Search results for: Time difference of Arrival (TDoA)
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 7570

Search results for: Time difference of Arrival (TDoA)

7480 Information Requirements for Vessel Traffic Service Operations

Authors: Fan Li, Chun-Hsien Chen, Li Pheng Khoo

Abstract:

Operators of vessel traffic service (VTS) center provides three different types of services; namely information service, navigational assistance and traffic organization to vessels. To provide these services, operators monitor vessel traffic through computer interface and provide navigational advice based on the information integrated from multiple sources, including automatic identification system (AIS), radar system, and closed circuit television (CCTV) system. Therefore, this information is crucial in VTS operation. However, what information the VTS operator actually need to efficiently and properly offer services is unclear. The aim of this study is to investigate into information requirements for VTS operation. To achieve this aim, field observation was carried out to elicit the information requirements for VTS operation. The study revealed that the most frequent and important tasks were handling arrival vessel report, potential conflict control and abeam vessel report. Current location and vessel name were used in all tasks. Hazard cargo information was particularly required when operators handle arrival vessel report. The speed, the course, and the distance of two or several vessels were only used in potential conflict control. The information requirements identified in this study can be utilized in designing a human-computer interface that takes into consideration what and when information should be displayed, and might be further used to build the foundation of a decision support system for VTS.

Keywords: Vessel traffic service, information requirements, hierarchy task analysis, field observation.

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7479 Dynamic Analysis of Transmission Line Towers

Authors: Srikanth L., Neelima Satyam D.

Abstract:

The transmission line towers are one of the important life line structures in the distribution of power from the source to the various places for several purposes. The predominant external loads which act on these towers are wind and earthquake loads. In this present study tower is analyzed using Indian Standards IS: 875:1987(Wind Load), IS: 802:1995(Structural steel), IS:1893:2002 (Earthquake) and dynamic analysis of tower has been performed considering ground motion of 2001 Bhuj Earthquake (India). The dynamic analysis was performed considering a tower system consisting two towers spaced 800m apart and 35m height each. This analysis has been performed using numerical time stepping finite difference method which is central difference method were employed by a developed MATLAB program to get the normalized ground motion parameters includes acceleration, frequency, velocity which are important in designing the tower. The tower is analyzed using response spectrum analysis.

Keywords: Response Spectra, Dynamic Analysis, Central Difference Method, Transmission Tower.

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7478 A New Analytic Solution for the Heat Conduction with Time-Dependent Heat Transfer Coefficient

Authors: Te Wen Tu, Sen Yung Lee

Abstract:

An alternative approach is proposed to develop the analytic solution for one dimensional heat conduction with one mixed type boundary condition and general time-dependent heat transfer coefficient. In this study, the physic meaning of the solution procedure is revealed. It is shown that the shifting function takes the physic meaning of the reciprocal of Biot function in the initial time. Numerical results show the accuracy of this study. Comparing with those given in the existing literature, the difference is less than 0.3%.

Keywords: Analytic solution, heat transfer coefficient, shifting function method, time-dependent boundary condition.

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7477 Offset Dependent Uniform Delay Mathematical Optimization Model for Signalized Traffic Network Using Differential Evolution Algorithm

Authors: Tahseen Al-Shaikhli, Halim Ceylan, Jonathan Weaver, Osman Nuri Çelik, Onur Gungor Sahin

Abstract:

A concept of uniform delay offset dependent mathematical optimization problem is derived as the main objective for this study using a differential evolution algorithm. Furthermore, the objectives are to control the coordination problem which mainly depends on offset selection, and to estimate the uniform delay based on the offset choice at each signalized intersection. The assumption is the periodic sinusoidal function for arrival and departure patterns. The cycle time is optimized at the entry links and the optimized value is used in the non-entry links as a common cycle time. The offset optimization algorithm is used to calculate the uniform delay at each link. The results are illustrated by using a case study and compared with the canonical uniform delay model derived by Webster and the highway capacity manual’s model. The findings show that the derived model minimizes the total uniform delay to almost half compared to conventional models; the mathematical objective function is robust; the algorithm convergence time is fast.

