Search results for: Experimental and numerical modeling
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 6863

Search results for: Experimental and numerical modeling

5723 Numerical Simulation of Axially Loaded to Failure Large Diameter Bored Pile

Authors: M. Ezzat, Y. Zaghloul, T. Sorour, A. Hefny, M. Eid

Abstract:

Ultimate capacity of large diameter bored piles is usually determined from pile loading tests as recommended by several international codes and foundation design standards. However, loading of this type of piles till achieving apparent failure is practically seldom. In this paper, numerical analyses are carried out to simulate load test of a large diameter bored pile performed at the location of Alzey highway bridge project (Germany). Test results of pile load settlement relationship till failure as well as results of the base and shaft resistances are available. Apparent failure was indicated in this test by the significant increase of the induced settlement during the last load increment applied on the pile head. Measurements of this pile load test are used to assess the quality of the numerical models investigated. Three different material soil models are implemented in the analyses: Mohr coulomb (MC), Soft soil (SS), and Modified Mohr coulomb (MMC). Very good agreement is obtained between the field measured settlement and the calculated settlement using the MMC model. Results of analysis showed also that the MMC constitutive model is superior to MC, and SS models in predicting the ultimate base and shaft resistances of the large diameter bored pile. After calibrating the numerical model, behavior of large diameter bored piles under axial loads is discussed and the formation of the plastic zone around the pile is explored. Results obtained showed that the plastic zone below the base of the pile at failure extended laterally to about four times the pile diameter and vertically to about three times the pile diameter.

Keywords: Ultimate capacity, large diameter bored piles, plastic zone, failure, pile load test.

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5722 Solving Part Type Selection and Loading Problem in Flexible Manufacturing System Using Real Coded Genetic Algorithms – Part I: Modeling

Authors: Wayan F. Mahmudy, Romeo M. Marian, Lee H. S. Luong

Abstract:

This paper and its companion (Part 2) deal with modeling and optimization of two NP-hard problems in production planning of flexible manufacturing system (FMS), part type selection problem and loading problem. The part type selection problem and the loading problem are strongly related and heavily influence the system-s efficiency and productivity. The complexity of the problems is harder when flexibilities of operations such as the possibility of operation processed on alternative machines with alternative tools are considered. These problems have been modeled and solved simultaneously by using real coded genetic algorithms (RCGA) which uses an array of real numbers as chromosome representation. These real numbers can be converted into part type sequence and machines that are used to process the part types. This first part of the papers focuses on the modeling of the problems and discussing how the novel chromosome representation can be applied to solve the problems. The second part will discuss the effectiveness of the RCGA to solve various test bed problems.

Keywords: Flexible manufacturing system, production planning, part type selection problem, loading problem, real-coded genetic algorithm

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5721 Research of Ring MEMS Rate Integrating Gyroscopes

Authors: Hui Liu, Haiyang Quan

Abstract:

This paper To get the angle value with a MEMS rate gyroscope in some specific field, the usual method is to make an integral operation to the rate output, which will lead the error cumulating effect. So the rate gyro is not suitable. MEMS rate integrating gyroscope (MRIG) will solve this problem. A DSP system has been developed to implement the control arithmetic. The system can measure the angle of rotation directly by the control loops that make the sensor work in whole-angle mode. Modeling the system with MATLAB, desirable results of angle outputs are got, which prove the feasibility of the control arithmetic.

Keywords: Rate gyroscope, Rate integrating gyroscope, Whole angle mode, MATLAB modeling, DSP control.

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5720 Renewable Energy System Eolic-Photovoltaic for the Touristic Center La Tranca-Chordeleg in Ecuador

Authors: Christian Castro Samaniego, Daniel Icaza Alvarez, Juan Portoviejo Brito

Abstract:

For this research work, hybrid wind-photovoltaic (SHEF) systems were considered as renewable energy sources that take advantage of wind energy and solar radiation to transform into electrical energy. In the present research work, the feasibility of a wind-photovoltaic hybrid generation system was analyzed for the La Tranca tourist viewpoint of the Chordeleg canton in Ecuador. The research process consisted of the collection of data on solar radiation, temperature, wind speed among others by means of a meteorological station. Simulations were carried out in MATLAB/Simulink based on a mathematical model. In the end, we compared the theoretical radiation-power curves and the measurements made at the site.

