Search results for: Multi criteria inventory classification models
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 5753

Search results for: Multi criteria inventory classification models

953 New Technologies for Modeling of Gas Turbine Cooled Blades

Authors: A. Pashayev, D. Askerov, R.Sadiqov, A. Samedov, C. Ardil

Abstract:

In contrast to existing methods which do not take into account multiconnectivity in a broad sense of this term, we develop mathematical models and highly effective combination (BIEM and FDM) numerical methods of calculation of stationary and cvazistationary temperature field of a profile part of a blade with convective cooling (from the point of view of realization on PC). The theoretical substantiation of these methods is proved by appropriate theorems. For it, converging quadrature processes have been developed and the estimations of errors in the terms of A.Ziqmound continuity modules have been received. For visualization of profiles are used: the method of the least squares with automatic conjecture, device spline, smooth replenishment and neural nets. Boundary conditions of heat exchange are determined from the solution of the corresponding integral equations and empirical relationships. The reliability of designed methods is proved by calculation and experimental investigations heat and hydraulic characteristics of the gas turbine 1st stage nozzle blade

Keywords: multiconnected systems, method of the boundary integrated equations, splines, neural networks.

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952 Numerical Modeling of Gas Turbine Engines

Authors: A. Pashayev, D. Askerov, C. Ardil, R. Sadiqov

Abstract:

In contrast to existing methods which do not take into account multiconnectivity in a broad sense of this term, we develop mathematical models and highly effective combination (BIEM and FDM) numerical methods of calculation of stationary and quasi-stationary temperature field of a profile part of a blade with convective cooling (from the point of view of realization on PC). The theoretical substantiation of these methods is proved by appropriate theorems. For it, converging quadrature processes have been developed and the estimations of errors in the terms of A.Ziqmound continuity modules have been received. For visualization of profiles are used: the method of the least squares with automatic conjecture, device spline, smooth replenishment and neural nets. Boundary conditions of heat exchange are determined from the solution of the corresponding integral equations and empirical relationships. The reliability of designed methods is proved by calculation and experimental investigations heat and hydraulic characteristics of the gas turbine first stage nozzle blade.

Keywords: Multiconnected systems, method of the boundary integrated equations, splines, neural networks.

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951 An Algorithm of Finite Capacity Material Requirement Planning System for Multi-stage Assembly Flow Shop

Authors: T. Wuttipornpun, U. Wangrakdiskul, W. Songserm

Abstract:

This paper aims to develop an algorithm of finite capacity material requirement planning (FCMRP) system for a multistage assembly flow shop. The developed FCMRP system has two main stages. The first stage is to allocate operations to the first and second priority work centers and also determine the sequence of the operations on each work center. The second stage is to determine the optimal start time of each operation by using a linear programming model. Real data from a factory is used to analyze and evaluate the effectiveness of the proposed FCMRP system and also to guarantee a practical solution to the user. There are five performance measures, namely, the total tardiness, the number of tardy orders, the total earliness, the number of early orders, and the average flow-time. The proposed FCMRP system offers an adjustable solution which is a compromised solution among the conflicting performance measures. The user can adjust the weight of each performance measure to obtain the desired performance. The result shows that the combination of FCMRP NP3 and EDD outperforms other combinations in term of overall performance index. The calculation time for the proposed FCMRP system is about 10 minutes which is practical for the planners of the factory.

Keywords: Material requirement planning, Finite capacity, Linear programming, Permutation, Application in industry.

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950 Big Data Analytics and Data Security in the Cloud via Fully Homomorphic Encryption

Authors: Victor Onomza Waziri, John K. Alhassan, Idris Ismaila, Moses Noel Dogonyaro

Abstract:

This paper describes the problem of building secure computational services for encrypted information in the Cloud Computing without decrypting the encrypted data; therefore, it meets the yearning of computational encryption algorithmic aspiration model that could enhance the security of big data for privacy, confidentiality, availability of the users. The cryptographic model applied for the computational process of the encrypted data is the Fully Homomorphic Encryption Scheme. We contribute a theoretical presentations in a high-level computational processes that are based on number theory and algebra that can easily be integrated and leveraged in the Cloud computing with detail theoretic mathematical concepts to the fully homomorphic encryption models. This contribution enhances the full implementation of big data analytics based cryptographic security algorithm.