Keywords: Area traffic control, differential evolution, offset variable, sinusoidal periodic function, traffic flow, uniform delay.

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7476 Stochastic Estimation of Wireless Traffic Parameters

Authors: Somenath Mukherjee, Raj Kumar Samanta, Gautam Sanyal

Abstract:

Different services based on different switching techniques in wireless networks leads to drastic changes in the properties of network traffic. Because of these diversities in services, network traffic is expected to undergo qualitative and quantitative variations. Hence, assumption of traffic characteristics and the prediction of network events become more complex for the wireless networks. In this paper, the traffic characteristics have been studied by collecting traces from the mobile switching centre (MSC). The traces include initiation and termination time, originating node, home station id, foreign station id. Traffic parameters namely, call interarrival and holding times were estimated statistically. The results show that call inter-arrival and distribution time in this wireless network is heavy-tailed and follow gamma distributions. They are asymptotically long-range dependent. It is also found that the call holding times are best fitted with lognormal distribution. Based on these observations, an analytical model for performance estimation is also proposed.

Keywords: Wireless networks, traffic analysis, long-range dependence, heavy-tailed distribution.

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7475 Periodic Solutions for a Two-prey One-predator System on Time Scales

Authors: Changjin Xu

Abstract:

In this paper, using the Gaines and Mawhin,s continuation theorem of coincidence degree theory on time scales, the existence of periodic solutions for a two-prey one-predator system is studied. Some sufficient conditions for the existence of positive periodic solutions are obtained. The results provide unified existence theorems of periodic solution for the continuous differential equations and discrete difference equations.

Keywords: Time scales, competitive system, periodic solution, coincidence degree, topological degree.

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7474 Parallel Priority Region Approach to Detect Background

Authors: Sallama Athab, Hala Bahjat, Zhang Yinghui

Abstract:

Background detection is essential in video analyses; optimization is often needed in order to achieve real time calculation. Information gathered by dual cameras placed in the front and rear part of an Autonomous Vehicle (AV) is integrated for background detection. In this paper, real time calculation is achieved on the proposed technique by using Priority Regions (PR) and Parallel Processing together where each frame is divided into regions then and each region process is processed in parallel. PR division depends upon driver view limitations. A background detection system is built on the Temporal Difference (TD) and Gaussian Filtering (GF). Temporal Difference and Gaussian Filtering with multi threshold and sigma (weight) value are be based on PR characteristics. The experiment result is prepared on real scene. Comparison of the speed and accuracy with traditional background detection techniques, the effectiveness of PR and parallel processing are also discussed in this paper.

Keywords: Autonomous Vehicle, Background Detection, Dual Camera, Gaussian Filtering, Parallel Processing.

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7473 Numerical Analysis on the Performance of Heatsink with Microchannels

Authors: Jer-Huan Jang, Han-Chieh Chiu, Wei-Chung Yeih, Jia-Jui Yang, Chien-Sheng Huang

Abstract:

In this paper, numerical simulation is used to investigate the thermal performance of liquid cooling heatsink with microchannels due to geometric arrangement. Commercial software ICEPAK is utilized for the analysis. The considered parameters include aspect ratio, porosity and the length and height of microchannel. The aspect ratio varies from 3 to 16 and the length of microchannel is 10mm, 14mm, and 18mm. The height of microchannel is 2mm, 3mm and 4mm. It is found short channel have better thermal efficiency than long channel at 490Pa. No matter the length of channel the best aspect ratio is 4. It is also noted that pressure difference at 2940Pa the best aspect ratio from 4 to 8, it means pressure difference affect aspect ratio, effective thermal resistance at low pressure difference but lower effective thermal resistance at high pressure difference.