Keywords: Hybrid system, wind turbine, modeling, simulation, validation, experimental data, panel, Ecuador.

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5719 Modeling of Surface Roughness in Vibration Cutting by Artificial Neural Network

Authors: H. Soleimanimehr, M. J. Nategh , S. Amini

Abstract:

Development of artificial neural network (ANN) for prediction of aluminum workpieces' surface roughness in ultrasonicvibration assisted turning (UAT) has been the subject of the present study. Tool wear as the main cause of surface roughness was also investigated. ANN was trained through experimental data obtained on the basis of full factorial design of experiments. Various influential machining parameters were taken into consideration. It was illustrated that a multilayer perceptron neural network could efficiently model the surface roughness as the response of the network, with an error less than ten percent. The performance of the trained network was verified by further experiments. The results of UAT were compared with the results of conventional turning experiments carried out with similar machining parameters except for the vibration amplitude whence considerable reduction was observed in the built-up edge and the surface roughness.

Keywords: Aluminum, Artificial Neural Network (ANN), BuiltupEdge, Surface Roughness, Tool Wear, Ultrasonic VibrationAssisted Turning (UAT).

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5718 Impact of Combustion of Water in Fuel on Polycyclic Aromatic Hydrocarbon (Pah-s)Precursors- Formation

Authors: Abdulaziz H. El-Sinawi

Abstract:

Some of the polycyclic aromatic hydrocarbons (PAHs) are the strongest known carcinogens compounds; the majority of them are mostly produced by the incomplete combustion of fossil fuels; Motor vehicles are a significant source of polycyclic aromatic hydrocarbon (PAH) where diesel emission is one of the main sources of such compounds available in the ambient air. There is a big concern about the increasing concentration of PAHs in the environment. Researchers are trying to explore optimal methods to reduce those pollutants and improve the quality of air. Water blended fuel is one of the possible approaches to reduce emission of PAHs from the combustion of diesel in urban and domestic vehicles. In this work a modeling study was conducted using CHEMKIN-PRO software to simulate spray combustion at similar diesel engine conditions. Surrogate fuel of (80 % n-heptane and 20 % toluene) was used due to detailed kinetic and thermodynamic data needed for modeling is available for this kind of fuel but not available for diesel. An emulsified fuel with 3, 5, 8, 10 and 20 % water by volume is used as an engine feed for this study. The modeling results show that water has a significant effect on reducing engine soot and PAHs precursors formation up to certain extent.

Keywords: Polycyclic Aromatic Hydrocarbons (PAHs), DieselEngine, Emission, Surrogate Fuel, Emulsified Fuel, Soot precursors, Combustion

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5717 Statistical Process Optimization Through Multi-Response Surface Methodology

Authors: S. Raissi, R- Eslami Farsani

Abstract:

In recent years, response surface methodology (RSM) has brought many attentions of many quality engineers in different industries. Most of the published literature on robust design methodology is basically concerned with optimization of a single response or quality characteristic which is often most critical to consumers. For most products, however, quality is multidimensional, so it is common to observe multiple responses in an experimental situation. Through this paper interested person will be familiarize with this methodology via surveying of the most cited technical papers. It is believed that the proposed procedure in this study can resolve a complex parameter design problem with more than two responses. It can be applied to those areas where there are large data sets and a number of responses are to be optimized simultaneously. In addition, the proposed procedure is relatively simple and can be implemented easily by using ready-made standard statistical packages.

Keywords: Multi-Response Surface Methodology (MRSM), Design of Experiments (DOE), Process modeling, Quality improvement; Robust Design.

