Search results for: discrete galerkin

Authors: Andrey V. Timofeev

Abstract:

This paper introduces an original method for guaranteed estimation of the accuracy of an ensemble of Lipschitz classifiers. The solution was obtained as a finite closed set of alternative hypotheses, which contains an object of classification with a probability of not less than the specified value. Thus, the classification is represented by a set of hypothetical classes. In this case, the smaller the cardinality of the discrete set of hypothetical classes is, the higher is the classification accuracy. Experiments have shown that if the cardinality of the classifiers ensemble is increased then the cardinality of this set of hypothetical classes is reduced. The problem of the guaranteed estimation of the accuracy of an ensemble of Lipschitz classifiers is relevant in the multichannel classification of target events in C-OTDR monitoring systems. Results of suggested approach practical usage to accuracy control in C-OTDR monitoring systems are present.

Keywords: Lipschitz classifiers, confidence set, C-OTDR monitoring, classifiers accuracy, classifiers ensemble

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Authors: Kaoutar Zellat, Tahar Kadri

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The purpose of new aseismic techniques is to provide an additional means of energy dissipation, thereby reducing the transmitted acceleration into the superstructure. In order to demonstrate the effectiveness of aseismic bearings technique and understand the behavior of seismically isolated bridges by such devices a three-span continuous deck bridge made of reinforced concrete is considered. The bridge is modeled as a discrete model and the relative displacements of the isolation bearing are crucial from the design point of view of isolation system and separation joints at the abutment level. The systems presented here are passive control systems and the results of some important experimental tests are also included. The results show that the base shear in the piers is significantly reduced for the isolated system as compared to the non isolated system in the both directions of the bridge. This indicates that the use of aseismic systems is effective in reducing the earthquake response of the bridge.

Keywords: aseismic bearings, bridge isolation, bridge, seismic response

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Authors: Mansour Al Qubeissi, Sergei S. Sazhin, Cyril Crua, Morgan R. Heikal

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This paper presents the application of the Discrete Component Model for heating and evaporation to multi-component biodiesel fuel droplets in direct injection internal combustion engines. This model takes into account the effects of temperature gradient, recirculation and species diffusion inside droplets. A distinctive feature of the model used in the analysis is that it is based on the analytical solutions to the temperature and species diffusion equations inside the droplets. Nineteen types of biodiesel fuels are considered. It is shown that a simplistic model, based on the approximation of biodiesel fuel by a single component or ignoring the diffusion of components of biodiesel fuel, leads to noticeable errors in predicted droplet evaporation time and time evolution of droplet surface temperature and radius.

Keywords: heat/mass transfer, biodiesel, multi-component fuel, droplet

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Authors: Yongxu Fu, Shaolong Wan

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We study the band degeneracy, defectiveness, as well as exceptional points of non-Hermitian systems and materials analytically. We elaborate on the energy bands, the band degeneracy, and the defectiveness of eigenstates under open boundary conditions based on developing a general theory of one-dimensional (1D) non-Hermitian systems. We research the presence of the exceptional points in a generalized non-Hermitian Su-Schrieffer-Heeger model under open boundary conditions. Beyond our general theory, there exist infernal points in 1D non-Hermitian systems, where the energy spectra under open boundary conditions converge on some discrete energy values. We study two 1D non-Hermitian models with the existence of infernal points. We generalize the infernal points to the infernal knots in four-dimensional non-Hermitian systems.

Keywords: non-hermitian, degeneracy, defectiveness, exceptional points, infernal points

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Authors: Broderick Crawford, Ricardo Soto, Natalia Berrios, Eduardo Olguin

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In this paper, we present a binary cat swarm optimization for solving the Set covering problem. The set covering problem is a well-known NP-hard problem with many practical applications, including those involving scheduling, production planning and location problems. Binary cat swarm optimization is a recent swarm metaheuristic technique based on the behavior of discrete cats. Domestic cats show the ability to hunt and are curious about moving objects. The cats have two modes of behavior: seeking mode and tracing mode. We illustrate this approach with 65 instances of the problem from the OR-Library. Moreover, we solve this problem with 40 new binarization techniques and we select the technical with the best results obtained. Finally, we make a comparison between results obtained in previous studies and the new binarization technique, that is, with roulette wheel as transfer function and V3 as discretization technique.

