Search results for: stiff ordinary differential equation

Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

Abstract:

A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic.

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Authors: Amit Goyal, Alka, Rama Gupta, C. Nagaraja Kumar

Abstract:

We have solved the Burgers-Fisher (BF) type equations, with time-dependent coefficients of convection and reaction terms, by using the auxiliary equation method. A class of solitary wave solutions are obtained, and some of which are derived for the first time. We have studied the effect of variable coefficients on physical parameters (amplitude and velocity) of solitary wave solutions. In some cases, the BF equations could be solved for arbitrary timedependent coefficient of convection term.

Keywords: Solitary wave solution, Variable coefficient Burgers- Fisher equation, Auxiliary equation method.

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Authors: J.Zouhair, D.Ellison

Abstract:

This paper includes a review of three physics simulation packages that can be used to provide researchers with a virtual ground for modeling, implementing and simulating complex models, as well as testing their control methods with less cost and time of development. The inverted pendulum model was used as a test bed for comparing ODE, DANCE and Webots, while Linear State Feedback was used to control its behavior. The packages were compared with respect to model creation, solving systems of differential equation, data storage, setting system variables, control the experiment and ease of use. The purpose of this paper is to give an overview about our experience with these environments and to demonstrate some of the benefits and drawbacks involved in practice for each package.

Keywords: DANCE, Inverted Pendulum, ODE, Simulation Packages, Webots.

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Authors: Marzieh Dosti, Alireza Nazemi

Abstract:

In this paper, the telegraph equation is solved numerically by cubic B-spline quasi-interpolation .We obtain the numerical scheme, by using the derivative of the quasi-interpolation to approximate the spatial derivative of the dependent variable and a low order forward difference to approximate the temporal derivative of the dependent variable. The advantage of the resulting scheme is that the algorithm is very simple so it is very easy to implement. The results of numerical experiments are presented, and are compared with analytical solutions by calculating errors L2 and L∞ norms to confirm the good accuracy of the presented scheme.

Keywords: Cubic B-spline, quasi-interpolation, collocation method, second-order hyperbolic telegraph equation.

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Authors: P. Srinivas, P. V. N. Prasad

Abstract:

Since torque ripple is the main cause of noise and vibrations, the performance of Switched Reluctance Motor (SRM) can be improved by minimizing its torque ripple using a novel control technique called Direct Torque Control (DTC). In DTC technique, torque is controlled directly through control of magnitude of the flux and change in speed of the stator flux vector. The flux and torque are maintained within set hysteresis bands.

The DTC of SRM is analyzed by two methods. In one method, the actual torque is computed by conducting Finite Element Analysis (FEA) on the design specifications of the motor. In the other method, the torque is computed by Simplified Torque Equation. The variation of peak current, average current, torque ripple and speed settling time with Simplified Torque Equation model is compared with FEA based model.

Keywords: Direct Toque Control, Simplified Torque Equation, Finite Element Analysis, Torque Ripple.

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Authors: J. J. Peña, J. Morales, J. García-Ravelo, L. Arcos-Díaz

Abstract:

The Point canonical transformation method is applied for solving the Schrödinger equation with position-dependent mass. This class of problem has been solved for continuous mass distributions. In this work, a staggered mass distribution for the case of a free particle in an infinite square well potential has been proposed. The continuity conditions as well as normalization for the wave function are also considered. The proposal can be used for dealing with other kind of staggered mass distributions in the Schrödinger equation with different quantum potentials.

Keywords: Free particle, point canonical transformation method, position-dependent mass, staggered mass distribution.

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Authors: Kholod M. Abu-Alnaja

Abstract:

In this work, we derive two numerical schemes for solving a class of nonlinear partial differential equations. The first method is of second order accuracy in space and time directions, the scheme is unconditionally stable using Von Neumann stability analysis, the scheme produced a nonlinear block system where Newton-s method is used to solve it. The second method is of fourth order accuracy in space and second order in time. The method is unconditionally stable and Newton's method is used to solve the nonlinear block system obtained. The exact single soliton solution and the conserved quantities are used to assess the accuracy and to show the robustness of the schemes. The interaction of two solitary waves for different parameters are also discussed.

