Search results for: Burgers’ Equation
913 An Efficient Method for Solving Multipoint Equation Boundary Value Problems
Authors: Ampon Dhamacharoen, Kanittha Chompuvised
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In this work, we solve multipoint boundary value problems where the boundary value conditions are equations using the Newton-Broyden Shooting method (NBSM).The proposed method is tested upon several problems from the literature and the results are compared with the available exact solution. The experiments are given to illustrate the efficiency and implementation of the method.Keywords: Boundary value problem; Multipoint equation boundary value problems, Shooting Method, Newton-Broyden method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1785912 On the Fuzzy Difference Equation xn+1 = A +
Authors: Qianhong Zhang, Lihui Yang, Daixi Liao,
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In this paper, we study the existence, the boundedness and the asymptotic behavior of the positive solutions of a fuzzy nonlinear difference equations xn+1 = A + k i=0 Bi xn-i , n= 0, 1, · · · . where (xn) is a sequence of positive fuzzy numbers, A,Bi and the initial values x-k, x-k+1, · · · , x0 are positive fuzzy numbers. k ∈ {0, 1, 2, · · ·}.
Keywords: Fuzzy difference equation, boundedness, persistence, equilibrium point, asymptotic behaviour.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1615911 Conjugate Gradient Algorithm for the Symmetric Arrowhead Solution of Matrix Equation AXB=C
Authors: Minghui Wang, Luping Xu, Juntao Zhang
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Based on the conjugate gradient (CG) algorithm, the constrained matrix equation AXB=C and the associate optimal approximation problem are considered for the symmetric arrowhead matrix solutions in the premise of consistency. The convergence results of the method are presented. At last, a numerical example is given to illustrate the efficiency of this method.Keywords: Iterative method, symmetric arrowhead matrix, conjugate gradient algorithm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1409910 Numerical Analysis of Thermal Conductivity of Non-Charring Material Ablation Carbon-Carbon and Graphite with Considering Chemical Reaction Effects, Mass Transfer and Surface Heat Transfer
Authors: H. Mohammadiun, A. Kianifar, A. Kargar
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Nowadays, there is little information, concerning the heat shield systems, and this information is not completely reliable to use in so many cases. for example, the precise calculation cannot be done for various materials. In addition, the real scale test has two disadvantages: high cost and low flexibility, and for each case we must perform a new test. Hence, using numerical modeling program that calculates the surface recession rate and interior temperature distribution is necessary. Also, numerical solution of governing equation for non-charring material ablation is presented in order to anticipate the recession rate and the heat response of non-charring heat shields. the governing equation is nonlinear and the Newton- Rafson method along with TDMA algorithm is used to solve this nonlinear equation system. Using Newton- Rafson method for solving the governing equation is one of the advantages of the solving method because this method is simple and it can be easily generalized to more difficult problems. The obtained results compared with reliable sources in order to examine the accuracy of compiling code.Keywords: Ablation rate, surface recession, interior temperaturedistribution, non charring material ablation, Newton Rafson method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1896909 The Direct Ansaz Method for Finding Exact Multi-Wave Solutions to the (2+1)-Dimensional Extension of the Korteweg de-Vries Equation
Authors: Chuanjian Wang, Changfu Liu, Zhengde Dai
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In this paper, the direct AnsAz method is used for constructing the multi-wave solutions to the (2+1)-dimensional extension of the Korteweg de-Vries (shortly EKdV) equation. A new breather type of three-wave solutions including periodic breather type soliton solution, breather type of two-solitary solution are obtained. Some cases with specific values of the involved parameters are plotted for each of the three-wave solutions. Mechanical features of resonance interaction among the multi-wave are discussed. These results enrich the variety of the dynamics of higher-dimensional nonlinear wave field.