Keywords: binary cat swarm optimization, binarization methods, metaheuristic, set covering problem

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Authors: Nicholas D. Assimakis

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In linear estimation, the traditional Kalman filter uses the Kalman filter gain in order to produce estimation and prediction of the n-dimensional state vector using the m-dimensional measurement vector. The computation of the Kalman filter gain requires the inversion of an m x m matrix in every iteration. In this paper, a variation of the Kalman filter eliminating the Kalman filter gain is proposed. In the time varying case, the elimination of the Kalman filter gain requires the inversion of an n x n matrix and the inversion of an m x m matrix in every iteration. In the time invariant case, the elimination of the Kalman filter gain requires the inversion of an n x n matrix in every iteration. The proposed Kalman filter gain elimination algorithm may be faster than the conventional Kalman filter, depending on the model dimensions.

Keywords: discrete time, estimation, Kalman filter, Kalman filter gain

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Authors: Liang Zhao, Chong-quan Zhong

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In order to improve the control performance of vector inverter, an improved parameter identification solution for induction motor is proposed in this paper. Dc or AC voltage is applied to the induction motor using the SVPWM through the inverter. Then stator resistance, stator leakage inductance, rotor resistance, rotor leakage inductance and mutual inductance are obtained according to the signal response. The discrete Fourier transform (DFT) is used to deal with the noise and harmonic. The impact on parameter identification caused by delays in the inverter switch tube, tube voltage drop and dead-time is avoided by effective compensation measures. Finally, the parameter identification experiment is conducted based on the vector inverter which using TMS320F2808 DSP as the core processor and results show that the strategy is verified.

Keywords: vector inverter, parameter identification, SVPWM; DFT, dead-time compensation

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Authors: Joselito Medina Marin, Norberto Hernández Romero, Juan Carlos Seck Tuoh Mora, Erick S. Martinez Gomez

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The Flow Shop Scheduling Problem (FSSP) is a typical problem that is faced by production planning managers in Flexible Manufacturing Systems (FMS). This problem consists in finding the optimal scheduling to carry out a set of jobs, which are processed in a set of machines or shared resources. Moreover, all the jobs are processed in the same machine sequence. As in all the scheduling problems, the makespan can be obtained by drawing the Gantt chart according to the operations order, among other alternatives. On this way, an FMS presenting the FSSP can be modeled by Petri nets (PNs), which are a powerful tool that has been used to model and analyze discrete event systems. Then, the makespan can be obtained by simulating the PN through the token game animation and incidence matrix. In this work, we present an adaptive PN to obtain the makespan of FSSP by applying PN analytical tools.

Keywords: flow-shop scheduling problem, makespan, Petri nets, state equation

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Authors: Harpal Singh, Sakshi Batra

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The widespread and easy accesses to multimedia contents and possibility to make numerous copies without loss of significant fidelity have roused the requirement of digital rights management. Thus this problem can be effectively solved by Digital watermarking technology. This is a concept of embedding some sort of data or special pattern (watermark) in the multimedia content; this information will later prove ownership in case of a dispute, trace the marked document’s dissemination, identify a misappropriating person or simply inform user about the rights-holder. The primary motive of digital watermarking is to embed the data imperceptibly and robustly in the host information. Extensive counts of watermarking techniques have been developed to embed copyright marks or data in digital images, video, audio and other multimedia objects. With the development of digital video-based innovations, copyright dilemma for the multimedia industry increases. Video watermarking had been proposed in recent years to serve the issue of illicit copying and allocation of videos. It is the process of embedding copyright information in video bit streams. Practically video watermarking schemes have to address some serious challenges as compared to image watermarking schemes like real-time requirements in the video broadcasting, large volume of inherently redundant data between frames, the unbalance between the motion and motionless regions etc. and they are particularly vulnerable to attacks, for example, frame swapping, statistical analysis, rotation, noise, median and crop attacks. In this paper, an effective, robust and imperceptible video watermarking algorithm is proposed based on hybridization of powerful mathematical transforms; Fractional Fourier Transform (FrFT), Discrete Wavelet transforms (DWT) and Singular Value Decomposition (SVD) using redundant wavelet. This scheme utilizes various transforms for embedding watermarks on different layers by using Hybrid systems. For this purpose, the video frames are portioned into layers (RGB) and the watermark is being embedded in two forms in the video frames using SVD portioning of the watermark, and DWT sub-band decomposition of host video, to facilitate copyright safeguard as well as reliability. The FrFT orders are used as the encryption key that allows the watermarking method to be more robust against various attacks. The fidelity of the scheme is enhanced by introducing key generation and wavelet based key embedding watermarking scheme. Thus, for watermark embedding and extraction, same key is required. Therefore the key must be shared between the owner and the verifier via some safe network. This paper demonstrates the performance by considering different qualitative metrics namely Peak Signal to Noise ratio, Structure similarity index and correlation values and also apply some attacks to prove the robustness. The Experimental results are presented to demonstrate that the proposed scheme can withstand a variety of video processing attacks as well as imperceptibility.

