Flow-based Approach Research Articles

Risk of Private Equity Fund-of-Fund Investments - A Detailed Cash Flow-Based Approach

Fund-of-fund investments in private equity are becoming increasingly popular due to their potential to diversify across several private equity funds. However, due to the illiquidity and opaqueness of private equity markets only limited knowledge is available on the actual risk profile of fund-of-funds. Hence, we aim at contributing to the field by modeling, quantifying, and testing sensitivities of the risks associated with such investments. We design a detailed cash flow model and adopt the value-at-risk approach, which is modified to fit the two most common measures of return, namely internal rate of return (IRR) and multiple. Based on a proprietary data set of historical transactions we simulate fund-of-funds investments. Further, sensitivity analyses of central input parameters show the impact on risk and return. While reducing the management fee and the carried interest would lead to higher returns, increased diversification reduces risk. Based on our model, reducing the current industry standard of 2% management fee and 20% carried interest of private equity funds increases the mean IRR by 4.3 percentage points.

Risk of Private Equity Fund-of-Fund Investments: A Detailed Cash Flow-Based Approach

Risk of Private Equity Fund-of-Fund Investments: A Detailed Cash Flow-Based Approach

A geometric flow-based approach for diffusion tensor image segmentation

Diffusion tensor magnetic resonance imaging (DT-MRI, shortened as DTI) produces, from a set of diffusion-weighted magnetic resonance images, tensor-valued images where each voxel is assigned a 3x3 symmetric, positive-definite matrix. This tensor is simply the covariance matrix of a local Gaussian process with zero mean, modelling the average motion of water molecules. We propose a three-dimensional geometric flow-based model to segment the main core of cerebral white matter fibre tracts from DTI. The segmentation is carried out with a front propagation algorithm. The front is a three-dimensional surface that evolves along its normal direction with speed that is proportional to a linear combination of two measures: a similarity measure and a consistency measure. The similarity measure computes the similarity of the diffusion tensors at a voxel and its neighbouring voxels along the normal to the front; the consistency measure is able to speed up the propagation at locations where the evolving front is more consistent with the diffusion tensor field, to remove noise effect to some extent, and thus to improve results. We validate the proposed model and compare it with some other methods using synthetic and human brain DTI data; experimental results indicate that the proposed model improves the accuracy and efficiency in segmentation.

Upscaled modeling of well singularity for simulating flow in heterogeneous formations

Subsurface flows are affected by geological variability over a range of length scales. The modeling of well singularity in heterogeneous formations is important for simulating flow in aquifers and petroleum reservoirs. In this paper, two approaches in calculating the upscaled well index to capture the effects of fine scale heterogeneity in near-well regions are presented and applied. We first develop a flow-based near-well upscaling procedure for geometrically flexible grids. This approach entails solving local well-driven flows and requires the treatment of geometric effects due to the nonalignment between fine and coarse scale grids. An approximate coarse scale well model based on a well singularity analysis is also proposed. This model, referred to as near-well arithmetic averaging, uses only the fine scale permeabilities at well locations to compute the coarse scale well index; it does not require solving any flow problems. These two methods are systematically tested on three-dimensional models with a variety of permeability distributions. It is shown that both approaches provide considerable improvement over a simple (arithmetic) averaging approach to compute the coarse scale well index. The flow-based approach shows close agreement to the fine scale reference model, and the near-well arithmetic averaging also offers accuracy for an appropriate range of parameters. The interaction between global flow and near-well upscaling is also investigated through the use of global fine scale solutions in near-well scale-up calculations.