Keywords: EKdV equation, Breather, Soliton, Bilinear form, The direct AnsAz method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1577908 Spectral Investigation for Boundary Layer Flow over a Permeable Wall in the Presence of Transverse Magnetic Field
Authors: Saeed Sarabadan, Mehran Nikarya, Kouroah Parand
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The magnetohydrodynamic (MHD) Falkner-Skan equations appear in study of laminar boundary layers flow over a wedge in presence of a transverse magnetic field. The partial differential equations of boundary layer problems in presence of a transverse magnetic field are reduced to MHD Falkner-Skan equation by similarity solution methods. This is a nonlinear ordinary differential equation. In this paper, we solve this equation via spectral collocation method based on Bessel functions of the first kind. In this approach, we reduce the solution of the nonlinear MHD Falkner-Skan equation to a solution of a nonlinear algebraic equations system. Then, the resulting system is solved by Newton method. We discuss obtained solution by studying the behavior of boundary layer flow in terms of skin friction, velocity, various amounts of magnetic field and angle of wedge. Finally, the results are compared with other methods mentioned in literature. We can conclude that the presented method has better accuracy than others.Keywords: MHD Falkner-Skan, nonlinear ODE, spectral collocation method, Bessel functions, skin friction, velocity.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1170907 Periodic Solutions for a Third-order p-Laplacian Functional Differential Equation
Authors: Yanling Zhu, Kai Wang
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By means of Mawhin’s continuation theorem, we study a kind of third-order p-Laplacian functional differential equation with distributed delay in the form: ϕp(x (t)) = g t, 0 −τ x(t + s) dα(s) + e(t), some criteria to guarantee the existence of periodic solutions are obtained.
Keywords: p–Laplacian, distributed delay, periodic solution, Mawhin's continuation theorem.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1288906 Nonlinear Effects in Bubbly Liquid with Shock Waves
Authors: Raisa Kh. Bolotnova, Marat N. Galimzianov, Andrey S. Topolnikov, Uliana O. Agisheva, Valeria A. Buzina
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The paper presents the results of theoretical and numerical modeling of propagation of shock waves in bubbly liquids related to nonlinear effects (realistic equation of state, chemical reactions, two-dimensional effects). On the basis on the Rankine- Hugoniot equations the problem of determination of parameters of passing and reflected shock waves in gas-liquid medium for isothermal, adiabatic and shock compression of the gas component is solved by using the wide-range equation of state of water in the analitic form. The phenomenon of shock wave intensification is investigated in the channel of variable cross section for the propagation of a shock wave in the liquid filled with bubbles containing chemically active gases. The results of modeling of the wave impulse impact on the solid wall covered with bubble layer are presented.Keywords: bubbly liquid, cavitation, equation of state, shock wave
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1993905 An Optimal Control of Water Pollution in a Stream Using a Finite Difference Method
Authors: Nopparat Pochai, Rujira Deepana
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Water pollution assessment problems arise frequently in environmental science. In this research, a finite difference method for solving the one-dimensional steady convection-diffusion equation with variable coefficients is proposed; it is then used to optimize water treatment costs.Keywords: Finite difference, One-dimensional, Steady state, Waterpollution control, Optimization, Convection-diffusion equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1747904 Propagation of Viscous Waves and Activation Energy of Hydrocarbon Fluids
Authors: Ram N. Singh, Abraham K. George, Dawood N. Al-Namaani
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The Euler-s equation of motion is extended to include the viscosity stress tensor leading to the formulation of Navier– Stokes type equation. The latter is linearized and applied to investigate the rotational motion or vorticity in a viscous fluid. Relations for the velocity of viscous waves and attenuation parameter are obtained in terms of viscosity (μ) and the density (¤ü) of the fluid. μ and ¤ü are measured experimentally as a function of temperature for two different samples of light and heavy crude oil. These data facilitated to determine the activation energy, velocity of viscous wave and the attenuation parameter. Shear wave velocity in heavy oil is found to be much larger than the light oil, whereas the attenuation parameter in heavy oil is quite low in comparison to light one. The activation energy of heavy oil is three times larger than light oil.Keywords: Activation Energy, Attenuation, Crude Oil, Navier- Stokes Equation, Viscosity.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1987903 Iterative Solutions to Some Linear Matrix Equations
Authors: Jiashang Jiang, Hao Liu, Yongxin Yuan
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In this paper the gradient based iterative algorithms are presented to solve the following four types linear matrix equations: (a) AXB = F; (b) AXB = F, CXD = G; (c) AXB = F s. t. X = XT ; (d) AXB+CYD = F, where X and Y are unknown matrices, A,B,C,D, F,G are the given constant matrices. It is proved that if the equation considered has a solution, then the unique minimum norm solution can be obtained by choosing a special kind of initial matrices. The numerical results show that the proposed method is reliable and attractive.
