Search results for: stochastic volatility model.

Authors: Turgay Temel, John Hallam

Abstract:

A recent neurospiking coding scheme for feature extraction from biosonar echoes of various plants is examined with avariety of stochastic classifiers. Feature vectors derived are employedin well-known stochastic classifiers, including nearest-neighborhood,single Gaussian and a Gaussian mixture with EM optimization.Classifiers' performances are evaluated by using cross-validation and bootstrapping techniques. It is shown that the various classifers perform equivalently and that the modified preprocessing configuration yields considerably improved results.

Keywords: Classification, neuro-spike coding, non-parametricmodel, parametric model, Gaussian mixture, EM algorithm.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1639

Authors: Xianqing Liu, Shouming Zhong, Lijiang Xiang

Abstract:

In this paper, a stochastic predator-prey system with Bedding-DeAngelis functional response is studied. By constructing a suitable Lyapunov founction, sufficient conditions for species to be stochastically permanent is established. Meanwhile, we show that the species will become extinct with probability one if the noise is sufficiently large.

Keywords: Stochastically permanent, extinct, white noise, Bedding-DeAngelis functional response.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1437

Authors: Anastasia Rita Widiarti, Phalita Nari Wastu

Abstract:

Hidden Markov Model (HMM) is a stochastic method which has been used in various signal processing and character recognition. This study proposes to use HMM to recognize Javanese characters from a number of different handwritings, whereby HMM is used to optimize the number of state and feature extraction. An 85.7 % accuracy is obtained as the best result in 16-stated vertical model using pure HMM. This initial result is satisfactory for prompting further research.

Keywords: Character recognition, off-line handwritingrecognition, Hidden Markov Model.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1962

Authors: Abdolsalam Ghaderi

Abstract:

In this paper, the single-depot capacitated location-routing problem under uncertainty is presented. The problem aims to find the optimal location of a single depot and the routing of vehicles to serve the customers when the parameters may change under different circumstances. This problem has many applications, especially in the area of supply chain management and distribution systems. To get closer to real-world situations, travel time of vehicles, the fixed cost of vehicles usage and customers’ demand are considered as a source of uncertainty. A combined approach including robust optimization and stochastic programming was presented to deal with the uncertainty in the problem at hand. For this purpose, a mixed integer programming model is developed and a heuristic algorithm based on Variable Neighborhood Search(VNS) is presented to solve the model. Finally, the computational results are presented and future research directions are discussed.

Keywords: Location-routing problem, robust optimization, Stochastic Programming, variable neighborhood search.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 724

Authors: Maumita Bhattacharya

Abstract:

Optimization is often a critical issue for most system design problems. Evolutionary Algorithms are population-based, stochastic search techniques, widely used as efficient global optimizers. However, finding optimal solution to complex high dimensional, multimodal problems often require highly computationally expensive function evaluations and hence are practically prohibitive. The Dynamic Approximate Fitness based Hybrid EA (DAFHEA) model presented in our earlier work [14] reduced computation time by controlled use of meta-models to partially replace the actual function evaluation by approximate function evaluation. However, the underlying assumption in DAFHEA is that the training samples for the meta-model are generated from a single uniform model. Situations like model formation involving variable input dimensions and noisy data certainly can not be covered by this assumption. In this paper we present an enhanced version of DAFHEA that incorporates a multiple-model based learning approach for the SVM approximator. DAFHEA-II (the enhanced version of the DAFHEA framework) also overcomes the high computational expense involved with additional clustering requirements of the original DAFHEA framework. The proposed framework has been tested on several benchmark functions and the empirical results illustrate the advantages of the proposed technique.

Keywords: Evolutionary algorithm, Fitness function, Optimization, Meta-model, Stochastic method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1552

Authors: H. D. Ibrahim, H. C. Chinwenyi, A. H. Usman

Abstract:

Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.

