Search results for: Exponential autoregressive model

Authors: Intan Maisarah Abd Rahim, Herlina Abdul Rahim, Rashidah Ghazali

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Diabetes is a medical condition that can lead to various diseases such as stroke, heart disease, blindness and obesity. In clinical practice, the concern of the diabetic patients towards the blood glucose examination is rather alarming as some of the individual describing it as something painful with pinprick and pinch. As for some patient with high level of glucose level, pricking the fingers multiple times a day with the conventional glucose meter for close monitoring can be tiresome, time consuming and painful. With these concerns, several non-invasive techniques were used by researchers in measuring the glucose level in blood, including ultrasonic sensor implementation, multisensory systems, absorbance of transmittance, bio-impedance, voltage intensity, and thermography. This paper is discussing the application of the near-infrared (NIR) spectroscopy as a non-invasive method in measuring the glucose level and the implementation of the linear system identification model in predicting the output data for the NIR measurement. In this study, the wavelengths considered are at the 1450 nm and 1950 nm. Both of these wavelengths showed the most reliable information on the glucose presence in blood. Then, the linear Autoregressive Moving Average Exogenous model (ARMAX) model with both un-regularized and regularized methods was implemented in predicting the output result for the NIR measurement in order to investigate the practicality of the linear system in this study. However, the result showed only 50.11% accuracy obtained from the system which is far from the satisfying results that should be obtained.

Keywords: Diabetes, glucose level, linear, near-infrared (NIR), non-invasive, prediction system.

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Authors: Sarika Bahadure

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Sustainability starts with conserving resources for future generations. Since human’s existence on this earth, he has been consuming natural resources. The resource consumption pace in the past was very slow, but industrialization in 18^th century brought a change in the human lifestyle. New inventions and discoveries upgraded the human workforce to machines. The mass manufacture of goods provided easy access to products. In the last few decades, the globalization and change in technologies brought consumer oriented market. The consumption of resources has increased at a very high scale. This overconsumption pattern brought economic boom and provided multiple opportunities, but it also put stress on the natural resources. This paper tries to put forth the facts and figures of the population growth and consumption of resources with examples. This is explained with the help of the mathematical expression of doubling known as exponential growth. It compares the carrying capacity of the earth and resource consumption of humans’ i.e. ecological footprint and bio-capacity. Further, it presents the need to conserve natural resources and re-examine sustainable resource use approach for sustainability.

Keywords: Consumption, exponential growth, population, resources, sustainability.

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Authors: Verónica Diaz Quezada

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This research examines the teaching models used by secondary math teachers when teaching logarithmic, quadratic and exponential functions. For this, descriptive case studies have been carried out on 5 secondary teachers. These teachers have been chosen from 3 scientific-humanistic and technical schools, in Chile. Data have been obtained through non-participant class observation and the application of a questionnaire and a rubric to teachers. According to the results, the didactic model that prevails is the one that starts with an interactive strategy, moves to a more content-based structure, and ends with a reinforcement stage. Nonetheless, there is always influence from teachers, their methods, and the group of students.

Keywords: Teaching models, math teachers, functions, secondary education.

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Authors: Geeta Partap, Nitika Chugh

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The present paper deals with the flexural vibrations of homogeneous, isotropic, generalized micropolar microstretch thermoelastic thin Euler-Bernoulli beam resonators, due to Exponential time varying load. Both the axial ends of the beam are assumed to be at simply supported conditions. The governing equations have been solved analytically by using Laplace transforms technique twice with respect to time and space variables respectively. The inversion of Laplace transform in time domain has been performed by using the calculus of residues to obtain deflection.The analytical results have been numerically analyzed with the help of MATLAB software for magnesium like material. The graphical representations and interpretations have been discussed for Deflection of beam under Simply Supported boundary condition and for distinct considered values of time and space as well. The obtained results are easy to implement for engineering analysis and designs of resonators (sensors), modulators, actuators.

Keywords: Microstretch, deflection, exponential load, Laplace transforms, Residue theorem, simply supported.

