Search results for: computational finance.

Authors: Jafar Biazar, Behzad Ghanbari

Abstract:

In this paper, we are concerned with the further study for system of nonlinear equations. Since systems with inaccurate function values or problems with high computational cost arise frequently in science and engineering, recently such systems have attracted researcher-s interest. In this work we present a new method which is independent of function evolutions and has a quadratic convergence. This method can be viewed as a extension of some recent methods for solving mentioned systems of nonlinear equations. Numerical results of applying this method to some test problems show the efficiently and reliability of method.

Keywords: System of nonlinear equations.

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Authors: Kho Mei Ye, Hamzah Abdul Rahman

Abstract:

The purpose of this study is to identify the underlying causes of late payment from the contractors- perspective in the Malaysian construction industry and to recommend effective solutions to mitigate late payment problems. The target groups of respondents in this study were Grades G3, G5, G6 and G7 contractors with specialization in building works and civil engineering works registered with the Construction Industry Development Board (CIDB) in Malaysia. Results from this study were analyzed with Statistical Package for the Social Science (SPSS 15.0). From this study, it was found that respondents have highest ranked five significant variables out of a total of forty-one variables which can caused late payment problems: a) cash flow problems due to deficiencies in client-s management capacity (mean = 3.96); b) client-s ineffective utilization of funds (mean = 3.88); c) scarcity of capital to finance the project (mean = 3.81); d) clients failure to generate income from bank when sales of houses do not hit the targeted amount (mean=3.72); and e) poor cash flow because of lack of proper process implementation, delay in releasing of the retention monies to contractor and delay in the evaluation and certification of interim and final payment (mean = 3.66).

Keywords: Underlying causes, late payment, constructionindustry, Malaysia.

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Authors: Ewa Wywial, Shaneen M. Singh

Abstract:

The PRAF family of proteins is a plant specific family of proteins with distinct domain architecture and various unique sequence/structure traits. We have carried out an extensive search of the Arabidopsis genome using an automated pipeline and manual methods to verify previously known and identify unknown instances of PRAF proteins, characterize their sequence and build 3D structures of their individual domains. Integrating the sequence, structure and whatever little known experimental details for each of these proteins and their domains, we present a comprehensive characterization of the different domains in these proteins and their variant properties.

Keywords: PRAF proteins, homology modeling, Arabidopsisthaliana

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Authors: Simon Huston, Ebraheim Lahbash, Ali Parsa

Abstract:

The development of the United Arab Emirates (UAE) into a regional trade, tourism, finance and logistics hub has transformed its real estate markets. However, speculative activity and price volatility remain concerns. UAE residential market values (MV) are exposed to fluctuations in capital flows and migration which, in turn, are affected by geopolitical uncertainty, oil price volatility and global investment market sentiment. Internally, a complex interplay between administrative boundaries, land tenure, building quality and evolving location characteristics fragments UAE residential property markets. In short, the UAE Residential Valuation System (UAE-RVS) confronts multiple challenges to collect, filter and analyze relevant information in complex and dynamic spatial and capital markets. A robust (RVS) can mitigate the risk of unhelpful volatility, speculative excess or investment mistakes. The research outlines the institutional, ontological, dynamic and epistemological issues at play. We highlight the importance of system capabilities, valuation standard salience and stakeholders trust.

Keywords: Valuation, property rights, information, institutions, trust, salience.

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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: S.M. Abdul Khader, Md. Zubair, Raghuvir Pai. B, V.R.K. Rao, S. Ganesh Kamath

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The recent advances in computational fluid dynamics (CFD) can be useful in observing the detailed hemodynamics in cerebral aneurysms for understanding not only their formation and rupture but also for clinical evaluation and treatment. However, important hemodynamic quantities are difficult to measure in vivo. In the present study, an approximate model of normal middle cerebral artery (MCA) along with two cases consisting broad and narrow saccular aneurysms are analyzed. The models are generated in ANSYS WORKBENCH and transient analysis is performed in ANSYS-CFX. The results obtained are compared for three cases and agree well with the available literature.