Flow-assisted surgical technique in cerebrovascular surgery

Background Cerebrovascular surgery is a technically challenging subspecialty of neurosurgery. A flow-based approach to cerebrovascular surgery can help to optimize neurosurgical interventions. Methods Direct intraoperative flow measurements can be made using a quantitative ultrasonic microvascular flow probe. In this article, we review the applications and utility of the FAST in aneurysm and EC-IC bypass surgery. Results In aneurysm surgery, flow measurements provide a quick and repeatable method to assess vessel patency and avoid complications related to vascular compromise. In bypass for flow augmentation in the setting of ischemia, flow measurements assess bypass patency and can assess the physiologic success of the bypass strategy. In bypass for flow replacement in the setting of planned vessel sacrifice, flow measurements can measure the flow deficit resulting from the vessel occlusion, assess the adequacy of in situ donor vessels, and confirm the ultimate adequacy of the bypass at the completion of surgery. Conclusions The FAST strategy provides a useful approach to optimizing decision making and outcomes during cerebrovascular surgery.

A flow-based approach for variant parametric types

A promising approach for type-safe generic codes in the object-oriented paradigm is variant parametric type , which allows covariant and contravariant subtyping on fields where appropriate. Previous approaches formalise variant type as a special case of the existential type system. In this paper, we present a new framework based on flow analysis and modular type checking to provide a simple but accurate model for capturing generic types. Our scheme stands to benefit from past (and future) advances in flow analysis and subtyping constraints. Furthermore, it fully supports casting for variant types with a special reflection mechanism, called cast capture, to handle objects with unknown types. We have built a constraint-based type checker and have proven its soundness. We have also successfully annotated a suite of Java libraries and client code with our flow-based variant type system.

Minimizing wire length in floorplanning

Existing floorplanning algorithms compact blocks to the left and bottom. Although the compaction obtains an optimal area, it may not be good for meeting other objectives such as minimizing the total wire length, which is the first-order objective. It is not known in the literature how to place blocks to obtain an optimal wire length. This paper first shows that the problem can be formulated by linear programming. Thereafter, instead of using the general, but slow, linear programming, this paper proposes an efficient minimum-cost flow-based approach to solve it. This approach guarantees to obtain the minimum total wire length in polynomial time and meanwhile keep the minimum area by distributing white space smarter for a given floorplan topology. This paper also shows that the approach can be easily extended to handle constraints such as fixed frame (fixed area), input-output (IO) pins, preplaced blocks, boundary blocks, range placement, alignment and abutment, rectilinear blocks, soft blocks, one-dimensional cluster placement, and bounded net delay, without loss of optimality. Practically, the algorithm is so efficient that it finishes in less than 0.4 s for all Microelectronics Center of North Carolina (MCNC) benchmarks of block placement. It is also very effective. Experimental results show that the wire length of very compact floorplans can even be improved by 4.2%. Thus, it provides an ideal way for postfloorplanning refinement

Multiservice provisioning mechanism with service curves assurance for per-class scheduling delay guarantees

Class-based traffic treatment frameworks, such as differentiated service (DiffServ), have been proposed to solve the scalability problem of flow-based approach for quality of service (QoS) provisioning. While these frameworks provide service differentiation according to traffic classes, the provision of QoS guarantee for individual flows, within a class, remains a challenging problem. In the paper, the authors present a novel multiservices mechanism, which is able to provide service curves assurance for per-flow deterministic delay guarantees. The core component of this mechanism is a new packet scheduling algorithm, called flow-state-dependent packet scheduling (FDPS), to handle different flows within the same class to provide end-to-end scheduling delay bound guarantees. The mechanism is based on an analysis that guides the flow admission control operation for class-based queueing delay bound. Using the packets' flow-states, FDPS provides fine granularity packet service differentiation within each class. By means of this property, the proposed mechanism achieves per-flow end-to-end delay bound independent of the number of intermediate nodes along the path of the flow. Another notable feature is that it can be integrated into a DiffServ framework as an enhancement for deterministic QoS guarantees. The performance of this mechanism is mathematically analysed to demonstrate its enhancements and ns-2 simulation experiments are used to validate the analytical results.

