Search results for: fractional Black-Scholes equations

Authors: Ceren Vardar Acar, Mine Caglar

Abstract:

In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter H>1/2. The Black-Scholes model for the values of returns of an asset using fBm is given as, 〖Y_t=Y_0 e^((r+μ)t+σB)〗_t^H, 0≤t≤T where Y_0 is the initial value, r is constant interest rate, μ is constant drift and σ is constant diffusion coefficient of fBm, which is denoted by B_t^H where t≥0. Black-Scholes model can be constructed with some Markov processes such as Brownian motion. The advantage of modeling with fBm to Markov processes is its capability of exposing the dependence between returns. The real life data for a volatile asset display long-range dependence property. For this reason, using fBm is a more realistic model compared to Markov processes. Investors would be interested in any kind of information on the risk in order to manage it or hedge it. The maximum possible loss is one way to measure highest possible risk. Therefore, it is an important variable for investors. In our study, we give some theoretical bounds on the distribution of maximum possible loss of fBm. We provide both asymptotical and strong estimates for the tail probability of maximum loss of standard fBm and fBm with drift and diffusion coefficients. In the investment point of view, these results explain, how large values of possible loss behave and its bounds.

Keywords: maximum drawdown, maximum loss, fractional brownian motion, large deviation, Gaussian process

Procedia PDF Downloads 483

Authors: A. M. Sagir

Abstract:

This paper derived four newly schemes which are combined in order to form an accurate and efficient block method for parallel or sequential solution of third order ordinary differential equations of the form y^'''= f(x,y,y^',y^'' ), y(α)=y_0,〖y〗^' (α)=β,y^('' ) (α)=μ with associated initial or boundary conditions. The implementation strategies of the derived method have shown that the block method is found to be consistent, zero stable and hence convergent. The derived schemes were tested on stiff and non-stiff ordinary differential equations, and the numerical results obtained compared favorably with the exact solution.

Keywords: block method, hybrid, linear multistep, self-starting, third order ordinary differential equations

Procedia PDF Downloads 270

Authors: Melusi Khumalo, Anastacia Dlamini

Abstract:

In this paper, we consider a numerical solution for nonlinear Fredholm integral equations of the second kind. We work with uniform mesh and use the Lagrange polynomials together with the Galerkin finite element method, where the weight function is chosen in such a way that it takes the form of the approximate solution but with arbitrary coefficients. We implement the finite element method to the nonlinear Fredholm integral equations of the second kind. We consider the error analysis of the method. Furthermore, we look at a specific example to illustrate the implementation of the finite element method.

Keywords: finite element method, Galerkin approach, Fredholm integral equations, nonlinear integral equations

Procedia PDF Downloads 374

Authors: K. P. Mredula, D. C. Vakaskar

Abstract:

The article traces developments and evolution of various algorithms developed for solving partial differential equations using the significant combination of wavelet with few already explored solution procedures. The approach depicts a study over a decade of traces and remarks on the modifications in implementing multi-resolution of wavelet, finite difference approach, finite element method and finite volume in dealing with a variety of partial differential equations in the areas like plasma physics, astrophysics, shallow water models, modified Burger equations used in optical fibers, biology, fluid dynamics, chemical kinetics etc.

Keywords: multi-resolution, Haar Wavelet, partial differential equation, numerical methods

Procedia PDF Downloads 298

Authors: Archit Yajnik, Rustam Ali

Abstract:

In this paper, numerical method based on discrete GHM multiwavelets is presented for solving the Fredholm integral equations of second kind. There is hardly any article available in the literature in which the integral equations are numerically solved using discrete GHM multiwavelet. A number of examples are demonstrated to justify the applicability of the method. In GHM multiwavelets, the values of scaling and wavelet functions are calculated only at t = 0, 0.5 and 1. The numerical solution obtained by the present approach is compared with the traditional Quadrature method. It is observed that the present approach is more accurate and computationally efficient as compared to quadrature method.