Keywords: Matrix equation, iterative algorithm, parameter estimation, minimum norm solution.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1855902 A New Inversion-free Method for Hermitian Positive Definite Solution of Matrix Equation
Authors: Minghui Wang, Juntao Zhang
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An inversion-free iterative algorithm is presented for solving nonlinear matrix equation with a stepsize parameter t. The existence of the maximal solution is discussed in detail, and the method for finding it is proposed. Finally, two numerical examples are reported that show the efficiency of the method.
Keywords: Inversion-free method, Hermitian positive definite solution, Maximal solution, Convergence.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1605901 Vibration Analysis of Functionally Graded Engesser- Timoshenko Beams Subjected to Axial Load Located on a Continuous Elastic Foundation
Authors: M. Karami Khorramabadi, A. R. Nezamabadi
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This paper studies free vibration of functionally graded beams Subjected to Axial Load that is simply supported at both ends lies on a continuous elastic foundation. The displacement field of beam is assumed based on Engesser-Timoshenko beam theory. The Young's modulus of beam is assumed to be graded continuously across the beam thickness. Applying the Hamilton's principle, the governing equation is established. Resulting equation is solved using the Euler's Equation. The effects of the constituent volume fractions and foundation coefficient on the vibration frequency are presented. To investigate the accuracy of the present analysis, a compression study is carried out with a known data.
Keywords: Functionally Graded Beam, Free Vibration, Elastic Foundation, Engesser-Timoshenko Beam Theory.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1936900 Positive Solutions for Three-Point Boundary Value Problems of Third-Order Nonlinear Singular Differential Equations in Banach Space
Authors: Li Xiguang
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In this paper, by constructing a special set and utilizing fixed point index theory, we study the existence of solution for singular differential equation in Banach space, which improved and generalize the result of related paper.
Keywords: Banach space, cone, fixed point index, singular differential equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1472899 An Economic Evaluation of Subjective Well-Being Derived from Sport Participation
Authors: Huei-Fu Lu
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This study links up the theories of social psychology, economics and sport management to assess the impact of sport participation on subjective well-being (SWB) and use a simple statistic method to estimate the relative monetary value that sport participation derives SWB for Taiwan-s college students. By constructing proper measurements on sport participation and SWB respectively, a structural equation model (SEM) is developed to perform a confirmatory factory analysis, and the causal relationship between sport participation and SWB as well as the effect of the demographic variables on these two concepts are also discussed.Keywords: Demographics, Economic value, Sport participation, Structural equation modeling (SEM), Subjective well-being.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1670898 The Application of HLLC Numerical Solver to the Reduced Multiphase Model
Authors: Fatma Ghangir, Andrzej F. Nowakowski, Franck C. G. A. Nicolleau, Thomas M. Michelitsch
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The performance of high-resolution schemes is investigated for unsteady, inviscid and compressible multiphase flows. An Eulerian diffuse interface approach has been chosen for the simulation of multicomponent flow problems. The reduced fiveequation and seven equation models are used with HLL and HLLC approximation. The authors demonstrated the advantages and disadvantages of both seven equations and five equations models studying their performance with HLL and HLLC algorithms on simple test case. The seven equation model is based on two pressure, two velocity concept of Baer–Nunziato [10], while five equation model is based on the mixture velocity and pressure. The numerical evaluations of two variants of Riemann solvers have been conducted for the classical one-dimensional air-water shock tube and compared with analytical solution for error analysis.