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Authors: Lianglin Xiong, Shouming Zhong, Mao Ye

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This paper considers the robust exponential stability issues for a class of uncertain switched neutral system which delays switched according to the switching rule. The system under consideration includes both stable and unstable subsystems. The uncertainties considered in this paper are norm bounded, and possibly time varying. Based on multiple Lyapunov functional approach and dwell-time technique, the time-dependent switching rule is designed depend on the so-called average dwell time of stable subsystems as well as the ratio of the total activation time of stable subsystems and unstable subsystems. It is shown that by suitably controlling the switching between the stable and unstable modes, the robust stabilization of the switched uncertain neutral systems can be achieved. Two simulation examples are given to demonstrate the effectiveness of the proposed method.

Keywords: Switched neutral system, exponential stability, multiple Lyapunov functional, dwell time technique, time-dependent switching rule.

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Authors: V. Prapulla, A. Mitra, R. Bhattacharjee, S. Nandi

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We present a simplified equalization technique for a π/4 differential quadrature phase shift keying ( π/4 -DQPSK) modulated signal in a multipath fading environment. The proposed equalizer is realized as a fractionally spaced adaptive decision feedback equalizer (FS-ADFE), employing exponential step-size least mean square (LMS) algorithm as the adaptation technique. The main advantage of the scheme stems from the usage of exponential step-size LMS algorithm in the equalizer, which achieves similar convergence behavior as that of a recursive least squares (RLS) algorithm with significantly reduced computational complexity. To investigate the finite-precision performance of the proposed equalizer along with the π/4 -DQPSK modem, the entire system is evaluated on a 16-bit fixed point digital signal processor (DSP) environment. The proposed scheme is found to be attractive even for those cases where equalization is to be performed within a restricted number of training samples.

Keywords: Adaptive decision feedback equalizer, Fractionally spaced equalizer, π/4 DQPSK signal, Digital signal processor.

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Authors: Choon Ling Sia, Yani Shi, Jiaqi Yan, Huaping Chen

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With the development of the Internet, E-commerce is growing at an exponential rate, and lots of online stores are built up to sell their goods online. A major factor influencing the successful adoption of E-commerce is consumer-s trust. For new or unknown Internet business, consumers- lack of trust has been cited as a major barrier to its proliferation. As web sites provide key interface for consumer use of E-Commerce, we investigate the design of web site to build trust in E-Commerce from a design science approach. A conceptual model is proposed in this paper to describe the ontology of online transaction and human-computer interaction. Based on this conceptual model, we provide a personalized webpage design approach using Bayesian networks learning method. Experimental evaluation are designed to show the effectiveness of web personalization in improving consumer-s trust in new or unknown online store.

Keywords: Trust, Web site design, Human-ComputerInteraction, E-Commerce, Design science, Bayesian network.

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Authors: V. Churkin, M. Lopatin

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The purpose of the paper is to estimate the US small wind turbines market potential and forecast the small wind turbines sales in the US. The forecasting method is based on the application of the Bass model and the generalized Bass model of innovations diffusion under replacement purchases. In the work an exponential distribution is used for modeling of replacement purchases. Only one parameter of such distribution is determined by average lifetime of small wind turbines. The identification of the model parameters is based on nonlinear regression analysis on the basis of the annual sales statistics which has been published by the American Wind Energy Association (AWEA) since 2001 up to 2012. The estimation of the US average market potential of small wind turbines (for adoption purchases) without account of price changes is 57080 (confidence interval from 49294 to 64866 at P = 0.95) under average lifetime of wind turbines 15 years, and 62402 (confidence interval from 54154 to 70648 at P = 0.95) under average lifetime of wind turbines 20 years. In the first case the explained variance is 90,7%, while in the second - 91,8%. The effect of the wind turbines price changes on their sales was estimated using generalized Bass model. This required a price forecast. To do this, the polynomial regression function, which is based on the Berkeley Lab statistics, was used. The estimation of the US average market potential of small wind turbines (for adoption purchases) in that case is 42542 (confidence interval from 32863 to 52221 at P = 0.95) under average lifetime of wind turbines 15 years, and 47426 (confidence interval from 36092 to 58760 at P = 0.95) under average lifetime of wind turbines 20 years. In the first case the explained variance is 95,3%, while in the second – 95,3%.

Keywords: Bass model, generalized Bass model, replacement purchases, sales forecasting of innovations, statistics of sales of small wind turbines in the United States.