Keywords: Aneurysms, ANSYS – CFX, CFD, Pulsatile flow.

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Authors: Pradip Peter Dey, Bhaskar Raj Sinha, Mohammad Amin, Hassan Badkoobehi

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Mathematical, graphical and intuitive models are often constructed in the development process of computational systems. The Unified Modeling Language (UML) is one of the most popular modeling languages used by practicing software engineers. This paper critically examines UML models and suggests an augmented use case view with the addition of new constructs for modeling software. It also shows how a use case diagram can be enhanced. The improved modeling constructs are presented with examples for clarifying important design and implementation issues.

Keywords: Software architecture, software design, Unified Modeling Language (UML), user interface.

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Authors: Zina Ghiloufi, Tahar Khir

Abstract:

A transient three-dimensional computational fluid dynamics (CFD) model is developed to determine the velocity and temperature distribution in different positions cold room during pre-cooling of dates. The turbulence model used is the k-ω Shear Stress Transport (SST) with the standard wall function, the air. The numerical results obtained show that cooling rate is not uniform inside the room; the product at the medium of room has a slower cooling rate. This cooling heterogeneity has a large effect on the energy consumption during cold storage.

Keywords: Numerical simulation, CFD, k-ω (SST), cold room, dates, cooling rate.

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Authors: H. Taghvafard, G. H. Erjaee

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A method for solving linear and non-linear Goursat problem is given by using the two-dimensional differential transform method. The approximate solution of this problem is calculated in the form of a series with easily computable terms and also the exact solutions can be achieved by the known forms of the series solutions. The method can easily be applied to many linear and non-linear problems and is capable of reducing the size of computational work. Several examples are given to demonstrate the reliability and the performance of the presented method.

Keywords: Quadrature, Spline interpolation, Trapezoidal rule, Numericalintegration, Error analysis.

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Authors: ChangWoo Lee, Young Kow Lee, Sung Jun Ban, SungHoo Choi, Sang Woo Kim

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This paper suggests a new Affine Projection (AP) algorithm with variable data-reuse factor using the condition number as a decision factor. To reduce computational burden, we adopt a recently reported technique which estimates the condition number of an input data matrix. Several simulations show that the new algorithm has better performance than that of the conventional AP algorithm.

Keywords: Affine projection algorithm, variable data-reuse factor, condition number, convergence rate, misalignment.

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Authors: Hongyan Dai

Abstract:

This work presents a matched field processing (MFP) algorithm based on Dopplerlet transform for estimating the motion parameters of a sound source moving along a straight line and with a constant speed by using a piecewise strategy, which can significantly reduce the computational burden. Monte Carlo simulation results and an experimental result are presented to verify the effectiveness of the algorithm advocated.

Keywords: matched field processing; Dopplerlet transform; motion parameter estimation; piecewise strategy

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Authors: Aqeel Akhtar

Abstract:

One of prevailing modes of finance in emerging Islamic banking system is Murabah’a. It means a financial dealing or transaction in which seller tells cost of the goods to be sold to buyer. Otherwise, the transaction would become invalid. In this mainstream, import Murabah’a transaction is divergent in such a way that the cost is not recognized and identified due to execution of import transaction in foreign currency i.e. US Dollar and the next transaction of Murabaha’a with the client is executed in local currency. Since this transaction is executed in dual currency i.e. bank pays supplier in foreign currency and executes Murabah’a with its client in local currency and it is not allowed in according to Islamic Injunctions as mentioned in hadith narrated by Hazrat Ibn-e-Umar (May Allah be pleased with them) used to sell his camels with Dirhams and take dinars instead and vice versa. Upon revealing before the Prophet (Peace be upon him), he was advised that it must not be contingent in the agreement and the ready rate would be applied and possession of one of the consideration is compulsory. The solution in this regard is that the import Murabah’a transaction should be in single currency However, other currency can be paid in payment at the time of payment in a very indispensable situation provided that ready rate would be applied. Moreover, some of other solutions have also been given in this regard.

Keywords: Shariah compliance, import murabaha, islamic banking, product development.