Keywords: thermal resistance, liquid cooling, microchannels, numerical analysis, pressure difference

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7472 Adaptive Discharge Time Control for Battery Operation Time Enhancement

Authors: Jong-Bae Lee, Seongsoo Lee

Abstract:

This paper proposes an adaptive discharge time control method to balance cell voltages in alternating battery cell discharging method. In the alternating battery cell discharging method, battery cells are periodically discharged in turn. Recovery effect increases battery output voltage while the given battery cell rests without discharging, thus battery operation time of target system increases. However, voltage mismatch between cells leads two problems. First, voltage difference between cells induces inter-cell current with wasted power. Second, it degrades battery operation time, since system stops when any cell reaches to the minimum system operation voltage. To solve this problem, the proposed method adaptively controls cell discharge time to equalize both cell voltages. In the proposed method, battery operation time increases about 19%, while alternating battery cell discharging method shows about 7% improvement.

Keywords: Battery, Recovery Effect, Low-Power, Alternating Battery Cell Discharging, Adaptive Discharge Time Control.

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7471 Genetic Algorithm Application in a Dynamic PCB Assembly with Carryover Sequence- Dependent Setups

Authors: M. T. Yazdani Sabouni, Rasaratnam Logendran

Abstract:

We consider a typical problem in the assembly of printed circuit boards (PCBs) in a two-machine flow shop system to simultaneously minimize the weighted sum of weighted tardiness and weighted flow time. The investigated problem is a group scheduling problem in which PCBs are assembled in groups and the interest is to find the best sequence of groups as well as the boards within each group to minimize the objective function value. The type of setup operation between any two board groups is characterized as carryover sequence-dependent setup time, which exactly matches with the real application of this problem. As a technical constraint, all of the boards must be kitted before the assembly operation starts (kitting operation) and by kitting staff. The main idea developed in this paper is to completely eliminate the role of kitting staff by assigning the task of kitting to the machine operator during the time he is idle which is referred to as integration of internal (machine) and external (kitting) setup times. Performing the kitting operation, which is a preparation process of the next set of boards while the other boards are currently being assembled, results in the boards to continuously enter the system or have dynamic arrival times. Consequently, a dynamic PCB assembly system is introduced for the first time in the assembly of PCBs, which also has characteristics similar to that of just-in-time manufacturing. The problem investigated is computationally very complex, meaning that finding the optimal solutions especially when the problem size gets larger is impossible. Thus, a heuristic based on Genetic Algorithm (GA) is employed. An example problem on the application of the GA developed is demonstrated and also numerical results of applying the GA on solving several instances are provided.

Keywords: Genetic algorithm, Dynamic PCB assembly, Carryover sequence-dependent setup times, Multi-objective.

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7470 Multiple Subcarrier Indoor Geolocation System in MIMO-OFDM WLAN APs Structure

Authors: Abdul Hafiizh, Shigeki Obote, Kenichi Kagoshima

Abstract:

This report aims to utilize existing and future Multiple-Input Multiple-Output Orthogonal Frequency Division Multiplexing Wireless Local Area Network (MIMO-OFDM WLAN) systems characteristics–such as multiple subcarriers, multiple antennas, and channel estimation characteristics–for indoor location estimation systems based on the Direction of Arrival (DOA) and Radio Signal Strength Indication (RSSI) methods. Hybrid of DOA-RSSI methods also evaluated. In the experimental data result, we show that location estimation accuracy performances can be increased by minimizing the multipath fading effect. This is done using multiple subcarrier frequencies over wideband frequencies to estimate one location. The proposed methods are analyzed in both a wide indoor environment and a typical room-sized office. In the experiments, WLAN terminal locations are estimated by measuring multiple subcarriers from arrays of three dipole antennas of access points (AP). This research demonstrates highly accurate, robust and hardware-free add-on software for indoor location estimations based on a MIMO-OFDM WLAN system.

Keywords: Direction of Arrival (DOA), Indoor location estimation method, Multipath Fading, MIMO-OFDM, Received Signal Strength Indication (RSSI), WLAN, Hybrid DOA-RSSI

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7469 Transient Analysis of a Single-Server Queue with Fixed-Size Batch Arrivals

Authors: Vitalice K. Oduol, C. Ardil

Abstract:

The transient analysis of a queuing system with fixed-size batch Poisson arrivals and a single server with exponential service times is presented. The focus of the paper is on the use of the functions that arise in the analysis of the transient behaviour of the queuing system. These functions are shown to be a generalization of the modified Bessel functions of the first kind, with the batch size B as the generalizing parameter. Results for the case of single-packet arrivals are obtained first. The similarities between the two families of functions are then used to obtain results for the general case of batch arrival queue with a batch size larger than one.

