Search results for: Vorticity equation
660 The Proof of Analogous Results for Martingales and Partial Differential Equations Options Price Valuation Formulas Using Stochastic Differential Equation Models in Finance
Authors: H. D. Ibrahim, H. C. Chinwenyi, A. H. Usman
Abstract:
Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.
Keywords: Option price valuation, Martingales, Partial Differential Equations, PDEs, Equivalent Martingale Measure, Girsanov Theorem, Feyman-Kac Theorem, European Put Option.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 360659 Analysis of a Self-Acting Air Journal Bearing: Effect of Dynamic Deformation of Bump Foil
Authors: H. Bensouilah, H. Boucherit, M. Lahmar
Abstract:
A theoretical investigation on the effects of both steady-state and dynamic deformations of the foils on the dynamic performance characteristics of a self-acting air foil journal bearing operating under small harmonic vibrations is proposed. To take into account the dynamic deformations of foils, the perturbation method is used for determining the gas-film stiffness and damping coefficients for given values of excitation frequency, compressibility number, and compliance factor of the bump foil. The nonlinear stationary Reynolds’ equation is solved by means of the Galerkins’ finite element formulation while the finite differences method are used to solve the first order complex dynamic equations resulting from the perturbation of the nonlinear transient compressible Reynolds’ equation. The stiffness of a bump is uniformly distributed throughout the bearing surface (generation I bearing). It was found that the dynamic properties of the compliant finite length journal bearing are significantly affected by the compliance of foils especially whenthe dynamic deformation of foils is considered in addition to the static one by applying the principle of superposition.
Keywords: Elasto-aerodynamic lubrication, Air foil bearing, Steady-state deformation, Dynamic deformation, Stiffness and damping coefficients, Perturbation method, Fluid-structure interaction, Galerk infinite element method, Finite difference method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2744658 Research of Strong-Column-Weak-Beam Criteria of Reinforced Concrete Frames Subjected to Biaxial Seismic Excitation
Authors: Chong Zhang, Mu-Xuan Tao
Abstract:
In several earthquakes, numerous reinforced concrete (RC) frames subjected to seismic excitation demonstrated a collapse pattern characterized by column hinges, though designed according to the Strong-Column-Weak-Beam (S-C-W-B) criteria. The effect of biaxial seismic excitation on the disparity between design and actual performance is carefully investigated in this article. First, a modified load contour method is proposed to derive a closed-form equation of biaxial bending moment strength, which is verified by numerical and experimental tests. Afterwards, a group of time history analyses of a simple frame modeled by fiber beam-column elements subjected to biaxial seismic excitation are conducted to verify that the current S-C-W-B criteria are not adequate to prevent the occurrence of column hinges. A biaxial over-strength factor is developed based on the proposed equation, and the reinforcement of columns is appropriately amplified with this factor to prevent the occurrence of column hinges under biaxial excitation, which is proved to be effective by another group of time history analyses.
Keywords: Biaxial bending moment strength, biaxial seismic excitation, fiber beam-column model, load contour method, strong-column-weak-beam.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 608657 On a New Nonlinear Sum-difference Inequality with Application
Authors: Kelong Zheng, Shouming Zhong
Abstract:
A new nonlinear sum-difference inequality in two variables which generalize some existing results and can be used as handy tools in the analysis of certain partial difference equation is discussed. An example to show boundedness of solutions of a difference value problem is also given.Keywords: Sum-Difference inequality, Nonlinear, Boundedness.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1117656 Expectation-Confirmation Model of Information System Continuance: A Meta-Analysis
Authors: Hui-Min Lai, Chin-Pin Chen, Yung-Fu Chang
Abstract:
The expectation-confirmation model (ECM) is one of the most widely used models for evaluating information system continuance, and this model has been extended to other study backgrounds, or expanded with other theoretical perspectives. However, combining ECM with other theories or investigating the background problem may produce some disparities, thus generating inaccurate conclusions. Habit is considered to be an important factor that influences the user’s continuance behavior. This paper thus critically examines seven pairs of relationships from the original ECM and the habit variable. A meta-analysis was used to tackle the development of ECM research over the last 10 years from a range of journals and conference papers published in 2005–2014. Forty-six journal articles and 19 conference papers were selected for analysis. The results confirm our prediction that a high effect size for the seven pairs of relationships was obtained (ranging from r=0.386 to r=0.588). Furthermore, a meta-analytic structural equation modeling was performed to simultaneously test all relationships. The results show that habit had a significant positive effect on continuance intention at p<=0.05 and that the six other pairs of relationships were significant at p<0.10. Based on the findings, we refined our original research model and an alternative model was proposed for understanding and predicting information system continuance. Some theoretical implications are also discussed.Keywords: Expectation-confirmation theory, expectation- confirmation model, meta-analysis, meta-analytic structural equation modeling.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2671655 A Causal Model for Environmental Design of Residential Community for Elderly Well-Being in Thailand