Keywords: Data Analytics, Security, Privacy, Bootstrapping, and Fully Homomorphic Encryption Scheme.

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949 Effect of Stiffeners on the Behavior of Slender Built up Steel I-Beams

Authors: M. E. Abou-Hashem El Dib, M. K. Swailem, M. M. Metwally, A. I. El Awady

Abstract:

This paper presents the effect of stiffeners on the behavior of slender steel I-beams. Nonlinear three dimensional finite element models are developed to represent the stiffened steel I-beams. The well established finite element (ANSYS 13.0) program is used to simulate the geometric and material nonlinear nature of the problem. Verification is achieved by comparing the obtained numerical results with the results of previous published experimental work. The parameters considered in the analysis are the horizontal stiffener's position and the horizontal stiffener's dimensions as well as the number of vertical stiffeners. The studied dimensions of the horizontal stiffeners include the stiffener width, the stiffener thickness and the stiffener length. The results of the achieved numerical parametric study for slender steel I-beams show the significant effect of stiffeners on the beam behavior and its failure load.

Keywords: Steel I-beams, local buckling, slender, stiffener, thin walled section.

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948 Design of Thermal Control Subsystem for TUSAT Telecommunication Satellite

Authors: N. Sozbir, M. Bulut, M.F.Oktem, A.Kahriman, A. Chaix

Abstract:

TUSAT is a prospective Turkish Communication Satellite designed for providing mainly data communication and broadcasting services through Ku-Band and C-Band channels. Thermal control is a vital issue in satellite design process. Therefore, all satellite subsystems and equipments should be maintained in the desired temperature range from launch to end of maneuvering life. The main function of the thermal control is to keep the equipments and the satellite structures in a given temperature range for various phases and operating modes of spacecraft during its lifetime. This paper describes the thermal control design which uses passive and active thermal control concepts. The active thermal control is based on heaters regulated by software via thermistors. Alternatively passive thermal control composes of heat pipes, multilayer insulation (MLI) blankets, radiators, paints and surface finishes maintaining temperature level of the overall carrier components within an acceptable value. Thermal control design is supported by thermal analysis using thermal mathematical models (TMM).

Keywords: Spacecraft thermal control, design of thermal control.

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947 Optimal Design of Motorcycle Crash Bar Using CAD and Finite Element Analysis

Authors: Sharon S. Wu, Yong S. Park

Abstract:

This project aims to study and evaluate the motorcycle crash bar, which is used to reduce injuries caused by side impacts to the motorcycle, and then develop an improved design using the engineering design process theory based on the current benchmark crash bar in order to lower the severity of motorcycle crash injuries. For this purpose, simulations for the crash bar are set up so that it travels at an angle towards a fixed concrete wall and collides at certain velocities. 3D CAD models are first designed in SolidWorks and dynamic crash simulations are then carried out using ANSYS to determine the lowest maximum Von-Mises stress over time and deformations by adjusting the parameters used in manufacturing the crash bar, including the velocity of the crash, material used, geometries with various radius fillets, and different thicknesses for the bar. The results of the simulation are used to determine the optimum parameters for a safer crash bar to withstand higher stress and deformation. Specifically, the von-Mises stress was reduced by at least 75% compared with the benchmark design by choosing aluminum alloy and a true unibar design.

Keywords: Crash bar, crash simulation, engineering design, motorcycle safety.

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946 Morphology and Risk Factors for Blunt Aortic Trauma in Car Accidents - An Autopsy Study

Authors: Ticijana Prijon, Branko Ermenc

Abstract:

Background: Blunt aortic trauma (BAT) includes various morphological changes that occur during deceleration, acceleration and/or body compression in traffic accidents. The various forms of BAT, from limited laceration of the intima to complete transection of the aorta, depends on the force acting on the vessel wall and the tolerance of the aorta to injury. The force depends on the change in velocity, the dynamics of the accident and of the seating position in the car. Tolerance to aortic injury depends on the anatomy, histological structure and pathomorphological alterations due to aging or disease of the aortic wall. An overview of the literature and medical documentation reveals that different terms are used to describe certain forms of BAT, which can lead to misinterpretation of findings or diagnoses. We therefore, propose a classification that would enable uniform systematic screening of all forms of BAT. We have classified BAT into three morphologycal types: TYPE I (intramural), TYPE II (transmural) and TYPE III (multiple) aortic ruptures with appropriate subtypes. Methods: All car accident casualties examined at the Institute of Forensic Medicine from 2001 to 2009 were included in this retrospective study. Autopsy reports were used to determine the occurrence of each morphological type of BAT in deceased drivers, front seat passengers and other passengers in cars and to define the morphology of BAT in relation to the accident dynamics and the age of the fatalities. Results: A total of 391 fatalities in car accidents were included in the study. TYPE I, TYPE II and TYPE III BAT were observed in 10,9%, 55,6% and 33,5%, respectively. The incidence of BAT in drivers, front seat and other passengers was 36,7%, 43,1% and 28,6%, respectively. In frontal collisions, the incidence of BAT was 32,7%, in lateral collisions 54,2%, and in other traffic accidents 29,3%. The average age of fatalities with BAT was 42,8 years and of those without BAT 39,1 years. Conclusion: Identification and early recognition of the risk factors of BAT following a traffic accident is crucial for successful treatment of patients with BAT. Front seat passengers over 50 years of age who have been injured in a lateral collision are the most at risk of BAT.

Keywords: Aorta, blunt trauma, car accidents, morphology, risk factors.

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945 Analysis of Boiling in Rectangular Micro Channel Heat Sink

Authors: Ahmed Jassim Shkarah, Mohd Yusoff Bin Sulaiman, Md Razali bin Hj Ayob

Abstract:

A 3D-conjugate numerical investigation was conducted to predict heat transfer characteristics in a rectangular cross-sectional micro-channel employing simultaneously developing Tow-phase flows. The sole purpose for analyzing two phase flow heat transfer in rectangular micro channel is to pin point what are the different factors affecting this phenomenon. Different methods and techniques have been undertaken to analyze the equations arising constituting the flow of heat from gas phase to liquid phase and vice versa.Different models of micro channels have been identified and analyzed. How the geometry of micro channels affects their activity i.e. of circular and non-circular geometry has also been reviewed. To the study the results average Nusselt no plotted against the Reynolds no has been taken into consideration to study average heat exchange in micro channels against applied heat flux. High heat fluxes up to 140 W/cm2 were applied to investigate micro-channel thermal characteristics.

Keywords: Tow Phase flow, Micro channel, VOF.

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944 Sensitivity and Reliability Analysis of Masonry Infilled Frames

Authors: Avadhoot Bhosale, Robin Davis P., Pradip Sarkar

Abstract:

The seismic performance of buildings with irregular distribution of mass, stiffness and strength along the height may be significantly different from that of regular buildings with masonry infill. Masonry infilled reinforced concrete (RC) frames are very common structural forms used for multi-storey building construction. These structures are found to perform better in past earthquakes owing to additional strength, stiffness and energy dissipation in the infill walls. The seismic performance of a building depends on the variation of material, structural and geometrical properties. The sensitivity of these properties affects the seismic response of the building. The main objective of the sensitivity analysis is to found out the most sensitive parameter that affects the response of the building. This paper presents a sensitivity analysis by considering 5% and 95% probability value of random variable in the infills characteristics, trying to obtain a reasonable range of results representing a wide number of possible situations that can be met in practice by using pushover analysis. The results show that the strength-related variation values of concrete and masonry, with the exception of tensile strength of the concrete, have shown a significant effect on the structural performance and that this effect increases with the progress of damage condition for the concrete. The seismic risk assessments of the selected frames are expressed in terms of reliability index.

Keywords: Fragility curve, sensitivity analysis, reliability index, RC frames.