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5716 Modeling Jordan University of Science and Technology Parking Using Arena Program

Authors: T. Qasim, M. Alqawasmi, M. Hawash, M. Betar, W. Qasim

Abstract:

Over the last decade, the over population that has happened in urban areas has been reflecting on the services that various local institutions provide to car users in the form of car parks, which is becoming a daily necessity in our lives. This study focuses on car parks at Jordan University of Science and Technology, in Irbid, Jordan, to understand the university parking needs. Data regarding arrival and departure times of cars and the parking utilization were collected, to find various options that the university can implement to solve and develop an efficient car parking system. Arena software was used to simulate a parking model. This model allows measuring the different solutions that solve the parking problem at Jordan University of Science and Technology.

Keywords: Car park, modeling, service time, simulation.

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5715 Heat and Mass Transfer in a Saturated Porous Medium Confined in Cylindrical Annular Geometry

Authors: A. Ja, J. Belabid, A. Cheddadi

Abstract:

This paper reports the numerical simulation of doublediffusive natural convection flows within a horizontal annular filled with a saturated porous medium. The analysis concerns the influence of the different parameters governing the problem, namely, the Rayleigh number Ra, the Lewis number Le and the buoyancy ratio N, on the heat and mass transfer and on the flow structure, in the case of a fixed radius ratio R = 2. The numerical model used for the discretization of the dimensionless equations governing the problem is based on the finite difference method, using the ADI scheme. The study is focused on steady-state solutions in the cooperation situation.

Keywords: Natural convection, double-diffusion, porous medium, annular geometry, finite differences.

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5714 Theoretical and Experimental Bending Properties of Composite Pipes

Authors: M. Stefanovska, S. Risteska, B. Samakoski, G. Maneski, B. Kostadinoska

Abstract:

Aim of this work is to determine the theoretical and experimental properties of filament wound glass fiber/epoxy resin composite pipes with different winding design subjected under bending. For determination of bending strength of composite samples three point bending tests were conducted. Good correlation between theoretical and experimental results has been obtained, where sample No4 has shown the highest value of bending strength. All samples have demonstrated matrix cracking and fiber failure followed by layers delamination during testing. Also, it was found that smaller winding angles lead to an increase in bending stress. From presented results good merger between glass fibers and epoxy resin was confirmed by SEM analysis.

Keywords: Bending properties, composite pipe, winding design.

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5713 Experimentation on Piercing with Abrasive Waterjet

Authors: Johan Fredin, Anders Jönsson

Abstract:

Abrasive waterjet cutting (AWJ) is a highly efficient method for cutting almost any type of material. When holes shall be cut the waterjet first needs to pierce the material.This paper presents a vast experimental analysis of piercing parameters effect on piercing time. Results from experimentation on feed rates, work piece thicknesses, abrasive flow rates, standoff distances and water pressure are also presented as well as studies on three methods for dynamic piercing. It is shown that a large amount of time and resources can be saved by choosing the piercing parameters in a correct way. The large number of experiments puts demands on the experimental setup. An automated experimental setup including piercing detection is presented to enable large series of experiments to be carried out efficiently.

Keywords: Waterjet cutting, Piercing, Experimentation

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5712 Effects of Intake Temperature and Intake Pressure on Combustion and Exhaust Emissions of HCCI Engine

Authors: Fridhi Hadia, Soua Wadhah, Hidouri Ammar, Omri Ahmed

Abstract:

In this paper, the effect of the intake temperature (IT) and intake pressure (IP) on ignition timing and pollutants emission of Homogeneous Charge Compression Ignition (HCCI) engine is investigated. Numerical computations are performed using the CHEMKIN computer code. The numerical temperature obtained using different boundary conditions is compared to published data and a good agreement is assigned. Results show that the HCCI combustion engine is significantly improved by increasing the IT. With a value of IT lower than 390 K, combustion cannot occur. However, with an IT greater than 420 K, the cylinder pressure decreases. An optimum crank rotation angle is achieved by using IT of 420 K. So, we can conclude that the variation of the IT and IP influence notably the emission concentration.