Authors: Porntip Ruengtam
Abstract:
This article is an extension of previous research presenting the relevant factors related to environmental perceptions, residential community, and the design of a healing environment, which have effects on the well-being and requirements of Thai elderly. Research methodology began with observations and interviews in three case studies in terms of the management processes and environment design of similar existing projects in Thailand. The interview results were taken to summarize with related theories and literature. A questionnaire survey was designed for data collection to confirm the factors of requirements in a residential community intended for the Thai elderly. A structural equation model (SEM) was formulated to explain the cause-effect factors for the requirements of a residential community for Thai elderly. The research revealed that the requirements of a residential community for Thai elderly were classified into three groups when utilizing a technique for exploratory factor analysis. The factors were comprised of (1) requirements for general facilities and activities, (2) requirements for facilities related to health and security, and (3) requirements for facilities related to physical exercise in the residential community. The results from the SEM showed the background of elderly people had a direct effect on their requirements for a residential community from various aspects. The results should lead to the formulation of policies for design and management of residential communities for the elderly in order to enhance quality of life as well as both the physical and mental health of the Thai elderly.
Keywords: Elderly, environmental design, residential community, structural equation modeling.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 893654 Development of Integrated GIS Interface for Characteristics of Regional Daily Flow
Authors: Ju Young Lee, Jung-Seok Yang, Jaeyoung Choi
Abstract:
The purpose of this paper primarily intends to develop GIS interface for estimating sequences of stream-flows at ungauged stations based on known flows at gauged stations. The integrated GIS interface is composed of three major steps. The first, precipitation characteristics using statistical analysis is the procedure for making multiple linear regression equation to get the long term mean daily flow at ungauged stations. The independent variables in regression equation are mean daily flow and drainage area. Traditionally, mean flow data are generated by using Thissen polygon method. However, method for obtaining mean flow data can be selected by user such as Kriging, IDW (Inverse Distance Weighted), Spline methods as well as other traditional methods. At the second, flow duration curve (FDC) is computing at unguaged station by FDCs in gauged stations. Finally, the mean annual daily flow is computed by spatial interpolation algorithm. The third step is to obtain watershed/topographic characteristics. They are the most important factors which govern stream-flows. In summary, the simulated daily flow time series are compared with observed times series. The results using integrated GIS interface are closely similar and are well fitted each other. Also, the relationship between the topographic/watershed characteristics and stream flow time series is highly correlated.Keywords: Integrated GIS interface, spatial interpolation algorithm, FDC.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1499653 An Overview of Some High Order and Multi-Level Finite Difference Schemes in Computational Aeroacoustics
Authors: Appanah Rao Appadu, Muhammad Zaid Dauhoo
Abstract:
In this paper, we have combined some spatial derivatives with the optimised time derivative proposed by Tam and Webb in order to approximate the linear advection equation which is given by = 0. Ôêé Ôêé + Ôêé Ôêé x f t u These spatial derivatives are as follows: a standard 7-point 6 th -order central difference scheme (ST7), a standard 9-point 8 th -order central difference scheme (ST9) and optimised schemes designed by Tam and Webb, Lockard et al., Zingg et al., Zhuang and Chen, Bogey and Bailly. Thus, these seven different spatial derivatives have been coupled with the optimised time derivative to obtain seven different finite-difference schemes to approximate the linear advection equation. We have analysed the variation of the modified wavenumber and group velocity, both with respect to the exact wavenumber for each spatial derivative. The problems considered are the 1-D propagation of a Boxcar function, propagation of an initial disturbance consisting of a sine and Gaussian function and the propagation of a Gaussian profile. It is known that the choice of the cfl number affects the quality of results in terms of dissipation and dispersion characteristics. Based on the numerical experiments solved and numerical methods used to approximate the linear advection equation, it is observed in this work, that the quality of results is dependent on the choice of the cfl number, even for optimised numerical methods. The errors from the numerical results have been quantified into dispersion and dissipation using a technique devised by Takacs. Also, the quantity, Exponential Error for Low Dispersion and Low Dissipation, eeldld has been computed from the numerical results. Moreover, based on this work, it has been found that when the quantity, eeldld can be used as a measure of the total error. In particular, the total error is a minimum when the eeldld is a minimum.
