投资的思维方式。   基于以上的分析,我们得出这样的结论:传统的投资决策方法对风险项目和不确定性项目的评价有较多不完善之处,有必要对其改进;实物期权法理论上解决了传统决策方法对不确定性项目评价的不足,但其应用尚处于体系不成熟阶段,在实践中应用并不广泛。至此,引入蒙特卡罗模型的理论和其分析方法,此方法特别适用于参数波动性大,且服从某一概率分布的项目,例如地质勘察、气田开发等项目。   蒙特卡罗模型是利用计算机进行数值计算的一类特殊风格的方法, 它是把某一现实或抽象系统的某种特征或部分状态, 用模拟模型的系统来代替或模仿, 使所求问题的解正好是模拟模型的参数或特征量, 再通过统计实验, 求出模型参数或特征量的估计值, 得出所求问题的近似解。目前评价不确定和风险项目多用敏感性分析和概率分析,但计算上较为复杂,尤其各因素变化可能出现概率的确定比较困难。蒙特卡罗模型解决了这方面的问题,各种因素出现的概率全部由软件自动给出,通过多次模拟,得出项目是否应该投资。该方法应用面广, 适应性强。   惠斯通( Weston ) 对美国 1 000 家大公司所作的统计表明: 在公司管理决策中, 采用随机模拟方法的频率占 29 % 以上, 远大于其他数学方法的使用频率 。特别, 该方法算法简单, 但计算量大, 在模拟实际问题时, 要求所建模型必须反复验证,这就离不开计算机技术的帮助, 自然可利用任何一门高级语言来实现这种方法。通过一案例具体实现了基于 Excel 的 Monte Carlo 模拟系统, 由于 Microsof tExcel 电子表格软件强大的数据分析功能和友好的界面设计能力, 使系统实现起来颇感轻松自如。    二、理论和方法   蒙特卡洛模拟早在四十年前就用于求解核物理方面的问题。当管理问题更为复杂时,传统的数学方法就难以进行了。模拟是将一个真实事物模型化,然后对该模型做各种实验,模拟也是一个通过实验和纠正 误差 来寻求最佳选择的数值性求解的过程。模拟作为一种有效的数值处理方法, 计算量大。以前只是停留在理论探讨上, 手工是无法完成的。在管理领域由于规律复杂随机因素多, 很多问题难以用线性数学公式分析和解决, 用模拟则有效得多。在新式的计算机普及后, 用 模拟技术 来求解管理问题已成为可能。    计算机模拟 技术和其它方法相比有以下优点:    1 ) 成本低、风险小, 在产品 未投产, 实际生产未形成就可以对市场进行分析模拟, 极大地减少费用和风险。    2 ) 环境条件要求低, 工作人员不需要高深的数学能力, 完全依靠计算机进行, 在硬件和软件日益降价的情况下, 可以成为现实。    3 ) 可信度高, 常用的统计推理方法需要大量历史数据(如平均数法、 最小二乘法 ) , 对无历史资料的场合就无能为力(如新产品) , 而且精度低。   模拟的最大特点是借助一个随机数来模仿真实的现实, 随机数的产生则由计算机来产生。称为伪随机数。即:    Rn = F ( r - 1 , r - 2 , ……r - k )   在以对象为中心的软件中, EXCEL 有一个 RANE ()函数实现伪随机数功能。 RANE ( )实际上是一个会自动产生伪随机数的子程序。用产生的伪随机数模拟市场购买行为, 得出产品销售量, 在生产成本相对固定时进而推测出产品的利润。此方法不用编制复杂的程序, 思路假设为, 作为系统内部是可以控制的, 即企业内部生产成本可以人为控制, 但系统外部因素是不可控制的(消费心理导致的消费行为) , 则生产与销售就会产生矛盾。生产量小于销售量, 造成开工不足资源浪费;生产量大于销售量, 造成产品积压, 资金占用, 同样形成资源的浪费。最好生产量等于销售量, 则资源浪费最小, 自然经济效益就最高, 实际就是利润最大化。如果能科学地测算出在什么情况下利润最大, 则这时的产量就是最佳产量, 成本也就最低。这就是市场作为导向, 以销定产的公认市场经济的准则。实际工作中, 很多产品的消费是具有随机性的, 主要是一些需求弹性大、价格弹性大、价格低、与日常生活有关的中、小商品, 如副食品、日用消费品、玩具、轻工业产品。对企业而言利润较高的产品。   从以上分析可以看出, 蒙特卡洛模拟可以动态实现对产品利润的预测, 从而对产品产量科学控制,实现资源优化, 是一种较好的决策支持方法。    三、蒙特卡罗模型在 Excel 表中的应用   某气田投资项目期投资、寿命期、残值以及各年的收入、支出,以及应付税金的税率、项目的资本成本等都是独立的随机变量,他们的概率密度函数如表 1 所示。    表 各变量对应概率密度函数表 A B C D 2 概率 对应的随机数 可能值 3 投资 Yo 0 . 2 0 450 4 0 . 5 0 6 5 0 . 3 70 550 6 寿命 N 0 . 5 0 6 7 0 . 3 50 7 8 0 . 2 80 8 9 残值 F 0 . 25 0 40 10 0 . 5 25 50 11 0 . 25 75 60 12 税率 Te 0 . 2 0 45 13 0 . 5 20 48 14 0 . 3 15 750 15 年收入 R 0 . 15 0 700 16 0 . 3 15 750 17 0 . 4 45 800 18 0 . 15 85 850 19 年支出 C 0 . 2 0 100 20 0 . 4 20 150 21 0 . 3 60 200 22 0 . 1 90 250 23 资本成本 i 0 . 1 0 10 24 0 . 2 10 12 25 0 . 4 30 14 26 0 . 2 70 16 27 0 . 1 90 18   本案例用 windowsXP 中的 Excel2003 对该项目进行模拟如下:    1 ) 在 A32 单元格(投资 Yo 模拟:随机数) 输入:= RANDBETWEEN ( 0 , 99 ) ;在 B32 单元格(投资 Yo 模拟:投资) 输入: = VLOO KUP ( A32 , $C $3 : $D$5 , 2 ) ;    2 ) 在 C32 单元格(寿命 N 模拟:随机数) 输入: = RANDBETWEEN ( 0 , 99 ) ;在 D32 单元格(寿命 N 模拟: 寿命) 输入: = VLOO KUP ( C32 , $C $6 : $D$8 , 2 ) ;    3 ) E32 , G32 , I32 , K32 , M32 单元格分别输入: = RANDBETWEEN ( 0 , 99 ) ; F32 = VLOOPUP ( E32 , $C $9 : $D $11 , 2 ) , H32 = VLOOPUP ( G32 , $C$12 : $D $14 , 2 ) , J 32 = VLOO KUP ( I32 , $C $15 : $D $18 , 2 ) , L32 = VLOO KUP ( K32 , $C $19 : $D$22 , 2 ) ,    N32 = VLOO KUP ( M32 , $C $23 : $D $27 , 2 )    4 ) O32 = ( B32 - F32 ) / D32 , P32 = ( J 32 - L32 - O32 ) 3 ( 1 - H32/ 100 ) + O32 , Q32 = PV ( N32/ 100 , D32 , - P32 ) - B32 ;    5 ) H3 = AVERA GE ( Q32 , Q5031 ) , H4 = STDEV ( Q32 , Q5031 ) , H5 = MAX ( Q32 , Q5031 ) , H6 = MIN ( Q32 , Q5031 ) , H7 = H4/ H3 , H8 = COUN TIF ( Q32 : Q5031 , “ 0” ) / COUN T ( Q32 , Q5031 ) 。   在 Excel 工具表中模拟 5000 次,结果输出见下表 :    表 结果输出表( 1 ) A B C D E F G H    投资 Yo 模拟 寿命 N 模拟 残值 F 模拟 税率 Te 模拟 随机数 投资 随机数 寿命 随机数 残值 随机数 税率 32 17 450 78 7 51 50 2 45 33 31 500 84 8 87 60 67 48 34 22 500 63 7 97 60 88 51 35 95 550 70 7 40 50 81 51 36 31 500 96 8 20 40 12 45 37 16 450 1 6 41 50 66 48 38 79 550 33 6 87 60 51 48 39 0 450 97 8 78 60 17 45 40 35 500 43 6 22 40 5 45 41 3 450 70 7 52 50 87 51 42 78 550 39 6 69 50 30 48 43 20 500 36 6 90 60 2 45 44 96 550 5 6 92 60 40 48 45 51 500 36 6 90 60 20 48 46 58 500 39 6 1 40 11 45 47 4 450 79 7 22 40 29 48 48 83 550 36 6 40 50 62 48 … … … … … … … … …    表 结果输出表( 2 ) I J K L M N 年收入 R 模拟 年支出 C 模拟 资本成本 i 模拟 随机数 年收入 随机数 年支出 随机数 资本成本 32 12 700 88 200 4 10 33 11 700 88 200 59 14 34 3 700 79 200 7 10 35 68 800 20 150 77 16 36 23 750 21 150 53 14 37 98 850 73 200 40 14 38 37 750 23 150 99 18 39 72 800 92 250 16 12 40 81 800 96 250 46 14 41 32 750 17 100 74 16 42 70 800 73 200 17 12 43 39 750 78 200 68 14 44 12 700 46 150 92 18 45 79 800 75 200 15 12 46 10 700 52 150 54 14 47 45 800 1 100 87 16 48 75 800 47 150 4 10 … … … … … … …    表 结果输出表( 3 ) O P Q 折旧 Dt 各年现金流量 Yt NPV 32 75 307175 840 . 3314803 33 76166667 348 . 18 85613672298 34 64128571 342 . 8571 1064 . 716528 35 75 374 878 . 0912297 36 55 . 71429 364 . 7429 11141128559 37 62 . 185714 368 . 1714 98618844068 38 73 . 33333 35519 883 . 9767691 39 58 . 57143 299 . 3714 1007 . 465496 40 83 . 33333 336 . 5 689 . 9136332 41 83 . 33333 326 717 . 7056104 42 66 . 66667 344 964 . 3241193 43 85 35218 749 . 9748285 44 57 . 14286 347 . 6429 1040 . 798547 45 64 . 28571 276 . 4286 76115527004 46 76 . 166667 348 . 8 785 . 2358848 47 48 . 75 33514 1105 . 87495 48 57 . 5 391 . 6 12001950194 … … … …   所得结果如下:    表 净现值模拟计算结果表 F G H 2 净现值模拟计算结果 3 净现值期望值 952 . 13017 4 净现值标准差 198 . 90501 5 净现值最大值 1726 . 9833 6 净现值最小值 405 . 54502 7 变异系数 0 . 12089053 8 净现值为负的概率 0    表 净现值概率分布统计表 净现值概率分布统计 系统分组 分布区间 概率 累计概率 300 3 以下 0 0 400 3 ~ 4 0 0 500 4 ~ 5 0 . 0036 010036 600 5 ~ 6 0 . 0244 01028 700 6 ~ 7 0 . 0620109 800 7 ~ 8 0 . 1322 012222 900 8 ~ 9 0 . 1898 01412 1000 9 ~ 10 0 . 1992 016112 1100 10 ~ 11 0 . 1628 01774 1200 11 ~ 12 0 . 1162 018902 1300 12 ~ 13 0 . 0548 01945 1400 13 ~ 14 0 . 0338 019788 1500 14 ~ 15 0 . 0132 01992 1600 15 ~ 16 0 . 005 01997 1700 16 ~ 17 0 . 0018 019988 1800 17 以上 0 . 0012 1      从分析结果得出,虽然此项目未来的不确定性很大,但由图可知,此气田开发项目服从正态分布,模拟 5 000 次的结果是净现值为负的概率为零,并且项目的期望净现值为 952113 万元,说明项目值得开发。   由以上的案例分析可知,基于蒙特卡罗模拟的风险分析,对于工程实际应用具有较强的参考价值。随机模拟 5 000 次,如果仅靠人的大脑进行计算,这在现实世界中是不可能的,但考虑到系统决策支持功能, 算法设计为由使用者自己设计方案, 采用人机交互, 这样可以发挥使用者的经验判断;系统实现模拟运算 —— 系统对每一个设定的投资项目期投资、寿命期、残值以及各年的收入、支出,以及 应付税金 的税率、项目的资本成本等随机变量及他们的概率密度函数,通过蒙特卡罗模拟方法,得出了项目在不同概率发生的情况下净现值模拟计算结果。为人们解决不确定性项目的决策提供了简单的方法,节约了人们的工作量和时间。但是利用蒙特卡罗模型分析问题时,收集数据是非常关键的。    参考文献    1 . ↑ 蒙特卡罗模型在投资项目决策中的开发应用 .科技和产业, 2009 , 9 ( 11 ): 119 - 123
个人分类: 科学|2981 次阅读|0 个评论
[转载]Monte Carlo and Bootstrap
jaydow 2015-9-29 14:26
http://www.zhihujingxuan.com/20743.html 理解一、 风马牛不相及,举个简单的例子(关于一个分布的平均值)来帮你理解bootstrap和Monte Carlo, 比如现在有一个分布F... 1. Bootstrap: 如果我无法知道F的确切分布,手上仅有一组从F中iid抽样的样本(X_1, ..., X_n),我想检验“F的均值是否为0”。看起来这个不可能,因为我只有一个ar{X}的点估计,而并不知道ar{X}的分布。Bootstrap的魔术是现在我把(X_1, ..., X_n)这个样本当做总体,从中(有放回地)重新抽样,重抽样样本大小仍为n,那么每一次重抽样就可以得到一个“样本均值”,不断地重抽样我就得到了一个ar{X}的“分布”。这样接下来我就可以构造confidenceinterval并做检验了。 虽然实践中bootstrap的重抽样步骤都是用Monte Carlo方法来模拟重抽样样本统计量的分布,但是严格地说这个分布原则上可以精确计算。而如果待估统计量比较简单,bootstrap的结果有时甚至可以直接用(X_1, ..., X_n)的某种统计量表示出来,从而并不需要真正地“重抽样”。当然实际应用中绝大多数时候重抽样分布的解析表达式都会太复杂,所以用模拟代替计算。 ( 关于bootstrap的更多讨论见此答案下的评论,特别是Lee Sam提的问题) 2. Monte Carlo: 如果我知道F的确切分布,现在想计算mean(F),但是F的形式太复杂(或者我这人太懒);另一方面我又知道如何从F中抽样,于是就抽一个样本出来,拿样本均值充数。 一般来说bootstrap干的事大都跟这个例子中干的事差不多,而Monte Carlo的应用要广泛和多元化得多了。 所以两者连“区别”都谈不上,就是两码事。 理解二、 MonteCarlo 是一个更基础的想法。在很多数学、物理或者工程问题种有很多无法写出closed form的表达式,为了能得到数值上的一个解,需要通过随机采样的方法去估计。 Bootstrap 是重新改变 统计学 的一个想法。统计推断的主体总是一个的随机变量分布。在这个分布很复杂无法假设合理的参数模型时,bootstrap提供了一种非参数的推断方法,依靠的是对观测到的样本的重新抽样(resampling),其实是用empirical distribution去近似真正的distribution。 这两种方法从目的到用法都完全不同,有联系的话就是都涉及到计算机抽样。 理解三、 MonteCarlo 是一个更基础的想法。在很多数学、物理或者工程问题种有很多无法写出closed form的表达式,为了能得到数值上的一个解,需要通过随机采样的方法去估计。 Bootstrap 是重新改变 统计学 的一个想法。统计推断的主体总是一个的随机变量分布。在这个分布很复杂无法假设合理的参数模型时,bootstrap提供了一种非参数的推断方法,依靠的是对观测到的样本的重新抽样(resampling),其实是用empirical distribution去近似真正的distribution。 这两种方法从目的到用法都完全不同,有联系的话就是都涉及到计算机抽样。
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数学建模讲义(节选1)——数学模拟与Monte Carlo 方法
热度 10 liangjin 2014-1-25 11:06
