Search results for: dimension reducing distribution load flow algorithm

Authors: Ali Nourollah, Mohsen Movahedinejad

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In this paper a new algorithm to generate random simple polygons from a given set of points in a two dimensional plane is designed. The proposed algorithm uses a genetic algorithm to generate polygons with few vertices. A new merge algorithm is presented which converts any two polygons into a simple polygon. This algorithm at first changes two polygons into a polygonal chain and then the polygonal chain is converted into a simple polygon. The process of converting a polygonal chain into a simple polygon is based on the removal of intersecting edges. The merge algorithm has the time complexity of O ((r+s) *l) where r and s are the size of merging polygons and l shows the number of intersecting edges removed from the polygonal chain. It will be shown that 1 < l < r+s. The experiments results show that the proposed algorithm has the ability to generate a great number of different simple polygons and has better performance in comparison to celebrated algorithms such as space partitioning and steady growth.

Keywords: Divide and conquer, genetic algorithm, merge polygons, Random simple polygon generation.

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Authors: Zahra Majd, Mohsen Kalantar

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Power management and voltage regulation is one of the most important issues in microgrid (MG) control and scheduling. This paper proposes a multiobjective scheduling formulation that consists of active power costs, voltage fluctuations summation, and technical constraints of MG. Furthermore, load flow and reserve constraints are considered to achieve proper voltage regulation. A modified Jacobian matrix is presented for calculating voltage variations and Mont Carlo simulation is used for generating and reducing scenarios. To convert the problem to a mixed integer linear program, a linearization procedure for nonlinear equations is presented. The proposed model is applied to a typical low-voltage MG and two different cases are investigated. The results show the effectiveness of the proposed model.

Keywords: microgrid, energy management system, voltage fluctuations, modified Jacobian matrix

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Authors: Sun-Ki Hong, Nam-HeeByeon, Jung-Seop Lee, Tae-Sam Kang

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For Common R or R-L load to apply arbitrary voltage, the bridge traditional inverters don’t have any difficulties by PWM method. However for driving some piezoelectric actuator, arbitrary voltage not a pulse but a steady voltage should be applied. Piezoelectric load is considered as R-C load and its voltage does not decrease even though the applied voltage decreases. Therefore it needs some special inverter with circuit that can discharge the capacitive energy. Especially for unidirectional arbitrary voltage driving like as sine wave, it becomes more difficult problem. In this paper, a charge and discharge circuit for unidirectional arbitrary voltage driving for piezoelectric actuator is proposed. The circuit has charging and discharging switches for increasing and decreasing output voltage. With the proposed simple circuit, the load voltage can have any unidirectional level with tens of bandwidth because the load voltage can be adjusted by switching the charging and discharging switch appropriately. The appropriateness is proved from the simulation of the proposed circuit.

Keywords: DC-DC converter, analog output voltage, sinusoidal drive, piezoelectric load, discharging circuit

Procedia PDF Downloads 380

Authors: Kamal Upadhyay, Zhou Hua, Yu Rui

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This paper aims to improve the streamline linked with the flow field and cavitation on the valve sleeve. We observed that local pressure fluctuation produces a low-pressure zone, central to the formation of vapor volume fraction within the valve chamber led to air-bubbles (or cavities). Thus, it allows simultaneously to a severe negative impact on the inner surface and lifespan of the valve sleeves. Cavitation reduction is a vitally important issue to pressure control valves. The optimization of the flow field is proposed in this paper to reduce the cavitation of valve sleeves. In this method, the inner wall of the valve sleeve is changed from a cylindrical surface to the conical surface, leading to the decline of the fluid flow velocity and the rise of the outlet pressure. Besides, the streamline is distributed inside the sleeve uniformly. Thus, the bubble generation is lessened. The fluid models are built and analysis of flow field distribution, pressure, vapor volume and velocity was carried out using computational fluid dynamics (CFD) and numerical technique. The results indicate that this structure can suppress the cavitation of valve sleeves effectively.