Keywords: discrete wavelet transform, robustness, video watermarking, watermark

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Authors: Takahiro Hino, Michiharu Maeda

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Particle swarm optimization (PSO) is an optimization approach that achieves the social model of bird flocking and fish schooling. PSO works in continuous space and can solve continuous optimization problem with high quality. Set-based particle swarm optimization (SPSO) functions in discrete space by using a set. SPSO can solve combinatorial optimization problem with high quality and is successful to apply to the large-scale problem. In this paper, we present an algorithm of SPSO with status memory to decide the position based on the previous position for solving traveling salesman problem (TSP). In order to show the effectiveness of our approach. We examine SPSOSM for TSP compared to the existing algorithms.

Keywords: combinatorial optimization problems, particle swarm optimization, set-based particle swarm optimization, traveling salesman problem

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Authors: C. Yin, B. Zhang, Y. Liu, J. Cai

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Airborne EM (AEM) is an effective geophysical exploration tool, especially suitable for ridged mountain areas. In these areas, topography will have serious effects on AEM system responses. However, until now little study has been reported on topographic effect on airborne EM systems. In this paper, an edge-based unstructured finite-element (FE) method is developed for 3D topographic modeling for both frequency and time-domain airborne EM systems. Starting from the frequency-domain Maxwell equations, a vector Helmholtz equation is derived to obtain a stable and accurate solution. Considering that the AEM transmitter and receiver are both located in the air, the scattered field method is used in our modeling. The Galerkin method is applied to discretize the Helmholtz equation for the final FE equations. Solving the FE equations, the frequency-domain AEM responses are obtained. To accelerate the calculation speed, the response of source in free-space is used as the primary field and the PARDISO direct solver is used to deal with the problem with multiple transmitting sources. After calculating the frequency-domain AEM responses, a Hankel’s transform is applied to obtain the time-domain AEM responses. To check the accuracy of present algorithm and to analyze the characteristic of topographic effect on airborne EM systems, both the frequency- and time-domain AEM responses for 3 model groups are simulated: 1) a flat half-space model that has a semi-analytical solution of EM response; 2) a valley or hill earth model; 3) a valley or hill earth with an abnormal body embedded. Numerical experiments show that close to the node points of the topography, AEM responses demonstrate sharp changes. Special attentions need to be paid to the topographic effects when interpreting AEM survey data over rugged topographic areas. Besides, the profile of the AEM responses presents a mirror relation with the topographic earth surface. In comparison to the topographic effect that mainly occurs at the high-frequency end and early time channels, the EM responses of underground conductors mainly occur at low frequencies and later time channels. For the signal of the same time channel, the dB/dt field reflects the change of conductivity better than the B-field. The research of this paper will serve airborne EM in the identification and correction of the topographic effects.

Keywords: 3D, Airborne EM, forward modeling, topographic effect

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Authors: B. X. Tchomeni, A. A. Alugongo, T. B. Tengen

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In this paper, de Laval rotor system has been characterized by a hinge model and its transient response numerically treated for a dynamic solution. The effect of the ensuing non-linear disturbances namely rub and breathing crack is numerically simulated. Subsequently, three analysis methods: Orbit Analysis, Fast Fourier Transform (FFT) and Wavelet Transform (WT) are employed to extract features of the vibration signal of the faulty system. An analysis of the system response orbits clearly indicates the perturbations due to the rotor-to-stator contact. The sensitivities of WT to the variation in system speed have been investigated by Continuous Wavelet Transform (CWT). The analysis reveals that features of crack, rubs and unbalance in vibration response can be useful for condition monitoring. WT reveals its ability to detect non-linear signal, and obtained results provide a useful tool method for detecting machinery faults.