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Authors: Abd El Hady N. Ebraheim

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This paper introduces a new generalization of the two parameter Weibull distribution. To this end, the quadratic rank transmutation map has been used. This new distribution is named exponentiated transmuted Weibull (ETW) distribution. The ETW distribution has the advantage of being capable of modeling various shapes of aging and failure criteria. Furthermore, eleven lifetime distributions such as the Weibull, exponentiated Weibull, Rayleigh and exponential distributions, among others follow as special cases. The properties of the new model are discussed and the maximum likelihood estimation is used to estimate the parameters. Explicit expressions are derived for the quantiles. The moments of the distribution are derived, and the order statistics are examined.

Keywords: Exponentiated, Inversion Method, Maximum Likelihood Estimation, Transmutation Map.

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Authors: T. Venkata Rama Krishna, P. Siddaiah, B. Prabhakara Rao

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This paper presented a theoretical and numerical investigation of the Compact Antenna Test Range (CATR) equipped with Super Hybrid Modulated Segmented Exponential Serrations (SHMSES). The investigation was based on diffraction theory and, more specifically, the Fresnel diffraction formulation. The CATR provides uniform illumination within the Fresnel region to test antenna. Application of serrated edges has been shown to be a good method to control diffraction at the edges of the reflectors. However, in order to get some insight into the positive effect of serrated edges a less rigorous analysis technique known as Physical Optics (PO) may be used. Ripple free and enhanced quiet zone width are observed for specific values of width and height modulation factors per serrations. The performance of SHMSE serrated reflector is evaluated in order to observe the effects of edge diffraction on the test zone fields.

Keywords: Fresnel region, quiet zone, physical optics, ripples, serrations.

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Authors: Werner Sandmann, Verena Wolf

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Stochastic models of biological networks are well established in systems biology, where the computational treatment of such models is often focused on the solution of the so-called chemical master equation via stochastic simulation algorithms. In contrast to this, the development of storage-efficient model representations that are directly suitable for computer implementation has received significantly less attention. Instead, a model is usually described in terms of a stochastic process or a "higher-level paradigm" with graphical representation such as e.g. a stochastic Petri net. A serious problem then arises due to the exponential growth of the model-s state space which is in fact a main reason for the popularity of stochastic simulation since simulation suffers less from the state space explosion than non-simulative numerical solution techniques. In this paper we present transition class models for the representation of biological network models, a compact mathematical formalism that circumvents state space explosion. Transition class models can also serve as an interface between different higher level modeling paradigms, stochastic processes and the implementation coded in a programming language. Besides, the compact model representation provides the opportunity to apply non-simulative solution techniques thereby preserving the possible use of stochastic simulation. Illustrative examples of transition class representations are given for an enzyme-catalyzed substrate conversion and a part of the bacteriophage λ lysis/lysogeny pathway.

Keywords: Computational Modeling, Biological Networks, Stochastic Models, Markov Chains, Transition Class Models.

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Authors: Khalid M. Aamir, Mohammad A. Maud

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Power Spectral Density (PSD) of quasi-stationary processes can be efficiently estimated using the short time Fourier series (STFT). In this paper, an algorithm has been proposed that computes the PSD of quasi-stationary process efficiently using offline autoregressive model order estimation algorithm, recursive parameter estimation technique and modified sliding window discrete Fourier Transform algorithm. The main difference in this algorithm and STFT is that the sliding window (SW) and window for spectral estimation (WSA) are separately defined. WSA is updated and its PSD is computed only when change in statistics is detected in the SW. The computational complexity of the proposed algorithm is found to be lesser than that for standard STFT technique.

Keywords: Power Spectral Density (PSD), quasi-stationarytime series, short time Fourier Transform, Sliding window DFT.

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Authors: L. J. de Bessa Neto, V. S. Filho, J. V. Ferreira Nunes, G. C. Bergamo

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There are many situations in which human activities have significant effects on the environment. Damage to the ozone layer is one of them. The objective of this work is to use the Least Squares Method, considering the linear, exponential, logarithmic, power and polynomial models of the second degree, to analyze through the coefficient of determination (R²), which model best fits the behavior of the chlorodifluoromethane (HCFC-142b) in parts per trillion between 1992 and 2018, as well as estimates of future concentrations between 5 and 10 periods, i.e. the concentration of this pollutant in the years 2023 and 2028 in each of the adjustments. A total of 809 observations of the concentration of HCFC-142b in one of the monitoring stations of gases precursors of the deterioration of the ozone layer during the period of time studied were selected and, using these data, the statistical software Excel was used for make the scatter plots of each of the adjustment models. With the development of the present study, it was observed that the logarithmic fit was the model that best fit the data set, since besides having a significant R² its adjusted curve was compatible with the natural trend curve of the phenomenon.