Keywords: Multiphase flow, gas-liquid flow, Godunov schems, Riemann solvers, HLL scheme, HLLC scheme.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2603897 Fourier Galerkin Approach to Wave Equation with Absorbing Boundary Conditions
Authors: Alexandra Leukauf, Alexander Schirrer, Emir Talic
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Numerical computation of wave propagation in a large domain usually requires significant computational effort. Hence, the considered domain must be truncated to a smaller domain of interest. In addition, special boundary conditions, which absorb the outward travelling waves, need to be implemented in order to describe the system domains correctly. In this work, the linear one dimensional wave equation is approximated by utilizing the Fourier Galerkin approach. Furthermore, the artificial boundaries are realized with absorbing boundary conditions. Within this work, a systematic work flow for setting up the wave problem, including the absorbing boundary conditions, is proposed. As a result, a convenient modal system description with an effective absorbing boundary formulation is established. Moreover, the truncated model shows high accuracy compared to the global domain.Keywords: Absorbing boundary conditions, boundary control, Fourier Galerkin approach, modal approach, wave equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 888896 Two-Dimensional Solitary Wave Solution to the Quadratic Nonlinear Schrdinger Equation
Authors: Sarun Phibanchon
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The solitary wave solution of the quadratic nonlinear Schrdinger equation is determined by the iterative method called Petviashvili method. This solution is also used for the initial condition for the time evolution to study the stability analysis. The spectral method is applied for the time evolution.
Keywords: soliton, iterative method, spectral method, plasma
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1862895 Study of Explicit Finite Difference Method in One Dimensional System
Authors: Azizollah Khormali, Seyyed Shahab Tabatabaee Moradi, Dmitry Petrakov
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One of the most important parameters in petroleum reservoirs is the pressure distribution along the reservoir, as the pressure varies with the time and location. A popular method to determine the pressure distribution in a reservoir in the unsteady state regime of flow is applying Darcy’s equation and solving this equation numerically. The numerical simulation of reservoirs is based on these numerical solutions of different partial differential equations (PDEs) representing the multiphase flow of fluids. Pressure profile has obtained in a one dimensional system solving Darcy’s equation explicitly. Changes of pressure profile in three situations are investigated in this work. These situations include section length changes, step time changes and time approach to infinity. The effects of these changes in pressure profile are shown and discussed in the paper.
Keywords: Explicit solution, Numerical simulation, Petroleum reservoir, Pressure distribution.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 4203894 A New Derivative-Free Quasi-Secant Algorithm For Solving Non-Linear Equations
Authors: F. Soleymani, M. Sharifi
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Most of the nonlinear equation solvers do not converge always or they use the derivatives of the function to approximate the root of such equations. Here, we give a derivative-free algorithm that guarantees the convergence. The proposed two-step method, which is to some extent like the secant method, is accompanied with some numerical examples. The illustrative instances manifest that the rate of convergence in proposed algorithm is more than the quadratically iterative schemes.Keywords: Non-linear equation, iterative methods, derivative-free, convergence.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1774893 Two Iterative Algorithms to Compute the Bisymmetric Solution of the Matrix Equation A1X1B1 + A2X2B2 + ... + AlXlBl = C
Authors: A.Tajaddini
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In this paper, two matrix iterative methods are presented to solve the matrix equation A1X1B1 + A2X2B2 + ... + AlXlBl = C the minimum residual problem l i=1 AiXiBi−CF = minXi∈BRni×ni l i=1 AiXiBi−CF and the matrix nearness problem [X1, X2, ..., Xl] = min[X1,X2,...,Xl]∈SE [X1,X2, ...,Xl] − [X1, X2, ..., Xl]F , where BRni×ni is the set of bisymmetric matrices, and SE is the solution set of above matrix equation or minimum residual problem. These matrix iterative methods have faster convergence rate and higher accuracy than former methods. Paige’s algorithms are used as the frame method for deriving these matrix iterative methods. The numerical example is used to illustrate the efficiency of these new methods.