数学模拟与 Monte Carlo 方法 Monte Carlo 方法,也称为蒙特卡罗方法是一种计算机随机模拟方法,也就是随机抽样方法或基于 “ 随机数 ” 的统计试验方法 ,属于计算数学的一个分支。这种方法是二十世纪四十年代中期由于科学技术的发展和电子计算机的发明,而被提出的一种以概率统计理论为指导的一类非常重要的数值计算方法。它使用随机数(或更常见的伪随机数)来解决很多计算问题的方法。把一些复杂的事件、过程和机理用大量的模拟实验来进行刻画和研究,最后得到一些结论。这些结论具有很高的参考价值。与它对应的是确定性算法。 ( 参见书后参考文献 ) 。 Monte Carlo 方法的基本思想很早以前就被人们所发现和利用。早在 17 世纪,人们就知道用事件发生的 “ 频率 ” 来决定事件的 “ 概率 ” 。 19 世纪人们用投针试验的方法来决定圆周率π。 这一方法成型于美国在第二次世界大战研制原子弹的 “ 曼哈顿计划 ” 。 该计划的主持人之一,美籍匈牙利著名数学家,计算机科学的奠基人冯 · 诺伊曼( John Von Neumann 1903-1957 )用驰名世界的赌城 — 摩纳哥的 Monte Carlo— 来命名这种方法,为它蒙上了一层神秘色彩。本世纪 40 年代电子计算机的出现,特别是近年来高速电子计算机的出现,使得用数学方法在计算机上大量、快速地模拟这样的试验成为可能。 这种方法的基本思想是:当所要求解的问题是某种事件出现的概率,或者是某个随机变量的期望值时,通过某种 “ 试验 ” 的方法,得到这种事件出现的频率,或者这个随机变数的平均值,并用它们作为问题的解。即以概率模型为基础,抓住事物运动的几何数量和几何特征,利用数学方法来加以模拟,用实验的结果来作为所讨论问题的近似解。就象民意测验结果不是全部登记选民的意见,而是通过对选民进行小规模的抽样调查得到的可能的民意。 Monte Carlo 方法的一个关键点是随机数的计算机抽取。计算机不能产生真正的随机数,但在一般情形下,计算机产生的伪随机数是够用的,对于这方面的知识,读者可以参考这方面的专业书。 下面的简例可以了解这个方法是怎么用的。 例子 考虑平面上的一个边长为 1 的正方形及其内部的一个形状不规则的 “ 图形 ” (如下图的正方形中的黄色图形),如何求出这个 “ 图形 ” 的面积呢? Monte Carlo 方法是这样一种 “ 随机化 ” 的方法:向该正方形 “ 随机地 ” 投掷 N 个点,其中有 M 个点落于 “ 图形 ” 内,则该 “ 图形 ” 的面积近似为 M/N 。 解模 对这个问题,古典的方法是大量地、随机地向这个正方形方框里投针,看看落在黄色图形里的针与所有所投出针的比例,我们可以估算出黄色图形的面积。用现代方法,我们可以用计算机抽取在方形中均匀分布的随机数,然后算出落在黄色图形里的随机数与所有抽出随机数的比例并以此来估算黄色图形面积。 Monte Carlo 方法已广泛地应用于许多应用领域,如计算物理学 、金融计算、量子热力学计算、分子动力学等。 Monte Carlo 方法的优点是计算复杂性不再依赖于维数,并适用于研究复杂的和机理不清的体系。近代计算机的发展,使得该方法的适用范围大大扩展。我们可以用其仿真演习一个城市的灾难应对能力;也可以用其实测分析一套生产新型管理系统;还可以进行沙盘推演,模拟一场现代化战争。 其解题过程有下列三个主要步骤: 构造或描述概率过程: 对于本身就具有随机性质的问题,主要是正确描述和模拟这个概率过程,对于本来不是随机性质的确定性问题,比如计算定积分,就必须事先构造一个人为的概率过程,它的某些参量正好是所要求问题的解。即要将不具有随机性质的问题转化为随机性质的问题。 实现从已知概率分布抽样: 构造了概率模型以后, 按照这个概率分布抽取随机变量(或随机向量),这一般可以直接由软件包调用,或抽取均匀分布的随机数构造。这样,就成为实现 Monte Carlo 方法模拟实验的基本手段,这也是 Monte Carlo 方法被称为随机抽样的原因。 建立各种估计量: 一般说来,构造了概率模型并能从中抽样后,即实现模拟实验后,我们就要确定一个随机变量,作为所要求的问题的解,我们称它为无偏估计。建立各种估计量,相当于对模拟实验的结果进行考察和登记,从中得到问题的解。 我们先通过用 Monte Carlo 方法计算定积分来从理论上这个方法是如何工作的。 考虑积分 : (略)...... 下面,我们再来看几个用 Monte Carlo 方法建模解模的实例。 问题一 中子传墙问题 下图是一个中子穿过用于中子屏蔽的铅墙示意图。铅墙的高度远大于左右厚度。设中子是垂直由左端进入铅墙,在铅墙中运行一个单位距离然后与一个铅原子碰撞。碰撞后,任意改变方向,并继续运行一个单位后与另一个铅原子碰撞。这样下去,如果中子在铅墙里消耗掉所有的能量或者从左端逸出就被视为中子被铅墙挡住,如果中子穿过铅墙由右端逸出就视为中子逸出。如果铅墙厚度为 5 个单位,中子运行 7 个单位后能量耗尽,求中子逸出的几率。 这个问题并不复杂,但不容易找到一个解析表达式。而用模拟的方法求解却可以方便地得到满意的结果。下面我们给出这个问题的模拟程序。 (略)...... 我们运行程序得出逸出铅墙的中子的可能性约为 0.28% 。 应用 有了这个数字,我们可以报告安全部门,如果数字不能达到安全要求,我们则要加厚铅墙。 问题二 图书馆借书问题 图书馆里有一本教学参考书,下表显示连续索借间隔时间和借出时间与概率之间的关系: 索借间隔时间(天) 1 2 3 4 5 概率 0.1 0.4 0.3 0.1 0.1 借出时间(天) 2 3 4 5 6 7 8 概率 0.05 0.10 0.15 0.20 0.25 0.15 0.10 试求索借请求被拒绝的概率以及书本在外的时间比例。如果要将索借请求被拒绝的概率降到 10% 以下,图书馆应该准备该书几本拷贝? 分析 这个问题索借请求和持书时间都是随机量,要解决题设问题,比较好的方法是用 Monto Carlo 模拟...... 算法伪代码和程序如下: (略)...... 运行结果可知仅需三个拷贝就可以满足需要。 问题三 理发师问题 理发店有三名理发师,平均每隔分钟有一名顾客到店,(即顾客到店时间间隔服从参数为10的指数分布)顾客按先到先理发的原则接受服务,平均理发时间服从区间 上的均匀分布. 假定理发师从上午10:00开始工作,但理发店从上午9:50起开门迎客,下午17:50关门,但之前已经在店内的顾客仍将接受服务. 顾客按先后次序排队. 只要有顾客在,理发师就不能休息;没有顾客时理发师休息. 早休息的理发师为新顾客服务. 试问这样一个排队系统的顾客平均等待时间,每个理发师一天内的理发次数及相应的劳动强度;理发店的营业时间分别为多少? (略)...... 在该次模拟中,总服务时间为491 分钟,劳动强度为0.7418 ,各名理发师的理发次数分别为17,16,16 . 思考题 如果考虑理发师中午有半小时的吃饭休息时间, 2. 理发师有快慢手,问题怎么解? ( 注:本文与正式出版本的相应章节有删节有差异 )
个人分类: 问题讨论|10174 次阅读|16 个评论
[转载][ebook] essentials of Monte carlo simulation
热度 1 Daniel1985 2013-3-29 10:27
Nick T. Thomopoulos Essentials of Monte Carlo Simulation Statistical Methods for Building Simulation Models Preface I was fortunate to have a diverse career in industry and academia. This included working at International Harvester as supervisor of operations research in the corporate headquarters; at IIT Research Institute (IITRI) as a senior scientist with applications that spanned worldwide in industry and government; as a professor in the Industrial Engineering Department at the Illinois Institute of Technology (IIT), in the Stuart School of Business at IIT; at FIC Inc. as a consultant for a software house that specializes in supply chain applications; and the many years of consulting assignments with industry and government throughout the world. At IIT, I was fortunate to be assigned a broad array of courses, gaining a wide breadth with the variety of topics, and with the added knowledge I acquired from the students, and with every repeat of the course. I also was privileged to serve as the advisor to many bright Ph.D. students as they carried on their dissertation research. Bits of knowledge from the various courses and research helped me in the classroom, and also in my consulting assignments. I used my industry knowledge in classroom lectures so the students could see how some of the textbook methodologies actually are applied in industry. At the same time, the knowledge from the classroom helped to formulate and develop Monte Carlo solutions to industry applications as they unfolded. This variety of experience allowed the author to view how simulation can be used in industry. This book is based on this total experience. Simulation has been a valuable tool in my professional life, and some of the applications are listed below. The simulations models were from real applications and were coded in various languages of FORTRAN, C++, Basic, and Visual Basic. Some models were coded in an hour, others in several hours, and some in many days, depending on the complexity of the system under study. The knowledge gained from the output of the simulation models proved to be invaluable to the research team and to the project that was in study. The simulation results allowed the team to confidently make the decisions needed for the applications at hand. For convenience, the models below are listed by type of application. essentials of Monte carlo simulation.rar
个人分类: 学习资料|3653 次阅读|4 个评论
Yan Wang research group: trust Web service composition
jiangdm 2011-9-27 07:32
Yan Wang research group: trust Web service composition
Contents 1 Trust-Oriented Composite Service Selection with QoS Constraints Trust-Oriented Composite Service Selection and Discovery Finding K Optimal Social Trust Paths for the Selection of Trustworthy Service Providers in Complex Social Networks A Subjective Probability Based Deductive Approach to Global Trust Evaluation in Composite Services The Prediction of Trust Rating Based on the Quality of Services Using Fuzzy Linear Regression A Heuristic Algorithm for Trust-Oriented Service Provider Selection in Complex Social Networks Context Based Trust Normalization in Service-Oriented Environments Trust Transitivity in Complex Social Networks Subjective Trust Inference in Composite Services The study of trust vector based trust rating aggregation in service-oriented environments 2 1 Yan Wang http://web.science.mq.edu.au/~yanwang/ Trust-Oriented Composite Service Selection with QoS Constraints Lei Li, Yan Wang,Ee-Peng Lim Journal of Universal Computer Science , vol. 16, no. 13 (2010), 1720-1744 Abstract: In Service-Oriented Computing (SOC) environments, service clients interact with service providers for consuming services. From the viewpoint of service clients, the trust level of a service or a service provider is a critical factor to consider in service selection, particularly when a client is looking for a service from a large set of services or service providers. However, a invoked service may be composed of other services. The complex invocations in composite services greatly increase the complexity of trust-oriented service selection. In this paper, we propose novel approaches for composite service representation, trust evaluation and trust-oriented composite service selection (with QoS constraints). Our experimental results illustrate that compared with the existing approaches our proposed trust-oriented (QoS constrained) composite service selection algorithms are realistic and enjoy better efficiency. Key Words: composite service, composite service selection, composite service representation, trust evaluation, Monte Carlo method 1 Introduction Service-Oriented Computing (SOC) Quality of Service (QoS) the reputation-based trust service composition + trust Open problem: trust-oriented composite service selection 1. The proper definition of the graph representation of composite services including both probabilistic and parallel invocations is still lacking. 2. subjective probability 3. no proper mechanism exists for evaluating the global trust of a composite service with a complex structure over service components with different trust values. 4. Call for effective algorithmsfor trust-oriented composite service selection the work of this paper: --first present the service invocation graph for composite service representation. --propose a trust evaluation method for composite services based on Bayesian inference -- propose composite service selection algorithms based on Monte Carlo method. The organization of this paper: 1) Section 2 reviews existing studies in service composition, service selection and trust management. 2)Section 3 presents our proposed composite services oriented service invocation graph. 3) Section 4 presents a novel trust evaluation method for composite services. 4)Section 5 proposed Monte Carlo method based algorithms for trust-oriented composite service selection (with QoS constraints). 5) Section 6 presents experiments for further illustrating the properties of our models. 