Keywords: Crank-Nicolson Scheme, Douglas Scheme, Partial Differential Equations

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Authors: Yasuo Obikane

Abstract:

This work is to study a roll of the fluctuating density gradient in the compressible flows for the computational fluid dynamics (CFD). A new anisotropy tensor with the fluctuating density gradient is introduced, and is used for an invariant modeling technique to model the turbulent density gradient correlation equation derived from the continuity equation. The modeling equation is decomposed into three groups: group proportional to the mean velocity, and that proportional to the mean strain rate, and that proportional to the mean density. The characteristics of the correlation in a wake are extracted from the results by the two dimensional direct simulation, and shows the strong correlation with the vorticity in the wake near the body. Thus, it can be concluded that the correlation of the density gradient is a significant parameter to describe the quick generation of the turbulent property in the compressible flows.

Keywords: Turbulence Modeling , Density Gradient Correlation, Compressible

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Authors: Sarun Phibanchon, Michael A. Allen

Abstract:

A variational method is used to obtain the growth rate of a transverse long-wavelength perturbation applied to the soliton solution of a nonlinear Schr¨odinger equation with a three-half order potential. We demonstrate numerically that this unstable perturbed soliton will eventually transform into a cylindrical soliton.

Keywords: Soliton, instability, variational method, spectral method.

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Authors: Li Xiguang

Abstract:

In this paper, by constructing a special set and utilizing fixed point theory, we study the existence and multiplicity of the positive solutions for systems of nonlinear third-order differential equations with p-laplacian, which improve and generalize the result of related paper.

Keywords: p-Laplacian, cone, fixed point theorem, positive solution.

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Authors: Tae Yun Chung, Jungho Moon, Tae Kwon Ha

Abstract:

Al/Cu clad sheet has been fabricated by using differential speed rolling (DSR) process, which caused severe shear deformation between Al and Cu plate to easily bond to each other. Rolling was carried out at 100 and 150oC with speed ratios from 1.4 to 2.2, in which the total thickness reduction was in the range between 14 and 46%. Interfacial microstructure and mechanical properties of Al/Cu clad were investigated by scanning electron microscope equipped with energy dispersive X-ray detector, and tension tests. The DSR process was very effective to provide a good interface for atoms diffusion during subsequent annealing. The strength of bonding was higher with the increasing speed ratio. Post heat treatment enhanced the mechanical properties of clad sheet by forming intermetallic compounds in the interface area. 

Keywords: Aluminum/Copper clad sheet, Differential speed rolling, Interface microstructure, Annealing, Tensile test.

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Authors: Montri Maleewong, Sirod Sirisup

Abstract:

The POD-assisted projective integration method based on the equation-free framework is presented in this paper. The method is essentially based on the slow manifold governing of given system. We have applied two variants which are the “on-line" and “off-line" methods for solving the one-dimensional viscous Bergers- equation. For the on-line method, we have computed the slow manifold by extracting the POD modes and used them on-the-fly along the projective integration process without assuming knowledge of the underlying slow manifold. In contrast, the underlying slow manifold must be computed prior to the projective integration process for the off-line method. The projective step is performed by the forward Euler method. Numerical experiments show that for the case of nonperiodic system, the on-line method is more efficient than the off-line method. Besides, the online approach is more realistic when apply the POD-assisted projective integration method to solve any systems. The critical value of the projective time step which directly limits the efficiency of both methods is also shown.

Keywords: Projective integration, POD method, equation-free.

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Authors: Carla E. O. de Moraes, Gladson O. Antunes, Mauro A. Rincon

Abstract:

The aim of this paper is to study the internal stabilization of the Bernoulli-Euler equation numerically. For this, we consider a square plate subjected to a feedback/damping force distributed only in a subdomain. An algorithm for obtaining an approximate solution to this problem was proposed and implemented. The numerical method used was the Finite Difference Method. Numerical simulations were performed and showed the behavior of the solution, confirming the theoretical results that have already been proved in the literature. In addition, we studied the validation of the numerical scheme proposed, followed by an analysis of the numerical error; and we conducted a study on the decay of the energy associated.

Keywords: Bernoulli-Euler Plate Equation, Numerical Simulations, Stability, Energy Decay, Finite Difference Method.

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Authors: Abhijit Chandra, Sudipta Chattopadhyay

Abstract:

In this communication, we have made an attempt to design multiplier-less low-pass finite impulse response (FIR) filter with the aid of various mutation strategies of Differential Evolution (DE) algorithm. Impulse response coefficient of the designed FIR filter has been represented as sums or differences of powers of two. Performance of the proposed filter has been evaluated in terms of its frequency response and associated hardware cost. Supremacy of our approach has been substantiated by comparing our result with many of the existing multiplier-less filter design algorithms of recent interest. It has also been demonstrated that DE-optimized filter outperforms Genetic Algorithm (GA) based design by a large margin.  Hardware efficiency of our algorithm has further been validated by implementing those filters on a Field Programmable Gate Array (FPGA) chip.