Keywords: Continuous wavelet, crack, discrete wavelet, high acceleration, low acceleration, nonlinear, rotor-stator, rub

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Authors: Ozden Saygili, Eser Cakti

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The masonry building stock in Istanbul and in other cities of Turkey are exposed to significant earthquake hazard. Determination of the safety of masonry structures against earthquakes is a complex challenge. This study deals with experimental tests and non-linear dynamic analysis of masonry structures modeled through discrete element method. The 1:10 scale model of Mustafa Paşa Mosque was constructed and the data were obtained from the sensors on it during its testing on the shake table. The results were used in the calibration/validation of the numerical model created on the basis of the 1:10 scale model built for shake table testing. 3D distinct element model was developed that represents the linear and nonlinear behavior of the shake table model as closely as possible during experimental tests. Results of numerical analyses with those from the experimental program were compared and discussed.

Keywords: dynamic analysis, non-linear modeling, shake table tests, masonry

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Authors: Ramazan Kadiev, Arkadi Ponossov

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Semidiscrete systems contain both continuous and discrete components. This means that the dynamics is mostly continuous, but at certain instants, it is exposed to abrupt influences. Such systems naturally appear in applications, for example, in biological and ecological models as well as in the control theory. Therefore, the study of semidiscrete systems has recently attracted the attention of many specialists. Stochastic effects are an important part of any realistic approach to modeling. For example, stochasticity arises in the population dynamics, demographic and ecological due to a change in time of factors external to the system affecting the survival of the population. In control theory, random coefficients can simulate inaccuracies in measurements. It will be shown in the presentation how to incorporate such effects into semidiscrete systems. Stability analysis is an essential part of modeling real-world problems. In the presentation, it will be explained how sufficient conditions for the moment stability of solutions in terms of the coefficients for linear semidiscrete stochastic equations can be derived using non-Lyapunov technique.

Keywords: abrupt changes, exponential stability, regularization, stochastic noises

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Authors: Shirin Jalili, Ramin Ghasemi Shayan

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Coarctation of the aorta (CoA) may be a common (CHD), which is the seventh most common sort of CHD. Still, this is often likely a think little off since the determination may be deferred, indeed within the pediatric populace. The choice for surgical repair incorporates resection of the contracted section with end-to-end or end-to-side anastomosis, subclavian fold aortoplasty, resection, and join the intervention, or prosthetic fix aortoplasty. Drastically expanded end-to-end repair or switched subclavian fold aortoplasty can be utilized when the coarctation expands to the distal arch. Swell angioplasty can be a palliative choice sometime recently the conclusive redress. Its objective is to stabilize high-risk patients that cannot be submitted to quick surgical intercession, such as untimely newborns. For disconnected and discrete coarctations, it can, as a rule, be drawn nearer and repaired by means of cleared out thoracotomy, extraction of the infected aorta (coarctectomy), and remaking, ordinarily by amplified end-to-end anastomosis. In this article, we need to supply a diagram of current proposals and strategies utilized to picture coarctations of the aorta.

Keywords: coarctation of the aorta, congenital heart disease, strategies, surgical repair

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Authors: Walaa M.Abd-Elhafiez, Wajeb Gharibi

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In this paper a novel color image compression technique for efficient storage and delivery of data is proposed. The proposed compression technique started by RGB to YCbCr color transformation process. Secondly, the canny edge detection method is used to classify the blocks into edge and non-edge blocks. Each color component Y, Cb, and Cr compressed by discrete cosine transform (DCT) process, quantizing and coding step by step using adaptive arithmetic coding. Our technique is concerned with the compression ratio, bits per pixel and peak signal to noise ratio, and produce better results than JPEG and more recent published schemes (like, CBDCT-CABS and MHC). The provided experimental results illustrate the proposed technique which is efficient and feasible in terms of compression ratio, bits per pixel and peak signal to noise ratio.

Keywords: image compression, color image, q-coder, quantization, edge-detection

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Authors: Chungkuk Jin, Moohyun Kim, Woo Chul Chung

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This paper presents global performance and dynamic behaviors of a discrete-pontoon-type floating bridge with mooring lines in time domain under wind and wave excitations. The structure is designed for long-distance and deep-water crossing and consists of the girder, columns, pontoons, and mooring lines. Their functionality and behaviors are investigated by using elastic-floater/mooring fully-coupled dynamic simulation computer program. Dynamic wind, first- and second-order wave forces, and current loads are considered as environmental loads. Girder’s dynamic responses and mooring tensions are analyzed under different analysis methods and environmental conditions. Girder’s lateral responses are highly influenced by the second-order wave and wind loads while the first-order wave load mainly influences its vertical responses.