Keywords: Option price valuation, Martingales, Partial Differential Equations, PDEs, Equivalent Martingale Measure, Girsanov Theorem, Feyman-Kac Theorem, European Put Option.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 338

Authors: Mikhail Vladimirovich Deryabin, Morten Willatzen

Abstract:

In this work, we address theoretically the influence of red and white Gaussian noise for electronic energies and eigenstates of cylindrically shaped quantum dots. The stochastic effect can be imagined as resulting from crystal-growth statistical fluctuations in the quantum-dot material composition. In particular we obtain analytical expressions for the eigenvalue shifts and electronic envelope functions in the k . p formalism due to stochastic variations in the confining band-edge potential. It is shown that white noise in the band-edge potential leaves electronic properties almost unaffected while red noise may lead to changes in state energies and envelopefunction amplitudes of several percentages. In the latter case, the ensemble-averaged envelope function decays as a function of distance. It is also shown that, in a stochastic system, constant ensembleaveraged envelope functions are the only bounded solutions for the infinite quantum-wire problem and the energy spectrum is completely discrete. In other words, the infinite stochastic quantum wire behaves, ensemble-averaged, as an atom.

Keywords: cylindrical quantum dots, electronic eigen energies, red and white Gaussian noise, ensemble averaging effects.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1506

Authors: Alexander Y. Vaninsky

Abstract:

Environmental performance of the U.S. States is investigated for the period of 1990 – 2007 using Stochastic Frontier Analysis (SFA). The SFA accounts for both efficiency measure and stochastic noise affecting a frontier. The frontier is formed using indicators of GDP, energy consumption, population, and CO2 emissions. For comparability, all indicators are expressed as ratios to total. Statistical information of the Energy Information Agency of the United States is used. Obtained results reveal the bell - shaped dynamics of environmental efficiency scores. The average efficiency scores rise from 97.6% in 1990 to 99.6% in 1999, and then fall to 98.4% in 2007. The main factor is insufficient decrease in the rate of growth of CO2 emissions with regards to the growth of GDP, population and energy consumption. Data for 2008 following the research period allow for an assumption that the environmental performance of the U.S. States has improved in the last years.

Keywords: Stochastic frontier analysis, environmental performance, interstate comparisons.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1685

Authors: Muhammad Marsudi, Dzuraidah Abdul Wahab, Che Hassan Che Haron

Abstract:

Modeling of a manufacturing system enables one to identify the effects of key design parameters on the system performance and as a result to make correct decision. This paper proposes a manufacturing system modeling approach using a spreadsheet model based on queuing network theory, in which a static capacity planning model and stochastic queuing model are integrated. The model was used to improve the existing system utilization in relation to product design. The model incorporates few parameters such as utilization, cycle time, throughput, and batch size. The study also showed that the validity of developed model is good enough to apply and the maximum value of relative error is 10%, far below the limit value 32%. Therefore, the model developed in this study is a valuable alternative model in evaluating a manufacturing system

Keywords: Manufacturing system, product design, spreadsheet model, utilization.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1893

Authors: T. T. Manikandan, Rajeev Sukumaran

Abstract:

Coral Reefs are very important for the majority of marine ecosystems. But, such vital species are under major threat due to the factors such as ocean acidification, overfishing, and coral bleaching. To conserve the coral reefs, reef restoration activities are carried out across the world. After reef restoration, various parameters have to be monitored in order to ensure the overall effectiveness of the reef restoration. Underwater Wireless Sensor Network (UWSN) based  monitoring is widely adopted for such long monitoring activities. Since monitoring of coral reef restoration activities is time sensitive, the QoS guarantee offered by the network with respect to delay is vital. So this research focuses on the analytical modeling of network layer delay using Stochastic Network Calculus (SNC). The core focus of the proposed model will be on the analysis of stochastic dependencies between the network flow and deriving the stochastic delay bounds for the flows that traverse in tandem in UWSNs. The derived analytical bounds are evaluated for their effectiveness using discrete event simulations.

Keywords: Coral Reef Restoration, SNC, SFA, PMOO, Tandem of Queues, Delay Bound.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 375

Authors: Xianqing Liu, Shouming Zhong, Fuli Zhong, Zijian Liu

Abstract:

In this paper, a stochastic predator-prey system with Holling II functional response is studied. First, we show that there is a unique positive solution to the system for any given positive initial value. Then, stochastically bounded of the positive solution to the stochastic system is derived. Moreover, sufficient conditions for global asymptotic stability are also established. In the end, some simulation figures are carried out to support the analytical findings.