Keywords: Convergence speed, Differential Evolution (DE), error histogram, finite impulse response (FIR) filter, total power of two (TPT), zero-valued filter coefficient (ZFC).

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Authors: Nurul Zahirah M.A., N. Zainul Abidin

Abstract:

Green buildings have been commonly cited to be more expensive than conventional buildings. However, limited research has been conducted to clearly identify elements that contribute to this cost differential. The construction cost of buildings can be typically divided into “hard" costs and “soft" cost elements. Using a review analysis of existing literature, the study identified six main elements in green buildings that contribute to the general cost elements that are “soft" in nature. The six elements found are insurance, developer-s experience, design cost, certification, commissioning and energy modeling. Out of the six elements, most literatures have highlighted the increase in design cost for green design as compared to conventional design due to additional architectural and engineering costs, eco-charettes, extra design time, and the further need for a green consultant. The study concluded that these elements of soft cost contribute to the green premium or cost differential of green buildings.

Keywords: Green building, cost differential, soft cost, intangible cost.

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Authors: F. Kharchi, M. Benhadji, O. Bouksani

Abstract:

The objective of this work is to study the influence of the properties of the substrate on the retrofit (thin repair) of damaged concrete elements, with the SCC. Fluidity, principal characteristic of the SCC, would enable it to cover and adhere to the concrete to be repaired. Two aspects of repair are considered, the bond (Adhesion) and the tensile strength and the cracking. The investigation is experimental; It was conducted over test specimens made up of ordinary concrete prepared and hardened in advance (the material to be repaired) over which a self compacting concrete layer is cast. Three alternatives of SC concrete and one ordinary concrete (comparison) were tested. It appears that the self-compacting concrete constitutes a good material for repairing. It follows perfectly the surfaces- forms to be repaired and allows a perfect bond. Fracture tests made on specimens of self-compacting concrete show a brittle behaviour. However when a small percentage of fibres is added, the resistance to cracking is very much improve.

Keywords: Adhesion, concrete, experimental, repair, self-compacting.

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Authors: Fatemeh Panjeh Ali Beik

Abstract:

In the present work, we propose a new projection method for solving the matrix equation AXB = F. For implementing our new method, generalized forms of block Krylov subspace and global Arnoldi process are presented. The new method can be considered as an extended form of the well-known global generalized minimum residual (Gl-GMRES) method for solving multiple linear systems and it will be called as the extended Gl-GMRES (EGl- GMRES). Some new theoretical results have been established for proposed method by employing Schur complement. Finally, some numerical results are given to illustrate the efficiency of our new method.

Keywords: Matrix equation, Iterative method, linear systems, block Krylov subspace method, global generalized minimum residual (Gl-GMRES).

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Authors: Yohannes Yirga, Daniel Tesfay

Abstract:

The convective heat and mass transfer in nanofluid flow through a porous media due to a permeable stretching sheet with magnetic field, viscous dissipation, chemical reaction and Soret effects are numerically investigated. Two types of nanofluids, namely Cu-water and Ag-water were studied. The governing boundary layer equations are formulated and reduced to a set of ordinary differential equations using similarity transformations and then solved numerically using the Keller box method. Numerical results are obtained for the skin friction coefficient, Nusselt number and Sherwood number as well as for the velocity, temperature and concentration profiles for selected values of the governing parameters. Excellent validation of the present numerical results has been achieved with the earlier linearly stretching sheet problems in the literature.

Keywords: Heat and mass transfer, magnetohydrodynamics, nanofluid.

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Authors: I. Naeem, R. Naz

Abstract:

The group invariant solution for Prandtl-s boundary layer equations for an incompressible fluid governing the flow in radial free, wall and liquid jets having finite fluid velocity at the orifice are investigated. For each jet a symmetry is associated with the conserved vector that was used to derive the conserved quantity for the jet elsewhere. This symmetry is then used to construct the group invariant solution for the third-order partial differential equation for the stream function. The general form of the group invariant solution for radial jet flows is derived. The general form of group invariant solution and the general form of the similarity solution which was obtained elsewhere are the same.

Keywords: Two-dimensional jets, radial jets, group invariant solution.