A flow-based approach to modeling ADSL traffic on an IP backbone link

Measurements from an Internet backbone link carryingtcp traffic towards differentadsl areas are analyzed in this paper. For traffic analysis, we adopt a flow-based approach and the popular mice/elephants dichotomy. The originality of the experimental data reported in this paper, when compared with previous measurements from very high speed backbone links, is that commercial traffic comprises a significant part due to peer-to-peer applications. This kind of traffic exhibits some remarkable properties in terms of mice, elephants and bit rates, which are thoroughly described in this paper. Global traffic is actually decomposed into several flow components on the basis of the mice/elephants dichotomy. Mice due p2p protocols and mice due to classical Internet applications such ashttp, ftp, etc. are analyzed separately. It turns out that by adopting a suitable level of aggregation, global traffic can be described by means of usual tele-traffic models based on M/G/∞ queues with Weibullian service times. The blobal bit rate can then be approximated by the superposition of Gaussian processes perturbed by a white noise.

Quantifying ozone uptake at the canopy level of spruce, pine and larch trees at the alpine timberline: an approach based on sap flow measurement

Micro-climatic and ambient ozone data were combined with measurements of sap flow through tree trunks in order to estimate whole-tree ozone uptake of adult Norway spruce ( Picea abies), cembran pine ( Pinus cembra), and European larch ( Larix decidua) trees. Sap flow was monitored by means of the heat balance approach in two trees of each species during the growing season of 1998. In trees making up the stand canopy, the ozone uptake by evergreen foliages was significantly higher than by deciduous ones, when scaled to the ground area. However, if expressed per unit of whole-tree foliage area, ozone flux through the stomata into the needle mesophyll was 1.09, 1.18 and 1.40 nmol m −2 s −1 in Picea abies, Pinus cembra and Larix decidua, respectively. These fluxes are consistent with findings from measurements of needle gas exchange, published from the same species at the study site. It is concluded that the sap flow-based approach offers an inexpensive, spatially and temporally integrating way for estimating ozone uptake at the whole-tree and stand level, intrinsicly covering the effect of boundary layers on ozone flux.

Economic Congestion Relief across Multiple Regions Requires Tradable Physical Flow-Gate Rights

This paper is concerned with market-based protocols for relieving congestion caused by transactions outside the control area in which the congestion occurred. One approach, proposed by Cadwalader et al. is based on dual decomposition in which out of area congestion is priced-out and added to the optimal power flow (OPF) objective function of the control area operator while the are determined iteratively via nodal energy adjustment bids. The paper demonstrates through a simple three node example that even with correct prices on out-of-area congested interfaces, the augmented AC-OPF objective function of a control area operator might not be locally convex at the optimal solution and hence the control area's optimal dispatch may violate the thermal constraints on out-of-area interfaces. That conclusion supports the alternative flow-based approach that enforces thermal limits more directly, which is consistent with North American Electric Reliability Council's (NERC's) FLOWBAT proposal for interzonal transmission load relief (TLR).

Communication cost of cognitive co-operation for distributed team development

Current team development approaches only focus on work co-operation and resource sharing. Cognitive co-operation has not been paid enough attention, while it becomes more important than ever when the development team is geographically distributed. This paper identifies five types of Internet-based communication approaches for cognitive co-operation among distributed team members: the email-based approach; the blackboard-centred approach; the pure flow-based approach; the combination between the flow-based approach and the email-based approach; and the combination between the flow-based approach and the blackboard-centred approach. The communication costs of these approaches are defined and compared based on a set of assumptions. These comparisons provide the development teams or the designers of team wares the evidence and the method for choosing a suitable cognitive co-operation approach.