Keywords: HCCI engine, CEMKIN, intake temperature, intake pressure.

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5711 Alternating Current Photovoltaic Module Model

Authors: Irtaza M. Syed, Kaamran Raahemifar

Abstract:

This paper presents modeling of an Alternating Current (AC) Photovoltaic (PV) module using Matlab/Simulink. The proposed AC-PV module model is simple, realistic, and application oriented. The model is derived on module level as compared to cell level directly from the information provided by the manufacturer data sheet. DC-PV module, MPPT control, BC, VSI and LC filter, all were treated as a single unit. The model accounts for changes in variations of both irradiance and temperature. The AC-PV module proposed model is simulated and the results are compared with the datasheet projected numbers to validate model’s accuracy and effectiveness. Implementation and results demonstrate simplicity and accuracy, as well as reliability of the model.

Keywords: AC PV Module, Datasheet, Matlab/Simulink, PV modeling.

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5710 Stochastic Modeling for Parameters of Modified Car-Following Model in Area-Based Traffic Flow

Authors: N. C. Sarkar, A. Bhaskar, Z. Zheng

Abstract:

The driving behavior in area-based (i.e., non-lane based) traffic is induced by the presence of other individuals in the choice space from the driver’s visual perception area. The driving behavior of a subject vehicle is constrained by the potential leaders and leaders are frequently changed over time. This paper is to determine a stochastic model for a parameter of modified intelligent driver model (MIDM) in area-based traffic (as in developing countries). The parametric and non-parametric distributions are presented to fit the parameters of MIDM. The goodness of fit for each parameter is measured in two different ways such as graphically and statistically. The quantile-quantile (Q-Q) plot is used for a graphical representation of a theoretical distribution to model a parameter and the Kolmogorov-Smirnov (K-S) test is used for a statistical measure of fitness for a parameter with a theoretical distribution. The distributions are performed on a set of estimated parameters of MIDM. The parameters are estimated on the real vehicle trajectory data from India. The fitness of each parameter with a stochastic model is well represented. The results support the applicability of the proposed modeling for parameters of MIDM in area-based traffic flow simulation.

Keywords: Area-based traffic, car-following model, micro-simulation, stochastic modeling.

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5709 Solving One-dimensional Hyperbolic Telegraph Equation Using Cubic B-spline Quasi-interpolation

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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5708 Dynamics of Phytoplankton Blooms in the Baltic Sea – Numerical Simulations

Authors: L. Dzierzbicka-Głowacka, M. Janecki

Abstract:

Dynamic of phytoplankton blooms in the Baltic Sea has been analyzed applying the numerical ecosystem model 3D CEMBS. The model consists of the hydrodynamic model (POP, version 2.1) and the ice model (CICE, version 4.0), which are imposed by the atmospheric data model (DATM7). The 3D model has an ecosystem module, activated in 2012 in the operational mode. The ecosystem model consists of 11 main variables: biomass of small-size phytoplankton and large-size phytoplankton and cyanobacteria, zooplankton biomass, dissolved and molecular detritus, dissolved oxygen concentration, as well as concentrations of nutrients, including: nitrates, ammonia, phosphates and silicates. The 3D-CEMBS model is an effective tool for solving problems related to phytoplankton blooms dynamic in the Baltic Sea

Keywords: Ecosystem model, phytoplankton, Baltic Sea

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5707 The Crack Propagation on Glass in Laser Thermal Cleavage

Authors: Jehnming Lin

Abstract:

In the laser cleavage of glass, the laser is mostly adopted as a heat source to generate a thermal stress state on the substrates. The crack propagation of the soda-lime glass in the laser thermal cleavage with the straight-turning paths was investigated in this study experimentally and numerically. The crack propagation was visualized by a high speed camera with the off-line examination on the micro-crack propagation. The temperature and stress distributions induced by the laser heat source were calculated by ANSYS software based on the finite element method (FEM). With the cutting paths in various turning directions, the experimental and numerical results were in comparison and verified. The fracture modes due to the normal and shear stresses were verified at the turning point of the laser cleavage path. It shows a significant variation of the stress profiles along the straight-turning paths and causes a change on the fracture modes.