Keywords: stochastically bounded, global stability, Holling II functional response, white noise, Markovian switching.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1558

Authors: Tomoaki Hashimoto

Abstract:

Recently, feedback control systems using random dither quantizers have been proposed for linear discrete-time systems. However, the constraints imposed on state and control variables have not yet been taken into account for the design of feedback control systems with random dither quantization. Model predictive control is a kind of optimal feedback control in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. An important advantage of model predictive control is its ability to handle constraints imposed on state and control variables. Based on the model predictive control approach, the objective of this paper is to present a control method that satisfies probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization. In other words, this paper provides a method for solving the optimal control problems subject to probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization.

Keywords: Optimal control, stochastic systems, discrete-time systems, probabilistic constraints, random dither quantization.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1121

Authors: Siliang Wang, Minghui Wang, Jun Hu

Abstract:

A novel path planning approach is presented to solve optimal path in stochastic, time-varying networks under priori traffic information. Most existing studies make use of dynamic programming to find optimal path. However, those methods are proved to be unable to obtain global optimal value, moreover, how to design efficient algorithms is also another challenge. This paper employs a decision theoretic framework for defining optimal path: for a given source S and destination D in urban transit network, we seek an S - D path of lowest expected travel time where its link travel times are discrete random variables. To solve deficiency caused by the methods of dynamic programming, such as curse of dimensionality and violation of optimal principle, an integer programming model is built to realize assignment of discrete travel time variables to arcs. Simultaneously, pruning techniques are also applied to reduce computation complexity in the algorithm. The final experiments show the feasibility of the novel approach.

Keywords: pruning method, stochastic, time-varying networks, optimal path planning.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1826

Authors: J. Levendovszky, I. Koncz, P. Boros

Abstract:

The paper is concerned with developing stochastic delay mechanisms for efficient multicast protocols and for smooth mobile handover processes which are capable of preserving a given Quality of Service (QoS). In both applications the participating entities (receiver nodes or subscribers) sample a stochastic timer and generate load after a random delay. In this way, the load on the networking resources is evenly distributed which helps to maintain QoS communication. The optimal timer distributions have been sought in different p.d.f. families (e.g. exponential, power law and radial basis function) and the optimal parameter have been found in a recursive manner. Detailed simulations have demonstrated the improvement in performance both in the case of multicast and mobile handover applications.

Keywords: Multicast communication, stochactic delay mechanisms.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1526

Authors: Jihad S. Daba, J. P. Dubois

Abstract:

Fading noise degrades the performance of cellular communication, most notably in femto- and pico-cells in 3G and 4G systems. When the wireless channel consists of a small number of scattering paths, the statistics of fading noise is not analytically tractable and poses a serious challenge to developing closed canonical forms that can be analysed and used in the design of efficient and optimal receivers. In this context, noise is multiplicative and is referred to as stochastically local fading. In many analytical investigation of multiplicative noise, the exponential or Gamma statistics are invoked. More recent advances by the author of this paper utilized a Poisson modulated-weighted generalized Laguerre polynomials with controlling parameters and uncorrelated noise assumptions. In this paper, we investigate the statistics of multidiversity stochastically local area fading channel when the channel consists of randomly distributed Rayleigh and Rician scattering centers with a coherent Nakagami-distributed line of sight component and an underlying doubly stochastic Poisson process driven by a lognormal intensity. These combined statistics form a unifying triply stochastic filtered marked Poisson point process model.

