Search results for: Auxiliary equation method.
8638 Stabilization of the Bernoulli-Euler Plate Equation: Numerical Analysis
Authors: Carla E. O. de Moraes, Gladson O. Antunes, Mauro A. Rincon
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The aim of this paper is to study the internal stabilization of the Bernoulli-Euler equation numerically. For this, we consider a square plate subjected to a feedback/damping force distributed only in a subdomain. An algorithm for obtaining an approximate solution to this problem was proposed and implemented. The numerical method used was the Finite Difference Method. Numerical simulations were performed and showed the behavior of the solution, confirming the theoretical results that have already been proved in the literature. In addition, we studied the validation of the numerical scheme proposed, followed by an analysis of the numerical error; and we conducted a study on the decay of the energy associated.
Keywords: Bernoulli-Euler Plate Equation, Numerical Simulations, Stability, Energy Decay, Finite Difference Method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20368637 Method of Finding Aerodynamic Characteristic Equations of Missile for Trajectory Simulation
Authors: Attapon Charoenpon, Ekkarach Pankeaw
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This paper present a new way to find the aerodynamic characteristic equation of missile for the numerical trajectories prediction more accurate. The goal is to obtain the polynomial equation based on two missile characteristic parameters, angle of attack (α ) and flight speed (╬¢ ). First, the understudied missile is modeled and used for flow computational model to compute aerodynamic force and moment. Assume that performance range of understudied missile where range -10< α <10 and 0< ╬¢ <200. After completely obtained results of all cases, the data are fit by polynomial interpolation to create equation of each case and then combine all equations to form aerodynamic characteristic equation, which will be used for trajectories simulation.
Keywords: Aerodynamic, Characteristic Equation, Angle ofAttack, Polynomial interpolation, Trajectories
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 36698636 A Shape Optimization Method in Viscous Flow Using Acoustic Velocity and Four-step Explicit Scheme
Authors: Yoichi Hikino, Mutsuto Kawahara
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The purpose of this study is to derive optimal shapes of a body located in viscous flows by the finite element method using the acoustic velocity and the four-step explicit scheme. The formulation is based on an optimal control theory in which a performance function of the fluid force is introduced. The performance function should be minimized satisfying the state equation. This problem can be transformed into the minimization problem without constraint conditions by using the adjoint equation with adjoint variables corresponding to the state equation. The performance function is defined by the drag and lift forces acting on the body. The weighted gradient method is applied as a minimization technique, the Galerkin finite element method is used as a spatial discretization and the four-step explicit scheme is used as a temporal discretization to solve the state equation and the adjoint equation. As the interpolation, the orthogonal basis bubble function for velocity and the linear function for pressure are employed. In case that the orthogonal basis bubble function is used, the mass matrix can be diagonalized without any artificial centralization. The shape optimization is performed by the presented method.Keywords: Shape Optimization, Optimal Control Theory, Finite Element Method, Weighted Gradient Method, Fluid Force, Orthogonal Basis Bubble Function, Four-step Explicit Scheme, Acoustic Velocity.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14658635 A C1-Conforming Finite Element Method for Nonlinear Fourth-Order Hyperbolic Equation
Authors: Yang Liu, Hong Li, Siriguleng He, Wei Gao, Zhichao Fang
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In this paper, the C1-conforming finite element method is analyzed for a class of nonlinear fourth-order hyperbolic partial differential equation. Some a priori bounds are derived using Lyapunov functional, and existence, uniqueness and regularity for the weak solutions are proved. Optimal error estimates are derived for both semidiscrete and fully discrete schemes.