Keywords: streamline, cavitation, optimization, computational fluid dynamics

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Authors: Pablo Kubo, Cassio Paiva, Adelino Ferreira

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The main objective of this research study is to present the results of the influence of shock absorber condition, from a truck front suspension, on the vertical dynamic load applied on the pavement. For the measurements, it has been used a durability test track located in Brazil. The shock absorber conditions were new, used and failed with a constant load of 6 tons on the front suspension, the maximum allowed load for front axle according to Brazilian legislation. By applying relative damage concept, it is possible to conclude that the variation on the shock absorber conditions will significantly affect the load applied on the pavement. Although, it is recommended to repeat the same methodology in order to analyze the influence on the variation of the quarter car model variants.

Keywords: damage, shock absorber, vertical dynamic load, absorber

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Authors: Abraham Terán Salcedo, Didier Samayoa Ochoa

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This work presents a numerical implementation of a method for estimating the box-counting dimension of self-avoiding curves on a planar space, fractal objects captured on digital images; this method is named fractioning estimator. Classical methods of digital image processing, such as noise filtering, contrast manipulation, and thresholding, among others, are used in order to obtain binary images that are suitable for performing the necessary computations of the fractioning estimator. A user interface is developed for performing the image processing operations and testing the fractioning estimator on different captured images of real-life fractal objects. To analyze the results, the estimations obtained through the fractioning estimator are compared to the results obtained through other methods that are already implemented on different available software for computing and estimating the box-counting dimension.

Keywords: box-counting, digital image processing, fractal dimension, numerical method

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Authors: Mohammad Mojtahedpoor

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In this paper, it has been studied the method of optimal design of the supersonic nozzle. It could make viscous axisymmetric nozzles that the quality of their outlet flow is quite desired. In this method, it is optimized the divergent nozzle, at first. The initial divergent nozzle contour is designed through the method of characteristics and adding a suitable boundary layer to the inviscid contour. After that, it is made a proper grid and then simulated flow by the numerical solution and AUSM+ method by using the operation boundary condition. At the end, solution outputs are investigated and optimized. The numerical method has been validated with experimental results. Also, in order to evaluate the effectiveness of the present method, the nozzles compared with the previous studies. The comparisons show that the nozzles obtained through this method are sufficiently better in some conditions, such as the flow uniformity, size of the boundary layer, and obtained an axial length of the nozzle. Designing the convergent nozzle part affects by flow uniformity through changing its axial length and input diameter. The results show that increasing the length of the convergent part improves the output flow uniformity.

Keywords: nozzle, supersonic, optimization, characteristic method, CFD

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Authors: Boualem Chetti, Samir Zahaf

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This paper presents the steady-state performance analysis of a four-lobe journal bearing lubricated with a couple stress fluids operating in the turbulent regime, following Constantinescu’s turbulent lubrication theory. The modified Reynolds equation is solved numerically using the finite difference method taking into consideration the effects of the turbulence and the couple stress. In this analysis, the steady-state parameters in terms of the attitude angle, load carrying capacity, side leakage and friction coefficient are determined at various values of eccentricities ratio. The computed results show that the turbulence increases the load carrying capacity, the attitude angle and the friction coefficient for a journal bearing lubricated with a Newtonian or a couple stress fluids. It is found that the turbulence has strongly influence on the steady-state performances of the four-lobe journal bearing lubricated with Newtonian fluids or a couple stress fluids.

Keywords: Four-lobe journal bearings, static characteristics, couple-stress fluids, turbulent flow

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Authors: Anurag Jain, Rajneesh Kumar

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Cloud computing is the outcome of rapid growth of internet. Due to elastic nature of cloud computing and unpredictable behavior of user, load balancing is the major issue in cloud computing paradigm. An efficient load balancing technique can improve the performance in terms of efficient resource utilization and higher customer satisfaction. Load balancing can be implemented through task scheduling, resource allocation and task migration. Various parameters to analyze the performance of load balancing approach are response time, cost, data processing time and throughput. This paper demonstrates a two level load balancer approach by combining join idle queue and join shortest queue approach. Authors have used cloud analyst simulator to test proposed two level load balancer approach. The results are analyzed and compared with the existing algorithms and as observed, proposed work is one step ahead of existing techniques.

Keywords: cloud analyst, cloud computing, join idle queue, join shortest queue, load balancing, task scheduling

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Authors: Vaclav Sadilek, Miroslav Vorechovsky

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The paper deals with the classical fiber bundle model of equal load sharing, sometimes referred to as the Daniels' bundle or the democratic bundle. Daniels formulated a multidimensional integral and also a recursive formula for evaluation of the strength cumulative distribution function. This paper describes three algorithms for evaluation of the recursive formula and also their implementations with source codes in high-level programming language Python. A comparison of the algorithms are provided with respect to execution time. Analysis of orders of magnitudes of addends in the recursion is also provided.

