Search results for: optimal filtering method particle filter
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 10042

Search results for: optimal filtering method particle filter

9742 Determining Optimal Production Plan by Revised Surrogate Worth Trade-off Method

Authors: Tunjo Peric, Zoran Babic

Abstract:

The authors of this work indicate by means of a concrete example that it is possible to apply efficaciously the method of multiple criteria programming in dealing with the problem of determining the optimal production plan for a certain period of time. The work presents: (1) the selection of optimization criteria, (2) the setting of the problem of determining an optimal production plan, (3) the setting of the model of multiple criteria programming in finding a solution to a given problem, (4) the revised surrogate trade-off method, (5) generalized multicriteria model for solving production planning problem and problem of choosing technological variants in the metal manufacturing industry. In the final part of this work the authors reflect on the application of the method of multiple criteria programming while determining the optimal production plan in manufacturing enterprises.

Keywords: multi-criteria programming, production planning, technological variant, Surrogate Worth Trade-off Method.

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9741 Hybrid Optimization of Emission and Economic Dispatch by the Sigmoid Decreasing Inertia Weight Particle Swarm Optimization

Authors: Joko Pitono, Adi Soeprijanto, Takashi Hiyama

Abstract:

This paper present an efficient and reliable technique of optimization which combined fuel cost economic optimization and emission dispatch using the Sigmoid Decreasing Inertia Weight Particle Swarm Optimization algorithm (PSO) to reduce the cost of fuel and pollutants resulting from fuel combustion by keeping the output of generators, bus voltages, shunt capacitors and transformer tap settings within the security boundary. The performance of the proposed algorithm has been demonstrated on IEEE 30-bus system with six generating units. The results clearly show that the proposed algorithm gives better and faster speed convergence then linearly decreasing inertia weight.

Keywords: Optimal Power Flow, Combined Economic Emission Dispatch, Sigmoid decreasing Inertia Weight, Particle Swarm Optimization.

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9740 Analysis of Self Excited Induction Generator using Particle Swarm Optimization

Authors: Hassan E. A. Ibrahim, Mohamed F. Serag

Abstract:

In this paper, Novel method, Particle Swarm Optimization (PSO) algorithm, based technique is proposed to estimate and analyze the steady state performance of self-excited induction generator (SEIG). In this novel method the tedious job of deriving the complex coefficients of a polynomial equation and solving it, as in previous methods, is not required. By comparing the simulation results obtained by the proposed method with those obtained by the well known mathematical methods, a good agreement between these results is obtained. The comparison validates the effectiveness of the proposed technique.

Keywords: Evolution theory, MATLAB, optimization, PSO, SEIG.

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9739 New Efficient Iterative Optimization Algorithm to Design the Two Channel QMF Bank

Authors: Ram Kumar Soni, Alok Jain, Rajiv Saxena

Abstract:

This paper proposes an efficient method for the design of two channel quadrature mirror filter (QMF) bank. To achieve minimum value of reconstruction error near to perfect reconstruction, a linear optimization process has been proposed. Prototype low pass filter has been designed using Kaiser window function. The modified algorithm has been developed to optimize the reconstruction error using linear objective function through iteration method. The result obtained, show that the performance of the proposed algorithm is better than that of the already exists methods.

Keywords: Filterbank, near perfect reconstruction, Kaiserwindow, QMF.

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9738 A Robust Method for Hand Tracking Using Mean-shift Algorithm and Kalman Filter in Stereo Color Image Sequences

Authors: Mahmoud Elmezain, Ayoub Al-Hamadi, Robert Niese, Bernd Michaelis

Abstract:

Real-time hand tracking is a challenging task in many computer vision applications such as gesture recognition. This paper proposes a robust method for hand tracking in a complex environment using Mean-shift analysis and Kalman filter in conjunction with 3D depth map. The depth information solve the overlapping problem between hands and face, which is obtained by passive stereo measuring based on cross correlation and the known calibration data of the cameras. Mean-shift analysis uses the gradient of Bhattacharyya coefficient as a similarity function to derive the candidate of the hand that is most similar to a given hand target model. And then, Kalman filter is used to estimate the position of the hand target. The results of hand tracking, tested on various video sequences, are robust to changes in shape as well as partial occlusion.

Keywords: Computer Vision and Image Analysis, Object Tracking, Gesture Recognition.