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Authors: Marcin Michalak

Abstract:

Biclustering is the way of two-dimensional data analysis. For several years it became possible to express such issue in terms of Boolean reasoning, for processing continuous, discrete and binary data. The mathematical backgrounds of such approach — proved ability of induction of exact and inclusion–maximal biclusters fulfilling assumed criteria — are strong advantages of the method. Unfortunately, the core of the method has quite high computational complexity. In the paper the basics of Boolean reasoning approach for biclustering are presented. In such context the problems of computation parallelization are risen.

Keywords: Boolean reasoning, biclustering, parallelization, prime implicant.

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Authors: Kenza Aida Amara, Bachir Djebbar

Abstract:

We treat the two-dimensional bin packing problem which involves packing a given set of rectangles into a minimum number of larger identical rectangles called bins. This combinatorial problem is NP-hard. We propose a pretreatment for the oriented version of the problem that allows the valorization of the lost areas in the bins and the reduction of the size problem. A heuristic method based on the strategy first-fit adapted to this problem is presented. We present an approach of resolution by bee colony optimization. Computational results express a comparison of the number of bins used with and without pretreatment.

Keywords: Bee colony optimization, bin packing, heuristic algorithm, pretreatment.

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Authors: R. B. Mishra

Abstract:

Hidden Markov Model (HMM) has been used in prediction and determination of states that generate different neural activations as well as mental working conditions. This paper addresses two applications of HMM; one to determine the optimal sequence of states for two neural states: Active (AC) and Inactive (IA) for the three emission (observations) which are for No Working (NW), Waiting (WT) and Working (W) conditions of human beings. Another is for the determination of optimal sequence of intentionality i.e. Believe (B), Desire (D), and Intention (I) as the states and three observational sequences: NW, WT and W. The computational results are encouraging and useful.

Keywords: BDI, HMM, neural activation, optimal states, working conditions.

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Authors: V. Koci, J. Madera, R. Cerny

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Calculations of energy efficiency of several AACbased building envelopes under different climatic conditions are presented. As thermal insulating materials, expanded polystyrene and hydrophobic and hydrophilic mineral wools are assumed. The computations are accomplished using computer code HEMOT developed at Department of Materials Engineering, Faculty of Civil Engineering at the Czech Technical University in Prague. The climatic data of Athens, Kazan, Oslo, Prague and Reykjavík are obtained using METEONORM software.

Keywords: climatic conditions, computational simulation, energy efficiency, thermal insulation

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Authors: Shazia Javed, Noor Atinah Ahmad

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In this paper an efficient incomplete factorization preconditioner is proposed for the Least Mean Squares (LMS) adaptive filter. The proposed preconditioner is approximated from a priori knowledge of the factors of input correlation matrix with an incomplete strategy, motivated by the sparsity patter of the upper triangular factor in the QRD-RLS algorithm. The convergence properties of IPLMS algorithm are comparable with those of transform domain LMS(TDLMS) algorithm. Simulation results show efficiency and robustness of the proposed algorithm with reduced computational complexity.

Keywords: Autocorrelation matrix, Cholesky's factor, eigenvalue spread, Markov input.

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Authors: T. Gotoh, T. Takayama, M. Ishiki, T. Ikeda

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Recently, majors of doctors are divided into terribly lots of detailed areas. However, it is actually not a rare case that a doctor has a patient who is not in his/her major. He/She must judge an assessment and make a medical treatment plan for this patient. According to our investigation, conventional approaches such as image diagnosis cooperation are insufficient. This paper proposes an 'Assessment / Medical Treatment Plan Consulting System'. We have implemented a pilot system based on our proposition. Its effectiveness is clarified by an evaluation.

Keywords: Application, computational intelligence and telecommunications, medicine, intelligent systems.

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Authors: Hsuan-Ku Liu, Ming Long Liu

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In this paper, we investigate the solution of a two dimensional parabolic free boundary problem. The free boundary of this problem is modelled as a nonlinear integral equation (IE). For this integral equation, we propose an asymptotic solution as time is near to maturity and develop an integral iterative method. The computational results reveal that our asymptotic solution is very close to the numerical solution as time is near to maturity.