Keywords: equal load sharing, mpmath, python, strength of Daniels' bundle

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Authors: J. Becker, R. Arnold

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The design of distribution logistics has a decisive impact on a company's logistics costs and performance. Hence, such solutions make an essential contribution to corporate success. This article describes a decision support system for analyzing the potential of distribution logistics in terms of logistics costs and performance. In contrast to previous procedures of business process re-engineering (BPR), this method maps distribution logistics holistically under variable distribution structures. Combined with qualitative measures the decision support system will contribute to a more efficient design of distribution logistics.

Keywords: decision support system, distribution logistics, potential analyses, supply chain management

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Authors: Jinnan Guo, Daoyin Liu

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The quality of final products in the coating process significantly depends on particle fluidization and drying in the spray-fluidized bed. In this study, fluidizing gas temperature and velocity are changed, and their effects on particle flow, moisture content, and heat transfer in a spray fluidized bed are investigated by the CFD – Discrete Element Model (DEM). The gas flow velocity distribution of the fluidized bed is symmetrical, with high velocity in the middle and low velocity on both sides. During the heating process, the particles inside the central tube and at the bottom of the bed are rapidly heated. The particle circulation in the annular area is heated slowly and the temperature is low. The inconsistency of particle circulation results in two peaks in the probability density distribution of the particle temperature during the heating process, and the overall temperature of the particles increases uniformly. During the drying process, the distribution of particle moisture transitions from initial uniform moisture to two peaks, and then the number of completely dried (moisture content of 0) particles gradually increases. Increasing the fluidizing gas temperature and velocity improves particle circulation, drying and heat transfer in the bed. The current study provides an effective method for studying the hydrodynamics of spray fluidized beds with simultaneous processes of heating and particle fluidization.

Keywords: heat transfer, CFD-DEM, spray fluidized bed, drying

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Authors: Ying Li, Yan Li

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A new algorithm for single hidden layer feedforward neural networks (SLFN), Orthogonal Basis Extreme Learning (OBEL) algorithm, is proposed and the algorithm derivation is given in the paper. The algorithm can decide both the NNs parameters and the neuron number of hidden layer(s) during training while providing extreme fast learning speed. It will provide a practical way to develop NNs. The simulation results of function approximation showed that the algorithm is effective and feasible with good accuracy and adaptability.

Keywords: neural network, orthogonal basis extreme learning, function approximation

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Authors: Dewi Retno Sari Saputro, Purnami Widyaningsih, Hendrika Handayani

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Extreme data on an observation can occur due to unusual circumstances in the observation. The data can provide important information that can’t be provided by other data so that its existence needs to be further investigated. The method for obtaining extreme data is one of them using maxima block method. The distribution of extreme data sets taken with the maxima block method is called the distribution of extreme values. Distribution of extreme values is Gumbel distribution with two parameters. The parameter estimation of Gumbel distribution with maximum likelihood method (ML) is difficult to determine its exact value so that it is necessary to solve the approach. The purpose of this study was to determine the parameter estimation of Gumbel distribution with quasi-Newton BFGS method. The quasi-Newton BFGS method is a numerical method used for nonlinear function optimization without constraint so that the method can be used for parameter estimation from Gumbel distribution whose distribution function is in the form of exponential doubel function. The quasi-New BFGS method is a development of the Newton method. The Newton method uses the second derivative to calculate the parameter value changes on each iteration. Newton's method is then modified with the addition of a step length to provide a guarantee of convergence when the second derivative requires complex calculations. In the quasi-Newton BFGS method, Newton's method is modified by updating both derivatives on each iteration. The parameter estimation of the Gumbel distribution by a numerical approach using the quasi-Newton BFGS method is done by calculating the parameter values that make the distribution function maximum. In this method, we need gradient vector and hessian matrix. This research is a theory research and application by studying several journals and textbooks. The results of this study obtained the quasi-Newton BFGS algorithm and estimation of Gumbel distribution parameters. The estimation method is then applied to daily rainfall data in Purworejo District to estimate the distribution parameters. This indicates that the high rainfall that occurred in Purworejo District decreased its intensity and the range of rainfall that occurred decreased.