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9737 A Comparison of Shunt Active Power Filter Control Methods under Non-Sinusoidal and Unbalanced Voltage Conditions

Authors: H. Abaali, M. T. Lamchich, M. Raoufi

Abstract:

There are a variety of reference current identification methods, for the shunt active power filter (SAPF), such as the instantaneous active and reactive power, the instantaneous active and reactive current and the synchronous detection method are evaluated and compared under ideal, non sinusoidal and unbalanced voltage conditions. The SAPF performances, for the investigated identification methods, are tested for a non linear load. The simulation results, using Matlab Power System Blockset Toolbox from a complete structure, are presented and discussed.

Keywords: Shunt active power filter, Current perturbation, Non sinusoidal and unbalanced voltage conditions.

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9736 Statistical Approach to Basis Function Truncation in Digital Interpolation Filters

Authors: F. Castillo, J. Arellano, S. Sánchez

Abstract:

In this paper an alternative analysis in the time domain is described and the results of the interpolation process are presented by means of functions that are based on the rule of conditional mathematical expectation and the covariance function. A comparison between the interpolation error caused by low order filters and the classic sinc(t) truncated function is also presented. When fewer samples are used, low-order filters have less error. If the number of samples increases, the sinc(t) type functions are a better alternative. Generally speaking there is an optimal filter for each input signal which depends on the filter length and covariance function of the signal. A novel scheme of work for adaptive interpolation filters is also presented.

Keywords: Interpolation, basis function, over-sampling.

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9735 Comparing the Performance of the Particle Swarm Optimization and the Genetic Algorithm on the Geometry Design of Longitudinal Fin

Authors: Hassan Azarkish, Said Farahat, S.Masoud H. Sarvari

Abstract:

In the present work, the performance of the particle swarm optimization and the genetic algorithm compared as a typical geometry design problem. The design maximizes the heat transfer rate from a given fin volume. The analysis presumes that a linear temperature distribution along the fin. The fin profile generated using the B-spline curves and controlled by the change of control point coordinates. An inverse method applied to find the appropriate fin geometry yield the linear temperature distribution along the fin corresponds to optimum design. The numbers of the populations, the count of iterations and time to convergence measure efficiency. Results show that the particle swarm optimization is most efficient for geometry optimization.

Keywords: Genetic Algorithm, Geometry Optimization, longitudinal Fin, Particle Swarm Optimization

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9734 Artificial Neural Networks Application to Improve Shunt Active Power Filter

Authors: Rachid.Dehini, Abdesselam.Bassou, Brahim.Ferdi

Abstract:

Active Power Filters (APFs) are today the most widely used systems to eliminate harmonics compensate power factor and correct unbalanced problems in industrial power plants. We propose to improve the performances of conventional APFs by using artificial neural networks (ANNs) for harmonics estimation. This new method combines both the strategies for extracting the three-phase reference currents for active power filters and DC link voltage control method. The ANNs learning capabilities to adaptively choose the power system parameters for both to compute the reference currents and to recharge the capacitor value requested by VDC voltage in order to ensure suitable transit of powers to supply the inverter. To investigate the performance of this identification method, the study has been accomplished using simulation with the MATLAB Simulink Power System Toolbox. The simulation study results of the new (SAPF) identification technique compared to other similar methods are found quite satisfactory by assuring good filtering characteristics and high system stability.

Keywords: Artificial Neural Networks (ANN), p-q theory, (SAPF), Harmonics, Total Harmonic Distortion.

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9733 Stochastic Control of Decentralized Singularly Perturbed Systems

Authors: Walid S. Alfuhaid, Saud A. Alghamdi, John M. Watkins, M. Edwin Sawan

Abstract:

Designing a controller for stochastic decentralized interconnected large scale systems usually involves a high degree of complexity and computation ability. Noise, observability, and controllability of all system states, connectivity, and channel bandwidth are other constraints to design procedures for distributed large scale systems. The quasi-steady state model investigated in this paper is a reduced order model of the original system using singular perturbation techniques. This paper results in an optimal control synthesis to design an observer based feedback controller by standard stochastic control theory techniques using Linear Quadratic Gaussian (LQG) approach and Kalman filter design with less complexity and computation requirements. Numerical example is given at the end to demonstrate the efficiency of the proposed method.

Keywords: Decentralized, optimal control, output, singular perturb.