Keywords: floating bridge, mooring line, pontoon, wave excitation

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Authors: R. Hariti, M. Saighi, H. Saidani-Scott

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A numerical simulation of natural convection double diffusion, coupled with thermal radiation in unsteady laminar regime in a storage tank is carried out. The storage tank contains a liquefied natural gas (LNG) in its gaseous phase. Fluent, a commercial CFD package, based on the numerical finite volume method, is used to simulate the flow. The radiative transfer equation is solved using the discrete coordinate method. This numerical simulation is used to determine the temperature profiles, stream function, velocity vectors and variation of the heat flux density for unsteady laminar natural convection. Furthermore, the influence of thermal radiation on the heat transfer has been investigated and the results obtained were compared to those found in the literature. Good agreement between the results obtained by the numerical method and those taken on site for the temperature values.

Keywords: tank, storage, liquefied natural gas, natural convection, thermal radiation, numerical simulation

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Authors: Aliakbar Golshani, Armin Ramezanzad

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Tensile strength which is an important parameter of the rock for engineering applications is difficult to measure directly through physical experiment (i.e. uniaxial tensile test). Therefore, indirect experimental methods such as Brazilian test have been taken into consideration and some relations have been proposed in order to obtain the tensile strength for rocks indirectly. In this research, to calculate numerically the tensile strength for granitic rocks, Particle Flow Code in three-dimension (PFC3D) software were used. First, uniaxial compression tests were simulated and the tensile strength was determined for Inada granite (from a quarry in Kasama, Ibaraki, Japan). Then, by simulating Brazilian test condition for Inada granite, the tensile strength was indirectly calculated again. Results show that the tensile strength calculated numerically agrees well with the experimental results obtained from uniaxial tensile tests on Inada granite samples.

Keywords: numerical simulation, particle flow code, PFC, tensile strength, Brazilian Test

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Authors: Guoliang Fan, Aiping Li, Xuemei Liu, Liyun Xu

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The performance of the tightening equipment will decline with the working process in manufacturing system. The main manifestations are the randomness and discretization degree increasing of the tightening performance. To evaluate the degradation tendency of the tightening performance accurately, a complexity measurement approach based on Kolmogorov entropy is presented. At first, the states of performance index are divided for calibrating the discrete degree. Then the complexity measurement model based on Kolmogorov entropy is built. The model describes the performance degradation tendency of tightening equipment quantitatively. At last, a study case is applied for verifying the efficiency and validity of the approach. The research achievement shows that the presented complexity measurement can effectively evaluate the degradation tendency of the tightening equipment. It can provide theoretical basis for preventive maintenance and life prediction of equipment.

Keywords: complexity measurement, Kolmogorov entropy, manufacturing system, performance evaluation, tightening equipment

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Authors: Eugene Stepanov, Arcady Ponosov

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To model gene regulatory networks one uses ordinary differential equations with switching nonlinearities, where the initial value problem is known to be well-posed if the trajectories cross the discontinuities transversally. Otherwise, the initial value problem is usually ill-posed, which lead to theoretical and numerical complications. In the presentation, it is proposed to apply the theory of hybrid dynamical systems, rather than switched ones, to regularize the problem. 'Hybridization' of the switched system means that one attaches a dynamic discrete component ('automaton'), which follows the trajectories of the original system and governs its dynamics at the points of ill-posedness of the initial value problem making it well-posed. The construction of the automaton is based on the classification of the attractors of the specially designed adjoint dynamical system. Several examples are provided in the presentation, which support the suggested analysis. The method can also be of interest in other applied fields, where differential equations contain switchings, e.g. in neural field models.