Keywords: batch arrivals, generalized Bessel functions, queuetransient analysis, time-varying probabilities.

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7468 Electromagnetic Wave Propagation Equations in 2D by Finite Difference Method

Authors: N. Fusun Oyman Serteller

Abstract:

In this paper, the techniques to solve time dependent electromagnetic wave propagation equations based on the Finite Difference Method (FDM) are proposed by comparing the results with Finite Element Method (FEM) in 2D while discussing some special simulation examples.  Here, 2D dynamical wave equations for lossy media, even with a constant source, are discussed for establishing symbolic manipulation of wave propagation problems. The main objective of this contribution is to introduce a comparative study of two suitable numerical methods and to show that both methods can be applied effectively and efficiently to all types of wave propagation problems, both linear and nonlinear cases, by using symbolic computation. However, the results show that the FDM is more appropriate for solving the nonlinear cases in the symbolic solution. Furthermore, some specific complex domain examples of the comparison of electromagnetic waves equations are considered. Calculations are performed through Mathematica software by making some useful contribution to the programme and leveraging symbolic evaluations of FEM and FDM.

Keywords: Finite difference method, finite element method, linear-nonlinear PDEs, symbolic computation, wave propagation equations.

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7467 Optimal Temperature and Duration for Dabbing Customers with the Massage Compressed Packs Reported from Customers’ Perception

Authors: Wichan Lertlop, Boonyarat Chaleephay

Abstract:

The objective of this research was to study the appropriate thermal level and time for dabbing customers with the massage compressed pack reported from their perception. The investigation was conducted by comparing different angles of tilted heads done by the customers together with their perception before and after the dabbing. The variables included different temperature of the compressed packs and different dabbing duration. Samples in this study included volunteers who got massage therapy and dabbing with hot compressed packs by traditional Thai medical students. The experiment was conducted during January to June 2013. The research tool consisted of angle meters, stop watches, thermometers, and massage compressed packs. The customers were interviewed for their perceptions before and after the dabbing. The results showed that:

  1. There was a difference of the average angles of tilted heads before and after the dabbing.
  2. There was no difference of the average angles at different temperatures but constant duration.
  3. There was no difference of the average angles at different durations.
  4. The customers reported relaxation no matter what the various temperatures and various dabbing durations were. However, they reported too hot at the temperature 70oC and over.

Keywords: Massage, Therapy, Therapeutic Systems and Technologies.

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7466 A Hybrid Heuristic for the Team Orienteering Problem

Authors: Adel Bouchakhchoukha, Hakim Akeb

Abstract:

In this work, we propose a hybrid heuristic in order to solve the Team Orienteering Problem (TOP). Given a set of points (or customers), each with associated score (profit or benefit), and a team that has a fixed number of members, the problem to solve is to visit a subset of points in order to maximize the total collected score. Each member performs a tour starting at the start point, visiting distinct customers and the tour terminates at the arrival point. In addition, each point is visited at most once, and the total time in each tour cannot be greater than a given value. The proposed heuristic combines beam search and a local optimization strategy. The algorithm was tested on several sets of instances and encouraging results were obtained.

Keywords: Team Orienteering Problem, Vehicle Routing, Beam Search, Local Search.

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7465 Image Features Comparison-Based Position Estimation Method Using a Camera Sensor

Authors: Jinseon Song, Yongwan Park

Abstract:

In this paper, propose method that can user’s position that based on database is built from single camera. Previous positioning calculate distance by arrival-time of signal like GPS (Global Positioning System), RF(Radio Frequency). However, these previous method have weakness because these have large error range according to signal interference. Method for solution estimate position by camera sensor. But, signal camera is difficult to obtain relative position data and stereo camera is difficult to provide real-time position data because of a lot of image data, too. First of all, in this research we build image database at space that able to provide positioning service with single camera. Next, we judge similarity through image matching of database image and transmission image from user. Finally, we decide position of user through position of most similar database image. For verification of propose method, we experiment at real-environment like indoor and outdoor. Propose method is wide positioning range and this method can verify not only position of user but also direction.