Conflict resolution in AGV systems

Currently, conflict-free routing in AGV systems is established by means of one of the following three approaches: (i) the problem elimination through the adoption of a segmented path flow or tandem queue configuration; (ii) the identification of imminent collisions through forward sensing and their aversion through vehicle backtracking and/or rerouting; or (iii) the imposition of zone control and extensive route pre-planning, typically based on deterministic timing of the vehicle traveling and docking stages. Among these three approaches, the segmented path flow-based approach presents the highest robustness to the system stochas-ticities/randomness, but at the cost of restricted vehicle routings and the need for complicated handling operations. This paper proposes an alternative conflict resolution strategy that will ensure robust AGV conflict resolution, while maintaining the operational flexibility provided by free vehicle travel on arbitrarily structured guidepath networks. Specifically, the approach advocated in this paper also employs zone control, but it determines vehicle routes incrementally, one zone at a time. Routing decisions are the result of a sequence of safety and performance considerations, with the former being primarily based on structural/logical rather than timing aspects of the system behavior. The resulting control problem is characterized as the AGV structural control. After defining the notion of AGV structural control, the paper proceeds to the formal characterization and analysis of the problem, and to the development of a structural control policy appropriate for the class of AGV resource allocation systems. The paper concludes with some discussion on the accommodation of emerging AGV operational features in the proposed modeling and analysis framework, and the integration of AGV structural control with the broader control of material-flow among the shop-floor workstations.

Conflict resolution in AGV systems

Currently, conflict-free routing in AGV systems is established by means of one of the following three approaches: (i) the problem elimination through the adoption of a segmented path flow or tandem queue configuration; (ii) the identification of imminent collisions through forward sensing and their aversion through vehicle backtracking and/or rerouting; or (iii) the imposition of zone control and extensive route pre-planning, typically based on deterministic timing of the vehicle traveling and docking stages. Among these three approaches, the segmented path flow-based approach presents the highest robustness to the system stochasticities/randomness, but at the cost of restricted vehicle routings and the need for complicated handling operations. This paper proposes an alternative conflict resolution strategy that will ensure robust AGV conflict resolution, while maintaining the operational flexibility provided by free vehicle travel on arbitrarily structured guidepath networks. Specifically, the approach advocated in this paper also employs zone control, but it determines vehicle routes incrementally, one zone at a time. Routing decisions are the result of a sequence of safety and performance considerations, with the former being primarily based on structural/logical rather than timing aspects of the system behavior. The resulting control problem is characterized as the AGV structural control. After defining the notion of AGV structural control, the paper proceeds to the formal characterization and analysis of the problem, and to the development of a structural control policy appropriate for the class of AGV resource allocation systems. The paper concludes with some discussion on the accommodation of emerging AGV operational features in the proposed modeling and analysis framework, and the integration of AGV structural control with the broader control of material-flow among the shop-floor workstations.

A flow-based approach to datagram security

Datagram services provide a simple, flexible, robust, and scalable communication abstraction; their usefulness has been well demonstrated by the success of IP, UDP, and RPC. Yet, the overwhelming majority of network security protocols that have been proposed are geared towards connection-oriented communications. The few that do cater to datagram communications tend to either rely on long term host-pair keying or impose a session-oriented (i.e., requiring connection setup) semantics.Separately, the concept of flows has received a great deal of attention recently, especially in the context of routing and QoS. A flow characterizes a sequence of datagrams sharing some pre-defined attributes. In this paper, we advocate the use of flows as a basis for structuring secure datagram communications. We support this by proposing a novel protocol for datagram security based on flows. Our protocol achieves zero-message keying, thus preserving the connectionless nature of datagram, and makes use of soft state, thus providing the per-packet processing efficiency of session-oriented schemes. We have implemented an instantiation for IP in the 4.4BSD kernel, and we provide a description of our implementation along with performance results.

An analytical approach to estimate local liquid heights in horizontal diabatic slug flow

As the intermittent (slug) flow pattern was recently shown to be, along with the stratified flow regime, responsible for circumferential anisothermality of horizontal steam generating tubes operating at moderate steam qualities, the ability to estimate the local liquid levels in such tubes and to compare them with the position of the circumferentially maximum value of the externally applied heat loading appears to be of great practical importance for boiler designers. While the procedure of the estimation of minimum liquid heights (h L ) in horizontal stratified flows was suggested in previous papers, this study presents an analytical approach for engineering evaluations of h L in the horizontal, diabatic slug flow pattern. It is, importantly, shown that the use of the stratified flow-based approach to evaluate h L in slug flows results in the overestimation of actual liquid heights which may be detrimental for boiler tubes, especially under circumferentially nonuniform heat loading.