Search results for: stochastic differential equation

Authors: Takashi Shimizu, Tomoaki Hashimoto

Abstract:

Controlling the flow of fluids is a challenging problem that arises in many fields. Burgers’ equation is a fundamental equation for several flow phenomena such as traffic, shock waves, and turbulence. The optimal feedback control method, so-called model predictive control, has been proposed for Burgers’ equation. However, the model predictive control method is inapplicable to systems whose all state variables are not exactly known. In practical point of view, it is unusual that all the state variables of systems are exactly known, because the state variables of systems are measured through output sensors and limited parts of them can be only available. In fact, it is usual that flow velocities of fluid systems cannot be measured for all spatial domains. Hence, any practical feedback controller for fluid systems must incorporate some type of state estimator. To apply the model predictive control to the fluid systems described by Burgers’ equation, it is needed to establish a state estimation method for Burgers’ equation with limited measurable state variables. To this purpose, we apply unscented Kalman filter for estimating the state variables of fluid systems described by Burgers’ equation. The objective of this study is to establish a state estimation method based on unscented Kalman filter for Burgers’ equation. The effectiveness of the proposed method is verified by numerical simulations.

Keywords: State estimation, fluid systems, observer systems, unscented Kalman filter.

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Authors: J. Geiser, R. Röhle

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In this paper we present discretization and decomposition methods for a multi-component transport model of a chemical vapor deposition (CVD) process. CVD processes are used to manufacture deposition layers or bulk materials. In our transport model we simulate the deposition of thin layers. The microscopic model is based on the heavy particles, which are derived by approximately solving a linearized multicomponent Boltzmann equation. For the drift-process of the particles we propose diffusionreaction equations as well as for the effects of heat conduction. We concentrate on solving the diffusion-reaction equation with analytical and numerical methods. For the chemical processes, modelled with reaction equations, we propose decomposition methods and decouple the multi-component models to simpler systems of differential equations. In the numerical experiments we present the computational results of our proposed models.

Keywords: Chemical reactions, chemical vapor deposition, convection-diffusion-reaction equations, decomposition methods, multi-component transport.

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Authors: Siliang Wang, Minghui Wang, Jun Hu

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A novel path planning approach is presented to solve optimal path in stochastic, time-varying networks under priori traffic information. Most existing studies make use of dynamic programming to find optimal path. However, those methods are proved to be unable to obtain global optimal value, moreover, how to design efficient algorithms is also another challenge. This paper employs a decision theoretic framework for defining optimal path: for a given source S and destination D in urban transit network, we seek an S - D path of lowest expected travel time where its link travel times are discrete random variables. To solve deficiency caused by the methods of dynamic programming, such as curse of dimensionality and violation of optimal principle, an integer programming model is built to realize assignment of discrete travel time variables to arcs. Simultaneously, pruning techniques are also applied to reduce computation complexity in the algorithm. The final experiments show the feasibility of the novel approach.

Keywords: pruning method, stochastic, time-varying networks, optimal path planning.

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Authors: Norhashidah Hj. Mohd Ali, Teng Wai Ping

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In this paper, the formulation of a new group explicit method with a fourth order accuracy is described in solving the two dimensional Helmholtz equation. The formulation is based on the nine-point fourth order compact finite difference approximation formula. The complexity analysis of the developed scheme is also presented. Several numerical experiments were conducted to test the feasibility of the developed scheme. Comparisons with other existing schemes will be reported and discussed. Preliminary results indicate that this method is a viable alternative high accuracy solver to the Helmholtz equation.

Keywords: Explicit group method, finite difference, Helmholtz equation, five-point formula, nine-point formula.