6) Finally Section 7 concludes our work. 2 Related Work QoS-aware Web service selection mechanisms: -- linear programming -- Multi-Constrained Optimal Path (MCOP) problem -- the drawbacks of existing approaches: none of these works addresses any aspect of trust 3 Service Invocation Model the aim of this section: present the definitions of our proposed service invocation graph for representing the complex structures of composite services 3.1 Composite Services and Invocation Relation Six atomic invocation relationsare depicted as follows and in Fig. 1. -• Sequential Invocation -• Parallel Invocation: -• Probabilistic Invocation: -• Circular Invocation: -• Synchronous Activation: -• Asynchronous Activation: 3.2 An Example: Travel Plan 3.3 Service Invocation Graph Definition 1. The service invocation graph (SIG) 4 Trust Evaluation in Composite Services the purpose of this section: trust evaluation models for composite services the outline of this section: -- Section 4.1 describes a trust estimation model to estimate the trust value of each service component from a series of ratings according to Bayesian inference -- Section 4.2 proposes a global trust computation model to compute the global trust value of a composite service based on the trust values of all service components 4.1 Trust Estimation Model subjective probability Bayesian inference 4.2 Global Trust Computation in Composite Services Our goal: to select the optimal one from multiple SEFs (service execution flows) in an SIG aiming at maximizing the global trust value of SEF 5 Trust-Oriented Composite Service Selection the aim: the trust-oriented (QoS constrained) service selection algorithm is applied to find the most trustworthy SEF (satisfying QoS constraints). 5.1 Monte Carlo Method Based Algorithm (MCBA) in Trust-Oriented Composite Service Selection without QoS Constraints divide and conquer author's idea: propose a Monte Carlo method based algorithm (MCBA) to find the optimal SEF. Monte Carlo method: 5.2 QoS Constrained Monte Carlo Method Based Algorithm (QC MCBA) in Trust-Oriented Composite Service Selection with QoS Constraints 6 Experiments 6.1 Experiment on Trust-Oriented Composite Service Selection 6.1.1 Comparison Using Travel Plan Composite Services Matlab 6.1.2 Comparison Using Complex Composite Services 6.2 Experiment on Trust-Oriented Composite Service Selection with QoS Constraints 7 Conclusions 文献类型: 方法揉合 研究目标: 研究方法:方法揉合 比基尼: 难点 重点 疑点 个人点评: 文章写得很一般, 文章不足之处: 作者其它文献脉络 相关重要文献 beamer_Trust-Oriented_Composite_Service_Selection_QoS_Constraints.pdf Trust-Oriented Composite Service Selection with QoS Constraints.pdf 另外三位作者有一篇大致相同文章,我只看了一大概: Trust-Oriented Composite Service Selection and Discovery.pdf 予以对比: Trust-Oriented Composite Service Selection and Discovery Lei Li, YanWang, and Ee-Peng Lim ICSOC-ServiceWave '09 Proceedings of the 7th International Joint Conference on Service-Oriented Computing, Springer-Verlag Berlin Abstract. In Service-Oriented Computing (SOC) environments, service clients interact with service providers for consuming services. From the viewpoint of service clients, the trust level of a service or a service provider is a critical issue to consider in service selection and discovery, particularly when a client is looking for a service from a large set of services or service providers. However, a service may invoke other services offered by different providers forming composite services. The complex invocations in composite services greatly increase the complexity of trust-oriented service selection and discovery. In this paper, we propose novel approaches for composite service representation, trust evaluation and trust-oriented service selection and discovery. Our experiments illustrate that compared with the existing approaches our proposed trust-oriented service selection and discovery algorithm is realistic and more efficient. 1 Introduction Service-Oriented Computing (SOC) Trust: the measure by one party on the willingness and ability of another party to act in the interest of the former party in a situation the reputation-based trust Trust: the subjective probability, that is, trust is a subjective belief Web services Composition trustworthy service selection and discovery:a very challenging some open research problems : 1. The definition of a proper graph representation of composite services including both probabilistic invocations and parallel invocations is still lacking. ( 我认为此点并不成立!) 2. subjective probability theory 3. no proper mechanism exists for evaluating the global trust of a composite service with a complex structure from the trust values of all service components 4. effective algorithms 作者工作步骤: 1)first present the service invocation graph and service invocation matrix for composite service representation 2)propose a trust evaluation method for composite services based on Bayesian inference 3)propose a service selection and discovery algorithm based on Monte Carlo method 2 Related Work QoS (quality of service) and trust previous works: 1-) Zeng: service selection linear programming 2-) Yu: QoS constraints in composite services =two optimal heuristic algorithms -- the combinatorial algorithm --the graphbased algorithm. subjective ratings: 1) Jsang 2) Wang and Singh 3) Malik 3 Service Invocation Model the outline of this section: -- present the definitions of our proposed service invocation graph -- service invocationmatrix for representing the complex structures of composite services 3.1 Composite Services and Invocation Relation Six atomic invocations: 1) Sequential Invocation 2) Parallel Invocation 3) Probabilistic Invocation 4) Circular Invocation 5) Synchronous Activation 6) Asynchronous Activation complex invocations • Probabilistic inlaid parallel invocation, denoted as Pa(S : Pr(S : A|p, B|1−p), C). • Parallel inlaid probabilistic invocation, denoted as Pr(S : Pa(S : A, B)|p, C|1 −p). • Asynchronous inlaid synchronous activation, denoted as Sy(A, As(B, C : S) : S). • Synchronous inlaid asynchronous activation, denoted as As(A, Sy(B, C : S) : S). 3.2 An Example: Travel Plan 3.3 Service Invocation Graph Definition: The service invocation graph (SIG) A service execution flow (SEF) 3.4 Service Invocation Matrix Definition: a service invocation matrix 4 Trust Evaluation in Composite Services 4.1 Trust Estimation Model 1) subjective probability theory is the right tool for dealing with trust ratings 2) Bayesian inferenceestimate the trust value 4.2 Global Trust Computation in Composite Services Goal: select the optimal one from multiple SEFs (service execution flows) in an SIG aiming at maximizing the global trust value of SEF 5 Composite Service Selection and Discovery 假设: assume that a service trust management authority stores a large volume of services with their ratings (此假设并不成立!) 5.1 Longest SEF Algorithm Dijkstra’s shortest path algorithm 5.2 Monte Carlo Method Based Algorithm (MCBA) a Monte Carlo method based algorithm (MCBA) to find the optimal SEF Monte Carlo method consists of four steps: (1) defining a domain of inputs, (2) generating inputs randomly (3) performing a computation on each input, (4) aggregating the results into the final one 6 Experiments 6.1 Comparison on Travel Plan Composite Services 6.2 Comparison on Complex Composite Services 7 Conclusions author summary: -- first propose our service invocation graph and service invocation matrix for composite service representation -- a novel trust evaluation approach based on Bayesian inference has been proposed that can aggregate the ratings from other clients and the requesting client’s prior subjective belief about the trust -- a Monte Carlo method based trust-oriented service selection and discovery algorithm has been proposed future work: -- optimize the Monte Carlo method based algorithm -- study some heuristic approaches for trust-oriented optimal service selection and discovery Conclusions 1)first propose our service invocation graph and service invocation matrix for composite service representation 2)proposed a novel trust evaluation approach based on Bayesian inference that can aggregate the ratings from other clients and the requesting client’s prior subjective belief about the trust 3)Monte Carlo method based trust-oriented service selection and discovery algorithm 个人点评: Monte Carlo method 应用尚未看懂!