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9732 Adaptive Filtering of Heart Rate Signals for an Improved Measure of Cardiac Autonomic Control

Authors: Desmond B. Keenan, Paul Grossman

Abstract:

In order to provide accurate heart rate variability indices of sympathetic and parasympathetic activity, the low frequency and high frequency components of an RR heart rate signal must be adequately separated. This is not always possible by just applying spectral analysis, as power from the high and low frequency components often leak into their adjacent bands. Furthermore, without the respiratory spectra it is not obvious that the low frequency component is not another respiratory component, which can appear in the lower band. This paper describes an adaptive filter, which aids the separation of the low frequency sympathetic and high frequency parasympathetic components from an ECG R-R interval signal, enabling the attainment of more accurate heart rate variability measures. The algorithm is applied to simulated signals and heart rate and respiratory signals acquired from an ambulatory monitor incorporating single lead ECG and inductive plethysmography sensors embedded in a garment. The results show an improvement over standard heart rate variability spectral measurements.

Keywords: Heart rate variability, vagal tone, sympathetic, parasympathetic, spectral analysis, adaptive filter.

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9731 Particle Swarm Optimization with Interval-valued Genotypes and Its Application to Neuroevolution

Authors: Hidehiko Okada

Abstract:

The author proposes an extension of particle swarm optimization (PSO) for solving interval-valued optimization problems and applies the extended PSO to evolutionary training of neural networks (NNs) with interval weights. In the proposed PSO, values in the genotypes are not real numbers but intervals. Experimental results show that interval-valued NNs trained by the proposed method could well approximate hidden target functions despite the fact that no training data was explicitly provided.

Keywords: Evolutionary algorithms, swarm intelligence, particle swarm optimization, neural network, interval arithmetic.

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9730 Design of Optimal Proportional Integral Derivative Attitude Controller for an Uncoupled Flexible Satellite Using Particle Swarm Optimization

Authors: Martha C. Orazulume, Jibril D. Jiya

Abstract:

Flexible satellites are equipped with various appendages which vibrate under the influence of any excitation and make the attitude of the satellite to be unstable. Therefore, the system must be able to adjust to balance the effect of these appendages in order to point accurately and satisfactorily which is one of the most important problems in satellite design. Proportional Integral Derivative (PID) Controller is simple to design and computationally efficient to implement which is used to stabilize the effect of these flexible appendages. However, manual turning of the PID is time consuming, waste energy and money. Particle Swarm Optimization (PSO) is used to tune the parameters of PID Controller. Simulation results obtained show that PSO tuned PID Controller is able to re-orient the spacecraft attitude as well as dampen the effect of mechanical resonance and yields better performance when compared with manually tuned PID Controller.

Keywords: Attitude control, flexible satellite, particle swarm optimization, PID controller.

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9729 Current-Mode Resistorless SIMO Universal Filter and Four-Phase Quadrature Oscillator

Authors: Jie Jin

Abstract:

In this paper, a new CMOS current-mode single input and multi-outputs (SIMO) universal filter and quadrature oscillator with a similar circuit are proposed. The circuits only consist of three Current differencing transconductance amplifiers (CDTA) and two grounded capacitors, which are resistorless, and they are suitable for monolithic integration. The universal filter uses minimum CDTAs and passive elements to realize SIMO type low-pass (LP), high-pass (HP), band-pass (BP) band-stop (BS) and all-pass (AP) filter functions simultaneously without any component matching conditions. The angular frequency (ω0) and the quality factor (Q) of the proposed filter can be electronically controlled and tuned orthogonal. By some modifications of the filter, a new current-mode four-phase quadrature oscillator (QO) can be obtained easily. The condition of oscillation (CO) and frequency of oscillation (FO) of the QO can be controlled electronically and independently through the bias current of the CDTAs, and it is suitable for variable frequency oscillator. Moreover, all the passive and active sensitivities of the circuits are low. SPICE simulation results are included to confirm the theory.

Keywords: Universal Filter, Quadrature Oscillator, Current mode, Current differencing transconductance amplifiers.

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9728 Modeling of Cross Flow Classifier with Water Injection

Authors: E. Pikushchak, J. Dueck, L. Minkov

Abstract:

In hydrocyclones, the particle separation efficiency is limited by the suspended fine particles, which are discharged with the coarse product in the underflow. It is well known that injecting water in the conical part of the cyclone reduces the fine particle fraction in the underflow. This paper presents a mathematical model that simulates the water injection in the conical component. The model accounts for the fluid flow and the particle motion. Particle interaction, due to hindered settling caused by increased density and viscosity of the suspension, and fine particle entrainment by settling coarse particles are included in the model. Water injection in the conical part of the hydrocyclone is performed to reduce fine particle discharge in the underflow. The model demonstrates the impact of the injection rate, injection velocity, and injection location on the shape of the partition curve. The simulations are compared with experimental data of a 50-mm cyclone.