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Authors: Mohammad Mahdi Paydar, Armin Cheraghalipour, Mostafa Hajiaghaei-Keshteli

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Nowadays, in advanced countries, agriculture as one of the most significant sectors of the economy, plays an important role in its political and economic independence. Due to farmers' lack of information about products' demand and lack of proper planning for harvest time, annually the considerable amount of products is corrupted. Besides, in this paper, we attempt to improve these unfavorable conditions via designing an effective supply chain network that tries to minimize total costs of agricultural products along with minimizing shortage in demand points. To validate the proposed model, a stochastic optimization approach by using a branch and bound solver of the LINGO software is utilized. Furthermore, to accumulate the data of parameters, a case study in Mazandaran province placed in the north of Iran has been applied. Finally, using ɛ-constraint approach, a Pareto front is obtained and one of its Pareto solutions as best solution is selected. Then, related results of this solution are explained. Finally, conclusions and suggestions for the future research are presented.

Keywords: Perishable products, stochastic optimization, agricultural supply chain, ɛ-constraint.

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Authors: Foad Saadi, M. Jalali Azizpour, S.A. Zahedi

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The objective of this paper is to present a comparative study of Homotopy Perturbation Method (HPM), Variational Iteration Method (VIM) and Homotopy Analysis Method (HAM) for the semi analytical solution of Kortweg-de Vries (KdV) type equation called KdV. The study have been highlighted the efficiency and capability of aforementioned methods in solving these nonlinear problems which has been arisen from a number of important physical phenomenon.

Keywords: Variational Iteration Method (VIM), HomotopyPerturbation Method (HPM), Homotopy Analysis Method (HAM), KdV Equation.

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Authors: Zdravka Aljinović, Branka Marasović, Blanka Škrabić

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The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.

Keywords: the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market.

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Authors: Francesco Marotti de Sciarra, Raffaele Barretta

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Starting from nonlocal continuum mechanics, a thermodynamically new nonlocal model of Euler-Bernoulli nanobeams is provided. The nonlocal variational formulation is consistently provided and the governing differential equation for transverse displacement is presented. Higher-order boundary conditions are then consistently derived. An example is contributed in order to show the effectiveness of the proposed model.

Keywords: Bernoulli-Euler beams, Nanobeams, nonlocal elasticity.

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Authors: G.Hariharan, K.Kannan

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In this paper, we develop an accurate and efficient Haar wavelet method for well-known FitzHugh-Nagumo equation. The proposed scheme can be used to a wide class of nonlinear reaction-diffusion equations. The power of this manageable method is confirmed. Moreover the use of Haar wavelets is found to be accurate, simple, fast, flexible, convenient, small computation costs and computationally attractive.

Keywords: FitzHugh-Nagumo equation, Haar wavelet method, adomain decomposition method, computationally attractive.

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Authors: R. B. Ogunrinde

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This paper presents the development, analysis and implementation of an inverse polynomial numerical method which is well suitable for solving initial value problems in first order ordinary differential equations with applications to sample problems. We also present some basic concepts and fundamental theories which are vital to the analysis of the scheme. We analyzed the consistency, convergence, and stability properties of the scheme. Numerical experiments were carried out and the results compared with the theoretical or exact solution and the algorithm was later coded using MATLAB programming language.

Keywords: Differential equations, Numerical, Initial value problem, Polynomials.

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Authors: Ilija Plecas, Uranija Kozmidis-Luburic, Radojica Pesic

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The leaching rate of 137Cs from spent mix bead (anion and cation) exchange resins in a cement-bentonite matrix has been studied. Transport phenomena involved in the leaching of a radioactive material from a cement-bentonite matrix are investigated using three methods based on theoretical equations. These are: the diffusion equation for a plane source an equation for diffusion coupled to a firstorder equation and an empirical method employing a polynomial equation. The results presented in this paper are from a 25-year mortar and concrete testing project that will influence the design choices for radioactive waste packaging for a future Serbian radioactive waste disposal center.

Keywords: bentonite, cement , radioactive waste, composite, disposal, diffusion

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Authors: Bing Yu , Xingshi He

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In this paper, Differential Evolution (DE) algorithm, a new promising evolutionary algorithm, is proposed to train Radial Basis Function (RBF) network related to automatic configuration of network architecture. Classification tasks on data sets: Iris, Wine, New-thyroid, and Glass are conducted to measure the performance of neural networks. Compared with a standard RBF training algorithm in Matlab neural network toolbox, DE achieves more rational architecture for RBF networks. The resulting networks hence obtain strong generalization abilities.