Keywords: Cellular communication, femto- and pico-cells, stochastically local area fading channel, triply stochastic filtered marked Poisson point process.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1320

Authors: Ana Clara Santos, Maria Manuela Portela, Bettina Schaefli

Abstract:

This work assesses the performance of an analytical model framework to generate daily flow duration curves, FDCs, based on climatic characteristics of the catchments and on their streamflow recession coefficients. According to the analytical model framework, precipitation is considered to be a stochastic process, modeled as a marked Poisson process, and recession is considered to be deterministic, with parameters that can be computed based on different models. The analytical model framework was tested for three case studies with different hydrological regimes located in Switzerland: pluvial, snow-dominated and glacier. For that purpose, five time intervals were analyzed (the four meteorological seasons and the civil year) and two developments of the model were tested: one considering a linear recession model and the other adopting a nonlinear recession model. Those developments were combined with recession coefficients obtained from two different approaches: forward and inverse estimation. The performance of the analytical framework when considering forward parameter estimation is poor in comparison with the inverse estimation for both, linear and nonlinear models. For the pluvial catchment, the inverse estimation shows exceptional good results, especially for the nonlinear model, clearing suggesting that the model has the ability to describe FDCs. For the snow-dominated and glacier catchments the seasonal results are better than the annual ones suggesting that the model can describe streamflows in those conditions and that future efforts should focus on improving and combining seasonal curves instead of considering single annual ones.

Keywords: Analytical streamflow distribution, stochastic process, linear and non-linear recession, hydrological modelling, daily discharges.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 615

Authors: Youguo Wang, Lenan Wu

Abstract:

Stochastic resonance (SR) is a phenomenon whereby the signal transmission or signal processing through certain nonlinear systems can be improved by adding noise. This paper discusses SR in nonlinear signal detection by a simple test statistic, which can be computed from multiple noisy data in a binary decision problem based on a maximum a posteriori probability criterion. The performance of detection is assessed by the probability of detection error Per . When the input signal is subthreshold signal, we establish that benefit from noise can be gained for different noises and confirm further that the subthreshold SR exists in nonlinear signal detection. The efficacy of SR is significantly improved and the minimum of Per can dramatically approach to zero as the sample number increases. These results show the robustness of SR in signal detection and extend the applicability of SR in signal processing.

Keywords: Probability of detection error, signal detection, stochastic resonance.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1498

Authors: Benjamin D. Leiby, Darryl K. Ahner

Abstract:

This study demonstrates an alternative stochastic imputation approach for large datasets when preferred commercial packages struggle to iterate due to numerical problems. A large country conflict dataset motivates the search to impute missing values well over a common threshold of 20% missingness. The methodology capitalizes on correlation while using model residuals to provide the uncertainty in estimating unknown values. Examination of the methodology provides insight toward choosing linear or nonlinear modeling terms. Static tolerances common in most packages are replaced with tailorable tolerances that exploit residuals to fit each data element. The methodology evaluation includes observing computation time, model fit, and the comparison of known  values to replaced values created through imputation. Overall, the country conflict dataset illustrates promise with modeling first-order interactions, while presenting a need for further refinement that mimics predictive mean matching.

Keywords: Correlation, country conflict, imputation, stochastic regression.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 382

Authors: Miloš Šeda

Abstract:

In this paper, mathematical models for permutation flow shop scheduling and job shop scheduling problems are proposed. The first problem is based on a mixed integer programming model. As the problem is NP-complete, this model can only be used for smaller instances where an optimal solution can be computed. For large instances, another model is proposed which is suitable for solving the problem by stochastic heuristic methods. For the job shop scheduling problem, a mathematical model and its main representation schemes are presented.

Keywords: Flow shop, job shop, mixed integer model, representation scheme.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 4634

Authors: Amadi Ugwulo Chinyere, Lewis D. Gbarayorks, Emem N. H. Inamete

Abstract:

In this paper, the mandatory contribution, additional voluntary contribution (AVC) and administrative charges are merged together to determine the optimal investment strategy (OIS) for a pension plan member (PPM) in a defined contribution (DC) pension scheme under the modified constant elasticity of variance (M-CEV) model. We assume that the voluntary contribution is a stochastic process and a portfolio consisting of one risk free asset and one risky asset modeled by the M-CEV model is considered. Also, a stochastic differential equation consisting of PPM’s monthly contributions, voluntary contributions and administrative charges is obtained. More so, an optimization problem in the form of Hamilton Jacobi Bellman equation which is a nonlinear partial differential equation is obtained. Using power transformation and change of variables method, an explicit solution of the OIS and the value function are obtained under constant absolute risk averse (CARA). Furthermore, numerical simulations on the impact of some sensitive parameters on OIS were discussed extensively. Finally, our result generalizes some existing result in the literature.