Keywords: Optimised time derivative, dissipation, dispersion, cfl number, Nomenclature: k : time step, h : spatial step, β :advection velocity, r: cfl/Courant number, hkrβ= , w =θ, h : exact wave number, n :time level, RPE : Relative phase error per unit time step, AFM :modulus of amplification factor
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1626652 Three Steps of One-way Nested Grid for Energy Balance Equations by Wave Model
Authors: Worachat Wannawong, Usa W. Humphries, Prungchan Wongwises, Suphat Vongvisessomjai
Abstract:
The three steps of the standard one-way nested grid for a regional scale of the third generation WAve Model Cycle 4 (WAMC4) is scrutinized. The model application is enabled to solve the energy balance equation on a coarse resolution grid in order to produce boundary conditions for a smaller area by the nested grid technique. In the present study, the model takes a full advantage of the fine resolution of wind fields in space and time produced by the available U.S. Navy Global Atmospheric Prediction System (NOGAPS) model with 1 degree resolution. The nested grid application of the model is developed in order to gradually increase the resolution from the open ocean towards the South China Sea (SCS) and the Gulf of Thailand (GoT) respectively. The model results were compared with buoy observations at Ko Chang, Rayong and Huahin locations which were obtained from the Seawatch project. In addition, the results were also compared with Satun based weather station which was provided from Department of Meteorology, Thailand. The data collected from this station presented the significant wave height (Hs) reached 12.85 m. The results indicated that the tendency of the Hs from the model in the spherical coordinate propagation with deep water condition in the fine grid domain agreed well with the Hs from the observations.Keywords: energy balance equation, Gulf of Thailand, nested gridapplication, South China Sea, wave model.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1585651 Latent Factors of Severity in Truck-Involved and Non-Truck-Involved Crashes on Freeways
Authors: Shin-Hyung Cho, Dong-Kyu Kim, Seung-Young Kho
Abstract:
Truck-involved crashes have higher crash severity than non-truck-involved crashes. There have been many studies about the frequency of crashes and the development of severity models, but those studies only analyzed the relationship between observed variables. To identify why more people are injured or killed when trucks are involved in the crash, we must examine to quantify the complex causal relationship between severity of the crash and risk factors by adopting the latent factors of crashes. The aim of this study was to develop a structural equation or model based on truck-involved and non-truck-involved crashes, including five latent variables, i.e. a crash factor, environmental factor, road factor, driver’s factor, and severity factor. To clarify the unique characteristics of truck-involved crashes compared to non-truck-involved crashes, a confirmatory analysis method was used. To develop the model, we extracted crash data from 10,083 crashes on Korean freeways from 2008 through 2014. The results showed that the most significant variable affecting the severity of a crash is the crash factor, which can be expressed by the location, cause, and type of the crash. For non-truck-involved crashes, the crash and environment factors increase severity of the crash; conversely, the road and driver factors tend to reduce severity of the crash. For truck-involved crashes, the driver factor has a significant effect on severity of the crash although its effect is slightly less than the crash factor. The multiple group analysis employed to analyze the differences between the heterogeneous groups of drivers.
Keywords: Crash severity, structural equation modeling, truck-involved crashes, multiple group analysis, crash on freeway.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1325650 Nonlinear Dynamic Analysis of Base-Isolated Structures Using a Partitioned Solution Approach and an Exponential Model
Authors: Nicolò Vaiana, Filip C. Filippou, Giorgio Serino
Abstract:
The solution of the nonlinear dynamic equilibrium equations of base-isolated structures adopting a conventional monolithic solution approach, i.e. an implicit single-step time integration method employed with an iteration procedure, and the use of existing nonlinear analytical models, such as differential equation models, to simulate the dynamic behavior of seismic isolators can require a significant computational effort. In order to reduce numerical computations, a partitioned solution method and a one dimensional nonlinear analytical model are presented in this paper. A partitioned solution approach can be easily applied to base-isolated structures in which the base isolation system is much more flexible than the superstructure. Thus, in this work, the explicit conditionally stable central difference method is used to evaluate the base isolation system nonlinear response and the implicit unconditionally stable Newmark’s constant average acceleration method is adopted to predict the superstructure linear response with the benefit in avoiding iterations in each time step of a nonlinear dynamic analysis. The proposed mathematical model is able to simulate the dynamic behavior of seismic isolators without requiring the solution of a nonlinear differential equation, as in the case of widely used differential equation model. The proposed mixed explicit-implicit time integration method and nonlinear exponential model are adopted to analyze a three dimensional seismically isolated structure with a lead rubber bearing system subjected to earthquake excitation. The numerical results show the good accuracy and the significant computational efficiency of the proposed solution approach and analytical model compared to the conventional solution method and mathematical model adopted in this work. Furthermore, the low stiffness value of the base isolation system with lead rubber bearings allows to have a critical time step considerably larger than the imposed ground acceleration time step, thus avoiding stability problems in the proposed mixed method.