Keywords: differential evolution, neural network, Rbf function

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Authors: Lv Yuhua

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In this paper, by establishing a new comparison result, we investigate the existence of positive solutions for initial value problems of nonlinear systems of second order integro-differential equations in Banach space.We improve and generalize some results  (see[5,6]), and the results is new even in finite dimensional spaces.

Keywords: Systems of integro-differential equations, monotone iterative method, comparison result, cone.

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Authors: S. Khamsawang, S. Jiriwibhakorn

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This paper proposes an application of the differential evolution (DE) algorithm for solving the economic dispatch problem (ED). Furthermore, the regenerating population procedure added to the conventional DE in order to improve escaping the local minimum solution. To test performance of DE algorithm, three thermal generating units with valve-point loading effects is used for testing. Moreover, investigating the DE parameters is presented. The simulation results show that the DE algorithm, which had been adjusted parameters, is better convergent time than other optimization methods.

Keywords: Differential evolution, Economic dispatch problem, Valve-point loading effect, Optimization method.

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Authors: Arti Vaish, Harish Parthasarathy

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In this paper, a novel wave equation for electromagnetic waves in a medium having anisotropic permittivity has been derived with the help of Maxwell-s curl equations. The x and y components of the Maxwell-s equations are written with the permittivity () being a 3 × 3 symmetric matrix. These equations are solved for Ex , Ey, Hx, Hy in terms of Ez, Hz, and the partial derivatives. The Z components of the Maxwell-s curl are then used to arrive to the generalized Helmholtz equations for Ez and Hz.

Keywords: Electromagnetism, Maxwell's Equations, Anisotropic permittivity, Wave equation, Matrix Equation, Permittivity tensor.

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Authors: Azita Tajaddini, Ramleh Shamsi

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In this paper, we present the block generalized minimal residual (BGMRES) method in order to solve the generalized Sylvester matrix equation. However, this method may not be converged in some problems. We construct a polynomial preconditioner based on BGMRES which shows why polynomial preconditioner is superior to some block solvers. Finally, numerical experiments report the effectiveness of this method.

Keywords: Linear matrix equation, Block GMRES, matrix Krylov subspace, polynomial preconditioner.

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Authors: Asadollah Aghajani, Yaghoub Jalilian

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Using the concept of measure of noncompactness, we present some results concerning the existence, uniform local attractivity and global attractivity of solutions for a functional integral equation. Our results improve and extend some previous known results and based on weaker conditions. Some examples which show that our results are applicable when the previous results are inapplicable are also included.

Keywords: Functional integral equation, fixed-point, measure of noncompactness, attractive solution, asymptotic stability.

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Authors: Ali Dehgan Moroozeh, B. Farhadi Bansouleh

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Evapotranspiration is one of the most important components of the hydrological cycle. Evapotranspiration (ETo) is an important variable in water and energy balances on the earth’s surface, and knowledge of the distribution of ET is a key factor in hydrology, climatology, agronomy and ecology studies. Many researchers have a valid relationship, which is a function of climate factors, to estimate the potential evapotranspiration presented to the plant water stress or water loss, prevent. The FAO-Penman method (PM) had been recommended as a standard method. This method requires many data and these data are not available in every area of world. So, other methods should be evaluated for these conditions. When sufficient or reliable data to solve the PM equation are not available then Hargreaves equation can be used. The Hargreaves equation (HG) requires only daily mean, maximum and minimum air temperature extraterrestrial radiation .In this study, Hargreaves method (HG) were evaluated in 12 stations in the North West region of Iran. Results of HG and M.HG methods were compared with results of PM method. Statistical analysis of this comparison showed that calibration process has had significant effect on efficiency of Hargreaves method.