Keywords: DC pension fund, modified constant elasticity of variance, optimal investment strategies, voluntary contribution, administrative charges.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 320

Authors: Shu Lü, Shouming Zhong, Zixin Liu

Abstract:

In this paper, the robust exponential stability problem of discrete-time uncertain stochastic neural networks with timevarying delays is investigated. By introducing a new augmented Lyapunov function, some delay-dependent stable results are obtained in terms of linear matrix inequality (LMI) technique. Compared with some existing results in the literature, the conservatism of the new criteria is reduced notably. Three numerical examples are provided to demonstrate the less conservatism and effectiveness of the proposed method.

Keywords: Robust exponential stability, delay-dependent stability, discrete-time neural networks, stochastic, time-varying delays.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1417

Authors: Weng Ming Chu

Abstract:

When faced with stochastic networks with an uncertain duration for their activities, the securing of network completion time becomes problematical, not only because of the non-identical pdf of duration for each node, but also because of the interdependence of network paths. As evidenced by Adlakha & Kulkarni [1], many methods and algorithms have been put forward in attempt to resolve this issue, but most have encountered this same large-size network problem. Therefore, in this research, we focus on network reduction through a Series/Parallel combined mechanism. Our suggested algorithm, named the Activity Network Reduction Algorithm (ANRA), can efficiently transfer a large-size network into an S/P Irreducible Network (SPIN). SPIN can enhance stochastic network analysis, as well as serve as the judgment of symmetry for the Graph Theory.

Keywords: Series/Parallel network, Stochastic network, Network reduction, Interdictive Graph, Complexity Index.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1357

Authors: Pham Van Nha, Le Cam Binh

Abstract:

Particle swarm optimization (PSO) is a population-based stochastic optimization algorithm. PSO was inspired by the natural behavior of birds and fish in migration and foraging for food. PSO is considered as a multidisciplinary optimization model that can be applied in various optimization problems. PSO’s ideas are simple and easy to understand but PSO is only applied in simple model problems. We think that in order to expand the applicability of PSO in complex problems, PSO should be described more explicitly in the form of a mathematical model. In this paper, we represent PSO in a mathematical model and apply in the multivariate data classification. First, PSOs general mathematical model (MPSO) is analyzed as a universal optimization model. Then, Model of Optimal Centroids (MOC) is proposed for the multivariate data classification. Experiments were conducted on some benchmark data sets to prove the effectiveness of MOC compared with several proposed schemes.

Keywords: Analysis of optimization, artificial intelligence-based optimization, optimization for learning and data analysis, global optimization.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 861

Authors: A. A. Hussen, I. N. Jleta

Abstract:

Micro-electromechanical system (MEMS) accelerometers and gyroscopes are suitable for the inertial navigation system (INS) of many applications due to low price, small dimensions and light weight. The main disadvantage in a comparison with classic sensors is a worse long term stability. The estimation accuracy is mostly affected by the time-dependent growth of inertial sensor errors, especially the stochastic errors. In order to eliminate negative effects of these random errors, they must be accurately modeled. In this paper, the Allan variance technique will be used in modeling the stochastic errors of the inertial sensors. By performing a simple operation on the entire length of data, a characteristic curve is obtained whose inspection provides a systematic characterization of various random errors contained in the inertial-sensor output data.

Keywords: Allan variance, accelerometer, gyroscope, stochastic errors.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 5227

Authors: H. C. Chinwenyi, H. D. Ibrahim, F. A. Ahmed

Abstract:

In modern financial mathematics, valuing derivatives such as options is often a tedious task. This is simply because their fair and correct prices in the future are often probabilistic. This paper examines three different Stochastic Differential Equation (SDE) models in finance; the Constant Elasticity of Variance (CEV) model, the Balck-Karasinski model, and the Heston model. The various Martingales option price valuation formulas for these three models were obtained using the replicating portfolio method. Also, the numerical solution of the derived Martingales options price valuation equations for the SDEs models was carried out using the Monte Carlo method which was implemented using MATLAB. Furthermore, results from the numerical examples using published data from the Nigeria Stock Exchange (NSE), all share index data show the effect of increase in the underlying asset value (stock price) on the value of the European Put Option for these models. From the results obtained, we see that an increase in the stock price yields a decrease in the value of the European put option price. Hence, this guides the option holder in making a quality decision by not exercising his right on the option.