Keywords: Bisymmetric matrices, Paige’s algorithms, Least square.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1393892 Box Counting Dimension of the Union L of Trinomial Curves When α ≥ 1
Authors: Kaoutar Lamrini Uahabi, Mohamed Atounti
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In the present work, we consider one category of curves denoted by L(p, k, r, n). These curves are continuous arcs which are trajectories of roots of the trinomial equation zn = αzk + (1 − α), where z is a complex number, n and k are two integers such that 1 ≤ k ≤ n − 1 and α is a real parameter greater than 1. Denoting by L the union of all trinomial curves L(p, k, r, n) and using the box counting dimension as fractal dimension, we will prove that the dimension of L is equal to 3/2.Keywords: Feasible angles, fractal dimension, Minkowski sausage, trinomial curves, trinomial equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 631891 A Finite Element Solution of the Mathematical Model for Smoke Dispersion from Two Sources
Authors: Nopparat Pochai
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Smoke discharging is a main reason of air pollution problem from industrial plants. The obstacle of a building has an affect with the air pollutant discharge. In this research, a mathematical model of the smoke dispersion from two sources and one source with a structural obstacle is considered. The governing equation of the model is an isothermal mass transfer model in a viscous fluid. The finite element method is used to approximate the solutions of the model. The triangular linear elements have been used for discretising the domain, and time integration has been carried out by semi-implicit finite difference method. The simulations of smoke dispersion in cases of one chimney and two chimneys are presented. The maximum calculated smoke concentration of both cases are compared. It is then used to make the decision for smoke discharging and air pollutant control problems on industrial area.Keywords: Air pollution, Smoke dispersion, Finite element method, Stream function, Vorticity equation, Convection-diffusion equation, Semi-implicit method
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2100890 Extending Global Full Orthogonalization method for Solving the Matrix Equation AXB=F
Authors: Fatemeh Panjeh Ali Beik
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In the present work, we propose a new method for solving the matrix equation AXB=F . The new method can be considered as a generalized form of the well-known global full orthogonalization method (Gl-FOM) for solving multiple linear systems. Hence, the method will be called extended Gl-FOM (EGl- FOM). For implementing EGl-FOM, generalized forms of block Krylov subspace and global Arnoldi process are presented. Finally, some numerical experiments are given to illustrate the efficiency of our new method.Keywords: Matrix equations, Iterative methods, Block Krylovsubspace methods.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1991889 Solving of the Fourth Order Differential Equations with the Neumann Problem
Authors: Marziyeh Halimi, Roushanak Lotfikar, Simin Mansouri Borojeni
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In this paper we considered the Neumann problem for the fourth order differential equation. First we define the weighted Sobolev space 2 Wα and generalized solution for this equation. Then we consider the existence and uniqueness of the generalized solution, as well as give the description of the spectrum and of the domain of definition of the corresponding operator.Keywords: Neumann problem, weighted Sobolev spaces, generalized solution, spectrum of linear operators.2000 mathematic subject classification: 34A05, 34A30.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1427888 Comparison of Finite Difference Schemes for Water Flow in Unsaturated Soils
Authors: H. Taheri Shahraiyni, B. Ataie Ashtiani
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Flow movement in unsaturated soil can be expressed by a partial differential equation, named Richards equation. The objective of this study is the finding of an appropriate implicit numerical solution for head based Richards equation. Some of the well known finite difference schemes (fully implicit, Crank Nicolson and Runge-Kutta) have been utilized in this study. In addition, the effects of different approximations of moisture capacity function, convergence criteria and time stepping methods were evaluated. Two different infiltration problems were solved to investigate the performance of different schemes. These problems include of vertical water flow in a wet and very dry soils. The numerical solutions of two problems were compared using four evaluation criteria and the results of comparisons showed that fully implicit scheme is better than the other schemes. In addition, utilizing of standard chord slope method for approximation of moisture capacity function, automatic time stepping method and difference between two successive iterations as convergence criterion in the fully implicit scheme can lead to better and more reliable results for simulation of fluid movement in different unsaturated soils.Keywords: Finite Difference methods, Richards equation, fullyimplicit, Crank-Nicolson, Runge-Kutta.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2375887 Flutter Analysis of Slender Beams with Variable Cross Sections Based on Integral Equation Formulation
Authors: Z. El Felsoufi, L. Azrar
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This paper studies a mathematical model based on the integral equations for dynamic analyzes numerical investigations of a non-uniform or multi-material composite beam. The beam is subjected to a sub-tangential follower force and elastic foundation. The boundary conditions are represented by generalized parameterized fixations by the linear and rotary springs. A mathematical formula based on Euler-Bernoulli beam theory is presented for beams with variable cross-sections. The non-uniform section introduces non-uniformity in the rigidity and inertia of beams and consequently, more complicated equilibrium who governs the equation. Using the boundary element method and radial basis functions, the equation of motion is reduced to an algebro-differential system related to internal and boundary unknowns. A generalized formula for the deflection, the slope, the moment and the shear force are presented. The free vibration of non-uniform loaded beams is formulated in a compact matrix form and all needed matrices are explicitly given. The dynamic stability analysis of slender beam is illustrated numerically based on the coalescence criterion. A realistic case related to an industrial chimney is investigated.