Keywords: parameter estimation, Gumbel distribution, maximum likelihood, broyden fletcher goldfarb shanno (BFGS)quasi newton

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Authors: Jiin-Yuh Jang, Yu-Feng Gan

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In order to improve the comprehensive mechanical properties of the steel, the cooling rate, and the temperature distribution must be controlled in the cooling process. A three-dimensional numerical model for the prediction of the heat transfer coefficient distribution of H-beam in the controlled cooling process was performed in order to obtain the uniform temperature distribution and minimize the maximum stress and the maximum deformation after the controlled cooling. An algorithm developed with a simplified conjugated-gradient method was used as an optimizer to optimize the heat transfer coefficient distribution. The numerical results showed that, for the case of air cooling 5 seconds followed by water cooling 6 seconds with uniform the heat transfer coefficient, the cooling rate is 15.5 (℃/s), the maximum temperature difference is 85℃, the maximum the stress is 125 MPa, and the maximum deformation is 1.280 mm. After optimize the heat transfer coefficient distribution in control cooling process with the same cooling time, the cooling rate is increased to 20.5 (℃/s), the maximum temperature difference is decreased to 52℃, the maximum stress is decreased to 82MPa and the maximum deformation is decreased to 1.167mm.

Keywords: controlled cooling, H-Beam, optimization, thermal stress

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Authors: Safayat Ali Shaikh

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Software has been developed for optimal cropping pattern in an irrigation project considering land constraint, water availability constraint and pick up flow constraint using modified Simplex Algorithm. Artificial Neural Network Models (ANN) have been developed to predict rainfall. AR (1) model used to generate 1000 years rainfall data to train the ANN. Simulation has been done with expected rainfall data. Eight number crops and three types of soil class have been considered for optimization model. Area under each crop and each soil class have been quantified using Modified Simplex Algorithm to get optimum net return. Efficacy of the software has been tested using data of large irrigation project in India.

Keywords: artificial neural network, large irrigation project, modified simplex algorithm, optimal cropping pattern

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Authors: Nader Parsazadeh

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The variety of bed sediment load relationships, insufficient information and data, and the influence of river conditions make the selection of an optimum relationship for a given river extremely difficult. Hence, in order to select the best formulae, the bed load equations should be evaluated. The affecting factors need to be scrutinized, and equations should be verified. Also, re-evaluation may be needed. In this research, sediment bed load of Dez Dam at Tal-e Zang Station has been studied. After reviewing the available references, the most common formulae were selected that included Meir-Peter and Muller, using MS Excel to compute and evaluate data. Then, 52 series of already measured data at the station were re-measured, and the sediment bed load was determined. 1. The calculated bed load obtained by different equations showed a great difference with that of measured data. 2. r difference ratio from 0.5 to 2.00 was 0% for all equations except for Nilsson and Shields equations while it was 61.5 and 59.6% for Nilsson and Shields equations, respectively. 3. By reviewing results and discarding probably erroneous measured data measurements (by human or machine), one may use Nilsson Equation due to its r value higher than 1 as an effective equation for estimating bed load at Tal-e Zang Station in order to predict activities that depend upon bed sediment load estimate to be determined. Also, since only few studies have been conducted so far, these results may be of assistance to the operators and consulting companies.

Keywords: bed load, empirical relation ship, sediment, Tale Zang Station

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Authors: Wullapa Wongsinlatam

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Back propagation algorithm (BP) is a widely used technique in artificial neural network and has been used as a tool for solving the time series problems, such as decreasing training time, maximizing the ability to fall into local minima, and optimizing sensitivity of the initial weights and bias. This paper proposes an improvement of a BP technique which is called IM-COH algorithm (IM-COH). By combining IM-COH algorithm with cuckoo search algorithm (CS), the result is cuckoo search improved control output hidden layer algorithm (CS-IM-COH). This new algorithm has a better ability in optimizing sensitivity of the initial weights and bias than the original BP algorithm. In this research, the algorithm of CS-IM-COH is compared with the original BP, the IM-COH, and the original BP with CS (CS-BP). Furthermore, the selected benchmarks, four time series samples, are shown in this research for illustration. The research shows that the CS-IM-COH algorithm give the best forecasting results compared with the selected samples.