Keywords: Positioning, Distance, Camera, Features, SURF (Speed-Up Robust Features), Database, Estimation.

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7464 A Non-Standard Finite Difference Scheme for the Solution of Laplace Equation with Dirichlet Boundary Conditions

Authors: Khaled Moaddy

Abstract:

In this paper, we present a fast and accurate numerical scheme for the solution of a Laplace equation with Dirichlet boundary conditions. The non-standard finite difference scheme (NSFD) is applied to construct the numerical solutions of a Laplace equation with two different Dirichlet boundary conditions. The solutions obtained using NSFD are compared with the solutions obtained using the standard finite difference scheme (SFD). The NSFD scheme is demonstrated to be reliable and efficient.

Keywords: Standard finite difference schemes, non–standard schemes, Laplace equation, Dirichlet boundary conditions.

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7463 A Comparative Study of High Order Rotated Group Iterative Schemes on Helmholtz Equation

Authors: Norhashidah Hj. Mohd Ali, Teng Wai Ping

Abstract:

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

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

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7462 Delay-independent Stabilization of Linear Systems with Multiple Time-delays

Authors: Ping He, Heng-You Lan, Gong-Quan Tan

Abstract:

The multidelays linear control systems described by difference differential equations are often studied in modern control theory. In this paper, the delay-independent stabilization algebraic criteria and the theorem of delay-independent stabilization for linear systems with multiple time-delays are established by using the Lyapunov functional and the Riccati algebra matrix equation in the matrix theory. An illustrative example and the simulation result, show that the approach to linear systems with multiple time-delays is effective.

Keywords: Linear system, Delay-independent stabilization, Lyapunovfunctional, Riccati algebra matrix equation.

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7461 Alternating Implicit Block FDTD Method For Scalar Wave Equation

Authors: N. M. Nusi, M. Othman, M. Suleiman, F. Ismail, N. Alias

Abstract:

In this paper, an alternating implicit block method for solving two dimensional scalar wave equation is presented. The new method consist of two stages for each time step implemented in alternating directions which are very simple in computation. To increase the speed of computation, a group of adjacent points is computed simultaneously. It is shown that the presented method increase the maximum time step size and more accurate than the conventional finite difference time domain (FDTD) method and other existing method of natural ordering.

Keywords: FDTD, Scalar wave equation, alternating direction implicit (ADI), alternating group explicit (AGE), asymmetric approximation.

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7460 Identifying Significant Factors of Brick Laying Process through Design of Experiment and Computer Simulation: A Case Study

Authors: M. H. Zarei, A. Nikakhtar, A. H. Roudsari, N. Madadi, K. Y. Wong

Abstract:

Improving performance measures in the construction processes has been a major concern for managers and decision makers in the industry. They seek for ways to recognize the key factors which have the largest effect on the process. Identifying such factors can guide them to focus on the right parts of the process in order to gain the best possible result. In the present study design of experiment (DOE) has been applied to a computer simulation model of brick laying process to determine significant factors while productivity has been chosen as the response of the experiment. To this end, four controllable factors and their interaction have been experimented and the best factor level has been calculated for each one. The results indicate that three factors, namely, labor of brick, labor of mortar and inter arrival time of mortar along with interaction of labor of brick and labor of mortar are significant.

Keywords: Brick laying process, computer simulation, design of experiment, significant factors.