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943 Fuzzy Time Series Forecasting Using Percentage Change as the Universe of Discourse

Authors: Meredith Stevenson, John E. Porter

Abstract:

Since the pioneering work of Zadeh, fuzzy set theory has been applied to a myriad of areas. Song and Chissom introduced the concept of fuzzy time series and applied some methods to the enrollments of the University of Alabama. In recent years, a number of techniques have been proposed for forecasting based on fuzzy set theory methods. These methods have either used enrollment numbers or differences of enrollments as the universe of discourse. We propose using the year to year percentage change as the universe of discourse. In this communication, the approach of Jilani, Burney, and Ardil is modified by using the year to year percentage change as the universe of discourse. We use enrollment figures for the University of Alabama to illustrate our proposed method. The proposed method results in better forecasting accuracy than existing models.

Keywords: Fuzzy forecasting, fuzzy time series, fuzzified enrollments, time-invariant model

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942 Investigation of Dissolution in Diammonium Hydrogen Phosphate Solutions of Gypsum

Authors: Turan Çalban, Nursel Keskin, Sabri Çolak, Soner Kuşlu

Abstract:

Gypsum (CaSO4.2H2O) is a mineral that is found in large quantities in the Turkey and in the World. In this study, the dissolution of this mineral in the diammonium hydrogen phosphate solutions has been studied. The dissolution and dissolution kinetics of gypsum in diammonium hydrogen phosphate solutions will be useful for evaluating of solid wastes containing gypsum. Parameters such as diammonium hydrogen phosphate concentration, temperature and stirring speed affecting on the dissolution rate of the gypsum in diammonium hydrogen phosphate solutions were investigated. In experimental studies have researched effectiveness of the selected parameters. The dissolution of gypsum were examined in two parts at low and high temperatures. The experimental results were successfully correlated by linear regression using Statistica program. Dissolution curves were evaluated shrinking core models for solidfluid systems. The activation energy was found to be 34.58 kJ/mol and 44.45 kJ/mol for the low and the high temperatures. The dissolution of gypsum was controlled by chemical reaction both low temperatures and high temperatures.

Keywords: Diammonium hydrogen phosphate, Dissolution, Gypsum, Kinetics.

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941 An Intelligent Combined Method Based on Power Spectral Density, Decision Trees and Fuzzy Logic for Hydraulic Pumps Fault Diagnosis

Authors: Kaveh Mollazade, Hojat Ahmadi, Mahmoud Omid, Reza Alimardani

Abstract:

Recently, the issue of machine condition monitoring and fault diagnosis as a part of maintenance system became global due to the potential advantages to be gained from reduced maintenance costs, improved productivity and increased machine availability. The aim of this work is to investigate the effectiveness of a new fault diagnosis method based on power spectral density (PSD) of vibration signals in combination with decision trees and fuzzy inference system (FIS). To this end, a series of studies was conducted on an external gear hydraulic pump. After a test under normal condition, a number of different machine defect conditions were introduced for three working levels of pump speed (1000, 1500, and 2000 rpm), corresponding to (i) Journal-bearing with inner face wear (BIFW), (ii) Gear with tooth face wear (GTFW), and (iii) Journal-bearing with inner face wear plus Gear with tooth face wear (B&GW). The features of PSD values of vibration signal were extracted using descriptive statistical parameters. J48 algorithm is used as a feature selection procedure to select pertinent features from data set. The output of J48 algorithm was employed to produce the crisp if-then rule and membership function sets. The structure of FIS classifier was then defined based on the crisp sets. In order to evaluate the proposed PSD-J48-FIS model, the data sets obtained from vibration signals of the pump were used. Results showed that the total classification accuracy for 1000, 1500, and 2000 rpm conditions were 96.42%, 100%, and 96.42% respectively. The results indicate that the combined PSD-J48-FIS model has the potential for fault diagnosis of hydraulic pumps.

Keywords: Power Spectral Density, Machine ConditionMonitoring, Hydraulic Pump, Fuzzy Logic.

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940 Development and Performance Analysis of Multifunctional City Smart Card System

Authors: Vedat Coskun, Fahri Soylemezgiller, Busra Ozdenizci, Kerem Ok

Abstract:

In recent years, several smart card solutions for transportation services of cities with different technical infrastructures and business models has emerged considerably, which triggers new business and technical opportunities. In order to create a unique system, we present a novel, promising system called Multifunctional City Smart Card System to be used in all cities that provides transportation and loyalty services based on the MasterCard M/Chip Advance standards. The proposed system provides a unique solution for transportation services of large cities over the world, aiming to answer all transportation needs of citizens. In this paper, development of the Multifunctional City Smart Card system and system requirements are briefly described. Moreover, performance analysis results of M/Chip Advance Compatible Validators which is the system's most important component are presented.