Keywords: Base-isolated structures, earthquake engineering, mixed time integration, nonlinear exponential model.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1569649 Flow Characteristics around Rectangular Obstacles with the Varying Direction of Obstacles
Authors: Hee-Chang Lim
Abstract:
The study aims to understand the surface pressure distribution around the bodies such as the suction pressure in the leading edge on the top and side-face when the aspect ratio of bodies and the wind direction are changed, respectively. We carried out the wind tunnel measurement and numerical simulation around a series of rectangular bodies (40d×80w×80h, 80d×80w×80h, 160d×80w×80h, 80d×40w×80h and 80d×160w×80h in mm3) placed in a deep turbulent boundary layer. Based on a modern numerical platform, the Navier-Stokes equation with the typical 2-equation (k-ε model) and the DES (Detached Eddy Simulation) turbulence model has been calculated, and they are both compared with the measurement data. Regarding the turbulence model, the DES model makes a better prediction comparing with the k-ε model, especially when calculating the separated turbulent flow around a bluff body with sharp edged corner. In order to observe the effect of wind direction on the pressure variation around the cube (e.g., 80d×80w×80h in mm), it rotates at 0º, 10º, 20º, 30º, and 45º, which stands for the salient wind directions in the tunnel. The result shows that the surface pressure variation is highly dependent upon the approaching wind direction, especially on the top and the side-face of the cube. In addition, the transverse width has a substantial effect on the variation of surface pressure around the bodies, while the longitudinal length has little or no influence.
Keywords: Rectangular bodies, wind direction, aspect ratio, surface pressure distribution, wind-tunnel measurement, k-ε model, DES model, CFD.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 896648 Component Based Framework for Authoring and Multimedia Training in Mathematics
Authors: Ion Smeureanu, Marian Dardala, Adriana Reveiu
Abstract:
The new programming technologies allow for the creation of components which can be automatically or manually assembled to reach a new experience in knowledge understanding and mastering or in getting skills for a specific knowledge area. The project proposes an interactive framework that permits the creation, combination and utilization of components that are specific to mathematical training in high schools. The main framework-s objectives are: • authoring lessons by the teacher or the students; all they need are simple operating skills for Equation Editor (or something similar, or Latex); the rest are just drag & drop operations, inserting data into a grid, or navigating through menus • allowing sonorous presentations of mathematical texts and solving hints (easier understood by the students) • offering graphical representations of a mathematical function edited in Equation • storing of learning objects in a database • storing of predefined lessons (efficient for expressions and commands, the rest being calculations; allows a high compression) • viewing and/or modifying predefined lessons, according to the curricula The whole thing is focused on a mathematical expressions minicompiler, storing the code that will be later used for different purposes (tables, graphics, and optimisations). Programming technologies used. A Visual C# .NET implementation is proposed. New and innovative digital learning objects for mathematics will be developed; they are capable to interpret, contextualize and react depending on the architecture where they are assembled.Keywords: Adaptor, automatic assembly learning component and user control.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1692647 Allometric Models for Biomass Estimation in Savanna Woodland Area, Niger State, Nigeria
Authors: Abdullahi Jibrin, Aishetu Abdulkadir
Abstract:
The development of allometric models is crucial to accurate forest biomass/carbon stock assessment. The aim of this study was to develop a set of biomass prediction models that will enable the determination of total tree aboveground biomass for savannah woodland area in Niger State, Nigeria. Based on the data collected through biometric measurements of 1816 trees and destructive sampling of 36 trees, five species specific and one site specific models were developed. The sample size was distributed equally between the five most dominant species in the study site (Vitellaria paradoxa, Irvingia gabonensis, Parkia biglobosa, Anogeissus leiocarpus, Pterocarpus erinaceous). Firstly, the equations were developed for five individual species. Secondly these five species were mixed and were used to develop an allometric equation of mixed species. Overall, there was a strong positive relationship between total tree biomass and the stem diameter. The coefficient of determination (R2 values) ranging from 0.93 to 0.99 P < 0.001 were realised for the models; with considerable low standard error of the estimates (SEE) which confirms that the total tree above ground biomass has a significant relationship with the dbh. F-test values for the biomass prediction models were also significant at p < 0.001 which indicates that the biomass prediction models are valid. This study recommends that for improved biomass estimates in the study site, the site specific biomass models should preferably be used instead of using generic models.