Keywords: Nonlinear fourth-order hyperbolic equation, Lyapunov functional, existence, uniqueness and regularity, conforming finite element method, optimal error estimates.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18938634 Autonomous Vehicle Navigation Using Harmonic Functions via Modified Arithmetic Mean Iterative Method
Authors: Azali Saudi, Jumat Sulaiman
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Harmonic functions are solutions to Laplace’s equation that are known to have an advantage as a global approach in providing the potential values for autonomous vehicle navigation. However, the computation for obtaining harmonic functions is often too slow particularly when it involves very large environment. This paper presents a two-stage iterative method namely Modified Arithmetic Mean (MAM) method for solving 2D Laplace’s equation. Once the harmonic functions are obtained, the standard Gradient Descent Search (GDS) is performed for path finding of an autonomous vehicle from arbitrary initial position to the specified goal position. Details of the MAM method are discussed. Several simulations of vehicle navigation with path planning in a static known indoor environment were conducted to verify the efficiency of the MAM method. The generated paths obtained from the simulations are presented. The performance of the MAM method in computing harmonic functions in 2D environment to solve path planning problem for an autonomous vehicle navigation is also provided.Keywords: Modified Arithmetic Mean method, Harmonic functions, Laplace’s equation, path planning.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 8628633 Stress Solitary Waves Generated by a Second-Order Polynomial Constitutive Equation
Authors: Tsun-Hui Huang, Shyue-Cheng Yang, Chiou-Fen Shieh
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In this paper, a nonlinear constitutive law and a curve fitting, two relationships between the stress-strain and the shear stress-strain for sandstone material were used to obtain a second-order polynomial constitutive equation. Based on the established polynomial constitutive equations and Newton’s second law, a mathematical model of the non-homogeneous nonlinear wave equation under an external pressure was derived. The external pressure can be assumed as an impulse function to simulate a real earthquake source. A displacement response under nonlinear two-dimensional wave equation was determined by a numerical method and computer-aided software. The results show that a suit pressure in the sandstone generates the phenomenon of stress solitary waves.
Keywords: Polynomial constitutive equation, solitary.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16668632 Solution of Nonlinear Second-Order Pantograph Equations via Differential Transformation Method
Authors: Nemat Abazari, Reza Abazari
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In this work, we successfully extended one-dimensional differential transform method (DTM), by presenting and proving some theorems, to solving nonlinear high-order multi-pantograph equations. This technique provides a sequence of functions which converges to the exact solution of the problem. Some examples are given to demonstrate the validity and applicability of the present method and a comparison is made with existing results.
Keywords: Nonlinear multi-pantograph equation, delay differential equation, differential transformation method, proportional delay conditions, closed form solution.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 25608631 An Analytical Method to Analysis of Foam Drainage Problem
Authors: A. Nikkar, M. Mighani
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In this study, a new reliable technique use to handle the foam drainage equation. This new method is resulted from VIM by a simple modification that is Reconstruction of Variational Iteration Method (RVIM). The drainage of liquid foams involves the interplay of gravity, surface tension, and viscous forces. Foaming occurs in many distillation and absorption processes. Results are compared with those of Adomian’s decomposition method (ADM).The comparisons show that the Reconstruction of Variational Iteration Method is very effective and overcome the difficulty of traditional methods and quite accurate to systems of non-linear partial differential equations.
Keywords: Reconstruction of Variational Iteration Method (RVIM), Foam drainage, nonlinear partial differential equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18138630 Stability of Stochastic Model Predictive Control for Schrödinger Equation with Finite Approximation
Authors: Tomoaki Hashimoto
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Recent technological advance has prompted significant interest in developing the control theory of quantum systems. Following the increasing interest in the control of quantum dynamics, this paper examines the control problem of Schrödinger equation because quantum dynamics is basically governed by Schrödinger equation. From the practical point of view, stochastic disturbances cannot be avoided in the implementation of control method for quantum systems. Thus, we consider here the robust stabilization problem of Schrödinger equation against stochastic disturbances. In this paper, we adopt model predictive control method in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. The objective of this study is to derive the stability criterion for model predictive control of Schrödinger equation under stochastic disturbances.Keywords: Optimal control, stochastic systems, quantum systems, stabilization.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 23608629 Optimal Analysis of Grounding System Design for Distribution Substation
Authors: T. Lantharthong, N. Rugthaicharoencheep, A. Phayomhom
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This paper presents the electrical effect of two neighboring distribution substation during the construction phase. The size of auxiliary grounding grid have an effect on entire grounding system. The bigger the size of auxiliary grounding grid, the lower the GPR and maximum touch voltage, with the exception that when the two grids are unconnected, i.e. the bigger the size of auxiliary grounding grid, the higher the maximum step voltage. The results in this paper could be served as design guideline of grounding system, and perhaps remedy of some troublesome grounding grids in power distribution’s system. Modeling and simulation is carried out on the Current Distribution Electromagnetic interference Grounding and Soil structure (CDEGS) program. The simulation results exhibit the design and analysis of power system grounding and perhaps could be set as a standard in grounding system design and modification in distribution substations.