Keywords: Smart Card, M/Chip Advance Standard, City Transportation, Performance Analysis.

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939 Clustering Protein Sequences with Tailored General Regression Model Technique

Authors: G. Lavanya Devi, Allam Appa Rao, A. Damodaram, GR Sridhar, G. Jaya Suma

Abstract:

Cluster analysis divides data into groups that are meaningful, useful, or both. Analysis of biological data is creating a new generation of epidemiologic, prognostic, diagnostic and treatment modalities. Clustering of protein sequences is one of the current research topics in the field of computer science. Linear relation is valuable in rule discovery for a given data, such as if value X goes up 1, value Y will go down 3", etc. The classical linear regression models the linear relation of two sequences perfectly. However, if we need to cluster a large repository of protein sequences into groups where sequences have strong linear relationship with each other, it is prohibitively expensive to compare sequences one by one. In this paper, we propose a new technique named General Regression Model Technique Clustering Algorithm (GRMTCA) to benignly handle the problem of linear sequences clustering. GRMT gives a measure, GR*, to tell the degree of linearity of multiple sequences without having to compare each pair of them.

Keywords: Clustering, General Regression Model, Protein Sequences, Similarity Measure.

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938 Cascaded Neural Network for Internal Temperature Forecasting in Induction Motor

Authors: Hidir S. Nogay

Abstract:

In this study, two systems were created to predict interior temperature in induction motor. One of them consisted of a simple ANN model which has two layers, ten input parameters and one output parameter. The other one consisted of eight ANN models connected each other as cascaded. Cascaded ANN system has 17 inputs. Main reason of cascaded system being used in this study is to accomplish more accurate estimation by increasing inputs in the ANN system. Cascaded ANN system is compared with simple conventional ANN model to prove mentioned advantages. Dataset was obtained from experimental applications. Small part of the dataset was used to obtain more understandable graphs. Number of data is 329. 30% of the data was used for testing and validation. Test data and validation data were determined for each ANN model separately and reliability of each model was tested. As a result of this study, it has been understood that the cascaded ANN system produced more accurate estimates than conventional ANN model.

Keywords: Cascaded neural network, internal temperature, three-phase induction motor, inverter.

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937 Application of Feed-Forward Neural Networks Autoregressive Models in Gross Domestic Product Prediction

Authors: Ε. Giovanis

Abstract:

In this paper we present an autoregressive model with neural networks modeling and standard error backpropagation algorithm training optimization in order to predict the gross domestic product (GDP) growth rate of four countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final optimum weights from input-hidden layer after the training process. The forecasts are compared with those of the ordinary autoregressive model and we conclude that the proposed regression-s forecasting results outperform significant those of autoregressive model in the out-of-sample period. The idea behind this approach is to propose a parametric regression with weighted variables in order to test for the statistical significance and the magnitude of the estimated autoregressive coefficients and simultaneously to estimate the forecasts.

Keywords: Autoregressive model, Error back-propagation Feed-Forward neural networks, , Gross Domestic Product

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936 Defluoridation of Water by Schwertmannite

Authors: Aparajita Goswami, Mihir K Purkait

Abstract:

In the present study Schwertmannite (an iron oxide hydroxide) is selected as an adsorbent for defluoridation of water. The adsorbent was prepared by wet chemical process and was characterized by SEM, XRD and BET. The fluoride adsorption efficiency of the prepared adsorbent was determined with respect to contact time, initial fluoride concentration, adsorbent dose and pH of the solution. The batch adsorption data revealed that the fluoride adsorption efficiency was highly influenced by the studied factors. Equilibrium was attained within one hour of contact time indicating fast kinetics and the adsorption data followed pseudo second order kinetic model. Equilibrium isotherm data fitted to both Langmuir and Freundlich isotherm models for a concentration range of 5-30 mg/L. The adsorption system followed Langmuir isotherm model with maximum adsorption capacity of 11.3 mg/g. The high adsorption capacity of Schwertmannite points towards the potential of this adsorbent for fluoride removal from aqueous medium.