Keywords: Classification, fine particle processing, hydrocyclone, water injection.

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9727 Relative Suitability Evaluation of Two Methods of Particle-Size Analysis for Selected Soils of Sudan Savanna of Nigeria

Authors: B. A. Lawal, B. R. Singh, G. A. Babaji, P. A. Tsado

Abstract:

The two widely used methods base on the sedimentation principle (Bouyoucos hydrometer and International pipette) for particle-size analysis were comparatively evaluated on soils collected from various locations in Sudan savanna of Nigeria particularly from Sokoto and Zamfara States. The hydrometer method under-estimated the silt and over-estimated the clay content. Also, the hydrometer reading proved difficult and tended to submerge when floated for clay reading in the suspension of very sandy soils (900g kg-1 sand). Furthermore, the results from the two methods were validated by subjecting the data to USDA soil textural triangle to determine their textural class names. The outcome was that 91.67 % of the experimental soils retained the same textural class names irrespective of the method. Thus, Bouyoucos hydrometer method may conveniently find a place in routine work in view of its simplicity, rapidity, and strong correlation with the pipette method.

Keywords: Hydrometer and pipette methods, particle-size analysis, sedimentation.

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9726 A New Method for Identifying Broken Rotor Bars in Squirrel Cage Induction Motor Based on Particle Swarm Optimization Method

Authors: V. Rashtchi, R. Aghmasheh

Abstract:

Detection of squirrel cage induction motor (SCIM) broken bars has long been an important but difficult job in the detection area of motor faults. Early detection of this abnormality in the motor would help to avoid costly breakdowns. A new detection method based on particle swarm optimization (PSO) is presented in this paper. Stator current in an induction motor will be measured and characteristic frequency components of faylted rotor will be detected by minimizing a fitness function using pso. Supply frequency and side band frequencies and their amplitudes can be estimated by the proposed method. The proposed method is applied to a faulty motor with one and two broken bars in different loading condition. Experimental results prove that the proposed method is effective and applicable.

Keywords: broken bar, PSO, fault detection, SCIM

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9725 A Grid Synchronization Phase Locked Loop Method for Grid-Connected Inverters Systems

Authors: Naima Ikken, Abdelhadi Bouknadel, Nour-eddine Tariba Ahmed Haddou, Hafsa El Omari

Abstract:

The operation of grid-connected inverters necessity a single-phase phase locked loop (PLL) is proposed in this article to accurately and quickly estimate and detect the grid phase angle. This article presents the improvement of a method of phase-locked loop. The novelty is to generate a method (PLL) of synchronizing the grid with a Notch filter based on adaptive fuzzy logic for inverter systems connected to the grid. The performance of the proposed method was tested under normal and abnormal operating conditions (amplitude, frequency and phase shift variations). In addition, simulation results with ISPM software are developed to verify the effectiveness of the proposed method strategy. Finally, the experimental test will be used to extract the result and discuss the validity of the proposed algorithm.

Keywords: Phase locked loop, PLL, notch filter, fuzzy logic control.

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9724 Cascade Kalman Filter Configuration for Low Cost IMU/GPS Integration in Car Navigation Like Robot

Authors: Othman Maklouf, Abdurazag Ghila, Ahmed Abdulla

Abstract:

This paper introduces a low cost INS/GPS algorithm for land vehicle navigation application. The data fusion process is done with an extended Kalman filter in cascade configuration mode. In order to perform numerical simulations, MATLAB software has been developed. Loosely coupled configuration is considered. The results obtained in this work demonstrate that a low-cost INS/GPS navigation system is partially capable of meeting the performance requirements for land vehicle navigation. The relative effectiveness of the kalman filter implementation in integrated GPS/INS navigation algorithm is highlighted. The paper also provides experimental results; field test using a car is carried out.

Keywords: GPS, INS, IMU, Kalman filter.

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9723 Method for Solving Fully Fuzzy Assignment Problems Using Triangular Fuzzy Numbers

Authors: Amit Kumar, Anila Gupta, Amarpreet Kaur

Abstract:

In this paper, a new method is proposed to find the fuzzy optimal solution of fuzzy assignment problems by representing all the parameters as triangular fuzzy numbers. The advantages of the pro-posed method are also discussed. To illustrate the proposed method a fuzzy assignment problem is solved by using the proposed method and the obtained results are discussed. The proposed method is easy to understand and to apply for finding the fuzzy optimal solution of fuzzy assignment problems occurring in real life situations.