Keywords: Chlorodifluoromethane (HCFC-142b), ozone (O3), least squares method, regression models.

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Authors: V. Ngamaramvaranggul, S. Thenissara

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The simulation of extrusion process is studied widely in order to both increase products and improve quality, with broad application in wire coating. The annular tube-tooling extrusion was set up by a model that is termed as Navier-Stokes equation in addition to a rheological model of differential form based on singlemode exponential Phan-Thien/Tanner constitutive equation in a twodimensional cylindrical coordinate system for predicting the contraction point of the polymer melt beyond the die. Numerical solutions are sought through semi-implicit Taylor-Galerkin pressurecorrection finite element scheme. The investigation was focused on incompressible creeping flow with long relaxation time in terms of Weissenberg numbers up to 200. The isothermal case was considered with surface tension effect on free surface in extrudate flow and no slip at die wall. The Stream Line Upwind Petrov-Galerkin has been proposed to stabilize solution. The structure of mesh after die exit was adjusted following prediction of both top and bottom free surfaces so as to keep the location of contraction point around one unit length which is close to experimental results. The simulation of extrusion process is studied widely in order to both increase products and improve quality, with broad application in wire coating. The annular tube-tooling extrusion was set up by a model that is termed as Navier-Stokes equation in addition to a rheological model of differential form based on single-mode exponential Phan- Thien/Tanner constitutive equation in a two-dimensional cylindrical coordinate system for predicting the contraction point of the polymer melt beyond the die. Numerical solutions are sought through semiimplicit Taylor-Galerkin pressure-correction finite element scheme. The investigation was focused on incompressible creeping flow with long relaxation time in terms of Weissenberg numbers up to 200. The isothermal case was considered with surface tension effect on free surface in extrudate flow and no slip at die wall. The Stream Line Upwind Petrov-Galerkin has been proposed to stabilize solution. The structure of mesh after die exit was adjusted following prediction of both top and bottom free surfaces so as to keep the location of contraction point around one unit length which is close to experimental results.

Keywords: wire coating, free surface, tube-tooling, extrudate swell, surface tension, finite element method.

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Authors: Maryam Khazaei Pool, Lori Lewis

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This is a summary of articles based on higher order B-splines methods and the variation of B-spline methods such as Quadratic B-spline Finite Elements Method, Exponential Cubic B-Spline Method Septic B-spline Technique, Quintic B-spline Galerkin Method, and B-spline Galerkin Method based on the Quadratic B-spline Galerkin method (QBGM) and Cubic B-spline Galerkin method (CBGM). In this paper we study the B-spline methods and variations of B-spline techniques to find a numerical solution to the Burgers’ equation. A set of fundamental definitions including Burgers equation, spline functions, and B-spline functions are provided. For each method, the main technique is discussed as well as the discretization and stability analysis. A summary of the numerical results is provided and the efficiency of each method presented is discussed. A general conclusion is provided where we look at a comparison between the computational results of all the presented schemes. We describe the effectiveness and advantages of these methods.

Keywords: Burgers’ Equation, Septic B-spline, Modified Cubic B-Spline Differential Quadrature Method, Exponential Cubic B-Spline Technique, B-Spline Galerkin Method, and Quintic B-Spline Galerkin Method.