实验部分一般 Trust-Oriented Composite Service Selection and Discovery.pdf Finding K Optimal Social Trust Paths for the Selection of Trustworthy Service Providers in Complex Social Networks Guanfeng Liu,Yan Wang,Mehmet A. Orgun 2011 IEEE International Conference on Web Services Abstract— In a service-oriented online social network consisting of service providers and consumers as participants, a service consumer can search trustworthy service providers via the social network between them. This requires the evaluation of the trustworthiness of a service provider along a potentially very large number of social trust paths from the service consumer to the service provider. Thus, a challenging problem is how to identify K optimal social trust paths that can yield the K most trustworthy evaluation results based on service consumers’ evaluation criteria. In this paper, we first present a complex social network structure and a concept, Quality of Trust (QoT). We then model the K optimal social trust paths selection with multiple end-to-end QoT constraints as the Multiple Constrained K Optimal Paths (MCOP-K) selection problem, which is NP-Complete. For solving this challenging problem, based on Dijkstra’s shortest path algorithm and our optimization strategies, we propose a heuristic algorithm H-OSTP-K with the time complexity of O(m+Knlogn). The results of our experiments conducted on a real dataset of online social networks illustrate that H-OSTP-K outperforms existing methods in the quality of identified social trust paths. Keywords: trust, social networks, K paths selection, service provider selection I. INTRODUCTION social networks trust and social network trust path trust propagation A challenging problem: how to select those paths yielding the most trustworthy results of trust propagation based on the source participant’s trust evaluation criteria. An optimal social trust path selection model: classical MCOP selection problem, author's idea: 1) first present the structure of complex social networks 2) then introduce a concept, Quality of Trust (QoT), 3) propsed a new efficient Heuristic algorithm for the K Optimal Social Trust Path selection, called H-OSTP-K 4) conducted extensive experiments on a real online social network dataset, the Enron email dataset II. RELATED WORK A. Social Network Analysis B. Trust in Online Social Networks social relationships and recommendation roles C. Social Trust Path Selection SmallBlue: an online social network constructed for IBM staff the drawback of all existing methods: III. COMPLEX SOCIAL NETWORKS three impact factors: trust, social intimacy degree and role impact factor IV. QUALITY OF TRUST AND QOT ATTRIBUTES AGGREGATION the outline of this section: 1) first present a general concept called Quality of Trust (QoT) 2) then propose a novel K optimal social trust paths selection model with end-to-end Quality of Trust (QoT) constraints. A. Quality of Trust (QoT) Definition 1: Quality of Trust (QoT) B. QoT Attribute Aggregation 1) Trust Aggregation: 2) Social Intimacy Degree Aggregation: 3) Role Impact Factor Aggregation: C. Utility Function V. K OPTIMAL SOCIAL TRUST PATHS SELECTION the outline of this section 1) first analyze some existing algorithms for K shortest paths selection 2)then propose an efficient heuristic algorithm H-OSTP-K for the NP-Complete MCOP-K selection in complex social networks. A. Existing Algorithms The algorithms for finding K general shortest paths can be classified into two categories: (1) K general paths selection based on Dijkstra’s shortest algorithm (2) K general paths selection based on A∗ algorithm. the shortcoming of aboved methods: they are all deterministic and thus can not be used to solve the NP-Complete MCOPK selection problem B. Our Proposed H-OSTP-K author's strategy: 1) first adopt the Backward K-Search procedure 2) then adopt the Forward K-Search procedure an objective function Backward K-Search: Forward K-Search: two optimization strategies to improve the efficiency of the Forward K-Search procedure. Optimization Strategy 1: Optimization Strategy 2: VI. EXPERIMENTS A. Experiment Settings The Enron email dataset B. Experiment Results VII. CONCLUSIONS 个人点评: 没有看懂,关键是其算法。感觉作者从 social network 角度去剖析? Finding K Optimal Social Trust Paths for the Selection of Trustworthy Service Pr.pdf A Subjective Probability Based Deductive Approach to Global Trust Evaluation in Composite Services Lei Li, Yan Wang 2011 IEEE International Conference on Web Services Abstract— In Service-Oriented Computing (SOC) environments, the trustworthiness of each service provider is critical for a service client when selecting one from a large pool of service providers. The trust value of a service provider is usually in the range of and is evaluated from the ratings given by service clients, which represent the subjective belief of service clients on the satisfaction of delivered services. So a trust value can be taken as a subjective probability, by which one party believes that another party can perform an action in a certain situation. Hence, subjective probability theory should be adopted in trust evaluation. In addition, in SOC environments, a service provider usually can invoke the services from other service providers forming a composite service. Thus, the global trust of a composite service should be evaluated based on both the subjective probability property of trust and complex invocation structures. In this paper, we first interpret the trust dependency caused by direct service invocations as conditional probability. Then, on the basis of trust dependency, we propose a SubjectivE probabiLity basEd deduCTIVE (SELECTIVE) approach to evaluate the subjective global trustworthiness of a composite service. All these processes follow subjective probability theory and keep the subjective probability property of trust in evaluations. Our experimental results demonstrate that when compared with existing approaches our proposed SELECTIVE approach can yield more reasonable results. I. INTRODUCTION service composite services trust subjective belief the callenges in SOC: to evaluate the global trust of a composite service the open problems: 1) how to adopte subjective probability theory in trust evaluation? 2) how to evaluate global trust of a composite trust? author's procedures: 1) First interpret the trust dependency caused by direct service invocations as conditional probability 2) Then propose a SubjectivE probabiLity basEd deduCTIVE (SELECTIVE) approach for subjective global trust evaluation in composite services the oraganization of this paper: 1) Section II reviews existing studies in trust evaluation, service compositionand service selection. 2) Section III briefly introduces composite services with six atomic invocations, and the probability interpretation of trust dependency. 3) Section IV presents a novel SubjectivE probabiLity basEd deduCTIVE (SELECTIVE) approach in composite services. 4) Section V presented experimentsfor further illustrating 5) Finally Section VI concludes our work. II. RELATED WORK subjective probability theory Bayesian inference QoS-aware service selection mechanisms trust-oriented service composition and selection the some drawbacks of author's previous work: trust evaluation VS reliability evaluation III. SERVICE INVOCATION AND TRUST DEPENDENCY A. Composite Service Structures Six atomic invocation relations in composite services: • Sequential Invocation: • Parallel Invocation: • Probabilistic Invocation: • Circular Invocation: • Synchronous Activation: • Asynchronous Activation: Example 1: a service invocation graph (SIG) a service execution flow (SEF) B. Rating Determination of Service Component Definition 1: C. Probability Interpretation of Trust Dependency Definition 2: trust dependency in composite services Example 2: IV. SUBJECTIVE PROBABILITY BASED DEDUCTIVE (SELECTIVE) APPROACH FOR GLOBAL TRUST EVALUATION OF COMPOSITE SERVICES Example 3: V. EXPERIMENTS the following questions: Q1: why service invocation structures should be taken into account in trust evaluation? Q2: why trust dependency caused by direct invocations should be taken into account in global trust evaluation? Q3: why the dependency caused by indirect invocations should be taken into account in trust evaluation? A. Experiment 1 on Service Invocation Structure B. Experiment 2 on Trust Dependency C. Experiment 3 on Trust-Oriented Composite Service Selection VI. CONCLUSIONS 个人点评: Yan Wang group(Macquarie University: http://web.science.mq.edu.au/~yanwang/ )研究 Trust-oriented Web selection有自己特色,值得学习,但是 machine learning部分力度不够,我可在此改进。 