Keywords: Fuzzy assignment problem, Ranking function, Triangular fuzzy numbers.

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9722 Optimal Embedded Generation Allocation in Distribution System Employing Real Coded Genetic Algorithm Method

Authors: Mohd Herwan Sulaiman, Omar Aliman, Siti Rafidah Abdul Rahim

Abstract:

This paper proposes a new methodology for the optimal allocation and sizing of Embedded Generation (EG) employing Real Coded Genetic Algorithm (RCGA) to minimize the total power losses and to improve voltage profiles in the radial distribution networks. RCGA is a method that uses continuous floating numbers as representation which is different from conventional binary numbers. The RCGA is used as solution tool, which can determine the optimal location and size of EG in radial system simultaneously. This method is developed in MATLAB. The effect of EG units- installation and their sizing to the distribution networks are demonstrated using 24 bus system.

Keywords: Embedded generation (EG), load flow study, optimal allocation, real coded genetic algorithm (RCGA).

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9721 A Study on the Least Squares Reduced Parameter Approximation of FIR Digital Filters

Authors: S. Seyedtabaii, E. Seyedtabaii

Abstract:

Rounding of coefficients is a common practice in hardware implementation of digital filters. Where some coefficients are very close to zero or one, as assumed in this paper, this rounding action also leads to some computation reduction. Furthermore, if the discarded coefficient is of high order, a reduced order filter is obtained, otherwise the order does not change but computation is reduced. In this paper, the Least Squares approximation to rounded (or discarded) coefficient FIR filter is investigated. The result also succinctly extended to general type of FIR filters.

Keywords: Digital filter, filter approximation, least squares, model order reduction.

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9720 Effect of Distributed Generators on the Optimal Operation of Distribution Networks

Authors: J. Olamaei , T. Niknam, M. Nayeripour

Abstract:

This paper presents an approach for daily optimal operation of distribution networks considering Distributed Generators (DGs). Due to private ownership of DGs, a cost based compensation method is used to encourage DGs in active and reactive power generation. The objective function is summation of electrical energy generated by DGs and substation bus (main bus) in the next day. A genetic algorithm is used to solve the optimal operation problem. The approach is tested on an IEEE34 buses distribution feeder.

Keywords: Distributed Generator, Daily Optimal Operation, Genetic Algorithm.

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9719 Design of an M-Channel Cosine Modulated Filter Bank by New Cosh Window Based FIR Filters

Authors: Jyotsna Ogale, Alok Jain

Abstract:

In this paper newly reported Cosh window function is used in the design of prototype filter for M-channel Near Perfect Reconstruction (NPR) Cosine Modulated Filter Bank (CMFB). Local search optimization algorithm is used for minimization of distortion parameters by optimizing the filter coefficients of prototype filter. Design examples are presented and comparison has been made with Kaiser window based filterbank design of recently reported work. The result shows that the proposed design approach provides lower distortion parameters and improved far-end suppression than the Kaiser window based design of recent reported work.

Keywords: Window function, Cosine modulated filterbank, Local search optimization.

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9718 MPSO based Model Order Formulation Technique for SISO Continuous Systems

Authors: S. N. Deepa, G. Sugumaran

Abstract:

This paper proposes a new version of the Particle Swarm Optimization (PSO) namely, Modified PSO (MPSO) for model order formulation of Single Input Single Output (SISO) linear time invariant continuous systems. In the General PSO, the movement of a particle is governed by three behaviors namely inertia, cognitive and social. The cognitive behavior helps the particle to remember its previous visited best position. In Modified PSO technique split the cognitive behavior into two sections like previous visited best position and also previous visited worst position. This modification helps the particle to search the target very effectively. MPSO approach is proposed to formulate the higher order model. The method based on the minimization of error between the transient responses of original higher order model and the reduced order model pertaining to the unit step input. The results obtained are compared with the earlier techniques utilized, to validate its ease of computation. The proposed method is illustrated through numerical example from literature.