Keywords: GHM multiwavelet, fredholm integral equations, quadrature method, function approximation

Procedia PDF Downloads 461

Authors: Ranjith Maniyeri, Ahamed C. Saleel

Abstract:

Two-dimensional fluid flow over a stationary circular cylinder is one of the bench mark problem in the field of fluid-structure interaction in computational fluid dynamics (CFD). Motivated by this, in the present work, a two-dimensional computational model is developed using an improved version of immersed boundary method which combines the feedback forcing scheme of the virtual boundary method with Peskin’s regularized delta function approach. Lagrangian coordinates are used to represent the cylinder and Eulerian coordinates are used to describe the fluid flow. A two-dimensional Dirac delta function is used to transfer the quantities between the sold to fluid domain. Further, continuity and momentum equations governing the fluid flow are solved using fractional step based finite volume method on a staggered Cartesian grid system. The developed code is validated by comparing the values of drag coefficient obtained for different Reynolds numbers with that of other researcher’s results. Also, through numerical simulations for different Reynolds numbers flow behavior is well captured. The stability analysis of the improved version of immersed boundary method is tested for different values of feedback forcing coefficients.

Keywords: Feedback Forcing Scheme, Finite Volume Method, Immersed Boundary Method, Navier-Stokes Equations

Procedia PDF Downloads 303

Authors: Minas Balyan

Abstract:

Nowadays X-ray nonlinear diffraction and nonlinear effects are investigated due to the presence of the third generation synchrotron sources and XFELs. X-ray third order nonlinear dynamical diffraction is considered as well. Using the nonlinear model of the usual visible light optics the third-order nonlinear Takagi’s equations for monochromatic waves and the third-order nonlinear time-dependent dynamical diffraction equations for X-ray pulses are obtained by the author in previous papers. The obtained equations show, that even if the Fourier-coefficients of the linear and the third order nonlinear susceptibilities are zero (forbidden reflection), the dynamical diffraction in the nonlinear case is related to the presence in the nonlinear equations the terms proportional to the zero order and the second order nonzero Fourier coefficients of the third order nonlinear susceptibility. Thus, in the third order nonlinear Bragg diffraction case a nonlinear analogue of the well-known Renninger effect takes place. In this work, the 'third order nonlinear Renninger effect' is considered theoretically.

Keywords: Bragg diffraction, nonlinear Takagi’s equations, nonlinear Renninger effect, third order nonlinearity

Procedia PDF Downloads 384

Authors: Farid Nouioua, Abdelouaheb Ardjouni

Abstract:

In this article, we study the existence of positive periodic solutions of certain delay differential equations. In the process we convert the differential equation into an equivalent integral equation after which appropriate mappings are constructed. We then employ Krasnoselskii's fixed point theorem to obtain sufficient conditions for the existence of a positive periodic solution of the differential equation. The obtained results improve and extend the results in the literature. Finally, an example is given to illustrate our results.

Keywords: delay differential equations, positive periodic solutions, integral equations, Krasnoselskii fixed point theorem

Procedia PDF Downloads 437

Authors: Fernando Maass, Pablo Martin, Jorge Olivares

Abstract:

The Bessel function J₀(x) is very important in Electrodynamics and Physics, as well as its zeros. In this work, a method to obtain high accuracy approximation is presented through an application to that function. In most of the applications of this function, the values of the zeros are very important. In this work, analytic approximations for this function have been obtained valid for all positive values of the variable x, which have high accuracy for the function as well as for the zeros. The approximation is determined by the simultaneous used of the power series and asymptotic expansion. The structure of the approximation is a combination of two rational functions with elementary functions as trigonometric and fractional powers. Here us in Pade method, rational functions are used, but now there combined with elementary functions us fractional powers hyperbolic or trigonometric functions, and others. The reason of this is that now power series of the exact function are used, but together with the asymptotic expansion, which usually includes fractional powers trigonometric functions and other type of elementary functions. The approximation must be a bridge between both expansions, and this can not be accomplished using only with rational functions. In the simplest approximation using 4 parameters the maximum absolute error is less than 0.006 at x ∼ 4.9. In this case also the maximum relative error for the zeros is less than 0.003 which is for the second zero, but that value decreases rapidly for the other zeros. The same kind of behaviour happens for the relative error of the maximum and minimum of the functions. Approximations with higher accuracy and more parameters will be also shown. All the approximations are valid for any positive value of x, and they can be calculated easily.