Keywords: Adsorption, fluoride, isotherm study, kinetics, schwertmannite.

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935 Application of GM (1, 1) Model Group Based on Recursive Solution in China's Energy Demand Forecasting

Authors: Yeqing Guan, Fen Yang

Abstract:

To learn about China-s future energy demand, this paper first proposed GM(1,1) model group based on recursive solutions of parameters estimation, setting up a general solving-algorithm of the model group. This method avoided the problems occurred on the past researches that remodeling, loss of information and large amount of calculation. This paper established respectively all-data-GM(1,1), metabolic GM(1,1) and new information GM (1,1)model according to the historical data of energy consumption in China in the year 2005-2010 and the added data of 2011, then modeling, simulating and comparison of accuracies we got the optimal models and to predict. Results showed that the total energy demand of China will be 37.2221 billion tons of equivalent coal in 2012 and 39.7973 billion tons of equivalent coal in 2013, which are as the same as the overall planning of energy demand in The 12th Five-Year Plan.

Keywords: energy demands, GM(1, 1) model group, least square estimation, prediction

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934 Numerical Study of Modulus of Subgrade Reaction in Eccentrically Loaded Circular Footing Resting

Authors: Seyed Abolhasan Naeini, Mohammad Hossein Zade

Abstract:

This article is an attempt to present a numerically study of the behaviour of an eccentrically loaded circular footing resting on sand to determine ‎its ultimate bearing capacity. A surface circular footing of diameter 12 cm (D) was used as ‎shallow foundation. For this purpose, three dimensional models consist of foundation, and medium sandy soil was modelled by ABAQUS software. Bearing capacity of footing was evaluated and the ‎effects of the load eccentricity on bearing capacity, its settlement, and modulus of subgrade reaction were studied. Three different values of load eccentricity with equal space from inside the core on the core boundary and outside the core boundary, which were respectively e=0.75, 1.5, and 2.25 cm, were considered. The results show that by increasing the load eccentricity, the ultimate load and the ‎modulus of subgrade reaction decreased.

Keywords: Circular foundation, eccentric loading, sand, modulus of subgrade reaction.

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933 Experimental Investigation of the Effect of Compression Ratio in a Direct Injection Diesel Engine Running on Different Blends of Rice Bran Oil and Ethanol

Authors: Perminderjit Singh, Randeep Singh

Abstract:

The performance, emission and combustion characteristics of a single cylinder four stroke variable compression ratio multi fuel engine when fueled with different blends of rice bran oil methyl ester and ethanol are investigated and compared with the results of standard diesel. Bio diesel produced from Rice bran oil by transesterification process has been used in this study. Experiment has been conducted at a fixed engine speed of 1500 rpm, 50% load and at compression ratios of 16.5:1, 17:1, 17.5:1 and 18:1. The impact of compression ratio on fuel consumption, brake thermal efficiency and exhaust gas emissions has been investigated and presented. Optimum compression ratio which gives best performance has been identified. The results indicate longer ignition delay, maximum rate of pressure rise, lower heat release rate and higher mass fraction burnt at higher compression ratio for waste cooking oil methyl ester when compared to that of diesel. The brake thermal efficiency at 50% load for Rice bran oil methyl ester blends and diesel has been calculated and the blend B40 is found to give maximum thermal efficiency. The blends when used as fuel results in reduction of carbon monoxide, hydrocarbon and increase in nitrogen oxides emissions.

Keywords: Biodiesel, Rice bran oil, Transesterification, Ethanol, Compression Ratio.