Keywords: Grounding System, Touch Voltage, Step Voltage, Safety Criteria.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 26828628 Numerical Algorithms for Solving a Type of Nonlinear Integro-Differential Equations
Authors: Shishen Xie
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In this article two algorithms, one based on variation iteration method and the other on Adomian's decomposition method, are developed to find the numerical solution of an initial value problem involving the non linear integro differantial equation where R is a nonlinear operator that contains partial derivatives with respect to x. Special cases of the integro-differential equation are solved using the algorithms. The numerical solutions are compared with analytical solutions. The results show that these two methods are efficient and accurate with only two or three iterations
Keywords: variation iteration method, decomposition method, nonlinear integro-differential equations
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 21278627 The Application of Hybrid Orthonomal Bernstein and Block-Pulse Functions in Finding Numerical Solution of Fredholm Fuzzy Integral Equations
Authors: Mahmoud Zarrini, Sanaz Torkaman
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In this paper, we have proposed a numerical method for solving fuzzy Fredholm integral equation of the second kind. In this method a combination of orthonormal Bernstein and Block-Pulse functions are used. In most cases, the proposed method leads to the exact solution. The advantages of this method are shown by an example and calculate the error analysis.
Keywords: Fuzzy Fredholm Integral Equation, Bernstein, Block-Pulse, Orthonormal.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20308626 Simulink Approach to Solve Fuzzy Differential Equation under Generalized Differentiability
Authors: N. Kumaresan , J. Kavikumar, Kuru Ratnavelu
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In this paper, solution of fuzzy differential equation under general differentiability is obtained by simulink. The simulink solution is equivalent or very close to the exact solution of the problem. Accuracy of the simulink solution to this problem is qualitatively better. An illustrative numerical example is presented for the proposed method.Keywords: Fuzzy differential equation, Generalized differentiability, H-difference and Simulink.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 24358625 Research on Load Balancing Technology for Web Service Mobile Host
Authors: Yao Lu, Xiuguo Zhang, Zhiying Cao
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In this paper, Load Balancing idea is used in the Web service mobile host. The main idea of Load Balancing is to establish a one-to-many mapping mechanism: An entrance-mapping request to plurality of processing node in order to realize the dividing and assignment processing. Because the mobile host is a resource constrained environment, there are some Web services which cannot be completed on the mobile host. When the mobile host resource is not enough to complete the request, Load Balancing scheduler will divide the request into a plurality of sub-requests and transfer them to different auxiliary mobile hosts. Auxiliary mobile host executes sub-requests, and then, the results will be returned to the mobile host. Service request integrator receives results of sub-requests from the auxiliary mobile host, and integrates the sub-requests. In the end, the complete request is returned to the client. Experimental results show that this technology adopted in this paper can complete requests and have a higher efficiency.Keywords: Dinic, load balancing, mobile host, web service.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 11328624 Analyzing of Noise inside a Simple Vehicle Cabin using Boundary Element Method
Authors: A. Soltani, M. Karimi Demneh
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In this paper, modeling of an acoustic enclosed vehicle cabin has been carried out by using boundary element method. Also, the second purpose of this study is analyzing of linear wave equation in an acoustic field. The resultants of this modeling consist of natural frequencies that have been compared with resultants derived from finite element method. By using numerical method (boundary element method) and after solution of wave equation inside an acoustic enclosed cabin, this method has been progressed to simulate noise inside a simple vehicle cabin.Keywords: Boundary element method, natural frequency, noise, vehicle cabin.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 25478623 Numerical Analysis of Thermal Conductivity of Non-Charring Material Ablation Carbon-Carbon and Graphite with Considering Chemical Reaction Effects, Mass Transfer and Surface Heat Transfer
Authors: H. Mohammadiun, A. Kianifar, A. Kargar