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Authors: Abdul Rashid Husain, Mohamad Noh Ahmad, Abdul Halim Mohd. Yatim

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In this paper, stabilization of an Active Magnetic Bearing (AMB) system with varying rotor speed using Sliding Mode Control (SMC) technique is considered. The gyroscopic effect inherited in the system is proportional to rotor speed in which this nonlinearity effect causes high system instability as the rotor speed increases. Also, transformation of the AMB dynamic model into a new class of uncertain system shows that this gyroscopic effect lies in the mismatched part of the system matrix. Moreover, the current gain parameter is allowed to be varied in a known bound as an uncertainty in the input matrix. SMC design method is proposed in which the sufficient condition that guarantees the global exponential stability of the reduced-order system is represented in Linear Matrix Inequality (LMI). Then, a new chattering-free control law is established such that the system states are driven to reach the switching surface and stay on it thereafter. The performance of the controller applied to the AMB model is demonstrated through simulation works under various system conditions.

Keywords: Active Magnetic Bearing (AMB), Sliding ModeControl (SMC), Linear Matrix Inequality (LMI), mismatcheduncertainty.

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Authors: Hamid R. S. Mojaveri, Seyed S. Mousavi, Mojtaba Heydar, Ahmad Aminian

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The aim of this paper is to present a methodology in three steps to forecast supply chain demand. In first step, various data mining techniques are applied in order to prepare data for entering into forecasting models. In second step, the modeling step, an artificial neural network and support vector machine is presented after defining Mean Absolute Percentage Error index for measuring error. The structure of artificial neural network is selected based on previous researchers' results and in this article the accuracy of network is increased by using sensitivity analysis. The best forecast for classical forecasting methods (Moving Average, Exponential Smoothing, and Exponential Smoothing with Trend) is resulted based on prepared data and this forecast is compared with result of support vector machine and proposed artificial neural network. The results show that artificial neural network can forecast more precisely in comparison with other methods. Finally, forecasting methods' stability is analyzed by using raw data and even the effectiveness of clustering analysis is measured.

Keywords: Artificial Neural Networks (ANN), bullwhip effect, demand forecasting, Support Vector Machine (SVM).

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Authors: S. Thirumurugan, D. R. Prince Williams

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Software Reliability is one of the key factors in the software development process. Software Reliability is estimated using reliability models based on Non Homogenous Poisson Process. In most of the literature the Software Reliability is predicted only in testing phase. So it leads to wrong decision-making concept. In this paper, two Software Reliability concepts, testing and operational phase are studied in detail. Using S-Shaped Software Reliability Growth Model (SRGM) and Exponential SRGM, the testing and operational reliability values are obtained. Finally two reliability values are compared and optimal release time is investigated.

Keywords: Error Detection Rate, Estimation of Parameters, Instantaneous Failure Rate, Mean Value Function, Non Homogenous Poisson Process (NHPP), Software Reliability.

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Authors: Junaid Rashid, Waqar Mehmood, Muhammad Wasif Nisar

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This survey paper shows the recent state of model comparison as it’s applies to Model Driven engineering. In Model Driven Engineering to calculate the difference between the models is a very important and challenging task. There are number of tasks involved in model differencing that firstly starts with identifying and matching the elements of the model. In this paper, we discuss how model matching is accomplished, the strategies, techniques and the types of the model. We also discuss the future direction. We found out that many of the latest model comparison strategies are geared near enabling Meta model and similarity based matching. Therefore model versioning is the most dominant application of the model comparison. Recently to work on comparison for versioning has begun to deteriorate, giving way to different applications. Ultimately there is wide change among the tools in the measure of client exertion needed to perform model comparisons, as some require more push to encourage more sweeping statement and expressive force.

Keywords: Model comparison, model clone detection, model versioning, EMF Model, model diff.

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Authors: Mohamed H. S. Mohamed, Yang Xiao-zong, Liu Hong-wei, Wu Zhi-bo

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The reliability of distributed systems and computer networks have been modeled by a probabilistic network or a graph G. Computing the residual connectedness reliability (RCR), denoted by R(G), under the node fault model is very useful, but is an NP-hard problem. Since it may need exponential time of the network size to compute the exact value of R(G), it is important to calculate its tight approximate value, especially its lower bound, at a moderate calculation time. In this paper, we propose an efficient algorithm for reliability lower bound of distributed systems with unreliable nodes. We also applied our algorithm to several typical classes of networks to evaluate the lower bounds and show the effectiveness of our algorithm.

Keywords: Distributed systems, probabilistic network, residual connectedness reliability, lower bound.