Keywords: Allometriy, biomass, carbon stock, model, regression equation, woodland, inventory.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2774646 Hydraulic Conductivity Prediction of Cement Stabilized Pavement Base Incorporating Recycled Plastics and Recycled Aggregates
Authors: Md. Shams Razi Shopnil, Tanvir Imtiaz, Sabrina Mahjabin, Md. Sahadat Hossain
Abstract:
Saturated hydraulic conductivity is one of the most significant attributes of pavement base course. Determination of hydraulic conductivity is a routine procedure for regular aggregate base courses. However, in many cases, a cement-stabilized base course is used with compromised drainage ability. Traditional hydraulic conductivity testing procedure is a readily available option which leads to two consequential drawbacks, i.e., the time required for the specimen to be saturated and extruding the sample after completion of the laboratory test. To overcome these complications, this study aims at formulating an empirical approach to predicting hydraulic conductivity based on Unconfined Compressive Strength test results. To do so, this study comprises two separate experiments (Constant Head Permeability test and Unconfined Compressive Strength test) conducted concurrently on a specimen having the same physical credentials. Data obtained from the two experiments were then used to devise a correlation between hydraulic conductivity and unconfined compressive strength. This correlation in the form of a polynomial equation helps to predict the hydraulic conductivity of cement-treated pavement base course, bypassing the cumbrous process of traditional permeability and less commonly used horizontal permeability tests. The correlation was further corroborated by a different set of data, and it has been found that the derived polynomial equation is deemed to be a viable tool to predict hydraulic conductivity.
Keywords: Hydraulic conductivity, unconfined compressive strength, recycled plastics, recycled concrete aggregates.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 307645 Solving Linear Matrix Equations by Matrix Decompositions
Authors: Yongxin Yuan, Kezheng Zuo
Abstract:
In this paper, a system of linear matrix equations is considered. A new necessary and sufficient condition for the consistency of the equations is derived by means of the generalized singular-value decomposition, and the explicit representation of the general solution is provided.
Keywords: Matrix equation, Generalized inverse, Generalized singular-value decomposition.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2045644 The Contraction Point for Phan-Thien/Tanner Model of Tube-Tooling Wire-Coating Flow
Authors: V. Ngamaramvaranggul, S. Thenissara
Abstract:
The simulation of extrusion process is studied widely in order to both increase products and improve quality, with broad application in wire coating. The annular tube-tooling extrusion was set up by a model that is termed as Navier-Stokes equation in addition to a rheological model of differential form based on singlemode exponential Phan-Thien/Tanner constitutive equation in a twodimensional cylindrical coordinate system for predicting the contraction point of the polymer melt beyond the die. Numerical solutions are sought through semi-implicit Taylor-Galerkin pressurecorrection finite element scheme. The investigation was focused on incompressible creeping flow with long relaxation time in terms of Weissenberg numbers up to 200. The isothermal case was considered with surface tension effect on free surface in extrudate flow and no slip at die wall. The Stream Line Upwind Petrov-Galerkin has been proposed to stabilize solution. The structure of mesh after die exit was adjusted following prediction of both top and bottom free surfaces so as to keep the location of contraction point around one unit length which is close to experimental results. The simulation of extrusion process is studied widely in order to both increase products and improve quality, with broad application in wire coating. The annular tube-tooling extrusion was set up by a model that is termed as Navier-Stokes equation in addition to a rheological model of differential form based on single-mode exponential Phan- Thien/Tanner constitutive equation in a two-dimensional cylindrical coordinate system for predicting the contraction point of the polymer melt beyond the die. Numerical solutions are sought through semiimplicit Taylor-Galerkin pressure-correction finite element scheme. The investigation was focused on incompressible creeping flow with long relaxation time in terms of Weissenberg numbers up to 200. The isothermal case was considered with surface tension effect on free surface in extrudate flow and no slip at die wall. The Stream Line Upwind Petrov-Galerkin has been proposed to stabilize solution. The structure of mesh after die exit was adjusted following prediction of both top and bottom free surfaces so as to keep the location of contraction point around one unit length which is close to experimental results.Keywords: wire coating, free surface, tube-tooling, extrudate swell, surface tension, finite element method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2004643 Mean-Variance Optimization of Portfolios with Return of Premium Clauses in a DC Pension Plan with Multiple Contributors under Constant Elasticity of Variance Model
Authors: Bright O. Osu, Edikan E. Akpanibah, Chidinma Olunkwa
Abstract:
In this paper, mean-variance optimization of portfolios with the return of premium clauses in a defined contribution (DC) pension plan with multiple contributors under constant elasticity of variance (CEV) model is studied. The return clauses which permit death members to claim their accumulated wealth are considered, the remaining wealth is not equally distributed by the remaining members as in literature. We assume that before investment, the surplus which includes funds of members who died after retirement adds to the total wealth. Next, we consider investments in a risk-free asset and a risky asset to meet up the expected returns of the remaining members and obtain an optimized problem with the help of extended Hamilton Jacobi Bellman equation. We obtained the optimal investment strategies for the two assets and the efficient frontier of the members by using a stochastic optimal control technique. Furthermore, we studied the effect of the various parameters of the optimal investment strategies and the effect of the risk-averse level on the efficient frontier. We observed that the optimal investment strategy is the same as in literature, secondly, we observed that the surplus decreases the proportion of the wealth invested in the risky asset.