另外,精读文章的参考文献值得一篇一篇研究和分析 A Subjective Probability Based Deductive Approach to Global Trust Evaluation in .pdf The Prediction of Trust Rating Based on the Quality of Services Using Fuzzy Linear Regression M. Hadi Mashinchi, Lei Li, Mehmet A. Orgun, and Yan Wang 2011 IEEE International Conference on Fuzzy Systems ( CCF C level Conference ) Abstract— With the advent of service-oriented computing, the issue of trust and Quality of Service (QoS) have become increasingly important. In service-oriented environments, when there are a few service providers providing the same service, a service client would be keen to know the trustworthiness of each service provider in the forthcoming transaction. The trust rating of a delivered service from a service provider can be predicted according to a set of advertised QoS data collected by the trust management authority. Although trust and QoS are qualitative by nature, most data sets represent trust and QoS in the ordinal form for the sake of simplicity. This paper introduces a new approach based on Fuzzy Linear Regression Analysis (FLRA) to extract qualitative information from quantitative data and so use the obtained qualitative information for better modeling of the data. For verification purposes, the proposed approach can be applied for the trust prediction in the forthcoming transaction based on a set of advertised QoS in service-oriented environments. Index Terms— Fuzzy linear regression; Trust prediction; Quality of service; I. INTRODUCTION web service selecting criteria: functionality, QoS and reputation-based trust the neglect of current work: quantization both subjective and qualitative information in the trust data set The motivations of applying FLRA for predicting trust: • Capturing the hidden fuzziness: why not machine learning • Having a transparent model: • More detailed information: This organization of thispaper: 1) Section IIreview trust management, trust evaluation and uncertainty. 2) Section IV presents our QoS based trust prediction method with fuzzy regression. 3) Section V present some experiments for illustrating how our proposed method can predict trust with QoS values. 4) Finally Section VI concludes our work. II. RELATED WORK A. Trust Evaluation in E-Commerce Environments eBay, Sporas B. Trust Evaluation in P2P Information Sharing Networks XRep, EigenTrust, PeerTrust C. Trust Evaluation in Service-Oriented Environments machine learning and soft-computing D. Uncertainty several reasons causinguncertainty : • The high complexity of the environment, • The influence of human subjective judgement in thedecision process or the involvement of human-machine interactions • Partially available information the previous work which use FLRA (Fuzzy Linear Regression Analysis): III. FUZZY REGRESSION ANALYSIS A. Classical Regression Analysis B. Fuzzy Regression Model Parameters 1) Membership Function: 2) Goodness-of-fit: 3) Fuzziness: C. Fuzzy Linear Regression Analysis (FLRA) IV. TRUST PREDICTION BASED ON FUZZY REGRESSION the objective of this paper: the application of FLRA for the prediction of trust based on a set of advertised QoS values the problem of current The critical issue: the best option: not defuzzify the data but to take the uncertainty in the data into consideration in the level of inference spread increasing problem V. EXPERIMENTS the web-services data set The settings of experiments VI. CONCLUSIONS I comment: I don't comprehensive the author's meaning. The Prediction of Trust Rating Based on the Quality of Services Using Fuzzy Line.pdf A Heuristic Algorithm for Trust-Oriented Service Provider Selection in Complex Social Networks Guanfeng Liu, Yan Wang and Mehmet A. Orgun and Ee-Peng Lim 2010 IEEE International Conference on Services Computing Abstract— In a service-oriented online social network consisting of service providers and consumers, a service consumer can search trustworthy service providers via the social network. This requires the evaluation of the trustworthiness of a service provider along a certain social trust path from the service consumer to the service provider. However, there are usually many social trust paths between participants in social networks. Thus, a challenging problem is which social trust path is the optimal one that can yield the most trustworthy evaluation result. In this paper, we first present a novel complex social network structure and a new concept, Quality of Trust (QoT). We then model the optimal social trust path selection with multiple end-to-end QoT constraints as a Multi-Constrained Optimal Path (MCOP) selection problem which is NP-Complete. For solving this challenging problem, we propose an efficient heuristic algorithm, H OSTP. The results of our experiments conducted on a large real dataset of online social networks illustrate that our proposed algorithm significantly outperforms existing approaches. I. INTRODUCTION Online social networking FilmTrust trust propagation a social trust path A challenging problem:which one is the optimal yielding the most trustworthy result of trust propagation among multiple paths? the drawbacks of previous working: neglect -- social relationships between adjacent participants -- the recommendation roles of a participant research problem: to solve the optimal social trust path selection problem in complex social networks the main contributions of this paper are summarized as follows. (1)first present the structure of complex social networks taking trust information, social relationships and recommendation roles of participants into account. In addition, we also introduce a new concept, Quality of Trust (QoT), taking the above three factors as attributes. Furthermore, we model the optimal social trust path selection problem as a Multi-Constrained Optimal Path (MCOP) selection problem. (2) propose an efficient heuristic algorithm, H-OSTP for solving the optimal social trust path selection problem (3)conducted experiments on a real online social network dataset, Enron email corpus The organization of this paper: 1) Section II presents the novel social trust path selection model in complex online social networks. 2) Section III introduces our proposed heuristic algorithm, H-OSTP. 3) Section IV presents the experimental results and analysis. 4) Finally, section V concludes this paper. II. SOCIAL TRUST PATH SELECTION IN COMPLEX SOCIAL NETWORKS the outline of this section: -- first introduce the complex social network structure --then propose a novel social trust path selection model with end-to-end Quality of Trust (QoT) constraints. A. Complex Social Networks previous work: -- Golback -- Jamali the shortcoming of current works: neglect social relationships and recommendation roles A: proposed a complex social network structure that comprises of the attributes of three impact factors of trust, social intimacy degree and role impact factor, as shown in Fig. 2. 1) Trust: 2) Social Intimacy Degree: SID 3) Role Impact Factor: RIF B. Quality of Trust (QoT) Definition 1: Quality of Trust (QoT) C. QoT Attribute Aggregation procedure: -- first need to know the aggregated value of each QoT attribute in every social trust path between a source participant and the target participant. -- The aggregated values of all the QoT attributes are then combined in a utility function defined over social trust paths, -- and then the path with the best utility value is selected as the optimal social trust path. 1) Trust Aggregation: 2) Social Intimacy Degree Aggregation: 3) Role Impact Factor Aggregation: D. Utility Function The goal of optimal social trust path selection = to select the path that satisfies multiple end-to-end QoT constraints and yields the best utility with the weights specified by the source participant. III. SOCIAL TRUST PATH SELECTION ALGORITHM the outline of this section: -- The optimal social trust path selection with multiple end-toend QoT constraints can be modelled as the classical Multi-Constrained Optimal Path (MCOP) selection problem -- first analyze some of those algorithms --then propose an efficient Heuristic algorithm for Optimal Social Trust Path selection. A. Existing Algorithms H-MCOP algorithm MCSP-K algorithm: an approximation algorithm based on H MCOP B. H-OSTP H-OSTP: an efficient heuristic algorithmfor the optimal social trust path selection with end-to-end QoT constraints in complex social networks -- first adopt the Backward Search procedure from the target -- then adopt the Forward Search procedure to search the