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932 The Delaying Influence of Degradation on the Divestment of Gas Turbines for Associated Gas Utilisation: Part 1

Authors: Mafel Obhuo, Dodeye I. Igbong, Duabari S. Aziaka, Pericles Pilidis

Abstract:

An important feature of the exploitation of associated gas as fuel for gas turbine engines is a declining supply. So when exploiting this resource, the divestment of prime movers is very important as the fuel supply diminishes with time. This paper explores the influence of engine degradation on the timing of divestments. Hypothetical but realistic gas turbine engines were modelled with Turbomatch, the Cranfield University gas turbine performance simulation tool. The results were deployed in three degradation scenarios within the TERA (Techno-economic and environmental risk analysis) framework to develop economic models. An optimisation with Genetic Algorithms was carried out to maximize the economic benefit. The results show that degradation will have a significant impact. It will delay the divestment of power plants, while they are running less efficiently. Over a 20 year investment, a decrease of $0.11bn, $0.26bn and $0.45bn (billion US dollars) were observed for the three degradation scenarios as against the clean case.

Keywords: Economic return, flared associated gas, net present value, optimisation.

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931 Derivation of Fractional Black-Scholes Equations Driven by Fractional G-Brownian Motion and Their Application in European Option Pricing

Authors: Changhong Guo, Shaomei Fang, Yong He

Abstract:

In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional G-Brownian motion, Taylor’s series of fractional order, uncertain volatility.

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930 Sorption of Congo Red from Aqueous Solution by Surfactant-Modified Bentonite: Kinetic and Factorial Design Study

Authors: B. Guezzen, M. A. Didi, B. Medjahed

Abstract:

An organoclay (HDTMA-B) was prepared from sodium bentonite (Na-B). The starting material was modified using the hexadecyltrimethylammonium ion (HDTMA+) in the amounts corresponding to 100 % of the CEC value. Batch experiments were carried out in order to model and optimize the sorption of Congo red dye from aqueous solution. The pseudo-first order and pseudo-second order kinetic models have been developed to predict the rate constant and the sorption capacity at equilibrium with the effect of temperature, the solid/solution ratio and the initial dye concentration. The equilibrium time was reached within 60 min. At room temperature (20 °C), optimum dye sorption of 49.4 mg/g (98.9%) was achieved at pH 6.6, sorbent dosage of 1g/L and initial dye concentration of 50 mg/L, using surfactant modified bentonite. The optimization of adsorption parameters mentioned above on dye removal was carried out using Box-Behnken design. The sorption parameters were analyzed statistically by means of variance analysis by using the Statgraphics Centurion XVI software.

Keywords: Adsorption, dye, factorial design, kinetic, organo-bentonite.

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929 Active Vibration Control of Passenger Seat with HFPIDCR Controlled Suspension Alternatives

Authors: Devdutt, M. L. Aggarwal

Abstract:

In this paper, passenger ride comfort issues are studied taking active quarter car model with three degrees of freedom. A hybrid fuzzy – PID controller with coupled rules (HFPIDCR) is designed for vibration control of passenger seat. Three different control strategies are considered. In first case, main suspension is controlled. In second case, passenger seat suspension is controlled. In third case, both main suspension and passenger seat suspensions are controlled. Passenger seat acceleration and displacement results are obtained using bump and sinusoidal type road disturbances. Finally, obtained simulation results of designed uncontrolled and controlled quarter car models are compared and discussed to select best control strategy for achieving high level of passenger ride comfort.

Keywords: Active suspension system, HFPIDCR controller, passenger ride comfort, quarter car model.

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928 Dissolved Oxygen Prediction Using Support Vector Machine

Authors: Sorayya Malek, Mogeeb Mosleh, Sharifah M. Syed

Abstract:

In this study, Support Vector Machine (SVM) technique was applied to predict the dichotomized value of Dissolved oxygen (DO) from two freshwater lakes namely Chini and Bera Lake (Malaysia). Data sample contained 11 parameters for water quality features from year 2005 until 2009. All data parameters were used to predicate the dissolved oxygen concentration which was dichotomized into 3 different levels (High, Medium, and Low). The input parameters were ranked, and forward selection method was applied to determine the optimum parameters that yield the lowest errors, and highest accuracy. Initial results showed that pH, Water Temperature, and Conductivity are the most important parameters that significantly affect the predication of DO. Then, SVM model was applied using the Anova kernel with those parameters yielded 74% accuracy rate. We concluded that using SVM models to predicate the DO is feasible, and using dichotomized value of DO yields higher prediction accuracy than using precise DO value.