Keywords: DC pension fund, Hamilton Jacobi Bellman equation, optimal investment strategies, stochastic optimal control technique, return of premiums clauses, mean-variance utility.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 764642 Appraisal of Methods for Identifying, Mapping, and Modelling of Fluvial Erosion in a Mining Environment
Authors: F. F. Howard, I. Yakubu, C. B. Boye, J. S. Y. Kuma
Abstract:
Natural and human activities, such as mining operations, expose the natural soil to adverse environmental conditions, leading to contamination of soil, groundwater, and surface water, which has negative effects on humans, flora, and fauna. Bare or partly exposed soil is most liable to fluvial erosion. This paper enumerates various methods used to identify, map, and model fluvial erosion in a mining environment. Classical, Artificial Intelligence (AI), and GIS methods have been reviewed. One of the many classical methods used to estimate river erosion is the Revised Universal Soil Loss Equation (RUSLE) model. The RUSLE model is easy to use. Its reliance on empirical relationships that may not always be applicable to specific circumstances or locations is a flaw. Other classical models for estimating fluvial erosion are the Soil and Water Assessment Tool (SWAT) and the Universal Soil Loss Equation (USLE). These models offer a more complete understanding of the underlying physical processes and encompass a wider range of situations. Although more difficult to utilise, they depend on the availability and dependability of input data for correctness. AI can help deal with multivariate and complex difficulties and predict soil loss with higher accuracy than traditional methods, and also be used to build unique models for identifying degraded areas. AI techniques have become popular as an alternative predictor for degraded environments. However, this research proposed a hybrid of classical, AI, and GIS methods for efficient and effective modelling of fluvial erosion.
Keywords: Fluvial erosion, classical methods, Artificial Intelligence, Geographic Information System.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 164641 Backstepping Design and Fractional Derivative Equation of Chaotic System
Authors: Ayub Khan, Net Ram Garg, Geeta Jain
Abstract:
In this paper, Backstepping method is proposed to synchronize two fractional-order systems. The simulation results show that this method can effectively synchronize two chaotic systems.
Keywords: Backstepping method, Fractional order, Synchronization.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2131640 A New Verified Method for Solving Nonlinear Equations
Authors: Taher Lotfi , Parisa Bakhtiari , Katayoun Mahdiani , Mehdi Salimi
Abstract:
In this paper, verified extension of the Ostrowski method which calculates the enclosure solutions of a given nonlinear equation is introduced. Also, error analysis and convergence will be discussed. Some implemented examples with INTLAB are also included to illustrate the validity and applicability of the scheme.
Keywords: Iinterval analysis, nonlinear equations, Ostrowski method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1500639 Damping and Stability Evaluation for the Dynamical Hunting Motion of the Bullet Train Wheel Axle Equipped with Cylindrical Wheel Treads
Authors: Barenten Suciu
Abstract:
Classical matrix calculus and Routh-Hurwitz stability conditions, applied to the snake-like motion of the conical wheel axle, lead to the conclusion that the hunting mode is inherently unstable, and its natural frequency is a complex number. In order to analytically solve such a complicated vibration model, either the inertia terms were neglected, in the model designated as geometrical, or restrictions on the creep coefficients and yawing diameter were imposed, in the so-called dynamical model. Here, an alternative solution is proposed to solve the hunting mode, based on the observation that the bullet train wheel axle is equipped with cylindrical wheels. One argues that for such wheel treads, the geometrical hunting is irrelevant, since its natural frequency becomes nil, but the dynamical hunting is significant since its natural frequency reduces to a real number. Moreover, one illustrates that the geometrical simplification of the wheel causes the stabilization of the hunting mode, since the characteristic quartic equation, derived for conical wheels, reduces to a quadratic equation of positive coefficients, for cylindrical wheels. Quite simple analytical expressions for the damping ratio and natural frequency are obtained, without applying restrictions into the model of contact. Graphs of the time-depending hunting lateral perturbation, including the maximal and inflexion points, are presented both for the critically-damped and the over-damped wheel axles.