network if a feasible solution exists an objective function in Eq. (6) to investigate whether the aggregated QoT attributes of a path can satisfy the QoT constraints Backward Search: Forward Search: IV. EXPERIMENTS the small-world characteristic the Enron email dataset A. Experiment Settings B. Performance in Social Trust Path Selection V. CONCLUSIONS A Heuristic Algorithm for Trust-Oriented Service Provider Selection in Complex S.pdf Context Based Trust Normalization in Service-Oriented Environments Lei Li and Yan Wang ATC 2010, LNCS 6407, pp. 122–138, 2010. Abstract. With the development of information technology, the issue of trust becomes more and more important. In e-commerce or service-oriented environments, when there are a few sellers or service providers providing the same product/service, the buyer or service client would like to request the trust management authority to provide trust values of sellers or service providers, which are based on the ratings reflecting the quality of previous transactions. In addition, trust is context dependent, i.e. for different context of transactions, there are different factors influencing the trust result. In this paper, we propose a fuzzy comprehensive evaluation based method for building up a projection from the trust ratings in the transaction history of a service provider to an upcoming transaction depending on the similarity between previous transactions and the upcoming one, and the familiarity between each rater and the service client of the upcoming transaction. This process is termed as context based trust normalization. After trust normalization, normalized trust ratings are used for trust evaluation, the results of which would be closely bound to the upcoming transaction. Finally, we introduce the results of our conducted experiments to illustrate how our proposed method can detect some typical risks. 1 Introduction service-oriented computing (SOC), social network and cloud computing: Trust The concept of trust varies in different disciplines. subjective probability reputation-based trust Peer-to-Peer (P2P) the following types of risks for trust management: -- Type 1 risk. -- Type 2 risk. -- Type 3 risk. trust vs. context author's work: This paper is organized as follows: 1) Section 2, we review the concept of trust, trust evaluation and subjective probability. 2) Section 3 presents our context based trust normalization method and evaluates the trust value that would be closely bound to the upcoming transaction. 3) Some experiments are presented in Section 4 for illustrating that our proposed method can detect some typical risks. 4) Finally Section 5 concludes our work. 2 Related Work 2.1 Trust Evaluation in Computer-Mediated Environments 2.2 Trust Evaluation and Subjective Probability trust vs.subjective probability Subjective probability: one of the most popular interpretations of the concept of probability -- Bayesian inference -- the rule of probability kinematics:the typical non-Bayesian inference method 3 Trust Normalization Q: trust and context dependent A: context based trust normalization 3.1 Comprehensive Evaluation Index System Q: how to find the main factors which influence context based trust normalization the most A: The criteria for developing the comprehensive evaluation index system are as follows: author's comprehensive evaluation index system: -- Transaction cost relativity: -- Transaction category similarity: -- Social relationship influence: 3.2 Fuzzy Comprehensive Evaluation Model Fuzzy comprehensive evaluation model: a synthetical application of analytical hierarchy process and fuzzy mathematics by inspecting many influencing factors. Single-level and Multi-level Fuzzy Comprehensive Evaluations. Fuzzy comprehensive evaluation: single-level and multi-level. The steps of single-level fuzzy comprehensive evaluation are as follows. The steps of multi-level fuzzy comprehensive evaluation are as follows. Establishing Affiliation Score Set. Establishing Fuzzy Affiliation Matrix. Establishing Weight Vector Establishing Affiliation Vector. Discounting Rate. 4 Experiments Epinions: a popular online reputation system 4.1 An Example of Context Based Trust Normalization 4.2 Experiment on Type 1 Risk 5 Conclusions Context Based Trust Normalization in Service-Oriented Environments.pdf Trust Transitivity in Complex Social Networks Guanfeng Liu, YanWang and Mehmet A. Orgun Proceedings of the Twenty-Fifth AAAI Conference on Artificial Intelligence Abstract In Online Social Networks (OSNs), participants can conduct rich activities, where trust is one of the most important factors for their decision making. This necessitates the evaluation of the trustworthiness between two unknown participants along the social trust paths between them based on the trust transitivity properties (i.e., if A trusts B and B trusts C, then A can trust C to some extent). In order to compute more reasonable trust value between two unknown participants, a critical and challenging problem is to make clear how and to what extent trust is transitive along a social trust path. To address this problem, we first propose a new complex social network structure that takes, besides trust, social relationships, recommendation roles and preference similarity between participants into account. These factors have significant influence on trust transitivity. We then propose a general concept, called Quality of Trust Transitivity (QoTT), that takes any factor with impact on trust transitivity as an attribute to illustrate the ability of a trust path to guarantee a certain level of quality in trust transitivity. Finally, we propose a novel Multiple QoTT Constrained Trust Transitivity (MQCTT) model. The results of our experiments demonstrate that our proposed MQCTT model follows the properties of trust and the principles illustrated in social psychology, and thus can compute more resonable trust values than existing methods that consider neither the impact of social aspects nor the properties of trust. 1 Introduction social networks a trust path: the trust transitivity property a critical and challenging problem in OSNs: how trust is transitive along a social trust path? three factors: -- the social relationships -- the recommendation roles -- the preference similarity main contributions of this paper: (1)first propose a complex social network structure that takes trust, social relationships, recommendation roles and preference similarity into account (2) Based on the properties of trust illustrated in social psychology, we then propose a new Multiple QoTT Constrained Trust Transitivity (MQCTT) model. (3)conducted experiments on several subnetworks extracted from the Enron email dataset 2 RelatedWork three categories according to the types of trust transitivity strateg: 1-) multiplication strategy 2-) averaging strategy 3-) confidence-based strategy some drawbacks in the above three categories of trust transitivity models: 3 A Complex Social Network a new complex social network structure, as depicted in Fig. 1. It contains the attributes of four impact factors, i.e., trust, social intimacy degree, role impact factor and preference similarity. 3.1 Trust 3.2 Social Intimacy Degree The following principle in social psychology illustrates the impact of the social relationships between participants on trust. Principle 1. 