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7459 Data Recording for Remote Monitoring of Autonomous Vehicles

Authors: Rong-Terng Juang

Abstract:

Autonomous vehicles offer the possibility of significant benefits to social welfare. However, fully automated cars might not be going to happen in the near further. To speed the adoption of the self-driving technologies, many governments worldwide are passing laws requiring data recorders for the testing of autonomous vehicles. Currently, the self-driving vehicle, (e.g., shuttle bus) has to be monitored from a remote control center. When an autonomous vehicle encounters an unexpected driving environment, such as road construction or an obstruction, it should request assistance from a remote operator. Nevertheless, large amounts of data, including images, radar and lidar data, etc., have to be transmitted from the vehicle to the remote center. Therefore, this paper proposes a data compression method of in-vehicle networks for remote monitoring of autonomous vehicles. Firstly, the time-series data are rearranged into a multi-dimensional signal space. Upon the arrival, for controller area networks (CAN), the new data are mapped onto a time-data two-dimensional space associated with the specific CAN identity. Secondly, the data are sampled based on differential sampling. Finally, the whole set of data are encoded using existing algorithms such as Huffman, arithmetic and codebook encoding methods. To evaluate system performance, the proposed method was deployed on an in-house built autonomous vehicle. The testing results show that the amount of data can be reduced as much as 1/7 compared to the raw data.

Keywords: Autonomous vehicle, data recording, remote monitoring, controller area network.

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7458 On Diffusion Approximation of Discrete Markov Dynamical Systems

Authors: Jevgenijs Carkovs

Abstract:

The paper is devoted to stochastic analysis of finite dimensional difference equation with dependent on ergodic Markov chain increments, which are proportional to small parameter ". A point-form solution of this difference equation may be represented as vertexes of a time-dependent continuous broken line given on the segment [0,1] with "-dependent scaling of intervals between vertexes. Tending " to zero one may apply stochastic averaging and diffusion approximation procedures and construct continuous approximation of the initial stochastic iterations as an ordinary or stochastic Ito differential equation. The paper proves that for sufficiently small " these equations may be successfully applied not only to approximate finite number of iterations but also for asymptotic analysis of iterations, when number of iterations tends to infinity.

Keywords: Markov dynamical system, diffusion approximation, equilibrium stochastic stability.

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7457 High Capacity Data Hiding based on Predictor and Histogram Modification

Authors: Hui-Yu Huang, Shih-Hsu Chang

Abstract:

In this paper, we propose a high capacity image hiding technology based on pixel prediction and the difference of modified histogram. This approach is used the pixel prediction and the difference of modified histogram to calculate the best embedding point. This approach can improve the predictive accuracy and increase the pixel difference to advance the hiding capacity. We also use the histogram modification to prevent the overflow and underflow. Experimental results demonstrate that our proposed method within the same average hiding capacity can still keep high quality of image and low distortion

Keywords: data hiding, predictor

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7456 A New Class F2 (M, 0, N)L„ p)F of The Double Difference Sequences of Fuzzy Numbers

Authors: N. Subramanian, C. Murugesan

Abstract:

The double difference sequence space I2 (M, of fuzzy numbers for both 1 < p < oo and 0 < p < 1, is introduced. Some general properties of this sequence space are studied. Some inclusion relations involving this sequence space are obtained.

Keywords: Orlicz function, solid space, metric space, completeness

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7455 A Novel Approach for Scheduling Rescue Robot Mission Using Decision Analysis

Authors: Rana Soltani-Zarrin, Sohrab Khanmohammadi

Abstract:

In this paper, a new method for multi criteria decision making is represented whichspecifies a trajectory satisfying desired criteria including minimization of time. A rescue robot is defined to perform certain tasks before the arrival of rescue team, including evaluation of the probability of explosion in the area, detecting human-beings, and providing preliminary aidsin case of identifying signs of life, so that the security of the surroundings will have enhanced significantly for the individuals inside the disaster zone as well as the rescue team. The main idea behind our technique is using the Program Evaluation and Review Technique analysis along with Critical Path Method and use the Multi Criteria Decision Making (MCDM) method to decidewhich set of activities must be performed first. Since the disastrous event in one area may be well contagious to others, it is one of the robot's priorities to evaluate the relative adversity of the situation, using the above methods and prioritize its mission.

Keywords: PERT, CPM, MCDM.