Keywords: analytic approximations, asymptotic approximations, Bessel functions, quasirational approximations

Procedia PDF Downloads 250

Authors: T. Bouchabchoub, A. Bendahmane, A. Haouriqui, N. Attou

Abstract:

This paper presents simulation results of Forex predicting model equations in order to give approximately a prevision of interest rates. First, Hall-Taylor (HT) equations have been used with Taylor rule (TR) to adapt them to European and American Forex Markets. Indeed, initial Taylor Rule equation is conceived for all Forex transactions in every States: It includes only one equation and six parameters. Here, the model has been used with Hall-Taylor equations, initially including twelve equations which have been reduced to only three equations. Analysis has been developed on the following base macroeconomic variables: Real change rate, investment wages, anticipated inflation, realized inflation, real production, interest rates, gap production and potential production. This model has been used to specifically study the impact of an inflation shock on macroeconomic director interest rates.

Keywords: interest rate, Forex, Taylor rule, production, European Central Bank (ECB), Federal Reserve System (FED).

Procedia PDF Downloads 526

Authors: Adetunji A. Adeyanju., Mathew O. Omeike, Johnson O. Adeniran, Biodun S. Badmus

Abstract:

In this paper, we discuss certain conditions for uniform asymptotic stability and uniform ultimate boundedness of solutions to some systems of Aizermann-type of differential equations by means of second method of Lyapunov. In achieving our goal, some Lyapunov functions are constructed to serve as basic tools. The stability results in this paper, extend some stability results for some Aizermann-type of differential equations found in literature. Also, we prove some results on uniform boundedness and uniform ultimate boundedness of solutions of systems of equations study.

Keywords: Aizermann, boundedness, first order, Lyapunov function, stability

Procedia PDF Downloads 83

Authors: Zuhier Altawallbeh

Abstract:

This paper investigates the approximate analytical solutions of general form of Volterra integro-differential equations system by using the residual power series method (for short RPSM). The proposed method produces the solutions in terms of convergent series requires no linearization or small perturbation and reproduces the exact solution when the solution is polynomial. Some examples are given to demonstrate the simplicity and efficiency of the proposed method. Comparisons with the Laplace decomposition algorithm verify that the new method is very effective and convenient for solving system of pantograph equations.

Keywords: integro-differential equation, pantograph equations, system of initial value problems, residual power series method

Procedia PDF Downloads 418

Authors: Mustafa Ekici

Abstract:

Natural convection is a basic process which is important in a wide variety of practical applications. In essence, a heated fluid expands and rises from buoyancy due to decreased density. Numerous papers have been written on natural or mixed convection in vertical ducts heated on the side. These equations have been proved to be valuable tools for the modelling of many phenomena such as fluid dynamics. Finding solutions to such equations or system of equations are in general not an easy task. We propose a method, which is called differential transform method, of solving a non-linear equations and compare the results with some of the other techniques. Illustrative examples shows that the results are in good agreement.

Keywords: differential transform method, momentum, energy equation, boundry value problem

Procedia PDF Downloads 460

Authors: Meziane Belkacem

Abstract:

We aim at converting the original 3D Lorenz-Haken equations, which describe laser dynamics –in terms of self-pulsing and chaos- into 2-second-order differential equations, out of which we extract the so far missing mathematics and corroborations with respect to nonlinear interactions. Leaning on basic trigonometry, we pull out important outcomes; a fundamental result attributes chaos to forbidden periodic solutions inside some precisely delimited region of the control parameter space that governs the bewildering dynamics.