Keywords: hybrid dynamical systems, ill-posed problems, singular perturbation analysis, switching nonlinearities

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Authors: Kun Xue, Lvlan Miu, Jiarui Li

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Jetting structures are widely found in particle rings or shells dispersed by the central explosion. In contrast, some explosive dispersal of particles only results in a dispersed cloud without distinctive structures. Employing the coupling method of the compressible computational fluid mechanics and discrete element method (CCFD-DEM), we reveal the underlying physics governing the formation of the jetting structure, which is related to the competition between the shock compaction and gas infiltration, two major processes during the shock interaction with the granular media. If the shock compaction exceeds the gas infiltration, the discernable jetting structures are expected, precipitated by the agglomerates of fast-moving particles induced by the heterogenous network of force chains. Otherwise, particles are uniformly accelerated by the interstitial flows, and no distinguishable jetting structures are formed. We proceed to devise the phase map of the jetting formation in the space defined by two dimensionless parameters which characterize the timescales of the shock compaction and the gas infiltration, respectively.

Keywords: compressible multiphase flows, DEM, granular jetting, pattern formation

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Authors: M. Brahim, I. Bahri, Y. Bernard

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Traveling Wave Ultrasonic Motor (TWUM) is a compact, precise, and silent actuator generating high torque at low speed without gears. Moreover, the TWUM has a high holding torque without supply, which makes this motor as an attractive solution for holding position of robotic arms. However, their nonlinear dynamics, and the presence of load-dependent dead zones often limit their use. Those issues can be overcome in closed loop with effective and precise controllers. In this paper, robust H-infinity (H∞) and discrete time RST position controllers are presented. The H∞ controller is designed in continuous time with additional weighting filters to ensure the robustness in the case of uncertain motor model and external disturbances. Robust RST controller based on the pole placement method is also designed and compared to the H∞. Simulink model of TWUM is used to validate the stability and the robustness of the two proposed controllers.

Keywords: piezoelectric motors, position control, H∞, RST, stability criteria, robustness

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Authors: Aritras Roy, Rinku Mukherjee

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The current study couples a quasi-steady Vortex Lattice Method and a camber correcting technique, ‘Decambering’ for unsteady post-stall flow prediction. The wake is force-free and discrete such that the wake lattices move with the free-stream once shed from the wing. It is observed that the time-averaged unsteady coefficient of lift sees a relative drop at post-stall angles of attack in comparison to its steady counterpart for some angles of attack. Multiple solutions occur at post-stall and three different algorithms to choose solutions in these regimes show both unsteadiness and non-convergence of the iterations. The distribution of coefficient of lift on the wing span also shows sawtooth. Distribution of vorticity changes both along span and in the direction of the free-stream as the wake develops over time with distinct roll-up, which increases with time.

Keywords: post-stall, unsteady, wing, aerodynamics

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Authors: R. Z. Wang, B. C. Lin, C. H. Huang

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This study proposes a new method to simulate the crack propagation under mode-I loading using Vector Form Intrinsic Finite Element (VFIFE) method. A new idea which is expected to combine both VFIFE and J-integral is proposed to calculate the stress density factor as the crack critical in elastic crack. The procedure of implement the cohesive crack propagation in VFIFE based on the fictitious crack model is also proposed. In VFIFIE, the structure deformation is described by numbers of particles instead of elements. The strain energy density and the derivatives of the displacement vector of every particle is introduced to calculate the J-integral as the integral path is discrete by particles. The particle on the crack tip separated into two particles once the stress on the crack tip satisfied with the crack critical and then the crack tip propagates to the next particle. The internal force and the cohesive force is applied to the particles.

Keywords: VFIFE, crack propagation, fictitious crack model, crack critical

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Authors: R. S. Remya, U. S. Sethulekshmi

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Detecting the authenticity of a video is an important issue in digital forensics as Video is used as a silent evidence in court such as in child pornography, movie piracy cases, insurance claims, cases involving scientific fraud, traffic monitoring etc. The biggest threat to video data is the availability of modern open video editing tools which enable easy editing of videos without leaving any trace of tampering. In this paper, we propose an efficient passive method for inter-frame video tampering detection, its type and location by estimating the optical flow of wavelet features of adjacent frames and thresholding the variation in the estimated feature. The performance of the algorithm is compared with the z-score thresholding and achieved an efficiency above 95% on all the tested databases. The proposed method works well for videos with dynamic (forensics) as well as static (surveillance) background.