Keywords: artificial neural networks, back propagation algorithm, time series, local minima problem, metaheuristic optimization

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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: Kusum Tharani, Ratna Dahiya

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This paper aims to analyze the power flow of a grid connected 100-kW Photovoltaic(PV) array connected to a 25-kV grid via a DC-DC boost converter and a three-phase three-level Voltage Source Converter (VSC). Maximum Power Point Tracking (MPPT) is implemented in the boost converter bymeans of a Simulink model using the 'Perturb & Observe' technique. First, related papers and technological reports were extensively studied and analyzed. Accordingly, the system is tested under various loading conditions. Power flow analysis is done using the Newton-Raphson method in Matlab environment. Finally, the system is subject to Single Line to Ground Fault and Three Phase short circuit. The results are simulated under the grid-connected operating model.

Keywords: grid connected PV Array, Newton-Raphson Method, power flow analysis, three phase fault

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Authors: Suwimon Saneewong Na Ayuttaya

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This paper presents a numerical investigation of electrically driven flow for enhancing convective heat transfer in a channel flow. This study focuses on the electrode arrangements, number of electrode and electrical voltage on Electrohydrodynamics (EHD) and effect of airflow driven on solid sample surface. The inlet airflow and inlet temperature are 0.35 m/s and 60 ^oC, respectively. High electrical voltage is tested in the range of 0-30 kV and number of electrode is tested in the range of 1-5. The numerical results show that electric field intensity is depended on electrical voltage and number of electrode. Increasing number of electrodes is increased shear flow, so swirling flow is increased. The swirling flows from aligned and staggered arrangements are affecting within the solid sample. When electrical voltage is increased, temperature distribution and convective heat transfer on the solid sample are significantly increased due to the electric force much stronger.

Keywords: electrohydrodynamics (EHD), swirling flow, convective heat transfer, solid sample

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Authors: Bhavini Pandya

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This paper considers Hη: T2 → T2 the Perturbed Cerbelli-Giona map. That is a family of 2-dimensional nonlinear area-preserving transformations on the torus T2=[0,1]×[0,1]= ℝ2/ ℤ2. A single parameter η varies between 0 and 1, taking the transformation from a hyperbolic toral automorphism to the “Cerbelli-Giona” map, a system known to exhibit multifractal properties. Here we study the multifractal properties of the family of maps. We apply a box-counting method by defining a grid of boxes Bi(δ), where i is the index and δ is the size of the boxes, to quantify the distribution of stable and unstable manifolds of the map. When the parameter is in the range 0.51< η <0.58 and 0.68< η <1 the map is ergodic; i.e., the unstable and stable manifolds eventually cover the whole torus, although not in a uniform distribution. For accurate numerical results we require correspondingly accurate construction of the stable and unstable manifolds. Here we use the piecewise linearity of the map to achieve this, by computing the endpoints of line segments which define the global stable and unstable manifolds. This allows the generalized fractal dimension Dq, and spectrum of dimensions f(α), to be computed with accuracy. Finally, the intersection of the unstable and stable manifold of the map will be investigated, and compared with the distribution of periodic points of the system.

Keywords: feed forward, gradient descent, neural network, integral equation

Procedia PDF Downloads 188

Authors: Ajai Singh

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Simulation of hydrological processes at the watershed outlet through modelling approach is essential for proper planning and implementation of appropriate soil conservation measures in Damodar Barakar catchment, Hazaribagh, India where soil erosion is a dominant problem. This study quantifies the parametric uncertainty involved in simulation of stream flow using Soil and Water Assessment Tool (SWAT), a watershed scale model and Radial Basis Neural Network (RBNN), an artificial neural network model. Both the models were calibrated and validated based on measured stream flow and quantification of the uncertainty in SWAT model output was assessed using ‘‘Sequential Uncertainty Fitting Algorithm’’ (SUFI-2). Though both the model predicted satisfactorily, but RBNN model performed better than SWAT with R2 and NSE values of 0.92 and 0.92 during training, and 0.71 and 0.70 during validation period, respectively. Comparison of the results of the two models also indicates a wider prediction interval for the results of the SWAT model. The values of P-factor related to each model shows that the percentage of observed stream flow values bracketed by the 95PPU in the RBNN model as 91% is higher than the P-factor in SWAT as 87%. In other words the RBNN model estimates the stream flow values more accurately and with less uncertainty. It could be stated that RBNN model based on simple input could be used for estimation of monthly stream flow, missing data, and testing the accuracy and performance of other models.