Keywords: Physics, optics, nonlinear dynamics, chaos

Procedia PDF Downloads 155

Authors: Andriy Didenko, Zanin Kavazovic

Abstract:

Engineering students often have certain difficulties in mastering major theoretical concepts in mathematical courses such as differential equations. Student projects were proposed to motivate students’ learning and can be used as a tool to promote students’ interest in the material. Authors propose a student project that includes the use of Microsoft Excel. This instructional tool is often overlooked by both educators and students. An integral component of the experimental part of such a project is the exploration of an interactive spreadsheet. The aim is to assist engineering students in better understanding of Euler’s method. This method is employed to numerically solve first order differential equations. At first, students are invited to select classic equations from a list presented in a form of a drop-down menu. For each of these equations, students can select and modify certain key parameters and observe the influence of initial condition on the solution. This will give students an insight into the behavior of the method in different configurations as solutions to equations are given in numerical and graphical forms. Further, students could also create their own equations by providing functions of their own choice and a variety of initial conditions. Moreover, they can visualize and explore the impact of the length of the time step on the convergence of a sequence of numerical solutions to the exact solution of the equation. As a final stage of the project, students are encouraged to develop their own spreadsheets for other numerical methods and other types of equations. Such projects promote students’ interest in mathematical applications and further improve their mathematical and programming skills.

Keywords: student project, Euler's method, spreadsheet, engineering education

Procedia PDF Downloads 133

Authors: Gaspar J. Machado, Stéphane Clain, Raphael Loubère

Abstract:

The goal of the present work is to numerically study steady-state nonlinear hyperbolic equations in the context of the finite volume framework. We will consider the unidimensional Burgers' equation as the reference case for the scalar situation and the unidimensional Euler equations for the vectorial situation. We consider two approaches to solve the nonlinear equations: a time marching algorithm and a direct steady-state approach. We first develop the necessary and sufficient conditions to obtain the existence and unicity of the solution. We treat regular examples and solutions with a steady shock and to provide very-high-order finite volume approximations we implement a method based on the MOOD technology (Multi-dimensional Optimal Order Detection). The main ingredient consists in using an 'a posteriori' limiting strategy to eliminate non physical oscillations deriving from the Gibbs phenomenon while keeping a high accuracy for the smooth part.

Keywords: Euler equations, finite volume, MOOD, steady-state

Procedia PDF Downloads 275

Authors: Fakhreddin Abedi, Wah June Leong

Abstract:

Exponential stability of stochastic differential equations with non trivial solutions is provided in terms of Lyapunov functions. The main result of this paper establishes that, under certain hypotheses for the dynamics f(.) and g(.), practical exponential stability in probability at the small neighborhood of the origin is equivalent to the existence of an appropriate Lyapunov function. Indeed, we establish exponential stability of stochastic differential equation when almost all the state trajectories are bounded and approach a sufficiently small neighborhood of the origin. We derive sufficient conditions for exponential stability of stochastic differential equations. Finally, we give a numerical example illustrating our results.

Keywords: exponential stability in probability, stochastic differential equations, Lyapunov technique, Ito's formula

Procedia PDF Downloads 50

Authors: Zahid Ullah, Atlas Khan

Abstract:

This research endeavors to explore the regularity properties associated with a specific class of equations, namely extremely degenerate elliptic equations. These equations hold significance in understanding complex physical systems like porous media flow, with applications spanning various branches of mathematics. The focus is on unraveling and analyzing regularity results to gain insights into the smoothness of solutions for these highly degenerate equations. Elliptic equations, fundamental in expressing and understanding diverse physical phenomena through partial differential equations (PDEs), are particularly adept at modeling steady-state and equilibrium behaviors. However, within the realm of elliptic equations, the subset of extremely degenerate cases presents a level of complexity that challenges traditional analytical methods, necessitating a deeper exploration of mathematical theory. While elliptic equations are celebrated for their versatility in capturing smooth and continuous behaviors across different disciplines, the introduction of degeneracy adds a layer of intricacy. Extremely degenerate elliptic equations are characterized by coefficients approaching singular behavior, posing non-trivial challenges in establishing classical solutions. Still, the exploration of extremely degenerate cases remains uncharted territory, requiring a profound understanding of mathematical structures and their implications. The motivation behind this research lies in addressing gaps in the current understanding of regularity properties within solutions to extremely degenerate elliptic equations. The study of extreme degeneracy is prompted by its prevalence in real-world applications, where physical phenomena often exhibit characteristics defying conventional mathematical modeling. Whether examining porous media flow or highly anisotropic materials, comprehending the regularity of solutions becomes crucial. Through this research, the aim is to contribute not only to the theoretical foundations of mathematics but also to the practical applicability of mathematical models in diverse scientific fields.

