Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The ...Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The distribution parameters and their uncertainties are estimated from posterior distributions derived using the Bayesian inference. Loss frequency is fitted into Poisson distributions. While the Poisson parameters, in a similar way, are defined by a posterior distribution developed using Bayesian inference. Bank operation loss typically has some low frequency but high magnitude loss data. These heavy tail low frequency loss data are divided into several buckets where the bucket frequencies are defined by the experts. A probability distribution, as defined by the internal and external data, is used for these data. A Poisson distribution is used for the bucket frequencies. However instead of using any distribution of the Poisson parameters, point estimations are used. Monte Carlo simulation is then carried out to calculate the capital charge of the in- ternal as well as the heavy tail high profile low frequency losses. The output of the Monte Carlo simulation defines the capital requirement that has to be allocated to cover potential operational risk losses for the next year.展开更多
In order to reduce the calculation of the failure probability in the complex mechanical system reliability risk evaluation,and to implement importance analysis of system components effectively,the system fault tree wa...In order to reduce the calculation of the failure probability in the complex mechanical system reliability risk evaluation,and to implement importance analysis of system components effectively,the system fault tree was converted into five different Bayesian network models. The Bayesian network with the minimum conditional probability table specification and the highest computation efficiency was selected as the optimal network. The two heuristics were used to optimize the Bayesian network. The fault diagnosis and causal reasoning of the system were implemented by using the selected Bayesian network. The calculation methods of Fussel-Vesely( FV),risk reduction worth( RRW),Birnbaum measure( BM) and risk achievement worth( RAW) importances were presented. A certain engine was taken as an application example to illustrate the proposed method. The results show that not only the correlation of the relevant variables in the system can be accurately expressed and the calculation complexity can be reduced,but also the relatively weak link in the system can be located accurately.展开更多
In this paper, we construct a Bayesian framework combining Type-Ⅰ progressively hybrid censoring scheme and competing risks which are independently distributed as exponentiated Weibull distribution with one scale par...In this paper, we construct a Bayesian framework combining Type-Ⅰ progressively hybrid censoring scheme and competing risks which are independently distributed as exponentiated Weibull distribution with one scale parameter and two shape parameters. Since there exist unknown hyper-parameters in prior density functions of shape parameters, we consider the hierarchical priors to obtain the individual marginal posterior density functions,Bayesian estimates and highest posterior density credible intervals. As explicit expressions of estimates cannot be obtained, the componentwise updating algorithm of Metropolis-Hastings method is employed to compute the numerical results. Finally, it is concluded that Bayesian estimates have a good performance.展开更多
The uncertainty during the period of software project development often brings huge risks to contractors and clients. If we can find an effective method to predict the cost and quality of software projects based on fa...The uncertainty during the period of software project development often brings huge risks to contractors and clients. If we can find an effective method to predict the cost and quality of software projects based on facts like the project character and two-side cooperating capability at the beginning of the project,we can reduce the risk. Bayesian Belief Network(BBN) is a good tool for analyzing uncertain consequences, but it is difficult to produce precise network structure and conditional probability table.In this paper,we built up network structure by Delphi method for conditional probability table learning,and learn update probability table and nodes’confidence levels continuously according to the application cases, which made the evaluation network have learning abilities, and evaluate the software development risk of organization more accurately.This paper also introduces EM algorithm, which will enhance the ability to produce hidden nodes caused by variant software projects.展开更多
This paper presents a new approach for offshore risk analysis that is capable of dealing with linguistic probabilities in Bayesian networks （ BNs）. In this paper, linguistic probabilities are used to describe occurr...This paper presents a new approach for offshore risk analysis that is capable of dealing with linguistic probabilities in Bayesian networks （ BNs）. In this paper, linguistic probabilities are used to describe occurrence likelihood of hazardous events that may cause possible accidents in offshore operations. In order to use fuzzy information, an f-weighted valuation function is proposed to transform linguistic judgements into crisp probability distributions which can be easily put into a BN to model causal relationships among risk factors. The use of linguistic variables makes it easier for human experts to express their knowledge, and the transformation of linguistic judgements into crisp probabilities can significantly save the cost of