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Nowadays, there is little information, concerning the heat shield systems, and this information is not completely reliable to use in so many cases. for example, the precise calculation cannot be done for various materials. In addition, the real scale test has two disadvantages: high cost and low flexibility, and for each case we must perform a new test. Hence, using numerical modeling program that calculates the surface recession rate and interior temperature distribution is necessary. Also, numerical solution of governing equation for non-charring material ablation is presented in order to anticipate the recession rate and the heat response of non-charring heat shields. the governing equation is nonlinear and the Newton- Rafson method along with TDMA algorithm is used to solve this nonlinear equation system. Using Newton- Rafson method for solving the governing equation is one of the advantages of the solving method because this method is simple and it can be easily generalized to more difficult problems. The obtained results compared with reliable sources in order to examine the accuracy of compiling code.Keywords: Ablation rate, surface recession, interior temperaturedistribution, non charring material ablation, Newton Rafson method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18998622 On the Positive Definite Solutions of Nonlinear Matrix Equation
Authors: Tian Baoguang, Liang Chunyan, Chen Nan
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In this paper, the nonlinear matrix equation is investigated. Based on the fixed-point theory, the boundary and the existence of the solution with the case r>-δi are discussed. An algorithm that avoids matrix inversion with the case -1<-δi<0 is proposed.
Keywords: Nonlinear matrix equation, Positive definite solution, The maximal-minimal solution, Iterative method, Free-inversion
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20028621 A Finite Point Method Based on Directional Derivatives for Diffusion Equation
Authors: Guixia Lv, Longjun Shen
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This paper presents a finite point method based on directional derivatives for diffusion equation on 2D scattered points. To discretize the diffusion operator at a given point, a six-point stencil is derived by employing explicit numerical formulae of directional derivatives, namely, for the point under consideration, only five neighbor points are involved, the number of which is the smallest for discretizing diffusion operator with first-order accuracy. A method for selecting neighbor point set is proposed, which satisfies the solvability condition of numerical derivatives. Some numerical examples are performed to show the good performance of the proposed method.Keywords: Finite point method, directional derivatives, diffusionequation, method for selecting neighbor point set.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13528620 Comparison of Three Versions of Conjugate Gradient Method in Predicting an Unknown Irregular Boundary Profile
Authors: V. Ghadamyari, F. Samadi, F. Kowsary
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An inverse geometry problem is solved to predict an unknown irregular boundary profile. The aim is to minimize the objective function, which is the difference between real and computed temperatures, using three different versions of Conjugate Gradient Method. The gradient of the objective function, considered necessary in this method, obtained as a result of solving the adjoint equation. The abilities of three versions of Conjugate Gradient Method in predicting the boundary profile are compared using a numerical algorithm based on the method. The predicted shapes show that due to its convergence rate and accuracy of predicted values, the Powell-Beale version of the method is more effective than the Fletcher-Reeves and Polak –Ribiere versions.Keywords: Boundary elements, Conjugate Gradient Method, Inverse Geometry Problem, Sensitivity equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18348619 Quick Sequential Search Algorithm Used to Decode High-Frequency Matrices
Authors: Mohammed M. Siddeq, Mohammed H. Rasheed, Omar M. Salih, Marcos A. Rodrigues
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This research proposes a data encoding and decoding method based on the Matrix Minimization algorithm. This algorithm is applied to high-frequency coefficients for compression/encoding. The algorithm starts by converting every three coefficients to a single value; this is accomplished based on three different keys. The decoding/decompression uses a search method called QSS (Quick Sequential Search) Decoding Algorithm presented in this research based on the sequential search to recover the exact coefficients. In the next step, the decoded data are saved in an auxiliary array. The basic idea behind the auxiliary array is to save all possible decoded coefficients; this is because another algorithm, such as conventional sequential search, could retrieve encoded/compressed data independently from the proposed algorithm. The experimental results showed that our proposed decoding algorithm retrieves original data faster than conventional sequential search algorithms.