Keywords: elliptic equations, extremely degenerate, regularity results, partial differential equations, mathematical modeling, porous media flow

Procedia PDF Downloads 71

Authors: Davood Yazdani Cherati, Hussein Hashemi Senejani

Abstract:

In this paper, a convenient analytical solution for a system of coupled differential equations, derived from thermo-hydro-mechanical analysis of three-phase porous media such as unsaturated soils is developed. This kind of analysis can be used in various fields such as geothermal energy systems and seepage of leachate from buried municipal and domestic waste in geomaterials. Initially, a system of coupled differential equations, including energy, mass, and momentum conservation equations is considered, and an analytical method called AGM is employed to solve the problem. The method is straightforward and comprehensible and can be used to solve various nonlinear partial differential equations (PDEs). Results indicate the accuracy of the applied method for solving nonlinear partial differential equations.

Keywords: AGM, analytical solution, porous media, thermo-hydro-mechanical, unsaturated soils

Procedia PDF Downloads 228

Authors: Jessada Tariboon

Abstract:

In this article, using distribution kernel, we study the nonlinear equations with n-dimensional telegraph operator iterated k-times.

Keywords: telegraph operator, elementary solution, distribution kernel, nonlinear equations

Procedia PDF Downloads 489

Authors: Y. N. Reddy

Abstract:

The class of differential-difference equations which have characteristics of both classes, i.e., delay/advance and singularly perturbed behaviour is known as singularly perturbed differential-difference equations. The expression ‘positive shift’ and ‘negative shift’ are also used for ‘advance’ and ‘delay’ respectively. In general, an ordinary differential equation in which the highest order derivative is multiplied by a small positive parameter and containing at least one delay/advance is known as singularly perturbed differential-difference equation. Singularly perturbed differential-difference equations arise in the modelling of various practical phenomena in bioscience, engineering, control theory, specifically in variational problems, in describing the human pupil-light reflex, in a variety of models for physiological processes or diseases and first exit time problems in the modelling of the determination of expected time for the generation of action potential in nerve cells by random synaptic inputs in dendrites. In this paper, we envisage the use of Liouville Green Transformation to find the solution of singularly perturbed differential difference equations. First, using Taylor series, the given singularly perturbed differential difference equation is approximated by an asymptotically equivalent singularly perturbation problem. Then the Liouville Green Transformation is applied to get the solution. Several model examples are solved, and the results are compared with other methods. It is observed that the present method gives better approximate solutions.

Keywords: difference equations, differential equations, singular perturbations, boundary layer

Procedia PDF Downloads 198

Authors: Alireza Abbasi Moshaii, Shaghayegh Nasiri, Mehdi Tale Masouleh

Abstract:

The main purpose of this study is static analysis of two three-degree of freedom parallel mechanisms: 3-RCC and 3-RRS. Geometry of these mechanisms is expressed and static equilibrium equations are derived for the whole chains. For these mechanisms due to the equal number of equations and unknowns, the solution is as same as 3-RCC mechanism. Mathematical software is used to solve the equations. In order to prove the results obtained from solving the equations of mechanisms, their CAD model has been simulated and their static is analysed in ADAMS software. Due to symmetrical geometry of the mechanisms, the force and external torque acting on the end-effecter have been considered asymmetric to prove the generality of the solution method. Finally, the results of both softwares, for both mechanisms are extracted and compared as graphs. The good achieved comparison between the results indicates the accuracy of the analysis.