Keywords: Laser cleavage, glass, fracture, stress analysis.

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5706 An Ecological Model for Three Species with Crowley–Martin Functional Response

Authors: Randhir Singh Baghel, Govind Shay Sharma

Abstract:

In this paper, we explore an ecosystem that contains a three-species food chain. The first and second species are in competition with one another for resources. However, the third species plays an important role in providing non-linear Crowley-Martin functional support for the first species. Additionally, the third species consumes the second species in a linear fashion, taking advantage of the available resources. This intricate balance ensures the survival of all three species in the ecosystem. A set of non-linear isolated first-order differential equations establish this model. We examine the system's stability at all potential equilibrium locations using the perturbed technique. Furthermore, by spending a lot of time observing the species in their natural habitat, the numerical illustrations at suitable parameter values for the model are shown.

Keywords: Competition, predator, response function, local stability, numerical simulations.

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5705 Modeling of Bio Scaffolds: Structural and Fluid Transport Characterization

Authors: Sahba Sadir, M. R. A. Kadir, A. Öchsner, M. N. Harun

Abstract:

Scaffolds play a key role in tissue engineering and can be produced in many different ways depending on the applications and the materials used. Most researchers used an experimental trialand- error approach into new biomaterials but computer simulation applied to tissue engineering can offer a more exhaustive approach to test and screen out biomaterials. This paper develops the model of scaffolds and Computational Fluid Dynamics that show the value of computer simulations in determining the influence of the geometrical scaffold parameter porosity, pore size and shape on the permeability of scaffolds, magnitude of velocity, drop pressure, shear stress distribution and level and the proper design of the geometry of the scaffold. This creates a need for more advanced studies that include aspects of dynamic conditions of a micro fluid passing through the scaffold were characterized for tissue engineering applications and differentiation of tissues within scaffolds.

Keywords: Scaffold engineering, Tissue engineering, Cellularstructure, Biomaterial, Computational fluid dynamics.

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5704 Modeling ICT Adoption Factors for the Preservation of Indigenous Knowledge

Authors: K.M. Ngcobo, S.D. Eyono Obono

Abstract:

Indigenous Knowledge (IK) has many social and economic benefits. However, IK is at the risk of extinction due to the difficulties to preserve it as most of the IK largely remains undocumented. This study aims to design a model of the factors affecting the adoption of Information and Communication Technologies (ICTs) for the preservation of IK. The proposed model is based on theoretical frameworks on ICT adoption. It was designed following a literature review of ICT adoption theories for households, and of the factors affecting ICT adoption for IK. The theory that fitted to the best all factors was then chosen as the basis for the proposed model. This study found that the Model of Adoption of Technology in Households (MATH) is the most suitable theoretical framework for modeling ICT adoption factors for the preservation of IK.

Keywords: Adoption factors, ICT adoption theories, Indigenous knowledge.

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5703 A Modified Laplace Decomposition Algorithm Solution for Blasius’ Boundary Layer Equation of the Flat Plate in a Uniform Stream

Authors: M. A. Koroma, Z. Chuangyi, A. F., Kamara, A. M. H. Conteh

Abstract:

In this work, we apply the Modified Laplace decomposition algorithm in finding a numerical solution of Blasius’ boundary layer equation for the flat plate in a uniform stream. The series solution is found by first applying the Laplace transform to the differential equation and then decomposing the nonlinear term by the use of Adomian polynomials. The resulting series, which is exactly the same as that obtained by Weyl 1942a, was expressed as a rational function by the use of diagonal padé approximant.