Keywords: Bullet train, dynamical hunting, cylindrical wheels, damping, stability, creep, vibration analysis.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 745638 Existence of Solution for Boundary Value Problems of Differential Equations with Delay
Authors: Xiguang Li
Abstract:
In this paper , by using fixed point theorem , upper and lower solution-s method and monotone iterative technique , we prove the existence of maximum and minimum solutions of differential equations with delay , which improved and generalize the result of related paper.
Keywords: Banach space, boundary value problem, differential equation, delay.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1220637 Two-Dimensional Observation of Oil Displacement by Water in a Petroleum Reservoir through Numerical Simulation and Application to a Petroleum Reservoir
Authors: Ahmad Fahim Nasiry, Shigeo Honma
Abstract:
We examine two-dimensional oil displacement by water in a petroleum reservoir. The pore fluid is immiscible, and the porous media is homogenous and isotropic in the horizontal direction. Buckley-Leverett theory and a combination of Laplacian and Darcy’s law are used to study the fluid flow through porous media, and the Laplacian that defines the dispersion and diffusion of fluid in the sand using heavy oil is discussed. The reservoir is homogenous in the horizontal direction, as expressed by the partial differential equation. Two main factors which are observed are the water saturation and pressure distribution in the reservoir, and they are evaluated for predicting oil recovery in two dimensions by a physical and mathematical simulation model. We review the numerical simulation that solves difficult partial differential reservoir equations. Based on the numerical simulations, the saturation and pressure equations are calculated by the iterative alternating direction implicit method and the iterative alternating direction explicit method, respectively, according to the finite difference assumption. However, to understand the displacement of oil by water and the amount of water dispersion in the reservoir better, an interpolated contour line of the water distribution of the five-spot pattern, that provides an approximate solution which agrees well with the experimental results, is also presented. Finally, a computer program is developed to calculate the equation for pressure and water saturation and to draw the pressure contour line and water distribution contour line for the reservoir.Keywords: Numerical simulation, immiscible, finite difference, IADI, IADE, waterflooding.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1076636 An Approach to Correlate the Statistical-Based Lorenz Method, as a Way of Measuring Heterogeneity, with Kozeny-Carman Equation
Authors: H. Khanfari, M. Johari Fard
Abstract:
Dealing with carbonate reservoirs can be mind-boggling for the reservoir engineers due to various digenetic processes that cause a variety of properties through the reservoir. A good estimation of the reservoir heterogeneity which is defined as the quality of variation in rock properties with location in a reservoir or formation, can better help modeling the reservoir and thus can offer better understanding of the behavior of that reservoir. Most of reservoirs are heterogeneous formations whose mineralogy, organic content, natural fractures, and other properties vary from place to place. Over years, reservoir engineers have tried to establish methods to describe the heterogeneity, because heterogeneity is important in modeling the reservoir flow and in well testing. Geological methods are used to describe the variations in the rock properties because of the similarities of environments in which different beds have deposited in. To illustrate the heterogeneity of a reservoir vertically, two methods are generally used in petroleum work: Dykstra-Parsons permeability variations (V) and Lorenz coefficient (L) that are reviewed briefly in this paper. The concept of Lorenz is based on statistics and has been used in petroleum from that point of view. In this paper, we correlated the statistical-based Lorenz method to a petroleum concept, i.e. Kozeny-Carman equation and derived the straight line plot of Lorenz graph for a homogeneous system. Finally, we applied the two methods on a heterogeneous field in South Iran and discussed each, separately, with numbers and figures. As expected, these methods show great departure from homogeneity. Therefore, for future investment, the reservoir needs to be treated carefully.
Keywords: Carbonate reservoirs, heterogeneity, homogeneous system, Dykstra-Parsons permeability variations (V), Lorenz coefficient (L).