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7454 Evaluation of Carbon Dioxide Pressure through Radial Velocity Difference in Arterial Blood Modeled by Drift Flux Model

Authors: Aicha Rima Cheniti, Hatem Besbes, Joseph Haggege, Christophe Sintes

Abstract:

In this paper, we are interested to determine the carbon dioxide pressure in the arterial blood through radial velocity difference. The blood was modeled as a two phase mixture (an aqueous carbon dioxide solution with carbon dioxide gas) by Drift flux model and the Young-Laplace equation. The distributions of mixture velocities determined from the considered model permitted the calculation of the radial velocity distributions with different values of mean mixture pressure and the calculation of the mean carbon dioxide pressure knowing the mean mixture pressure. The radial velocity distributions are used to deduce a calculation method of the mean mixture pressure through the radial velocity difference between two positions which is measured by ultrasound. The mean carbon dioxide pressure is then deduced from the mean mixture pressure.

Keywords: Mean carbon dioxide pressure, mean mixture pressure, mixture velocity, radial velocity difference.

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7453 Numerical Methods versus Bjerksund and Stensland Approximations for American Options Pricing

Authors: Marasovic Branka, Aljinovic Zdravka, Poklepovic Tea

Abstract:

Numerical methods like binomial and trinomial trees and finite difference methods can be used to price a wide range of options contracts for which there are no known analytical solutions. American options are the most famous of that kind of options. Besides numerical methods, American options can be valued with the approximation formulas, like Bjerksund-Stensland formulas from 1993 and 2002. When the value of American option is approximated by Bjerksund-Stensland formulas, the computer time spent to carry out that calculation is very short. The computer time spent using numerical methods can vary from less than one second to several minutes or even hours. However to be able to conduct a comparative analysis of numerical methods and Bjerksund-Stensland formulas, we will limit computer calculation time of numerical method to less than one second. Therefore, we ask the question: Which method will be most accurate at nearly the same computer calculation time?

Keywords: Bjerksund and Stensland approximations, Computational analysis, Finance, Options pricing, Numerical methods.

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7452 New Explicit Group Newton's Iterative Methods for the Solutions of Burger's Equation

Authors: Tan K. B., Norhashidah Hj. M. Ali

Abstract:

In this article, we aim to discuss the formulation of two explicit group iterative finite difference methods for time-dependent two dimensional Burger-s problem on a variable mesh. For the non-linear problems, the discretization leads to a non-linear system whose Jacobian is a tridiagonal matrix. We discuss the Newton-s explicit group iterative methods for a general Burger-s equation. The proposed explicit group methods are derived from the standard point and rotated point Crank-Nicolson finite difference schemes. Their computational complexity analysis is discussed. Numerical results are given to justify the feasibility of these two proposed iterative methods.

Keywords: Standard point Crank-Nicolson (CN), Rotated point Crank-Nicolson (RCN), Explicit Group (EG), Explicit Decoupled Group (EDG).

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7451 Nonlinear Control of a Continuous Bioreactor Based on Cell Population Model

Authors: Mahdi Sharifian, Mohammad Ali Fanaei

Abstract:

Saccharomyces cerevisiae (baker-s yeast) can exhibit sustained oscillations during the operation in a continuous bioreactor that adversely affects its stability and productivity. Because of heterogeneous nature of cell populations, the cell population balance models can be used to capture the dynamic behavior of such cultures. In this paper an unstructured, segregated model is used which is based on population balance equation(PBE) and then in order to simulation, the 4th order Rung-Kutta is used for time dimension and three methods, finite difference, orthogonal collocation on finite elements and Galerkin finite element are used for discretization of the cell mass domain. The results indicate that the orthogonal collocation on finite element not only is able to predict the oscillating behavior of the cell culture but also needs much little time for calculations. Therefore this method is preferred in comparison with other methods. In the next step two controllers, a globally linearizing control (GLC) and a conventional proportional-integral (PI) controller are designed for controlling the total cell mass per unit volume, and performances of these controllers are compared through simulation. The results show that although the PI controller has simpler structure, the GLC has better performance.

Keywords: Bioreactor, cell population balance, finite difference, orthogonal collocation on finite elements, Galerkin finite element, feedback linearization, PI controller.

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