Keywords: Dissolved oxygen, Water quality, predication DO, Support Vector Machine.

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927 Present and Future Climate Extreme Indices over Sinai Peninsula, Egypt

Authors: Mahmoud Roushdi, Hany Mostafa, Khaled Kheireldin

Abstract:

Sinai Peninsula and Suez Canal Corridor are promising and important economic regions in Egypt due to the unique location and development opportunities. Thus, the climate change impacts should be assessed over the mentioned area. Accordingly, this paper aims to assess the climate extreme indices in through the last 35 year over Sinai Peninsula and Suez Canal Corridor in addition to predict the climate extreme indices up to 2100. Present and future climate indices were analyzed with using different RCP scenarios 4.5 and 8.5 from 2010 until 2100 for Sinai Peninsula and Suez Canal Corridor. Furthermore, both CanESM and HadGEM2 global circulation models were used. The results indicate that the number of summer days is predicted to increase, on the other hand the frost days is predicted to decrease. Moreover, it is noted a slight positive trend for the percentile of wet and extremely days R95p and R99p for RCP4.5 and negative trend for RCP8.5.

Keywords: Climate change, extreme indices, RCP, Sinai Peninsula.

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926 Decision Support System for a Pilot Flash Flood Early Warning System in Central Chile

Authors: D. Pinto, L. Castro, M.L. Cruzat, S. Barros, J. Gironás, C. Oberli, M. Torres, C. Escauriaza, A. Cipriano

Abstract:

Flash Floods, together with landslides, are a common natural threat for people living in mountainous regions and foothills. One way to deal with this constant menace is the use of Early Warning Systems, which have become a very important mitigation strategy for natural disasters. In this work we present our proposal for a pilot Flash Flood Early Warning System for Santiago, Chile, the first stage of a more ambitious project that in a future stage shall also include early warning of landslides. To give a context for our approach, we first analyze three existing Flash Flood Early Warning Systems, focusing on their general architectures. We then present our proposed system, with main focus on the decision support system, a system that integrates empirical models and fuzzy expert systems to achieve reliable risk estimations.

Keywords: Decision Support System, Early Warning Systems, Flash Flood, Natural Hazard.

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925 Ecotoxicological Safety of Wastewater Treated with Lignocellulosic Adsorbents

Authors: Luísa P. Cruz-Lopes, Artur Figueirinha, Isabel Brás, Bruno Esteves

Abstract:

Portugal is an important wine and olive oil producer, activities which generate a high quantity of residues commonly called grape stalks and olive cake, respectively. In this work grape stalks and olive cake were used as lignocellulosic adsorbents for wastewater containing lead treatment. To attain a better knowledge of the factors that could influence the quality of the treated wastewater, a chemical characterization of the materials used in the treatment was done. To access the ecotoxicological safety of the treated wastewater, several tests were performed.

The results of the toxicity test show that the samples leachate has a mild effect on the living models tested. The tests performed in lemna and bacteria were the most sensible to toxicity effects of the samples. The results obtained in this work evidenced the importance of use of simple and fast toxicity tests to predict impacts in the environment.

Keywords: Chemical composition, ecotoxicological, lignocellulosic residues, safety.

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924 An Investigation into the Role of Market Beta in Asset Pricing: Evidence from the Romanian Stock Market

Authors: Ioan Popa, Radu Lupu, Cristiana Tudor

Abstract:

In this paper, we apply the FM methodology to the cross-section of Romanian-listed common stocks and investigate the explanatory power of market beta on the cross-section of commons stock returns from Bucharest Stock Exchange. Various assumptions are empirically tested, such us linearity, market efficiency, the “no systematic effect of non-beta risk" hypothesis or the positive expected risk-return trade-off hypothesis. We find that the Romanian stock market shows the same properties as the other emerging markets in terms of efficiency and significance of the linear riskreturn models. Our analysis included weekly returns from January 2002 until May 2010 and the portfolio formation, estimation and testing was performed in a rolling manner using 51 observations (one year) for each stage of the analysis.

Keywords: Bucharest Stock Exchange, Fama-Macbeth methodology, systematic risk, non-linear risk-return dependence.

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