Keywords: robotic, static analysis, 3-RCC, 3-RRS

Procedia PDF Downloads 382

Authors: Lizhou Chen, Abdelhamid Belgaid, Assem Elsayed, Xiaoming Yang

Abstract:

Compression index is essential in foundation settlement calculation. The traditional method for determining compression index is consolidation test which is expensive and time consuming. Many researchers have used regression methods to develop empirical equations for predicting compression index from soil properties. Based on a large number of compression index data collected from consolidation tests, the accuracy of some popularly empirical equations were assessed. It was found that primary compression index is significantly overestimated in some equations while it is underestimated in others. The sensitivity analyses of soil parameters including water content, liquid limit and void ratio were performed. The results indicate that the compression index obtained from void ratio is most accurate. The ANOVA (analysis of variance) demonstrates that the equations with multiple soil parameters cannot provide better predictions than the equations with single soil parameter. In other words, it is not necessary to develop the relationships between compression index and multiple soil parameters. Meanwhile, it was noted that secondary compression index is approximately 0.7-5.0% of primary compression index with an average of 2.0%. In the end, the proposed prediction equations using power regression technique were provided that can provide more accurate predictions than those from existing equations.

Keywords: compression index, clay, settlement, consolidation, secondary compression index, soil parameter

Procedia PDF Downloads 159

Authors: N. Ghatwary, A. Ahmed, H. Jalab

Abstract:

In this paper, an approach for the liver tumor detection in computed tomography (CT) images is represented. The detection process is based on classifying the features of target liver cell to either tumor or non-tumor. Fractional differential (FD) is applied for enhancement of Liver CT images, with the aim of enhancing texture and edge features. Later on, a fusion method is applied to merge between the various enhanced images and produce a variety of feature improvement, which will increase the accuracy of classification. Each image is divided into NxN non-overlapping blocks, to extract the desired features. Support vector machines (SVM) classifier is trained later on a supplied dataset different from the tested one. Finally, the block cells are identified whether they are classified as tumor or not. Our approach is validated on a group of patients’ CT liver tumor datasets. The experiment results demonstrated the efficiency of detection in the proposed technique.

Keywords: fractional differential (FD), computed tomography (CT), fusion, aplha, texture features.

Procedia PDF Downloads 357

Authors: A. S. Gorobtsov, A. S. Polyanina, A. E. Andreev

Abstract:

The movement of points feet of the anthropomorphous robot in space occurs along some stable trajectory of a known form. A large number of modifications to the methods of control of biped robots indicate the fundamental complexity of the problem of stability of the program trajectory and, consequently, the stability of the control for the deviation for this trajectory. Existing gait generators use piecewise interpolation of program trajectories. This leads to jumps in the acceleration at the boundaries of sites. Another interpolation can be realized using differential equations with fractional derivatives. In work, the approach to synthesis of generators of program trajectories is considered. The resulting system of nonlinear differential equations describes a smooth trajectory of movement having rectilinear sites. The method is based on the theory of an asymptotic stability of invariant sets. The stability of such systems in the area of localization of oscillatory processes is investigated. The boundary of the area is a bounded closed surface. In the corresponding subspaces of the oscillatory circuits, the resulting stable limit cycles are curves having rectilinear sites. The solution of the problem is carried out by means of synthesis of a set of the continuous smooth controls with feedback. The necessary geometry of closed trajectories of movement is obtained due to the introduction of high-order nonlinearities in the control of stabilization systems. The offered method was used for the generation of trajectories of movement of point’s feet of the anthropomorphous robot. The synthesis of the robot's program movement was carried out by means of the inverse method.