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1774635 Three Computational Mathematics Techniques: Comparative Determination of Area under Curve
Authors: Khalid Pervaiz Akhter, Mahmood Ahmad, Ghulam Murtaza, Ishrat Shafi, Zafar Javed
Abstract:
The objective of this manuscript is to find area under the plasma concentration- time curve (AUC) for multiple doses of salbutamol sulphate sustained release tablets (Ventolin® oral tablets SR 8 mg, GSK, Pakistan) in the group of 18 healthy adults by using computational mathematics techniques. Following the administration of 4 doses of Ventolin® tablets 12 hourly to 24 healthy human subjects and bioanalysis of obtained plasma samples, plasma drug concentration-time profile was constructed. AUC, an important pharmacokinetic parameter, was measured using integrated equation of multiple oral dose regimens. The approximated AUC was also calculated by using computational mathematics techniques such as repeated rectangular, repeated trapezium and repeated Simpson's rule and compared with exact value of AUC calculated by using integrated equation of multiple oral dose regimens to find best computational mathematics method that gives AUC values closest to exact. The exact values of AUC for four consecutive doses of Ventolin® oral tablets were 150.5819473, 157.8131756, 164.4178231 and 162.78 ng.h/ml while the closest values approximated AUC values were 149.245962, 157.336171, 164.2585768 and 162.289224 ng.h/ml, respectively as found by repeated rectangular rule. The errors in the approximated values of AUC were negligible. It is concluded that all computational tools approximated values of AUC accurately but the repeated rectangular rule gives slightly better approximated values of AUC as compared to repeated trapezium and repeated Simpson's rules.
Keywords: Salbutamol sulphate, Area under curve (AUC), repeated rectangular rule, repeated trapezium rule, repeated Simpson's rule.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1832634 Numerical Analysis of Rapid Gas Decompression in Pure Nitrogen using 1D and 3D Transient Mathematical Models of Gas Flow in Pipes
Authors: Evgeniy Burlutskiy
Abstract:
The paper presents a numerical investigation on the rapid gas decompression in pure nitrogen which is made by using the one-dimensional (1D) and three-dimensional (3D) mathematical models of transient compressible non-isothermal fluid flow in pipes. A 1D transient mathematical model of compressible thermal multicomponent fluid mixture flow in pipes is presented. The set of the mass, momentum and enthalpy conservation equations for gas phase is solved in the model. Thermo-physical properties of multicomponent gas mixture are calculated by solving the Equation of State (EOS) model. The Soave-Redlich-Kwong (SRK-EOS) model is chosen. This model is successfully validated on the experimental data [1] and shows a good agreement with measurements. A 3D transient mathematical model of compressible thermal single-component gas flow in pipes, which is built by using the CFD Fluent code (ANSYS), is presented in the paper. The set of unsteady Reynolds-averaged conservation equations for gas phase is solved. Thermo-physical properties of single-component gas are calculated by solving the Real Gas Equation of State (EOS) model. The simplest case of gas decompression in pure nitrogen is simulated using both 1D and 3D models. The ability of both models to simulate the process of rapid decompression with a high order of agreement with each other is tested. Both, 1D and 3D numerical results show a good agreement between each other. The numerical investigation shows that 3D CFD model is very helpful in order to validate 1D simulation results if the experimental data is absent or limited.Keywords: Mathematical model, Rapid Gas Decompression
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2209633 Blow up in Polynomial Differential Equations
Authors: Rudolf Csikja, Janos Toth
Abstract:
Methods to detect and localize time singularities of polynomial and quasi-polynomial ordinary differential equations are systematically presented and developed. They are applied to examples taken form different fields of applications and they are also compared to better known methods such as those based on the existence of linear first integrals or Lyapunov functions.
Keywords: blow up, finite escape time, polynomial ODE, singularity, Lotka–Volterra equation, Painleve analysis, Ψ-series, global existence
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2167632 Another Approach of Similarity Solution in Reversed Stagnation-point Flow
Authors: Vai Kuong Sin, Chon Kit Chio
Abstract:
In this paper, the two-dimensional reversed stagnationpoint flow is solved by means of an anlytic approach. There are similarity solutions in case the similarity equation and the boundary condition are modified. Finite analytic method are applied to obtain the similarity velocity function.Keywords: reversed stagnation-point flow, similarity solutions, asymptotic solution
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1737631 Advances on LuGre Friction Model
Authors: Mohammad Fuad Mohammad Naser, Faycal Ikhouane
Abstract:
LuGre friction model is an ordinary differential equation that is widely used in describing the friction phenomenon for mechanical systems. The importance of this model comes from the fact that it captures most of the friction behavior that has been observed including hysteresis. In this paper, we study some aspects related to the hysteresis behavior induced by the LuGre friction model.
Keywords: Hysteresis, LuGre model, operator, (strong) consistency.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2699