Keywords: Matrix Minimization Algorithm, Decoding Sequential Search Algorithm, image compression, Discrete Cosine Transform, Discrete Wavelet Transform.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2488618 Seven step Adams Type Block Method With Continuous Coefficient For Periodic Ordinary Differential Equation
Authors: Olusheye Akinfenwa
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We consider the development of an eight order Adam-s type method, with A-stability property discussed by expressing them as a one-step method in higher dimension. This makes it suitable for solving variety of initial-value problems. The main method and additional methods are obtained from the same continuous scheme derived via interpolation and collocation procedures. The methods are then applied in block form as simultaneous numerical integrators over non-overlapping intervals. Numerical results obtained using the proposed block form reveals that it is highly competitive with existing methods in the literature.Keywords: Block Adam's type Method; Periodic Ordinary Differential Equation; Stability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15858617 Production Planning and Measuring Method for Non Patterned Production System Using Stock Cutting Model
Authors: S. Homrossukon, D. Aromstain
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The simple methods used to plan and measure non patterned production system are developed from the basic definition of working efficiency. Processing time is assigned as the variable and used to write the equation of production efficiency. Consequently, such equation is extensively used to develop the planning method for production of interest using one-dimensional stock cutting problem. The application of the developed method shows that production efficiency and production planning can be determined effectively.Keywords: Production Planning, Parallel Machine, Production Measurement, Cutting and Packing.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 12018616 A Numerical Algorithm for Positive Solutions of Concave and Convex Elliptic Equation on R2
Authors: Hailong Zhu, Zhaoxiang Li
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In this paper we investigate numerically positive solutions of the equation -Δu = λuq+up with Dirichlet boundary condition in a boundary domain ╬® for λ > 0 and 0 < q < 1 < p < 2*, we will compute and visualize the range of λ, this problem achieves a numerical solution.
Keywords: positive solutions, concave-convex, sub-super solution method, pseudo arclength method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13208615 A Contractor Iteration Method Using Eigenpairs for Positive Solutions of Nonlinear Elliptic Equation
Authors: Hailong Zhu, Zhaoxiang Li, Kejun Zhuang
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By means of Contractor Iteration Method, we solve and visualize the Lane-Emden(-Fowler) equation Δu + up = 0, in Ω, u = 0, on ∂Ω. It is shown that the present method converges quadratically as Newton’s method and the computation of Contractor Iteration Method is cheaper than the Newton’s method.
Keywords: Positive solutions, newton's method, contractor iteration method, Eigenpairs.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13788614 A Finite Element Solution of the Mathematical Model for Smoke Dispersion from Two Sources
Authors: Nopparat Pochai
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Smoke discharging is a main reason of air pollution problem from industrial plants. The obstacle of a building has an affect with the air pollutant discharge. In this research, a mathematical model of the smoke dispersion from two sources and one source with a structural obstacle is considered. The governing equation of the model is an isothermal mass transfer model in a viscous fluid. The finite element method is used to approximate the solutions of the model. The triangular linear elements have been used for discretising the domain, and time integration has been carried out by semi-implicit finite difference method. The simulations of smoke dispersion in cases of one chimney and two chimneys are presented. The maximum calculated smoke concentration of both cases are compared. It is then used to make the decision for smoke discharging and air pollutant control problems on industrial area.Keywords: Air pollution, Smoke dispersion, Finite element method, Stream function, Vorticity equation, Convection-diffusion equation, Semi-implicit method
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 21008613 Study of Cahn-Hilliard Equation to Simulate Phase Separation
Authors: Nara Guimarães, Marcelo Aquino Martorano, Douglas Gouvêa
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An investigation into Cahn-Hilliard equation was carried out through numerical simulation to identify a possible phase separation for one and two dimensional domains. It was observed that this equation can reproduce important mass fluxes necessary for phase separation within the miscibility gap and for coalescence of particles.