Keywords: control, limits cycle, robot, stability

Procedia PDF Downloads 331

Authors: Elvis Adam Alhassan, Kaiyu Tian, Akos Konadu, Ernest Zamanah, Michael Jackson Adjabui, Ibrahim Justice Musah, Esther Agyeiwaa Owusu, Emmanuel K. A. Agyeman

Abstract:

In this paper, how to solve simultaneous equations using the Elvis improved method is shown. The Elvis improved method says; to make one variable in the first equation the subject; make the same variable in the second equation the subject; equate the results and simplify to obtain the value of the unknown variable; put the value of the variable found into one equation from the first or second steps and simplify for the remaining unknown variable. The difference between our Elvis improved method and the substitution method is that: with Elvis improved method, the same variable is made the subject in both equations, and the two resulting equations equated, unlike the substitution method where one variable is made the subject of only one equation and substituted into the other equation. After describing the Elvis improved method, findings from 100 secondary students and the views of 5 secondary tutors to demonstrate the effectiveness of the method are presented. The study's purpose is proved by hypothetical examples.

Keywords: simultaneous equations, substitution method, elimination method, graphical method, Elvis improved method

Procedia PDF Downloads 134

Authors: Arun Goel

Abstract:

Prediction of maximum local scour is necessary for the safety and economical design of the bridges. A number of equations have been developed over the years to predict local scour depth using laboratory data and a few pier equations have also been proposed using field data. Most of these equations are empirical in nature as indicated by the past publications. In this paper, attempts have been made to compute local depth of scour around bridge pier in dimensional and non-dimensional form by using linear regression, simple regression and SVM (Poly and Rbf) techniques along with few conventional empirical equations. The outcome of this study suggests that the SVM (Poly and Rbf) based modeling can be employed as an alternate to linear regression, simple regression and the conventional empirical equations in predicting scour depth of bridge piers. The results of present study on the basis of non-dimensional form of bridge pier scour indicates the improvement in the performance of SVM (Poly and Rbf) in comparison to dimensional form of scour.

Keywords: modeling, pier scour, regression, prediction, SVM (Poly and Rbf kernels)

Procedia PDF Downloads 451

Authors: M. Y. Waziri, M. A. Aliyu

Abstract:

The paper proposes an approach to improve the performance of Broyden’s method for solving systems of nonlinear equations. In this work, we consider the information from two preceding iterates rather than a single preceding iterate to update the Broyden’s matrix that will produce a better approximation of the Jacobian matrix in each iteration. The numerical results verify that the proposed method has clearly enhanced the numerical performance of Broyden’s Method.

Keywords: mulit-step Broyden, nonlinear systems of equations, computational efficiency, iterate

Procedia PDF Downloads 637

Authors: A. Boulanoir, B. Ould Bouamama, A. Debiane, N. Achour

Abstract:

The paper deals with robust Fault Detection and isolation with respect to parameter uncertainties based on linear fractional transformation form (LFT) Bond graph. The innovative interest of the proposed methodology is the use only one representation for systematic generation of robust analytical redundancy relations and adaptive residual thresholds for sensibility analysis. Furthermore, the parameter uncertainties are introduced graphically in the bond graph model. The methodology applied to the nonlinear industrial Electro-Mechanical Actuators (EMA) used in avionic systems, has determined first the structural monitorability analysis (which component can be monitored) with given instrumentation architecture with any need of complex calculation and secondly robust fault indicators for online supervision.

Keywords: bond graph (BG), electro mechanical actuators (EMA), fault detection and isolation (FDI), linear fractional transformation (LFT), mechatronic systems, parameter uncertainties, avionic system

Procedia PDF Downloads 348

Authors: Kohei Inoue, Kenji Hara, Kiichi Urahama

Abstract:

We describe a relationship between integral images and differential images. First, we derive a simple difference filter from conventional integral image. In the derivation, we show that an integral image and the corresponding differential image are related to each other by simultaneous linear equations, where the numbers of unknowns and equations are the same, and therefore, we can execute the integration and differentiation by solving the simultaneous equations. We applied the relationship to an image fusion problem, and experimentally verified the effectiveness of the proposed method.

Keywords: integral images, differential images, differential filters, image fusion

Procedia PDF Downloads 505