computation, modifying and maintaining a BN model. The flexibility of the method allows for multiple forms of information to be used to quantify model relationships, including formally assessed expert opinion when quantitative data are lacking, or when only qualitative or vague statements can be made. The model is a modular representation of uncertain knowledge caused due to randomness, vagueness and ignorance. This makes the risk analysis of offshore engineering systems more functional and easier in many assessment contexts. Specifically, the proposed f-weighted valuation function takes into account not only the dominating values, but also the a-level values that are ignored by conventional valuation methods. A case study of the collision risk between a Floating Production, Storage and Off-loading （FPSO） unit and the anthorised vessels due to human elements during operation is used to illustrate the application of the proposed model.展开更多
Wind power is a kind of clean energy promising significant social and environmental benefits, and in The Peoples Republic of China, the government supports and encourages the development of wind power as one element i...Wind power is a kind of clean energy promising significant social and environmental benefits, and in The Peoples Republic of China, the government supports and encourages the development of wind power as one element in a shift to renewable energy. In recent years however, maritime safety issues have arisen during offshore wind power construction and attendant production processes associated with the rapid promotion and development of offshore wind farms. Therefore, it is necessary to carry out risk assessment for phases in the life cycle of offshore wind farms. This paper reports on a risk assessment model based on a Dynamic Bayesian network that performs offshore wind farms maritime risk assessment. The advantage of this approach is the way in which a Bayesian model expresses uncertainty. Furthermore, such models permit simulations and reenactment of accidents in a virtual environment. There were several goals in this research. Offshore wind power project risk identification and evaluation theories and methods were explored to identify the sources of risk during different phases of the offshore wind farm life cycle. Based on this foundation, a dynamic Bayesian network model with Genie was established, and evaluated, in terms of its effectiveness for analysis of risk during different phases of the offshore wind farm life cycle. Research results show that a dynamic Bayesian network method can perform risk assessments effectively and flexibly, responding to the actual context of offshore wind power construction. Historical data and almost real-time information are combined to analyze the risk of the construction of offshore wind power. Our results inform a discussion of security and risk mitigation measures that when implemented, could improve safety. This work has value as a reference and guide for the safe development of offshore wind power.展开更多
文摘Bayesian inference method has been presented in this paper for the modeling of operational risk. Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The distribution parameters and their uncertainties are estimated from posterior distributions derived using the Bayesian inference. Loss frequency is fitted into Poisson distributions. While the Poisson parameters, in a similar way, are defined by a posterior distribution developed using Bayesian inference. Bank operation loss typically has some low frequency but high magnitude loss data. These heavy tail low frequency loss data are divided into several buckets where the bucket frequencies are defined by the experts. A probability distribution, as defined by the internal and external data, is used for these data. A Poisson distribution is used for the bucket frequencies. However instead of using any distribution of the Poisson parameters, point estimations are used. Monte Carlo simulation is then carried out to calculate the capital charge of the in- ternal as well as the heavy tail high profile low frequency losses. The output of the Monte Carlo simulation defines the capital requirement that has to be allocated to cover potential operational risk losses for the next year.
基金National Natural Science Foundations of China(Nos.61164009,61463021)the Science Foundation of Education Commission of Jiangxi Province,China(No.GJJ14420)+1 种基金the Young Scientists Object Program of Jiangxi Province,China(No.20144BCB23037)the Graduate Innovation Foundation of Jiangxi Province,China(No.YC2014-S364)
文摘In order to reduce the calculation of the failure probability in the complex mechanical system reliability risk evaluation,and to implement importance analysis of system components effectively,the system fault tree was converted into five different Bayesian network models. The Bayesian network with the minimum conditional probability table specification and the highest computation efficiency was selected as the optimal network. The two heuristics were used to optimize the Bayesian network. The fault diagnosis and causal reasoning of the system were implemented by using the selected Bayesian network. The calculation methods of Fussel-Vesely( FV),risk reduction worth( RRW),Birnbaum measure( BM) and risk achievement worth( RAW) importances were presented. A certain engine was taken as an application example to illustrate the proposed method. The results show that not only the correlation of the relevant variables in the system can be accurately expressed and the calculation complexity can be reduced,but also the relatively weak link in the system can be located accurately.