Keywords: Modified Laplace decomposition algorithm, Boundary layer equation, Padé approximant, Numerical solution.

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5702 Characterization and Modeling of Packet Loss of a VoIP Communication

Authors: L. Estrada, D. Torres, H. Toral

Abstract:

In this work, a characterization and modeling of packet loss of a Voice over Internet Protocol (VoIP) communication is developed. The distributions of the number of consecutive received and lost packets (namely gap and burst) are modeled from the transition probabilities of two-state and four-state model. Measurements show that both models describe adequately the burst distribution, but the decay of gap distribution for non-homogeneous losses is better fit by the four-state model. The respective probabilities of transition between states for each model were estimated with a proposed algorithm from a set of monitored VoIP calls in order to obtain representative minimum, maximum and average values for both models.

Keywords: Packet loss, gap and burst distribution, Markovchain, VoIP measurements.

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5701 Function Approximation with Radial Basis Function Neural Networks via FIR Filter

Authors: Kyu Chul Lee, Sung Hyun Yoo, Choon Ki Ahn, Myo Taeg Lim

Abstract:

Recent experimental evidences have shown that because of a fast convergence and a nice accuracy, neural networks training via extended kalman filter (EKF) method is widely applied. However, as to an uncertainty of the system dynamics or modeling error, the performance of the method is unreliable. In order to overcome this problem in this paper, a new finite impulse response (FIR) filter based learning algorithm is proposed to train radial basis function neural networks (RBFN) for nonlinear function approximation. Compared to the EKF training method, the proposed FIR filter training method is more robust to those environmental conditions. Furthermore , the number of centers will be considered since it affects the performance of approximation.

Keywords: Extended kalmin filter (EKF), classification problem, radial basis function networks (RBFN), finite impulse response (FIR)filter.

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5700 Artificial Neural Network Models of the Ruminal pH in Holstein Steers

Authors: Alireza Vakili, Mohsen Danesh Mesgaran, Majid Abdollazade

Abstract:

In this study four Holstein steers with rumen fistula fed 7 kg of dry matter (DM) of diets differing in concentrate to alfalfa hay ratios as 60:40, 70:30, 80:20, and 90:10 in a 4 × 4 latin square design. The pH of the ruminal fluid was measured before the morning feeding (0.0 h) to 8 h post feeding. In this study, a two-layered feed-forward neural network trained by the Levenberg-Marquardt algorithm was used for modelling of ruminal pH. The input variables of the network were time, concentrate to alfalfa hay ratios (C/F), non fiber carbohydrate (NFC) and neutral detergent fiber (NDF). The output variable was the ruminal pH. The modeling results showed that there was excellent agreement between the experimental data and predicted values, with a high determination coefficient (R2 >0.96). Therefore, we suggest using these model-derived biological values to summarize continuously recorded pH data.

Keywords: Ruminal pH, Artificial Neural Network (ANN), Non Fiber Carbohydrate, Neutral Detergent Fiber.

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5699 Septic B-spline Collocation Method for Solving One-dimensional Hyperbolic Telegraph Equation

Authors: Marzieh Dosti, Alireza Nazemi

Abstract:

Recently, it is found that telegraph equation is more suitable than ordinary diffusion equation in modelling reaction diffusion for such branches of sciences. In this paper, a numerical solution for the one-dimensional hyperbolic telegraph equation by using the collocation method using the septic splines is proposed. The scheme works in a similar fashion as finite difference methods. Test problems are used to validate our scheme by calculate L2-norm and L∞-norm. The accuracy of the presented method is demonstrated by two test problems. The numerical results are found to be in good agreement with the exact solutions.

Keywords: B-spline, collocation method, second-order hyperbolic telegraph equation, difference schemes.