Keywords: SWAT, RBNN, SUFI 2, bootstrap technique, stream flow, simulation

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Authors: Brahim Berbaoui

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In this paper, a new particle swarm optimization (PSO) based method is proposed for the implantation of optimal harmonic power flow in power systems. In this algorithm approach, proportional integral controller for reference compensating currents of active power filter is performed in order to minimize the total harmonic distortion (THD). The simulation results show that the new control method using PSO approach is not only easy to be implanted, but also very effective in reducing the unwanted harmonics and compensating reactive power. The studies carried out have been accomplished using the MATLAB Simulink Power System Toolbox.

Keywords: shunt active power filter, power quality, current control, proportional integral controller, particle swarm optimization

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Authors: Hanmei Peng, Yiqun Wang, Mao Tan, Zhuocen Dai, Yongxin Su

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Efficient energy management in multi-microgrid distribution systems holds significant importance for enhancing the economic benefits of regional power grids. To better balance conflicts among various stakeholders, a two-stage game-based collaborative optimization approach is proposed in this paper, effectively addressing the realistic scenario involving both competition and collaboration among stakeholders. The first stage, aimed at maximizing individual benefits, involves constructing a non-cooperative tariff game model for the distribution network and surplus microgrid. In the second stage, considering power flow and physical line capacity constraints we establish a cooperative P2P game model for the multi-microgrid distribution system, and the optimization involves employing the Lagrange method of multipliers to handle complex constraints. Simulation results demonstrate that the proposed approach can effectively improve the system economics while harmonizing individual and collective rationality.

Keywords: cooperative game, collaborative optimization, multi-microgrid distribution system, non-cooperative game

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Authors: Jamileh Darsareh, Mohammad Nikafrooz

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Some teachers and e-content producers, based on their experiences, try to produce educational videos using screen recording software. There are many challenges that they may encounter while producing screen-recorded videos. These are in the domains of technical and pedagogical challenges like designing the roadmap, preparing the screen, setting the recording software and recording the screen, editing, etc. This study is a descriptive study and tries to present some procedures for producing acceptable and well-made videos. These procedures are presented in the form of an algorithm for producing screen-recorded video. This algorithm presents the main producing phases, including design, pre-production, production, post-production, and distribution. These phases consist of some steps which are supported by several technical and pedagogical considerations. Following these phases and steps according to the suggested order helps the producers to produce their intended and desired video by saving time and also facing fewer technical problems. It is expected that by using this algorithm, e-content producers and teachers gain better performance in producing educational videos.

Keywords: e-content producing algorithm, screen-recorded videos, screen recording software, technical and pedagogical considerations

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Authors: Xiaoyu Shen, Fang Fang, Chujun Qiu

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Herewith we present a Fourier method for credit risk quantification and allocation in the factor-copula model framework. The key insight is that, compared to directly computing the cumulative distribution function of the portfolio loss via Monte Carlo simulation, it is, in fact, more efficient to calculate the transformation of the distribution function in the Fourier domain instead and inverting back to the real domain can be done in just one step and semi-analytically, thanks to the popular COS method (with some adjustments). We also show that the Euler risk allocation problem can be solved in the same way since it can be transformed into the problem of evaluating a conditional cumulative distribution function. Once the conditional or unconditional cumulative distribution function is known, one can easily calculate various risk metrics. The proposed method not only fills the niche in literature, to the best of our knowledge, of accurate numerical methods for risk allocation but may also serve as a much faster alternative to the Monte Carlo simulation method for risk quantification in general. It can cope with various factor-copula model choices, which we demonstrate via examples of a two-factor Gaussian copula and a two-factor Gaussian-t hybrid copula. The fast error convergence is proved mathematically and then verified by numerical experiments, in which Value-at-Risk, Expected Shortfall, and conditional Expected Shortfall are taken as examples of commonly used risk metrics. The calculation speed and accuracy are tested to be significantly superior to the MC simulation for real-sized portfolios. The computational complexity is, by design, primarily driven by the number of factors instead of the number of obligors, as in the case of Monte Carlo simulation. The limitation of this method lies in the "curse of dimension" that is intrinsic to multi-dimensional numerical integration, which, however, can be relaxed with the help of dimension reduction techniques and/or parallel computing, as we will demonstrate in a separate paper. The potential application of this method has a wide range: from credit derivatives pricing to economic capital calculation of the banking book, default risk charge and incremental risk charge computation of the trading book, and even to other risk types than credit risk.