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Authors: Zhao Wang, Hong Yan

Abstract:

In this paper, a unified-gas kinetic scheme (UGKS) for the gas-particle flow is constructed. UGKS is a direct modeling method for both continuum and rarefied flow computations. The dynamics of particle and gas are described as rarefied and continuum flow, respectively. Therefore, we use the Bhatnagar-Gross-Krook (BGK) equation for the particle distribution function. For the gas phase, the gas kinetic scheme for Navier-Stokes equation is solved. The momentum transfer between gas and particle is achieved by the acceleration term added to the BGK equation. The new scheme is tested by a 2cm-in-thickness dense bed comprised of glass particles with 1.5mm in diameter, and reasonable agreement is achieved.

Keywords: Gas-particle flow, unified gas-kinetic scheme, momentum transfer, shock-induced fluidization.

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Authors: Shilpa N. Kulkarni, Sujata R. Patrikar

Abstract:

In the present work, an attempt is made to understand electromagnetic field confinement in a subwavelength waveguide structure using concepts of quantum mechanics. Evanescent field in the waveguide is looked as inability of the photon to get confined in the waveguide core and uncertainty of position is assigned to it. The momentum uncertainty is calculated from position uncertainty. Schrödinger wave equation for the photon is written by incorporating position-momentum uncertainty. The equation is solved and field distribution in the waveguide is obtained. The field distribution and power confinement is compared with conventional waveguide theory. They were found in good agreement with each other.

Keywords: photon localization in waveguide, photon tunneling, quantum confinement of light, Schrödinger wave equation, uncertainty principle.

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Authors: Heiko Weiß, Andreas Meister, Christoph Ament, Nils Dreifke

Abstract:

Linear actuators are deployed in a wide range of applications. This paper presents the modeling and system identification of a variable excited linear direct drive (LDD). The LDD is designed based on linear hybrid stepper technology exhibiting the characteristic tooth structure of mover and stator. A three-phase topology provides the thrust force caused by alternating strengthening and weakening of the flux of the legs. To achieve best possible synchronous operation, the phases are commutated sinusoidal. Despite the fact that these LDDs provide high dynamics and drive forces, noise emission limits their operation in calm workspaces. To overcome this drawback an additional excitation of the magnetic circuit is introduced to LDD using additional enabling coils instead of permanent magnets. The new degree of freedom can be used to reduce force variations and related noise by varying the excitation flux that is usually generated by permanent magnets. Hence, an identified simulation model is necessary to analyze the effects of this modification. Especially the force variations must be modeled well in order to reduce them sufficiently. The model can be divided into three parts: the current dynamics, the mechanics and the force functions. These subsystems are described with differential equations or nonlinear analytic functions, respectively. Ordinary nonlinear differential equations are derived and transformed into state space representation. Experiments have been carried out on a test rig to identify the system parameters of the complete model. Static and dynamic simulation based optimizations are utilized for identification. The results are verified in time and frequency domain. Finally, the identified model provides a basis for later design of control strategies to reduce existing force variations.

Keywords: Force variations, linear direct drive, modeling and system identification, variable excitation flux.

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Authors: T. S. Ozsahin, V. Kahya, A. Birinci, A. O. Cakiroglu

Abstract:

In this study, the contact problem of a layered composite which consists of two materials with different elastic constants and heights resting on two rigid flat supports with sharp edges is considered. The effect of gravity is neglected. While friction between the layers is taken into account, it is assumed that there is no friction between the supports and the layered composite so that only compressive tractions can be transmitted across the interface. The layered composite is subjected to a uniform clamping pressure over a finite portion of its top surface. The problem is reduced to a singular integral equation in which the contact pressure is the unknown function. The singular integral equation is evaluated numerically and the results for various dimensionless quantities are presented in graphical forms.

Keywords: Frictionless contact, Layered composite, Singularintegral equation, The theory of elasticity.

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Authors: Banaja Mohanty, Prakash Kumar Hota

Abstract:

This paper presents a differential evolution algorithm to design a robust PI and PID controllers for Load Frequency Control (LFC) of nonlinear interconnected power systems considering the boiler dynamics, Governor Dead Band (GDB), Generation Rate Constraint (GRC). Differential evolution algorithm is employed to search for the optimal controller parameters. The proposed method easily copes of with nonlinear constraints. Further the proposed controller is simple, effective and can ensure the desirable overall system performance. The superiority of the proposed approach has been shown by comparing the results with published fuzzy logic controller for the same power systems. The comparison is done using various performance measures like overshoot, settling time and standard error criteria of frequency and tie-line power deviation following a 1% step load perturbation in hydro area. It is noticed that, the dynamic performance of proposed controller is better than fuzzy logic controller. Furthermore, it is also seen that the proposed system is robust and is not affected by change in the system parameters.