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Authors: Salah Alrabeei, Mohammad Yousuf

Abstract:

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. Modeling option pricing by Black-School models with jumps guarantees to consider the market movement. However, only numerical methods can solve this model. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, the exponential time differencing (ETD) method is applied for solving partial integrodifferential equations arising in pricing European options under Merton’s and Kou’s jump-diffusion models. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). A partial fraction form of Pad`e schemes is used to overcome the complexity of inverting polynomial of matrices. These two tools guarantee to get efficient and accurate numerical solutions. We construct a parallel and easy to implement a version of the numerical scheme. Numerical experiments are given to show how fast and accurate is our scheme.

Keywords: Integral differential equations, L-stable methods, pricing European options, Jump–diffusion model.

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Authors: A. Marolleau, F. Salaun, D. Dupont, H. Gidik, S. Ducept.

Abstract:

The goal of this study is to analyze the hydric behaviour of textiles which can impact significantly the comfort of the wearer. Indeed, fabrics can be adapted for different climate if hydric and thermal behaviors are known. In this study, fabrics are only submitted to hydric variations. Sorption and desorption isotherms obtained from the dynamic vapour sorption apparatus (DVS) are fitted with the parallel exponential kinetics (PEK), the Hailwood-Horrobin (HH) and the Brunauer-Emmett-Teller (BET) models. One of the major finding is the relationship existing between PEK and HH models. During slow and fast processes, the sorption of water molecules on the polymer can be in monolayer and multilayer form. According to the BET model, moisture regain, a physical property of textiles, show a linear correlation with the total amount of water taken in monolayer. This study provides potential information of the end uses of these fabrics according to the selected activity level.

Keywords: Comfort, hydric properties, modelling, underwear.

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Authors: Ghazi S. Kahmmash

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New generalization of the new class matrix polynomial set have been obtained. An explicit representation and an expansion of the matrix exponential in a series of these matrix are given for these matrix polynomials.

Keywords: Generating functions, Recurrences relation and Generalization of the new class matrix polynomial set.

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Authors: Vitalice K. Oduol

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The paper considers a single-server queue with fixedsize batch Poisson arrivals and exponential service times, a model that is useful for a buffer that accepts messages arriving as fixed size batches of packets and releases them one packet at time. Transient performance measures for queues have long been recognized as being complementary to the steady-state analysis. 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. The paper exploits practical modelling to obtain a solution to the integral equation encountered in the analysis. Results obtained indicate that under heavy load conditions, there is significant disparity in the statistics between the transient and steady state values.

Keywords: batch arrivals, modelling, single-server queue, time-varying probabilities, transient analysis.

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Authors: Bala Dhandayuthapani Veerasamy

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Parallel programming models exist as an abstraction of hardware and memory architectures. There are several parallel programming models in commonly use; they are shared memory model, thread model, message passing model, data parallel model, hybrid model, Flynn-s models, embarrassingly parallel computations model, pipelined computations model. These models are not specific to a particular type of machine or memory architecture. This paper expresses the model program for concurrent approach to data parallel model through java programming.

Keywords: Concurrent, Data Parallel, JDK, Parallel, Thread

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Authors: Olivier Adam, Maciej Lopatka, Christophe Laplanche, Jean-François Motsch

Abstract:

This article presents the results using a parametric approach and a Wavelet Transform in analysing signals emitting from the sperm whale. The extraction of intrinsic characteristics of these unique signals emitted by marine mammals is still at present a difficult exercise for various reasons: firstly, it concerns non-stationary signals, and secondly, these signals are obstructed by interfering background noise. In this article, we compare the advantages and disadvantages of both methods: Auto Regressive models and Wavelet Transform. These approaches serve as an alternative to the commonly used estimators which are based on the Fourier Transform for which the hypotheses necessary for its application are in certain cases, not sufficiently proven. These modern approaches provide effective results particularly for the periodic tracking of the signal's characteristics and notably when the signal-to-noise ratio negatively effects signal tracking. Our objectives are twofold. Our first goal is to identify the animal through its acoustic signature. This includes recognition of the marine mammal species and ultimately of the individual animal (within the species). The second is much more ambitious and directly involves the intervention of cetologists to study the sounds emitted by marine mammals in an effort to characterize their behaviour. We are working on an approach based on the recordings of marine mammal signals and the findings from this data result from the Wavelet Transform. This article will explore the reasons for using this approach. In addition, thanks to the use of new processors, these algorithms once heavy in calculation time can be integrated in a real-time system.