Keywords: Chimney, BEM and integral equation formulation, non uniform cross section, vibration and Flutter.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1620886 Positive Solutions for Boundary Value Problems of Fourth-Order Nonlinear Singular Differential Equations in Banach Space
Authors: Li Xiguang
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In this paper, by constructing a special non-empty closed convex set and utilizing M¨onch fixed point theory, we investigate the existence of solution for a class of fourth-order singular differential equation in Banach space, which improved and generalized the result of related paper.
Keywords: Banach space, cone, fixed point index, singular differential equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1675885 Dynamic Measurement System Modeling with Machine Learning Algorithms
Authors: Changqiao Wu, Guoqing Ding, Xin Chen
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In this paper, ways of modeling dynamic measurement systems are discussed. Specially, for linear system with single-input single-output, it could be modeled with shallow neural network. Then, gradient based optimization algorithms are used for searching the proper coefficients. Besides, method with normal equation and second order gradient descent are proposed to accelerate the modeling process, and ways of better gradient estimation are discussed. It shows that the mathematical essence of the learning objective is maximum likelihood with noises under Gaussian distribution. For conventional gradient descent, the mini-batch learning and gradient with momentum contribute to faster convergence and enhance model ability. Lastly, experimental results proved the effectiveness of second order gradient descent algorithm, and indicated that optimization with normal equation was the most suitable for linear dynamic models.Keywords: Dynamic system modeling, neural network, normal equation, second order gradient descent.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 781884 Explicit Solution of an Investment Plan for a DC Pension Scheme with Voluntary Contributions and Return Clause under Logarithm Utility
Authors: Promise A. Azor, Avievie Igodo, Esabai M. Ase
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The paper merged the return of premium clause and voluntary contributions to investigate retirees’ investment plan in a defined contributory (DC) pension scheme with a portfolio comprising of a risk-free asset and a risky asset whose price process is described by geometric Brownian motion (GBM). The paper considers additional voluntary contributions paid by members, charge on balance by pension fund administrators and the mortality risk of members of the scheme during the accumulation period by introducing return of premium clause. To achieve this, the Weilbull mortality force function is used to establish the mortality rate of members during accumulation phase. Furthermore, an optimization problem from the Hamilton Jacobi Bellman (HJB) equation is obtained using dynamic programming approach. Also, the Legendre transformation method is used to transform the HJB equation which is a nonlinear partial differential equation to a linear partial differential equation and solves the resultant equation for the value function and the optimal distribution plan under logarithm utility function. Finally, numerical simulations of the impact of some important parameters on the optimal distribution plan were obtained and it was observed that the optimal distribution plan is inversely proportional to the initial fund size, predetermined interest rate, additional voluntary contributions, charge on balance and instantaneous volatility.
Keywords: Legendre transform, logarithm utility, optimal distribution plan, return clause of premium, charge on balance, Weibull mortality function.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 208