Keywords: Equivalent Martingale Measure, European Put Option, Girsanov Theorem, Martingales, Monte Carlo method, option price valuation, option price valuation formula.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 702

Authors: Tugrul Oktay, Mehmet Konar, Mustafa Soylak, Firat Sal, Murat Onay, Orhan Kizilkaya

Abstract:

In this paper, autonomous performance of a small manufactured unmanned helicopter is tried to be increased. For this purpose, a small unmanned helicopter is manufactured in Erciyes University, Faculty of Aeronautics and Astronautics. It is called as ZANKA-Heli-I. For performance maximization, autopilot parameters are determined via minimizing a cost function consisting of flight performance parameters such as settling time, rise time, overshoot during trajectory tracking. For this purpose, a stochastic optimization method named as simultaneous perturbation stochastic approximation is benefited. Using this approach, considerable autonomous performance increase (around %23) is obtained.

Keywords: Small helicopters, hierarchical control, stochastic optimization, autonomous performance maximization, autopilots.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1608

Authors: Mengzhuo Luo, Shouming Zhong

Abstract:

This paper investigates the problem of exponential stability for a class of uncertain discrete-time stochastic neural network with time-varying delays. By constructing a suitable Lyapunov-Krasovskii functional, combining the stochastic stability theory, the free-weighting matrix method, a delay-dependent exponential stability criteria is obtained in term of LMIs. Compared with some previous results, the new conditions obtain in this paper are less conservative. Finally, two numerical examples are exploited to show the usefulness of the results derived.

Keywords: Delay-dependent stability, Neural networks, Time varying delay, Linear matrix inequality (LMI).

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1904

Authors: Salinee Thumronglaohapun

Abstract:

The proper number and appropriate locations of service centers can save cost, raise revenue and gain more satisfaction from customers. Establishing service centers is high-cost and difficult to relocate. In long-term planning periods, several factors may affect the service. One of the most critical factors is uncertain demand of customers. The opened service centers need to be capable of serving customers and making a profit although the demand in each period is changed. In this work, the capacitated location-allocation problem with stochastic demand is considered. A mathematical model is formulated to determine suitable locations of service centers and their allocation to maximize total profit for multiple planning periods. Two heuristic methods, a local search and genetic algorithm, are used to solve this problem. For the local search, five different chances to choose each type of moves are applied. For the genetic algorithm, three different replacement strategies are considered. The results of applying each method to solve numerical examples are compared. Both methods reach to the same best found solution in most examples but the genetic algorithm provides better solutions in some cases.

Keywords: Location-allocation problem, stochastic demand, local search, genetic algorithm.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 704

Authors: Mazhar B. Tayel, Amr H. Yassin

Abstract:

A proposed small-signal model parameters for a pseudomorphic high electron mobility transistor (PHEMT) is presented. Both extrinsic and intrinsic circuit elements of a smallsignal model are determined using genetic algorithm (GA) as a stochastic global search and optimization tool. The parameters extraction of the small-signal model is performed on 200-μm gate width AlGaAs/InGaAs PHEMT. The equivalent circuit elements for a proposed 18 elements model are determined directly from the measured S- parameters. The GA is used to extract the parameters of the proposed small-signal model from 0.5 up to 18 GHz.

Keywords: PHEMT, Genetic Algorithms, small signal modeling, optimization.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2242

Authors: Ginalber L. O. Serra

Abstract:

This work proposes a recursive weighted ELS algorithm for system identification by applying numerically robust orthogonal Householder transformations. The properties of the proposed algorithm show it obtains acceptable results in a noisy environment: fast convergence and asymptotically unbiased estimates. Comparative analysis with others robust methods well known from literature are also presented.

Keywords: Stochastic Systems, Robust Identification, Parameter Estimation, Systems Identification.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1460