3.3 Role Impact Factor 3.4 Preference Similarity 4 Trust Properties and the Quality of Trust Transitivity the outline of this section: -- 4.1 The properties of Trust 4.2 Quality of Trust Transitivity (QoTT) Definition 4. Quality of Trust Transitivity (QoTT) 4.3 QoTT Constraint 4.4 The Aggregation Method for QoTT Attributes 4.4.1 Trust Aggregation 4.4.2 Social Intimacy Degree Aggregation 5 Multiple QoTT Constrained Trust Transitivity (MQCTT) Model Step 1 (average trust decay speed): Step 2 (intersection angle θ): Step 3 (the scope of θ): Step 4 (logistic function): Step 5 (computing θ value): 6 Experiments 6.1 Experiment Settings I comment: Trust Transitivity in Complex Social Networks.pdf Subjective Trust Inference in Composite Services Lei Li and YanWang Proceedings of the Twenty-Fourth AAAI Conference on Artificial Intelligence (AAAI-10) Abstract In Service-Oriented Computing (SOC) environments, the trustworthiness of each service is critical for a service client when selecting one from a large pool of services. The trust value of a service is usually in the range of and is evaluated from the ratings given by service clients, which represent the subjective belief of these service clients on the satisfaction of delivered services. So a trust value can be taken as the subjective probability, with which one party believes that another party can perform an action in a certain situation. Hence, subjective probability theory should be adopted in trust evaluation. In addition, in SOC environments, service usually invokes other services offered by different ervice providers forming a composite service. hus, the global trust of a composite service should be valuated based on complex invocation structures. In this paper, firstly, based on Bayesian inference, we propose a novel method to evaluate the subjective trustworthiness of a service component from a series of ratings given by service clients. Secondly, we interpret the trust dependency caused by service invocations as conditional probability, which is evaluated based on the subjective trust values of service components. Furthermore, we propose a joint subjective probability method to evaluate the subjective global trust of a composite service on the basis of trust dependency. Finally, we introduce the results of our conducted experiments to illustrate the properties of our proposed subjective global trust inference method. 1 Introduction Service-Oriented Computing (SOC) a service: an autonomous, platform-independent computational entity, which can be described, published, discovered and dynamically assembled for developing massively distributed systems trust:the measure taken by one party on the willingness and ability of another party to act in the interest of the former party in a certain situation open problems: author's work: -- first propose a Bayesian inference based subjective trust estimation method for service components. --interpret the trust dependency caused by service invocations as conditional probability, which can be evaluated based on the trust values of service components. --propose a joint subjective probability method to evaluate the subjective global trust of a composite service on the basis of trust dependency. the organization of this paper: 1)Section 2 reviews existing studies in trust management, service selection and service composition. 2) Section 3 briefly introduces composite services with six atomic invocations. 3) Section 4 presents our novel joint subjective probability method in composite services. 4) Experiments are presented in Section 5 for further illustrating the properties of our proposed method. 5) Finally Section 6 concludes our work. 2 RelatedWork the drawbacks of previous work: -- omit parallel invocation the focus ofthis paper: a proper subjective global trust inference methodfor trust-oriented composite service selection and discovery 3 Service Invocation Model A composite service Six atomic invocationsin composite services are introduced below and depicted in Fig. 1 Example 1: a service invocation graph (SIG) in Fig.2. a service execution flow (SEF), which is the subgraph of SIG. 4 Subjective Trust Inference subjective probability theory the outline of this section: --Section 4.1 presents a novel method , based on Bayesian inference, evaluates the subjective trust of service components -- Section 4.2interprets the trust dependency caused by service invocations as conditional probability -- Section 4.3propose a joint subjective probability method that evaluates the subjective global trust value of an SEF from the trust values and trust dependency of all service components. 4.1 Trust Estimation of Service Components Rating Space and Trust Space Definition 1 The rating space Definition 2 The trust space Bayesian Inference Certainty, Expected Positiveness and Expected Negativeness Definition 3 The certainty Definition 4 The expected positiveness From Rating Space to Trust Space 4.2 Probability Interpretation of Trust Dependency 4.3 Joint Subjective Probability Method 5 Experiments and Analysis 5.1 Important Properties in Trust Estimation 5.2 Experiment on Subjective Trust Inference 6 Conclusions I comment: Subjective Trust Inference in Composite Services.pdf mynote: Subjective Trust Inference in Composite Services.pdf The study of trust vector based trust rating aggregation in service-oriented environments Lei Li · Yan Wang WorldWide Web journal (Springer), 2011 Abstract In most existing studies on trust evaluation, a single trust value is aggregated from the ratings given to previous services of a service provider, to indicate his/her current trust level. Such a mechanism is useful but may not be able to depict the trust features of a service provider well under certain circumstances. Alternatively, a complete set of trust ratings can be transferred to a service client for local trust evaluation. However, this incurs a big overhead in communication, since the rating dataset is usually in large scale covering a long service history. The third option is to generate a small set of data that should represent well the large set of trust ratings of a long time period. In the literature, a trust vector approach has been proposed, with which a trust vector of three values resulting from a computed regression line can represent a set of ratings distributed within a time interval (e.g., a week or a month, etc.). However, the computed trust vector can represent the set of ratings well only if these ratings imply consistent trust trend changes and are all very close to the obtained regression line. In a more general case with trust ratings for a long service history, multiple time intervals have to be determined, within each of which a trust vector can be obtained and can represent well all the corresponding ratings. Hence, a small set of data can represent well a large set of trust ratings with well preserved trust features. This is significant for large-scale trust rating transmission, trust evaluation and trust management. In this paper, we propose one greedy and two optimal multiple time interval (MTI) analysis algorithms. We also have studied the properties of our proposed algorithms analytically and empirically. These studies can illustrate that our algorithms can return a small set of MTI to represent a large set of trust ratings and preserve well the trust features. Keywords reputation-based trust · trust rating aggregation · trust vector · multiple time intervals 1 Introduction Service-Oriented Computing (SOC) a trust vector with three values: -- final trust level (FTL) -- service trust trend (STT) -- service performance consistency level (SPCL) multiple time interval (MTI) analysis the contributions of this paper can be briefly summarized as follows: 1-. The bisection-based boundary excluded greedy MTI algorithm consumes much less CPU time than any of the other four MTI algorithms. 2-. The boundary excluded optimal MTI algorithm can return the minimal set of boundary excluded MTI. 3-. The boundary mixed optimal MTI algorithm returns a minimal set of boundary mixed MTI. This set is no larger than the set returned by any of the other four MTI algorithms. 4-. With any of our proposed algorithms, a small set of data can represent well a large set of trust ratings with well preserved trust features. 2 Related work 2.1 Trust aggregation approaches in online environments 2.1.1 Trust evaluation in e-commerce environments eBay Sporas system Histos system fuzzy logic trust model 2.1.2 Trust evaluation in P2P information sharing networks XRep EigenTrust PeerTrust two main features of PeerTrust -- voting reputation system PowerTrust 2.1.3 Trust evaluation in service-oriented environments 2.1.4 Trust evaluation in multi-agent systems TRAVOS system 2.2 Existing trust vector approaches 3 Trust vector evaluation the outline of this section: 3.1 Final trust level (FTL) evaluation 3.2 Service trust trend (STT) evaluation 3.3 Service performance consistency level (SPCL) evaluation 4 Multiple time interval (MTI) analysis 4.1 Boundaries of MTI 4.2 Bisection-based boundary excluded greedy MTI algorithm 4.4 Boundary mixed optimal MTI algorithm 5 Experiments 6 Conclusions I comment: I don't find the originality of this paper The study of trust vector based trust rating aggregation in service-oriented env.pdf
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物理学中的MONTE CARLO方法
热度 1 wliming 2011-5-11 16:46