基金Supported by the National Natural Science Foundation of China（71571144,71401134,71171164,11701406） Supported by the International Cooperation and Exchanges in Science and Technology Program of Shaanxi Province（2016KW-033）
文摘In this paper, we construct a Bayesian framework combining Type-Ⅰ progressively hybrid censoring scheme and competing risks which are independently distributed as exponentiated Weibull distribution with one scale parameter and two shape parameters. Since there exist unknown hyper-parameters in prior density functions of shape parameters, we consider the hierarchical priors to obtain the individual marginal posterior density functions,Bayesian estimates and highest posterior density credible intervals. As explicit expressions of estimates cannot be obtained, the componentwise updating algorithm of Metropolis-Hastings method is employed to compute the numerical results. Finally, it is concluded that Bayesian estimates have a good performance.
文摘The uncertainty during the period of software project development often brings huge risks to contractors and clients. If we can find an effective method to predict the cost and quality of software projects based on facts like the project character and two-side cooperating capability at the beginning of the project,we can reduce the risk. Bayesian Belief Network(BBN) is a good tool for analyzing uncertain consequences, but it is difficult to produce precise network structure and conditional probability table.In this paper,we built up network structure by Delphi method for conditional probability table learning,and learn update probability table and nodes’confidence levels continuously according to the application cases, which made the evaluation network have learning abilities, and evaluate the software development risk of organization more accurately.This paper also introduces EM algorithm, which will enhance the ability to produce hidden nodes caused by variant software projects.
基金This project is funded bythe UK Engineering and Physical Sciences Research Council (EPSRC) under Grant Refer-ences:GR/S85504 and GR/S85498
文摘This paper presents a new approach for offshore risk analysis that is capable of dealing with linguistic probabilities in Bayesian networks （ BNs）. In this paper, linguistic probabilities are used to describe occurrence likelihood of hazardous events that may cause possible accidents in offshore operations. In order to use fuzzy information, an f-weighted valuation function is proposed to transform linguistic judgements into crisp probability distributions which can be easily put into a BN to model causal relationships among risk factors. The use of linguistic variables makes it easier for human experts to express their knowledge, and the transformation of linguistic judgements into crisp probabilities can significantly save the cost of computation, modifying and maintaining a BN model. The flexibility of the method allows for multiple forms of information to be used to quantify model relationships, including formally assessed expert opinion when quantitative data are lacking, or when only qualitative or vague statements can be made. The model is a modular representation of uncertain knowledge caused due to randomness, vagueness and ignorance. This makes the risk analysis of offshore engineering systems more functional and easier in many assessment contexts. Specifically, the proposed f-weighted valuation function takes into account not only the dominating values, but also the a-level values that are ignored by conventional valuation methods. A case study of the collision risk between a Floating Production, Storage and Off-loading （FPSO） unit and the anthorised vessels due to human elements during operation is used to illustrate the application of the proposed model.
文摘Wind power is a kind of clean energy promising significant social and environmental benefits, and in The Peoples Republic of China, the government supports and encourages the development of wind power as one element in a shift to renewable energy. In recent years however, maritime safety issues have arisen during offshore wind power construction and attendant production processes associated with the rapid promotion and development of offshore wind farms. Therefore, it is necessary to carry out risk assessment for phases in the life cycle of offshore wind farms. This paper reports on a risk assessment model based on a Dynamic Bayesian network that performs offshore wind farms maritime risk assessment. The advantage of this approach is the way in which a Bayesian model expresses uncertainty. Furthermore, such models permit simulations and reenactment of accidents in a virtual environment. There were several goals in this research. Offshore wind power project risk identification and evaluation theories and methods were explored to identify the sources of risk during different phases of the offshore wind farm life cycle. Based on this foundation, a dynamic Bayesian network model with Genie was established, and evaluated, in terms of its effectiveness for analysis of risk during different phases of the offshore wind farm life cycle. Research results show that a dynamic Bayesian network method can perform risk assessments effectively and flexibly, responding to the actual context of offshore wind power construction. Historical data and almost real-time information are combined to analyze the risk of the construction of offshore wind power. Our results inform a discussion of security and risk mitigation measures that when implemented, could improve safety. This work has value as a reference and guide for the safe development of offshore wind power.