Keywords: Integral equation, asymptotic solution, free boundary problem, American exchange option.

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Authors: Wang Xingbo

Abstract:

Computation of determinant in the form |I-X| is primary and fundamental because it can help to compute many other determinants. This article puts forward a time-reducible approach to compute determinant |I-X|. The approach is derived from the Newton’s identity and its time complexity is no more than that to compute the eigenvalues of the square matrix X. Mathematical deductions and numerical example are presented in detail for the approach. By comparison with classical approaches the new approach is proved to be superior to the classical ones and it can naturally reduce the computational time with the improvement of efficiency to compute eigenvalues of the square matrix.

Keywords: Algorithm, determinant, computation, eigenvalue, time complexity.

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Authors: R.Marsalek

Abstract:

This paper present a new way to find the aerodynamic characteristic equation of missile for the numerical trajectories prediction more accurate. The goal is to obtain the polynomial equation based on two missile characteristic parameters, angle of attack (α ) and flight speed (ν ). First, the understudied missile is modeled and used for flow computational model to compute aerodynamic force and moment. Assume that performance range of understudied missile where range -10< α <10 and 0< ν <200. After completely obtained results of all cases, the data are fit by polynomial interpolation to create equation of each case and then combine all equations to form aerodynamic characteristic equation, which will be used for trajectories simulation.

Keywords: ferro-precipitate, adsorption, SDS, zeta potential

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Authors: Yasaman Tohidi, Rouzbeh Riazi, Shidvash Vakilipour, Masoud Mohammadi

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The objective of the present study is to numerically investigate the effect of CO₂ replacement of N₂ in air stream on the flame characteristics of the CH₄ turbulent diffusion flame. The Open source Field Operation and Manipulation (OpenFOAM) has been used as the computational tool. In this regard, laminar flamelet and modified k-ε models have been utilized as combustion and turbulence models, respectively. Results reveal that the presence of CO₂ in air stream changes the flame shape and maximum flame temperature. Also, CO₂ dilution causes an increment in CO mass fraction.

Keywords: CH4 diffusion flame, CO2 dilution, OpenFOAM, turbulent flame.

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Authors: José Maria A. Pangilinan, Gerrit K. Janssens

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This paper presents an overview of the multiobjective shortest path problem (MSPP) and a review of essential and recent issues regarding the methods to its solution. The paper further explores a multiobjective evolutionary algorithm as applied to the MSPP and describes its behavior in terms of diversity of solutions, computational complexity, and optimality of solutions. Results show that the evolutionary algorithm can find diverse solutions to the MSPP in polynomial time (based on several network instances) and can be an alternative when other methods are trapped by the tractability problem.

Keywords: Multiobjective evolutionary optimization, geneticalgorithms, shortest paths.

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Authors: Thomas Bryan, Veton Kepuska, Ivica Kostanic

Abstract:

Speaker recognition is performed in high Additive White Gaussian Noise (AWGN) environments using principals of Computational Auditory Scene Analysis (CASA). CASA methods often classify sounds from images in the time-frequency (T-F) plane using spectrograms or cochleargrams as the image. In this paper atomic decomposition implemented by matching pursuit performs a transform from time series speech signals to the T-F plane. The atomic decomposition creates a sparsely populated T-F vector in “weight space” where each populated T-F position contains an amplitude weight. The weight space vector along with the atomic dictionary represents a denoised, compressed version of the original signal. The arraignment or of the atomic indices in the T-F vector are used for classification. Unsupervised feature learning implemented by a sparse autoencoder learns a single dictionary of basis features from a collection of envelope samples from all speakers. The approach is demonstrated using pairs of speakers from the TIMIT data set. Pairs of speakers are selected randomly from a single district. Each speak has 10 sentences. Two are used for training and 8 for testing. Atomic index probabilities are created for each training sentence and also for each test sentence. Classification is performed by finding the lowest Euclidean distance between then probabilities from the training sentences and the test sentences. Training is done at a 30dB Signal-to-Noise Ratio (SNR). Testing is performed at SNR’s of 0 dB, 5 dB, 10 dB and 30dB. The algorithm has a baseline classification accuracy of ~93% averaged over 10 pairs of speakers from the TIMIT data set. The baseline accuracy is attributable to short sequences of training and test data as well as the overall simplicity of the classification algorithm. The accuracy is not affected by AWGN and produces ~93% accuracy at 0dB SNR.