物理学中,MONTE CARLO并不是随机数计算那么简单,有人以 MONTE CARLO方法做数学积分为例子,完全不能表现MONTE CARLO 方法的精髓。物理学中,MONTE CARLO 的精髓在于非常精妙的概率控制机制。这里介绍一种经典 MONTE CARLO方案: 一个MARKOV 链: ..... {a, b,c,...} --W-- {a',b',c',...} .... 其中 {a, b,c,...},{a',b',c',...}, {a",b",c",...}是中间组态, W 是波尔兹曼概率函数,它一般决定于系统的自由能 F。 假设我们在某一次MONTE CARLO循环后得到组态 {a, b,c,...},以及自由能F。(1)接着我们用随机数对这个组态中的一个任意参数做一个随机的修改;然后,我们计算这个修改后的组态的自由能F';(2)如果 F'或= F,则这个修改的组态就是新组态{a',b',c',...};(3)如果 F' F,则以 EXP 这么大的概率把修改的组态当做新组态{a',b',c',...};(4)重复第一步。 在这个过程中的每一步,我们可以把一些物理量累加起来,最后除以总的循环次数就得到物理量的平均值。
个人分类: 物理学|1657 次阅读|5 个评论
暑期专题讨论班:用Monte Carlo方法解逆问题(王璐)
GrandFT 2010-7-28 14:26
题目:用Monte Carlo方法解逆问题 时间:2010.7.29(周四) 上午9:00 地点:16楼308 主讲:王璐 大概的提纲 1.用概率方法描述正问题与逆问题。 2.一些常用的 Monte Carlo 方法介绍。 3.一个比较大的例子。
个人分类: 专题讨论班|3136 次阅读|0 个评论
[转载]Monte Carlo方法简介
JingweiPeng 2010-5-30 09:10
MonteCarlo方法简介 今天向大家介绍一下我现在主要做的这个东东。MonteCarlo方法又称为随机抽样技巧或统计实验方法,属于计算数学的一个分支,它是在上世纪四十年代中期,为适应当时的曼哈顿计划需求而在美国LosAlamos实验室发展起来的,说白了就是美国为了造原子弹才逼出来的。MonteCarlo方法与一般的计算方法有很大的区别,一般计算方法对解决多维或因素复杂的问题非常困难,而MonteCarlo方法对解决这类问题却比较简单,因此MonteCarlo方法自从它诞生之日起就得到了快速的发展,现以发展成为计算数学中一个不可缺少的重要组成部分。 MonteCarlo方法创始人主要是这四位:StanislawMarcinUlam,EnricoFermi,JohnvonNeumann(学计算机的肯定都认识这个牛人吧)和NicholasMetropolis。StanislawMarcinUlam是波兰裔美籍数学家,早年是研究拓扑的,后因参与曼哈顿工程,兴趣遂转向应用数学,他首先提出用MonteCarlo方法解决计算数学中的一些问题,然后又将其应用到解决链式反应的理论中去,可以说是MC方法的奠基人;EnricoFermi是个物理大牛,理论和实验同时都是大牛,这在物理界很少见,在“物理大牛的八卦”那篇文章里提到这个人很多次,对于这么牛的人只能是英年早逝了(别说我嘴损啊,上帝都嫉妒!);JohnvonNeumann可以说是计算机界的牛顿吧,太牛了,结果和Fermi一样,被上帝嫉妒了;NicholasMetropolis,希腊裔美籍数学家,物理学家,计算机科学家,这个人对MonteCarlo方法做的贡献相当大,正式由于他提出的一种什么算法(名字忘了),才使得MonteCarlo方法能够得到如此广泛的应用,这人现在还活着,与前几位牛人不同,Metropolis很专一,他一生主要的贡献就是MonteCarlo方法。MonteCarol方法这个名字比较有意思,为什么叫MonteCarlo呢?这得从MonteCarlo方法的历史讲起。原来卓卓跟我吹牛b的时候提到过一个地方叫摩纳哥,在法国(不是摩洛哥哦,这个在北非),MonteCarlo是摩纳哥的一个地名,有人说摩纳哥只有两个地方,除了皇宫就是MonteCarlo……MonteCarlo与拉斯维加斯、澳门并称为世界三大赌城。Ulam说之所以叫做MonteCarlo方法,是为了纪念他的舅舅,而他的舅舅是个赌徒,经常去MonteCarlo赌钱,所以就叫做MonteCarlo方法,这个理由确实比较诡异,不过如果了解MonteCarlo方法原理的话,我们会发现MonteCarlo方法其实就是个赌博游戏,叫这个名字还是很贴切的。现在来看一下为什么说MC方法是赌博游戏,这要从它的基本思想入手。MC方法的基本思想是:当所要求解的问题是某种事件出现的概率或者是某个随机变量的期望时,可以通过某种实验的方法得到该事件出现的概率,或者这个随机变量的平均值,并用它们作为问题的解。应用MC方法解决实际问题时,并不是像通常的数理统计方法那样通过真实的实验来完成的,而是抓住事物运动过程的数量和几何特征,利用数学方法加以模拟,即进行一种数字模拟实验,模拟实验的次数越多,其模拟结果就越接近于真实值。对于特定的数学或物理问题,若要得到较为准确的模拟结果,往往需要上万次,甚至数十万、数百万次的数字模拟实验,其运算量相当庞大,因此在电子计算机没有发明以前,MC方法本身并没有多大的发展与应用。在电子计算机出现和飞速发展以后,利用MC方法进行大量的数字模拟实验成为可能,MC方法终于迎来了发展的春天。由此可见,MC方法是与电子计算机的发展紧密的联系在一起的,是数理统计与电子计算机相结合的产物。上一段说的比较抽象,下面可以举个简单的例子:比如说要计算圆周率pi,用MC方法解决此问题的思路如下:x=(random#)*ry=(random#)*rdist=sqrt(x^2+y^2)ifdist.from.origin(less.than.or.equal.to)rlethits=hits+1上面这段话可以这样理解:在一个边长为r的正方形内均匀投点,然后判断所投点是否落在与此正方形内切的半径为r的圆内,若点落在圆内,则记录之,否则不记录。那么,如果所投的点足够多且足够均匀的话,落在圆内的点的数目除以总投点数既为圆面积与正方形面积之比,知道了这个值,我们就能够得出pi的值了。上面这个例子只是为了说明MC方法的原理,并不能体现出MC方法的优越性,我们来想想下面这个稍微复杂点的例子:扑克摆别扭大家都玩过吧?如果操作无误的话,问一副扑克摆别扭能解开的几率有多少?这个只要制定好规则,用MC方法解就非常easy,别的方法就无法想象了…………………………………………由此可见,MC方法说白了其实就是暴力破解法,用咱们的话讲就叫做“简单粗暴”!所以有人把MC方法叫做“最后的方法”。但往往就是这种简单粗暴的方法在处理复杂问题时是非常有效的,上面讲的只是一个最简单的例子,类似的,我们还可以通过MC方法计算各种复杂变态的定积分,方法与上面算pi的手段完全一样。现在MC方法已经应用于许多领域,在物理方面,通过MC方法可以模拟粒子与物质相互作用时,发生的各种反应,并对我们感兴趣的物理量进行统计,这里面许多物理量是通过实验手段无法测量的;在金融学领域,好多大公司都用MC方法计算风险投资的风险系数;前几天还看到一篇埃及人的文章是用MC方法模拟埃及的洪灾,然后指导如何修水坝的……总之,只要建立的模型足够好,MC得出的结论就非常可信,还能模拟出统计涨落呢,太逼真了。
个人分类: 生活点滴|6355 次阅读|0 个评论
蒙特卡罗(Monte Carlo)方法简介
热度 4 vxy 2010-2-3 15:21
蒙特卡罗(Monte Carlo)方法,也称为计算机随机模拟方法,是一种基于随机数的计算方法。 一 起源 这一方法源于美国在第二次世界大战进研制原子弹的曼哈顿计划。Monte Carlo方法创始人主要是这四位:Stanislaw Marcin Ulam, Enrico Fermi, John von Neumann(学计算机的肯定都认识这个牛人吧)和 Nicholas Metropolis。 Stanislaw Marcin Ulam是波兰裔美籍数学家,早年是研究拓扑的,后因参与曼哈顿工程,兴趣遂转向应用数学,他首先提出用Monte Carlo方法解决计算数学中的一些问题,然后又将其应用到解决链式反应的理论中去,可以说是MC方法的奠基人;Enrico Fermi是个物理大牛,理论和实验同时都是大牛,这在物理界很少见,在物理大牛的八卦那篇文章里提到这个人很多次,对于这么牛的人只能是英年早逝了(别说我嘴损啊,上帝都嫉妒!);John von Neumann可以说是计算机界的牛顿吧,太牛了,结果和Fermi一样,被上帝嫉妒了;Nicholas Metropolis,希腊裔美籍数学家,物理学家,计算机科学家,这个人对Monte Carlo方法做的贡献相当大,正式由于他提出的一种什么算法(名字忘了),才使得Monte Carlo方法能够得到如此广泛的应用,这人现在还活着,与前几位牛人不同,Metropolis很专一,他一生主要的贡献就是Monte Carlo方法。 蒙特卡罗方法的名字来源于摩纳哥的一个城市蒙地卡罗,该城市以赌博业闻名,而蒙特罗方法正是以概率为基础的方法。与它对应的是确定性算法。 二 解决问题的基本思路 Monte Carlo方法的基本思想很早以前就被人们所发现和利用。早在17世纪,人们就知道用事件发生的频率来决定事件的概率。19世纪人们用投针试验的方法来决定圆周率。本世纪40年代电子计算机的出现,特别是近年来高速电子计算机的出现,使得用数学方法在计算机上大量、快速地模拟这样的试验成为可能。 为了说明Monte Carlo方法的基本思想,让我们先来看一个简单的例子,从此例中你可以感受如何用Monte Carlo方法考虑问题。 例1:比如y=x^2(对x)从0积到1。结果就是下图红色部分的面积: 注意到函数在(1,1)点的取值为1,所以整个红色区域在一个面积为1的正方形里面。所以所求区域的面积即为 在正方形区域内任取点,点落在所求区域的概率。这个限制条件是yx^2。用matlab模拟,做一百万次(即共取1000000个点),结果为0.3328。 1) 总结Monte Carlo方法的基本思想:所求解问题是某随机事件A出现的概率(或者是某随机变量B的期望值)。通过某种实验的方法,得出A事件出现的频率,以此估计出A事件出现的概率(或者得到随机变量B的某些数字特征,得出B的期望值)。    2) 工作过程      在解决实际问题的时候应用蒙特卡罗方法主要有两部分工作:   用蒙特卡罗方法模拟某一过程时,需要产生各种概率分布的随机变量。   用统计方法把模型的数字特征估计出来,从而得到实际问题的数值解。    3) 蒙特卡罗解题三个主要步骤:       (1) 构造或描述概率过程: 对于本身就具有随机性质的问题,如粒子输运问题,主要是正确描述和模拟这个概率过程,对于本来不是随机性质的确定性问题,比如计算定积分,就必须事先构造一个人为的概率过程,它的某些参量正好是所要求问题的解。即要将不具有随机性质的问题转化为随机性质的问题。    (2) 实现从已知概率分布抽样: 构造了概率模型以后,由于各种概率模型都可以看作是由各种各样的概率分布构成的,因此产生已知概率分布的随机变量(或随机向量),就成为实现蒙特卡罗方法模拟实验的基本手段,这也是蒙特卡罗方法被称为随机抽样的原因。最简单、最基本、最重要的一个概率分布是(0,1)上的均匀分布(或称矩形分布)。随机数就是具有这种均匀分布的随机变量。随机数序列就是具有这种分布的总体的一个简单子样,也就是一个具有这种分布的相互独立的随机变数序列。产生随机数的问题,就是从这个分布的抽样问题。在计算机上,可以用物理方法产生随机数,但价格昂贵,不能重复,使用不便。另一种方法是用数学递推公式产生。这样产生的序列,与真正的随机数序列不同,所以称为伪随机数,或伪随机数序列。不过,经过多种统计检验表明,它与真正的随机数,或随机数序列具有相近的性质,因此可把它作为真正的随机数来使用。由已知分布随机抽样有各种方法,与从(0,1)上均匀分布抽样不同,这些方法都是借助于随机序列来实现的,也就是说,都是以产生随机数为前提的。由此可见,随机数是我们实现蒙特卡罗模拟的基本工具。 建立各种估计量: 一般说来,构造了概率模型并能从中抽样后,即实现模拟实验后,我们就要确定一个随机变量,作为所要求的问题的解,我们称它为无偏估计。    (3) 建立各种估计量,相当于对模拟实验的结果进行考察和登记,从中得到问题的解。 例如:检验产品的正品率问题,我们可以用1表示正品,0表示次品,于是对每个产品检验可以定义如下的随机变数Ti,作为正品率的估计量: 于是,在N次实验后,正品个数为: 显然,正品率p为: 不难看出,Ti为无偏估计。当然,还可以引入其它类型的估计,如最大似然估计,渐进有偏估计等。但是,在蒙特卡罗计算中,使用最多的是无偏估计。 用比较抽象的概率语言描述蒙特卡罗方法解题的手续如下:构造一个概率空间(W ,A,P),其中,W 是一个事件集合,A是集合W 的子集的s 体,P是在A上建立的某个概率测度;在这个概率空间中,选取一个随机变量q (w ),w Icirc; W ,使得这个随机变量的期望值 正好是所要求的解Q ,然后用q (w )的简单子样的算术平均值作为Q 的近似值。    三 本方法特点      直接追踪粒子,物理思路清晰,易于理解。    采用随机抽样的方法,较真切的模拟粒子输运的过程,反映了统计涨落的规律。    不受系统多维、多因素等复杂性的限制,是解决复杂系统粒子输运问题的好方法。    MC程序结构清晰简单。    研究人员采用MC方法编写程序来解决粒子输运问题,比较容易得到自己想得到的任意中间结果,应用灵活性强。    MC方法主要弱点是收敛速度较慢和误差的概率性质,其概率误差正比于,如果单纯以增大抽样粒子个数N来减小误差,就要增加很大的计算量。 另一类形式与Monte Carlo方法相似,但理论基础不同的方法-拟蒙特卡罗方法(Quasi-Monte Carlo方法)-近年来也获得迅速发展。我国数学家华罗庚、王元提出的华-王方法即是其中的一例。这种方法的基本思想是用确定性的超均匀分布序列(数学上称为Low Discrepancy Sequences)代替Monte Carlo方法中的随机数序列。对某些问题该方法的实际速度一般可比Monte Carlo方法提出高数百倍,并可计算精确度。 蒙特卡罗方法在金融工程学,宏观经济学,计算物理学(如粒子输运计算、量子热力学计算、空气动力学计算)等领域应用广泛。    四 Monte Carlo方法的计算程序      关于蒙特卡罗方法的计算程序已经有很多,如:EGS4、FLUKA、ETRAN、ITS、MCNP、GEANT等。这些程序大多经过了多年的发展,花费了几百人年的工作量。除欧洲核子研究中心(CERN)发行的GEANT主要用于高能物理探测器响应和粒子径迹的模拟外,其它程序都深入到低能领域,并被广泛应用。就电子和光子输运的模拟而言,这些程序可被分为两个系列:   1.EGS4、FLUKA、GRANT   2.ETRAN、ITS、MCNP 这两个系列的区别在于:对于电子输运过程的模拟根据不同的理论采用了不同的算法。   EGS4和ETRAN分别为两个系列的基础,其它程序都采用了它们的核心算法。   ETRAN(for Electron Transport)由美国国家标准局辐射研究中心开发,主要模拟光子和电子,能量范围可从1KeV到1GeV。   ITS(The integrated TIGER Series of Coupled Electron/Photon Monte Carlo Transport Codes )是由美国圣地亚哥(Sandia)国家实验室在ETRAN的基础上开发的一系列模拟计算程序,包括TIGER 、CYLTRAN 、ACCEPT等,它们的主要差别在于几何模型的不同。   TIGER研究的是一维多层的问题,CYLTRAN研究的是粒子在圆柱形介质中的输运问题,ACCEPT是解决粒子在三维空间输运的通用程序。   NCNP(Monte Carlo Neutron and Photo Transport Code)由美国橡树林国家实验室(Oak Ridge National Laboratory)开发的一套模拟中子、光子和电子在物质中输运过程的通用MC 计算程序,在它早期的版本中并不包含对电子输运过程的模拟,只模拟中子和光子,较新的版本(如MCNP4A)则引进了ETRAN,加入了对电子的模拟。   FLUKA 是一个可以模拟包括中子、电子、光子和质子等30余种粒子的大型MC计算程序,它把EGS4容纳进来以完成对光子和电子输运过程的模拟,并且对低能电子的输运算法进行了改进。 五 Monte Carlo方法相关的一些资料 一个网站: http://csep1.phy.ornl.gov/mc/mc.html 《蒙特卡罗方法》 徐钟济著 上海科学技术出版社 《科学计算中的蒙特卡罗策略》(当代科学前沿论丛)(Monte Carlo Strategies in Scientific Computing) 作者:刘军 译者:唐年胜 周勇 徐亮 统计物理学中的蒙特卡罗模拟方法 ( 德) 宾德(Binder,K.),赫尔曼(Heermann,D.W.) 著 北京大学出版社 1994.2 小尺寸半导体器件的蒙特卡罗模拟 叶良修编著 科学出版社 1997.2 蒙特卡罗方法及其在粒子输运问题中的应用 裴鹿成, 张孝泽著 科学出版社 1980.10 统计试验法:( 蒙特卡罗法) 及其在电子数字计算机上的实现 (苏) 布斯连科( Н. П. Бусленко), (苏) 施 上海科学技术出版社 若干本书:人大经济论坛 http://www.pinggu.org/bbs/thread-445802-1-1.html 高分子科学中的Monte Carlo方法 杨玉良 复旦大学出版社 1993.12 7-309-01361-1 Monte Carlo simulation of semiconductor devices C. Moglestue. Chapman Hall, 1993. 041247770X Monte Carlo methods in statistical physics with contributions by K. Binder ... ; edi Springer-Verlag, 1979. guide to Monte Carlo simulations in statistical physics David P. Landau, Kurt Binder. Cambridge University Press, c2000. Monte Carlo methods in statistical physics edited by K. Binder ; with contributions by K. Bin Springer-Verlag, c1986. Applications of the Monte Carlo method in statistical physics edited by K. Binder. Springer, 1984. Monte Carlo Device Simulation Karl Hess Kluwer Acadmic 参考资料 :1、 http://baike.baidu.com/view/1675475.htm?fr=ala0_1 2、 http://baike.baidu.com/view/42460.htm?fr=ala0_1_1 3、 http://gorilla.blogbus.com/logs/4669.html 4、 http://blog.sina.com.cn/s/blog_5e8154170100cgc4.html 5、 http://www.charlesgao.com/?p=121
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