Keywords: Continuous System, Model Order Formulation, Modified Particle Swarm Optimization, Single Input Single Output, Transfer Function Approach

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9717 Velocity Filter Banks using 3-D FFT

Authors: G. Koukiou, V. Anastassopoulos

Abstract:

In this paper a bank of velocity filters is devised to be used for isolating a moving object with specific velocity in a sequence of frames. The approach used is a 3-D FFT based experimental procedure without applying any theoretical concept from velocity filters. Accordingly, velocity filters are built using the spectral signature of each separate moving object. Experimentation reveals the capabilities of the constructed filter bank to separate moving objects as far as the amplitude as well as the direction of the velocity are concerned.

Keywords: Velocity filters, filter banks, 3-D FFT.

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9716 Investigating Activity Recognition Using 9-Axis Sensors and Filters in Wearable Devices

Authors: Jun Gil Ahn, Jong Kang Park, Jong Tae Kim

Abstract:

In this paper, we analyze major components of activity recognition (AR) in wearable device with 9-axis sensors and sensor fusion filters. 9-axis sensors commonly include 3-axis accelerometer, 3-axis gyroscope and 3-axis magnetometer. We chose sensor fusion filters as Kalman filter and Direction Cosine Matrix (DCM) filter. We also construct sensor fusion data from each activity sensor data and perform classification by accuracy of AR using Naïve Bayes and SVM. According to the classification results, we observed that the DCM filter and the specific combination of the sensing axes are more effective for AR in wearable devices while classifying walking, running, ascending and descending.

Keywords: Accelerometer, activity recognition, directional cosine matrix filter, gyroscope, Kalman filter, magnetometer.

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9715 Sensor Fusion Based Discrete Kalman Filter for Outdoor Robot Navigation

Authors: Mbaitiga Zacharie

Abstract:

The objective of the presented work is to implement the Kalman Filter into an application that reduces the influence of the environmental changes over the robot expected to navigate over a terrain of varying friction properties. The Discrete Kalman Filter is used to estimate the robot position, project the estimated current state ahead at time through time update and adjust the projected estimated state by an actual measurement at that time via the measurement update using the data coming from the infrared sensors, ultrasonic sensors and the visual sensor respectively. The navigation test has been performed in a real world environment and has been found to be robust.

Keywords: Kalman filter, sensors fusion, robot navigation.

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9714 Advanced Robust PDC Fuzzy Control of Nonlinear Systems

Authors: M. Polanský

Abstract:

This paper introduces a new method called ARPDC (Advanced Robust Parallel Distributed Compensation) for automatic control of nonlinear systems. This method improves a quality of robust control by interpolating of robust and optimal controller. The weight of each controller is determined by an original criteria function for model validity and disturbance appreciation. ARPDC method is based on nonlinear Takagi-Sugeno (T-S) fuzzy systems and Parallel Distributed Compensation (PDC) control scheme. The relaxed stability conditions of ARPDC control of nominal system have been derived. The advantages of presented method are demonstrated on the inverse pendulum benchmark problem. From comparison between three different controllers (robust, optimal and ARPDC) follows, that ARPDC control is almost optimal with the robustness close to the robust controller. The results indicate that ARPDC algorithm can be a good alternative not only for a robust control, but in some cases also to an adaptive control of nonlinear systems.

Keywords: Robust control, optimal control, Takagi–Sugeno (TS) fuzzy models, linear matrix inequality (LMI), observer, Advanced Robust Parallel Distributed Compensation (ARPDC).

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9713 Optimal Portfolio Selection in a DC Pension with Multiple Contributors and the Impact of Stochastic Additional Voluntary Contribution on the Optimal Investment Strategy

Authors: Edikan E. Akpanibah, Okwigbedi Oghen’Oro

Abstract:

In this paper, we studied the optimal portfolio selection in a defined contribution (DC) pension scheme with multiple contributors under constant elasticity of variance (CEV) model and the impact of stochastic additional voluntary contribution on the investment strategies. We assume that the voluntary contributions are stochastic and also consider investments in a risk free asset and a risky asset to increase the expected returns of the contributing members. We derived a stochastic differential equation which consists of the members’ monthly contributions and the invested fund and obtained an optimized problem with the help of Hamilton Jacobi Bellman equation. Furthermore, we find an explicit solution for the optimal investment strategy with stochastic voluntary contribution using power transformation and change of variables method and the corresponding optimal fund size was obtained. We discussed the impact of the voluntary contribution on the optimal investment strategy with numerical simulations and observed that the voluntary contribution reduces the optimal investment strategy of the risky asset.

Keywords: DC pension fund, Hamilton-Jacobi-Bellman, optimal investment strategies, power transformation method, stochastic, voluntary contribution.

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