Keywords: Evapotranspiration, Hargreaves equation, FAOPenman method.

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Authors: Manisha Kankarej

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The purpose of this paper is to show a relation between CR structure and F-structure satisfying polynomial equation. In this paper, we have checked the significance of CR structure and F-structure on Integrability conditions and Nijenhuis tensor. It was proved that all the properties of Integrability conditions and Nijenhuis tensor are satisfied by CR structures and F-structure satisfying polynomial equation.

Keywords: CR-submainfolds, CR-structure, Integrability condition & Nijenhuis tensor.

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Authors: Rahul Bansal, Sudipta Majumdar

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This paper presents the closed form nonlinear expressions of bipolar junction transistor (BJT) differential amplifier (DA) using perturbation method. Circuit equations have been derived using Kirchhoff’s voltage law (KVL) and Kirchhoff’s current law (KCL). The perturbation method has been applied to state variables for obtaining the linear and nonlinear terms. The implementation of the proposed method is simple. The closed form nonlinear expressions provide better insights of physical systems. The derived equations can be used for signal processing applications.

Keywords: Differential amplifier, perturbation method, Taylor series.

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Authors: Chenxi Yang, Zhouhong Li

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This paper is concerned with an epidemic model with delay. By using the comparison theorem of the differential equation and constructing a suitable Lyapunov functional, Some sufficient conditions which guarantee the permeance and existence of a unique globally attractive positive almost periodic solution of the model are obtain. Finally, an example is employed to illustrate our result.

Keywords: Permanence, Almost periodic solution, Epidemic model, Delay, Feedback control.

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Authors: Xiaoyan Dou, Yongkun Li

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In this paper, we consider a food-limited population model with delay and feedback control. By applying the comparison theorem of the differential equation and constructing a suitable Lyapunov functional, sufficient conditions which guarantee the permanence and existence of a unique globally attractive positive almost periodic solution of the system are obtained.

Keywords: Almost periodic solution, food-limited population, feedback control, permanence.

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Authors: Bassem Roushdy, Nahed Sobhy, Abdelrhim Abdelhamid, Ahmed Mahmoud

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Most papers model Joint Replenishment Problem (JRP) as a (kT,S) where kT is a multiple value for a common review period T,and S is a predefined order up to level. In general the (T,S) policy is characterized by a long out of control period which requires a large amount of safety stock compared to the (R,Q) policy. In this paper a probabilistic model is built where an item, call it item(i), with the shortest order time between interval (T)is modeled under (R,Q) policy and its inventory is continuously reviewed, while the rest of items (j) are periodically reviewed at a definite time corresponding to item

Keywords: Inventory management, Joint replenishment, policy evaluation, stochastic process

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Authors: Ou Xie, Zhenyu Zhao

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In this paper, we consider the problem for identifying the unknown source in the Poisson equation. A modified Tikhonov regularization method is presented to deal with illposedness of the problem and error estimates are obtained with an a priori strategy and an a posteriori choice rule to find the regularization parameter. Numerical examples show that the proposed method is effective and stable.

Keywords: Ill-posed problem, Unknown source, Poisson equation, Tikhonov regularization method, Discrepancy principle

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Authors: Sara Barati, Karim Ivaz

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In this paper, using a model transformation approach a system of linear delay differential equations (DDEs) with multiple delays is converted to a non-delayed initial value problem. The variational iteration method (VIM) is then applied to obtain the approximate analytical solutions. Numerical results are given for several examples involving scalar and second order systems. Comparisons with the classical fourth-order Runge-Kutta method (RK4) verify that this method is very effective and convenient.

Keywords: Variational iteration method, delay differential equations, multiple delays, Runge-Kutta method.