Keywords: discrete wavelet transform, optical flow, optical flow variation, video tampering

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Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan

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This paper develops a discrete-time option pricing model for index options. The model consists of two key ingredients. First, daily stock return innovations are driven by a continuous hidden threshold mixed skew-normal (HTSN) distribution which generates conditional non-normality that is needed to fit daily index return. The most important feature of the HTSN is the inclusion of a latent state variable with a continuum of states, unlike the traditional mixture distributions where the state variable is discrete with little number of states. The HTSN distribution belongs to the class of univariate probability distributions where parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution has an interpretation in terms of a mixture distribution with time-varying mixing probabilities. It has been shown empirically that this distribution outperforms its main competitor, the mixed normal (MN) distribution, in terms of capturing the stylized facts known for stock returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence. Second, heteroscedasticity in the model is captured by a threeexogenous-factor GARCH model (GARCHX), where the factors are taken from the principal components analysis of various world indices and presents an application to option pricing. The factors of the GARCHX model are extracted from a matrix of world indices applying principal component analysis (PCA). The empirically determined factors are uncorrelated and represent truly different common components driving the returns. Both factors and the eight parameters inherent to the HTSN distribution aim at capturing the impact of the state of the economy on price levels since distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state. The PCA identifies statistically independent factors affecting the random evolution of a given pool of assets -in our paper a pool of international stock indices- and sorting them by order of relative importance. The PCA computes a historical cross asset covariance matrix and identifies principal components representing independent factors. In our paper, factors are used to calibrate the HTSN-GARCHX model and are ultimately responsible for the nature of the distribution of random variables being generated. We benchmark our model to the MN-GARCHX model following the same PCA methodology and the standard Black-Scholes model. We show that our model outperforms the benchmark in terms of RMSE in dollar losses for put and call options, which in turn outperforms the analytical Black-Scholes by capturing the stylized facts known for index returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence.

Keywords: continuous hidden threshold, factor models, GARCHX models, option pricing, risk-premium

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Authors: M. Samadzadeh Mahabadi, J. Shanbehzadeh

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This paper presents a hybrid digital image-watermarking scheme, which is robust against varieties of attacks and geometric distortions. The image content is represented by important feature points obtained by an image-texture-based adaptive Harris corner detector. These feature points are extracted from LL2 of 2-D discrete wavelet transform which are obtained by using the Harris-Laplacian detector. We calculate the Fourier transform of circular regions around these points. The amplitude of this transform is rotation invariant. The experimental results demonstrate the robustness of the proposed method against the geometric distortions and various common image processing operations such as JPEG compression, colour reduction, Gaussian filtering, median filtering, and rotation.

Keywords: digital watermarking, geometric distortions, geometrical attack, Harris Laplace, important feature points, rotation, scale invariant feature

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Authors: Khader S. Al-Aidmat, Venus W. Samawi

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Blurred vision in the misty atmosphere is essential problem which needs to be resolved. To solve this problem, we developed a technique to restore foggy degraded image from its original version using Back-propagation neural network (BP-NN). The suggested technique is based on mapping between foggy scene and its corresponding original scene. Seven different approaches are suggested based on type of features used in image restoration. Features are extracted from spatial and spatial-frequency domain (using DCT). Each of these approaches comes with its own BP-NN architecture depending on type and number of used features. The weight matrix resulted from training each BP-NN represents a fog filter. The performance of these filters are evaluated empirically (using PSNR), and perceptually. By comparing the performance of these filters, the effective features that suits BP-NN technique for restoring foggy images is recognized. This system proved its effectiveness and success in restoring moderate foggy images.

Keywords: artificial neural network, discrete cosine transform, feed forward neural network, foggy image restoration

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Authors: Norm Josephy, Lucy Kimball, Victoria Steblovskaya

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Hedging of a portfolio of European options under proportional transaction costs is considered. Our discrete time financial market model extends the binomial market model with transaction costs to the case where the underlying stock price ratios are distributed over a bounded interval rather than over a two-point set. An optimal hedging strategy is chosen from a set of admissible non-self-financing hedging strategies. Our approach to optimal hedging of a portfolio of options is based on theoretical foundation that includes determination of a no-arbitrage option price interval as well as on properties of the non-self-financing strategies and their residuals. A computational algorithm for optimizing an investor relevant criterion over the set of admissible non-self-financing hedging strategies is developed. Applicability of our approach is demonstrated using both simulated data and real market data.

Keywords: extended binomial model, non-self-financing hedging, optimization, proportional transaction costs

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