Keywords: Cahn-Hilliard equation, miscibility gap, phase separation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20548612 Localized Meshfree Methods for Solving 3D-Helmholtz Equation
Authors: Reza Mollapourasl, Majid Haghi
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In this study, we develop local meshfree methods known as radial basis function-generated finite difference (RBF-FD) method and Hermite finite difference (RBF-HFD) method to design stencil weights and spatial discretization for Helmholtz equation. The convergence and stability of schemes are investigated numerically in three dimensions with irregular shaped domain. These localized meshless methods incorporate the advantages of the RBF method, finite difference and Hermite finite difference methods to handle the ill-conditioning issue that often destroys the convergence rate of global RBF methods. Moreover, numerical illustrations show that the proposed localized RBF type methods are efficient and applicable for problems with complex geometries. The convergence and accuracy of both schemes are compared by solving a test problem.
Keywords: Radial basis functions, Hermite finite difference, Helmholtz equation, stability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1338611 A Comparison of Recent Methods for Solving a Model 1D Convection Diffusion Equation
Authors: Ashvin Gopaul, Jayrani Cheeneebash, Kamleshsing Baurhoo
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In this paper we study some numerical methods to solve a model one-dimensional convection–diffusion equation. The semi-discretisation of the space variable results into a system of ordinary differential equations and the solution of the latter involves the evaluation of a matrix exponent. Since the calculation of this term is computationally expensive, we study some methods based on Krylov subspace and on Restrictive Taylor series approximation respectively. We also consider the Chebyshev Pseudospectral collocation method to do the spatial discretisation and we present the numerical solution obtained by these methods.
Keywords: Chebyshev Pseudospectral collocation method, convection-diffusion equation, restrictive Taylor approximation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16808610 Application of Legendre Transformation to Portfolio Optimization
Authors: Peter Benneth, Tsaroh N. Theophilus, Prince Benjamin
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This research work aims at studying the application of Legendre Transformation Method (LTM) to Hamilton Jacobi Bellman (HJB) equation which is an example of optimal control problem. We discuss the steps involved in modelling the HJB equation as it relates to mathematical finance by applying the Ito’s lemma and maximum principle theorem. By applying the LTM and dual theory, the resultant HJB equation is transformed to a linear Partial Differential Equation (PDE). Also, the Optimal Investment Strategy (OIS) and the optimal value function were obtained under the exponential utility function. Furthermore, some numerical results were also presented with observations that the OIS under exponential utility is directly proportional to the appreciation rate of the risky asset and inversely proportional to the instantaneous volatility, predetermined interest rate, risk averse coefficient. Finally, it was observed that the optimal fund size is an increasing function of the risk free interest rate. This result is consistent with some existing results.
Keywords: Legendre transformation method, Optimal investment strategy, Ito’s lemma, Hamilton Jacobi Bellman equation, Geometric Brownian motion, financial market.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 708609 Algebraic Riccati Matrix Equation for Eigen- Decomposition of Special Structured Matrices; Applications in Structural Mechanics
Authors: Mahdi Nouri
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In this paper Algebraic Riccati matrix equation is used for Eigen-decomposition of special structured matrices. This is achieved by similarity transformation and then using algebraic riccati matrix equation to triangulation of matrices. The process is decomposition of matrices into small and specially structured submatrices with low dimensions for fast and easy finding of Eigenpairs. Numerical and structural examples included showing the efficiency of present method.
Keywords: Riccati, matrix equation, eigenvalue problem, symmetric, bisymmetric, persymmetric, decomposition, canonical forms, Graphs theory, adjacency and Laplacian matrices.
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