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Authors: S. Firouzi, M.R. Alizadeh, S. Minaei

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A study was carried out at the Rice Research Institute of Iran (RRII) to investigate the effect of rollers differential peripheral speed of commercial rubber roll husker and paddy moisture content on the husking index and percentage of broken rice. The experiment was conducted at six levels of rollers differential speed (1.5, 2.2, 2.9, 3.6, 4.3 and 5 m/s) and three levels of paddy moisture content (8-9, 10-11 and 12-13% w.b.). Two common paddy varieties namely, Binam and Khazer, were selected for this study. Results revealed that the effect of rollers differential speed and moisture content significantly (P<0.01) affected percentage of broken brown rice and paddy husking index. Average broken kernel percentage increased from 13 to 14.61% while husking index decreased from 71.64 to 61.81%, as paddy moisture content increased from 8-9 to 12-13%. It was observed that amount of broken rice decreased from 18.83 to 9.97%, when rollers differential speed varied from 1.5 to 5 m/s, while the husking index initially increased and then started to decrease. The mean value of husking index for Khazar variety (64.71%) was significantly lower than that for Binam variety (69.2%). It was concluded that rollers differential speed of 2.9 m/s and moisture content of 8-9% was the most appropriate combination for paddy husking of Binam and Khazar varieties in rubber roll husker.

Keywords: husking index, moisture content, paddy, rubber roll husker.

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Authors: Yiqin Lin, Liang Bao, Qinghua Wu, Liping Zhou

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In this paper, we propose a direct method based on the real Schur factorization for solving the projected Sylvester equation with relatively small size. The algebraic formula of the solution of the projected continuous-time Sylvester equation is presented. The computational cost of the direct method is estimated. Numerical experiments show that this direct method has high accuracy.

Keywords: Projected Sylvester equation, Schur factorization, Spectral projection, Direct method.

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Authors: Kelong Zheng, Jinsong Hu,

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In this paper, numerical solution for the generalized Rosenau-Burgers equation is considered and Crank-Nicolson finite difference scheme is proposed. Existence of the solutions for the difference scheme has been shown. Stability, convergence and priori error estimate of the scheme are proved. Numerical results demonstrate that the scheme is efficient and reliable.

Keywords: Generalized Rosenau-Burgers equation, difference scheme, stability, convergence.

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Authors: Seok Hyoung Lee, Vladimir Shin

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An optimal mean-square fusion formulas with scalar and matrix weights are presented. The relationship between them is established. The fusion formulas are compared on the continuous-time filtering problem. The basic differential equation for cross-covariance of the local errors being the key quantity for distributed fusion is derived. It is shown that the fusion filters are effective for multi-sensor systems containing different types of sensors. An example demonstrating the reasonable good accuracy of the proposed filters is given.

Keywords: Kalman filtering, fusion formula, multi-sensor, mean-square error.

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Authors: Jihad S. Daba (Jean-Pierre Dubois), Philip Jreije

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Speckled images arise when coherent microwave, optical, and acoustic imaging techniques are used to image an object, surface or scene. Examples of coherent imaging systems include synthetic aperture radar, laser imaging systems, imaging sonar systems, and medical ultrasound systems. Speckle noise is a form of object or target induced noise that results when the surface of the object is Rayleigh rough compared to the wavelength of the illuminating radiation. Detection and estimation in images corrupted by speckle noise is complicated by the nature of the noise and is not as straightforward as detection and estimation in additive noise. In this work, we derive stochastic models for speckle noise, with an emphasis on speckle as it arises in medical ultrasound images. The motivation for this work is the problem of segmentation and tissue classification using ultrasound imaging. Modeling of speckle in this context involves partially developed speckle model where an underlying Poisson point process modulates a Gram-Charlier series of Laguerre weighted exponential functions, resulting in a doubly stochastic filtered Poisson point process. The statistical distribution of partially developed speckle is derived in a closed canonical form. It is observed that as the mean number of scatterers in a resolution cell is increased, the probability density function approaches an exponential distribution. This is consistent with fully developed speckle noise as demonstrated by the Central Limit theorem.

Keywords: Doubly stochastic filtered process, Poisson point process, segmentation, speckle, ultrasound

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