Keywords: Autoregressive model, Daubechies Wavelet, Fourier Transform, marine mammals, signal processing, spectrogram, sperm whale, Wavelet Transform.

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Authors: Pinho C., Madaleno M.

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German electricity European options on futures using Lévy processes for the underlying asset are examined. Implied volatility evolution, under each of the considered models, is discussed after calibrating for the Merton jump diffusion (MJD), variance gamma (VG), normal inverse Gaussian (NIG), Carr, Geman, Madan and Yor (CGMY) and the Black and Scholes (B&S) model. Implied volatility is examined for the entire sample period, revealing some curious features about market evolution, where data fitting performances of the five models are compared. It is shown that variance gamma processes provide relatively better results and that implied volatility shows significant differences through time, having increasingly evolved. Volatility changes for changed uncertainty, or else, increasing futures prices and there is evidence for the need to account for seasonality when modelling both electricity spot/futures prices and volatility.

Keywords: Calibration, Electricity Markets, Implied Volatility, Lévy Models, Options on Futures, Pricing

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Authors: Georgia Garani

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A generalised relational data model is formalised for the representation of data with nested structure of arbitrary depth. A recursive algebra for the proposed model is presented. All the operations are formally defined. The proposed model is proved to be a superset of the conventional relational model (CRM). The functionality and validity of the model is shown by a prototype implementation that has been undertaken in the functional programming language Miranda.

Keywords: nested relations, recursive algebra, recursive nested operations, relational data model.

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Authors: Shidvash Vakilipour, Masoud Mohammadi, Rouzbeh Riazi, Scott Ormiston, Kimia Amiri, Sahar Barati

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An essential component of a finite volume method (FVM) is the advection scheme that estimates values on the cell faces based on the calculated values on the nodes or cell centers. The most widely used advection schemes are upwind schemes. These schemes have been developed in FVM on different kinds of structured and unstructured grids. In this research, the physical influence scheme (PIS) is developed for a cell-centered FVM that uses an implicit coupled solver. Results are compared with the exponential differencing scheme (EDS) and the skew upwind differencing scheme (SUDS). Accuracy of these schemes is evaluated for a lid-driven cavity flow at Re = 1000, 3200, and 5000 and a backward-facing step flow at Re = 800. Simulations show considerable differences between the results of EDS scheme with benchmarks, especially for the lid-driven cavity flow at high Reynolds numbers. These differences occur due to false diffusion. Comparing SUDS and PIS schemes shows relatively close results for the backward-facing step flow and different results in lid-driven cavity flow. The poor results of SUDS in the lid-driven cavity flow can be related to its lack of sensitivity to the pressure difference between cell face and upwind points, which is critical for the prediction of such vortex dominant flows.

Keywords: Cell-centered finite volume method, physical influence scheme, exponential differencing scheme, skew upwind differencing scheme, false diffusion.

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Authors: L. L. Ivy-Yap, H. A. Bekhet

Abstract:

As the Malaysian residential electricity consumption continued to increase rapidly, effective energy policies, which address factors affecting residential electricity consumption, is urgently needed. This study attempts to investigate the relationship between residential electricity consumption (EC), real disposable income (Y), price of electricity (Pe) and population (Po) in Malaysia for 1978-2011 period. Unlike previous studies on Malaysia, the current study focuses on the residential sector, a sector that is important for the contemplation of energy policy. The Phillips-Perron (P-P) unit root test is employed to infer the stationarity of each variable while the bound test is executed to determine the existence of co-integration relationship among the variables, modelled in an Autoregressive Distributed Lag (ARDL) framework. The CUSUM and CUSUM of squares tests are applied to ensure the stability of the model. The results suggest the existence of long-run equilibrium relationship and bidirectional Granger causality between EC and the macroeconomic variables. The empirical findings will help policy makers of Malaysia in developing new monitoring standards of energy consumption. As it is the major contributing factor in economic growth and CO₂ emission, there is a need for more proper planning in Malaysia to attain future targets in order to cut emissions.

Keywords: Co-integration, Elasticity, Granger causality, Malaysia, Residential electricity consumption.

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