Keywords: Automatic Generation control (AGC), Generation Rate Constraint (GRC), Governor Dead Band (GDB), Differential Evolution (DE)

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Authors: S. Behnia, S. Fathizadeh

Abstract:

Conductivity properties of DNA molecule is investigated in a simple, but chemically specific approach that is intimately related to the Su-Schrieffer-Heeger (SSH) model. This model is a tight-binding linear nanoscale chain. We have tried to study the electrical current flowing in DNA and investigated the characteristic I-V diagram. As a result, It is shown that there are the (quasi-) ohmic areas in I-V diagram. On the other hand, the regions with a negative differential resistance (NDR) are detectable in diagram.

Keywords: Charge transfer in DNA, Chaos theory, Molecular electronics, Negative Differential resistance.

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Authors: E. Mat Tokit, Yusoff M. Z, Mohammed H.

Abstract:

Numerical investigation on the generality of nanoparticle velocity equation had been done on the previous published work. The three dimensional governing equations (continuity, momentum and energy) were solved using finite volume method (FVM). Parametric study of thermal performance between pure water-cooled and nanofluid-cooled are evaluated for volume fraction in the range of 1% to 4%, and nanofluid type of gamma-Al₂O₃ at Reynolds number range of 67.41 to 286.77. The nanofluid is modeled using single and two phase approach. Three different existing Brownian motion velocities are applied in comparing the generality of the equation for a wide parametric condition. Deviation in between the Brownian motion velocity is identified to be due to the different means of mean free path and constant value used in diffusion equation.

Keywords: Brownian nanoparticle velocity, heat transfer enhancement, nanofluid, two phase model.

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Authors: Kittipong Tripetch

Abstract:

This paper proposes a study of input impedance of 2 types of CMOS active inductors. It derives 2 input impedance formulas. The first formula is the input impedance of the grounded active inductor. The second formula is the input impedance of the floating active inductor. After that, these formulas can be used to simulate magnitude and phase response of input impedance as a function of current consumption with MATLAB. Common mode rejection ratio (CMRR) of the fully differential bandpass amplifier is derived based on superposition principle. CMRR as a function of input frequency is plotted as a function of current consumption. 

Keywords: Grounded active inductor, floating active inductor, Fully differential bandpass amplifier.

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Authors: P. G. Siddheshwar, B. R. Revathi

Abstract:

The effect of time-periodic oscillations of the Rayleigh- Benard system on the heat transport in dielectric liquids is investigated by weakly nonlinear analysis. We focus on stationary convection using the slow time scale and arrive at the real Ginzburg- Landau equation. Classical fourth order Runge-kutta method is used to solve the Ginzburg-Landau equation which gives the amplitude of convection and this helps in quantifying the heat transfer in dielectric liquids in terms of the Nusselt number. The effect of electrical Rayleigh number and the amplitude of modulation on heat transport is studied.

Keywords: Dielectric liquid, Nusselt number, amplitude equation.

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Authors: Norhashidah Hj. Mohd Ali, Teng Wai Ping

Abstract:

In this paper, we present a high order group explicit method in solving the two dimensional Helmholtz equation. The presented method is derived from a nine-point fourth order finite difference approximation formula obtained from a 45-degree rotation of the standard grid which makes it possible for the construction of iterative procedure with reduced complexity. The developed method will be compared with the existing group iterative schemes available in literature in terms of computational time, iteration counts, and computational complexity. The comparative performances of the methods will be discussed and reported.

Keywords: Explicit group method, finite difference, Helmholtz equation, rotated grid, standard grid.

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Authors: Jieer Wu, Zheshu Ma

Abstract:

Nondestructive testing in engineering is an inverse Cauchy problem for Laplace equation. In this paper the problem of nondestructive testing is expressed by a Laplace-s equation with third-kind boundary conditions. In order to find unknown values on the boundary, the method of fundamental solution is introduced and realized. Because of the ill-posedness of studied problems, the TSVD regularization technique in combination with L-curve criteria and Generalized Cross Validation criteria is employed. Numerical results are shown that the TSVD method combined with L-curve criteria is more efficient than the TSVD method combined with GCV criteria. The abstract goes here.

Keywords: ill-posed, TSVD, Laplace's equation, inverse problem, L-curve, Generalized Cross Validation.

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