Keywords: credit portfolio, risk allocation, factor copula model, the COS method, Fourier method

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Authors: Amir Lotfi, Seyed Hamid Hosseini

Abstract:

During the recent past, due to the increase of electrical energy demand and governmental resources constraints in creating additional capacity in the generation, transmission, and distribution, privatization, and restructuring in electrical industry have been considered. So, in most of the countries, different parts of electrical industry like generation, transmission, and distribution have been separated in order to create competition. Considering these changes, environmental issues, energy growth, investment of private equity in energy generation units and difficulties of transmission lines expansion, distributed generation (DG) units have been used in power systems. Moreover, reduction in the need for transmission and distribution, the increase of reliability, improvement of power quality, and reduction of power loss have caused DG to be placed in power systems. On the other hand, considering low liquidity need, private investors tend to spend their money for DGs. In this project, the main goal is to offer an algorithm for planning and placing DGs in order to reduce the need for transmission and distribution network.

Keywords: planning, transmission, distributed generation, power security, power systems

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Authors: Wajih Abbassi, Zouhaier Ben Khelifa

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The present research points towards the empirical validation of three options valuation models, the ad-hoc Black-Scholes model as proposed by Berkowitz (2001), the constant elasticity of variance model of Cox and Ross (1976) and the Kou jump-diffusion model (2002). Our empirical analysis has been conducted on a sample of 26,974 options written on three indexes, the S&P 500, Nasdaq 100 and the Russell 2000 that were negotiated during the year 2007 just before the sub-prime crisis. We start by presenting the theoretical foundations of the models of interest. Then we use the technique of trust-region-reflective algorithm to estimate the structural parameters of these models from cross-section of option prices. The empirical analysis shows the superiority of the Kou jump-diffusion model. This superiority arises from the ability of this model to portray the behavior of market participants and to be closest to the true distribution that characterizes the evolution of these indices. Indeed the double-exponential distribution covers three interesting properties that are: the leptokurtic feature, the memory less property and the psychological aspect of market participants. Numerous empirical studies have shown that markets tend to have both overreaction and under reaction over good and bad news respectively. Despite of these advantages there are not many empirical studies based on this model partly because probability distribution and option valuation formula are rather complicated. This paper is the first to have used the technique of nonlinear curve-fitting through the trust-region-reflective algorithm and cross-section options to estimate the structural parameters of the Kou jump-diffusion model.

Keywords: jump-diffusion process, Kou model, Leptokurtic feature, trust-region-reflective algorithm, US index options

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Authors: M. V. Belubekyan, S. R. Martirosyan

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On the example of an elastic rectangular plate streamlined by a supersonic gas flow, we have investigated the phenomenon of divergence and of panel flatter of the overrunning of the gas flow at a free edge under assumption of the presence of concentrated inertial masses and moments at the free edge. We applied a new approach of finding of solution of these problems, which was developed based on the algorithm for an analytical solution finding. This algorithm is easy to use for theoretical studies for the wides circle of nonconservative problems of linear elastic stability. We have established the relation between the characteristics of natural vibrations of the plate and velocity of the streamlining gas flow, which enables one to draw some conclusions on the stability of disturbed motion of the plate depending on the parameters of the system plate-flow. Its solution shows that either the divergence or the localized divergence and the flutter instability are possible. The regions of the stability and instability in space of parameters of the problem are identified. We have investigated the dynamic behavior of the disturbed motion of the panel near the boundaries of region of the stability. The safe and dangerous boundaries of region of the stability are found. The transition through safe boundary of the region of the stability leads to the divergence or localized divergence arising in the vicinity of free edge of the rectangular plate. The transition through dangerous boundary of the region of the stability leads to the panel flutter. The deformations arising at the flutter are more dangerous to the skin of the modern aircrafts and rockets resulting to the loss of the strength and appearance of the fatigue cracks.

Keywords: stability, elastic plate, divergence, localized divergence, supersonic panels flutter

Procedia PDF Downloads 461