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5698 Viscosity of Vegetable Oils and Biodiesel and Energy Generation

Authors: Thiago de O. Macedo, Roberto G. Pereira, Juan M. Pardal, Alexandre S. Soares, Valdir deJ. Lameira

Abstract:

The present work describes an experimental investigation concerning the determination of viscosity behavior with shear rate and temperature of edible oils: canola; sunflower; corn; soybean and the no edible oil: Jatropha curcas. Besides these, it was tested a blend of canola, corn and sunflower oils as well as sunflower and soybean biodiesel. Based on experiments, it was obtained shear stress and viscosity at different shear rates of each sample at 40ºC, as well as viscosity of each sample at various temperatures in the range of 24 to 85ºC. Furthermore, it was compared the curves obtained for the viscosity versus temperature with the curves obtained by modeling the viscosity dependency on temperature using the Vogel equation. Also a test in a stationary engine was performed in order to study the energy generation using blends of soybean oil and soybean biodiesel with diesel.

Keywords: Biofuel, energy generation, vegetable oil, viscosity.

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5697 Fuzzy Based Problem-Solution Data Structureas a Data Oriented Model for ABS Controlling

Authors: Ahmad Habibizad Navin, Mehdi Naghian Fesharaki, Mohamad Teshnelab, Ehsan Shahamatnia

Abstract:

The anti-lock braking systems installed on vehicles for safe and effective braking, are high-order nonlinear and timevariant. Using fuzzy logic controllers increase efficiency of such systems, but impose a high computational complexity as well. The main concept introduced by this paper is reducing computational complexity of fuzzy controllers by deploying problem-solution data structure. Unlike conventional methods that are based on calculations, this approach is based on data oriented modeling.

Keywords: ABS, Fuzzy controller, PSDS, Time-Memory tradeoff, Data oriented modeling.

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5696 Basket Option Pricing under Jump Diffusion Models

Authors: Ali Safdari-Vaighani

Abstract:

Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation (PIDEs), which is an extension of the Black-Scholes PDE with a new integral term. The aim of this paper is to show how basket option prices in the jump diffusion models, mainly on the Merton model, can be computed using RBF based approximation methods. For a test problem, the RBF-PU method is applied for numerical solution of partial integral differential equation arising from the two-asset European vanilla put options. The numerical result shows the accuracy and efficiency of the presented method.

Keywords: Radial basis function, basket option, jump diffusion, RBF-PUM.

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5695 Spline Collocation for Solving System of Fredholm and Volterra Integral Equations

Authors: N. Ebrahimi, J. Rashidinia

Abstract:

In this paper, numerical solution of system of Fredholm and Volterra integral equations by means of the Spline collocation method is considered. This approximation reduces the system of integral equations to an explicit system of algebraic equations. The solution is collocated by cubic B-spline and the integrand is approximated by the Newton-Cotes formula. The error analysis of proposed numerical method is studied theoretically. The results are compared with the results obtained by other methods to illustrate the accuracy and the implementation of our method.

Keywords: Convergence analysis, Cubic B-spline, Newton- Cotes formula, System of Fredholm and Volterra integral equations.

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5694 Model Reduction of Linear Systems by Conventional and Evolutionary Techniques

Authors: S. Panda, S. K. Tomar, R. Prasad, C. Ardil

Abstract:

Reduction of Single Input Single Output (SISO) continuous systems into Reduced Order Model (ROM), using a conventional and an evolutionary technique is presented in this paper. In the conventional technique, the mixed advantages of Mihailov stability criterion and continued fraction expansions (CFE) technique is employed where the reduced denominator polynomial is derived using Mihailov stability criterion and the numerator is obtained by matching the quotients of the Cauer second form of Continued fraction expansions. In the evolutionary technique method Particle Swarm Optimization (PSO) is employed to reduce the higher order model. PSO method is based on the minimization of the Integral Squared Error (ISE) between the transient responses of original higher order model and the reduced order model pertaining to a unit step input. Both the methods are illustrated through numerical example.

Keywords: Reduced Order Modeling, Stability, Continued Fraction Expansions, Mihailov Stability Criterion, Particle Swarm Optimization, Integral Squared Error.

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