Keywords: Time-frequency plane, atomic decomposition, envelope sampling, Gabor atoms, matching pursuit, sparse dictionary learning, sparse autoencoder.

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Authors: M. Shakaib, M. Ehtesham-ul Haq, I. Ahmed, R.M. Yunus

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Computational fluid dynamics (CFD) simulations carried out in this paper show that spacer orientation has a major influence on temperature patterns and on the heat transfer rates. The local heat flux values significantly vary from high to very low values at each filament when spacer touches the membrane surface. The heat flux profile is more uniform when spacer filaments are not in contact with the membrane thus making this arrangement more beneficial. The temperature polarization is also found to be less in this case when compared to the empty channel.

Keywords: heat transfer, membrane distillation, spacer, temperature polarization.

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Authors: Pham Luu Trung Duong, Moonyong Lee

Abstract:

To increase precision and reliability of automatic control systems, we have to take into account of random factors affecting the control system. Thus, operational matrix technique is used for statistical analysis of first order plus time delay system with uniform random parameter. Examples with deterministic and stochastic disturbance are considered to demonstrate the validity of the method. Comparison with Monte Carlo method is made to show the computational effectiveness of the method.

Keywords: First order plus dead-time, Operational matrix, Statistical analysis, Walsh function.

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Authors: Edward Guillen, Daniel Padilla, Adriana Hernandez, Kenneth Barner

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Biometrics methods include recognition techniques such as fingerprint, iris, hand geometry, voice, face, ears and gait. The gait recognition approach has some advantages, for example it does not need the prior concern of the observed subject and it can record many biometric features in order to make deeper analysis, but most of the research proposals use high computational cost. This paper shows a gait recognition system with feature subtraction on a bundle rectangle drawn over the observed person. Statistical results within a database of 500 videos are shown.

Keywords: Autentication, Biometrics, Gait Recognition, Human Identification, Security.

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Authors: Patrick Wessa, Bart Baesens

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This paper discusses the use of explorative data mining tools that allow the educator to explore new relationships between reported learning experiences and actual activities, even if there are multiple dimensions with a large number of measured items. The underlying technology is based on the so-called Compendium Platform for Reproducible Computing (http://www.freestatistics.org) which was built on top the computational R Framework (http://www.wessa.net).

Keywords: Reproducible computing, data mining, explorative data analysis, compendium technology, computer assisted education

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Authors: Chang Liu, Zishu He

Abstract:

Adaptive echo cancellers with two-path algorithm are applied to avoid the false adaptation during the double-talk situation. In the two-path algorithm, several transfer logic solutions have been proposed to control the filter update. This paper presents an improved transfer logic solution. It improves the convergence speed of the two-path algorithm, and allows the reduction of the memory elements and computational complexity. Results of simulations show the improved performance of the proposed solution.

Keywords: Acoustic echo cancellation, Echo return lossenhancement (ERLE), Two-path algorithm, Transfer logic

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Authors: Johannes Partzsch, Christian Mayr, Rene Schuffny

Abstract:

Starting from a biologically inspired framework, Gabor filters were built up from retinal filters via LMSE algorithms. Asubset of retinal filter kernels was chosen to form a particular Gabor filter by using a weighted sum. One-dimensional optimization approaches were shown to be inappropriate for the problem. All model parameters were fixed with biological or image processing constraints. Detailed analysis of the optimization procedure led to the introduction of a minimization constraint. Finally, quantization of weighting factors was investigated. This resulted in an optimized cascaded structure of a Gabor filter bank implementation with lower computational cost.

Keywords: Gabor filter, image processing, optimization

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