Search results for: Impulsive; Stochastic functional differential equation; Strict stability; Razumikhin technique.
6102 Application of Differential Transformation Method for Solving Dynamical Transmission of Lassa Fever Model
Authors: M. A. Omoloye, M. I. Yusuff, O. K. S. Emiola
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The use of mathematical models for solving biological problems varies from simple to complex analyses, depending on the nature of the research problems and applicability of the models. The method is more common nowadays. Many complex models become impractical when transmitted analytically. However, alternative approach such as numerical method can be employed. It appropriateness in solving linear and non-linear model equation in Differential Transformation Method (DTM) which depends on Taylor series make it applicable. Hence this study investigates the application of DTM to solve dynamic transmission of Lassa fever model in a population. The mathematical model was formulated using first order differential equation. Firstly, existence and uniqueness of the solution was determined to establish that the model is mathematically well posed for the application of DTM. Numerically, simulations were conducted to compare the results obtained by DTM and that of fourth-order Runge-Kutta method. As shown, DTM is very effective in predicting the solution of epidemics of Lassa fever model.
Keywords: Differential Transform Method, Existence and uniqueness, Lassa fever, Runge-Kutta Method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 4896101 Decision Making under Strict Uncertainty: Case Study in Sewer Network Planning
Authors: Zhen Wu, David Lupien St-Pierre, Georges Abdul-Nour
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In decision making under strict uncertainty, decision makers have to choose a decision without any information about the states of nature. The classic criteria of Laplace, Wald, Savage, Hurwicz and Starr are introduced and compared in a case study of sewer network planning. Furthermore, results from different criteria are discussed and analyzed. Moreover, this paper discusses the idea that decision making under strict uncertainty (DMUSU) can be viewed as a two-player game and thus be solved by a solution concept in game theory: Nash equilibrium.
Keywords: Decision criteria, decision making, sewer network planning, strict uncertainty.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14966100 Non-Stationary Stochastic Optimization of an Oscillating Water Column
Authors: María L. Jalón, Feargal Brennan
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A non-stationary stochastic optimization methodology is applied to an OWC (oscillating water column) to find the design that maximizes the wave energy extraction. Different temporal cycles are considered to represent the long-term variability of the wave climate at the site in the optimization problem. The results of the non-stationary stochastic optimization problem are compared against those obtained by a stationary stochastic optimization problem. The comparative analysis reveals that the proposed non-stationary optimization provides designs with a better fit to reality. However, the stationarity assumption can be adequate when looking at averaged system response.Keywords: Non-stationary stochastic optimization, oscillating water column, temporal variability, wave energy.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13796099 Constructing Approximate and Exact Solutions for Boussinesq Equations using Homotopy Perturbation Padé Technique
Authors: Mohamed M. Mousa, Aidarkhan Kaltayev
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Based on the homotopy perturbation method (HPM) and Padé approximants (PA), approximate and exact solutions are obtained for cubic Boussinesq and modified Boussinesq equations. The obtained solutions contain solitary waves, rational solutions. HPM is used for analytic treatment to those equations and PA for increasing the convergence region of the HPM analytical solution. The results reveal that the HPM with the enhancement of PA is a very effective, convenient and quite accurate to such types of partial differential equations.Keywords: Homotopy perturbation method, Padé approximants, cubic Boussinesq equation, modified Boussinesq equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 45776098 Dynamic Slope Scaling Procedure for Stochastic Integer Programming Problem
Authors: Takayuki Shiina
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Mathematical programming has been applied to various problems. For many actual problems, the assumption that the parameters involved are deterministic known data is often unjustified. In such cases, these data contain uncertainty and are thus represented as random variables, since they represent information about the future. Decision-making under uncertainty involves potential risk. Stochastic programming is a commonly used method for optimization under uncertainty. A stochastic programming problem with recourse is referred to as a two-stage stochastic problem. In this study, we consider a stochastic programming problem with simple integer recourse in which the value of the recourse variable is restricted to a multiple of a nonnegative integer. The algorithm of a dynamic slope scaling procedure for solving this problem is developed by using a property of the expected recourse function. Numerical experiments demonstrate that the proposed algorithm is quite efficient. The stochastic programming model defined in this paper is quite useful for a variety of design and operational problems.Keywords: stochastic programming problem with recourse, simple integer recourse, dynamic slope scaling procedure
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16166097 An Application of Differential Subordination to Analytic Functions
Authors: Sukhwinder Singh Billing, Sushma Gupta, Sukhjit Singh Dhaliwal
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the present paper, using the technique of differential subordination, we obtain certain results for analytic functions defined by a multiplier transformation in the open unit disc E = { z : IzI < 1}. We claim that our results extend and generalize the existing results in this particular direction
Keywords: function, Differential subordination, Multiplier transformation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13296096 Nonlinear Torque Control for PMSM: A Lyapunov Technique Approach
Authors: M. Ouassaid, M. Cherkaoui, A. Nejmi, M. Maaroufi
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This study presents a novel means of designing a simple and effective torque controller for Permanent Magnet Synchronous Motor (PMSM). The overall stability of the system is shown using Lyapunov technique. The Lyapunov functions used contain a term penalizing the integral of the tracking error, enhancing the stability. The tracking error is shown to be globally uniformly bounded. Simulation results are presented to show the effectiveness of the approach.
Keywords: Integral action, Lyapunov Technique, Non Linear Control, Permanent Magnet Synchronous Motors, Torque Control, Stability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 33816095 Stability Criteria for Neural Networks with Two Additive Time-varying Delay Components
Authors: Qingqing Wang, Shouming Zhong
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This paper is concerned with the stability problem with two additive time-varying delay components. By choosing one augmented Lyapunov-Krasovskii functional, using some new zero equalities, and combining linear matrix inequalities (LMI) techniques, two new sufficient criteria ensuring the global stability asymptotic stability of DNNs is obtained. These stability criteria are present in terms of linear matrix inequalities and can be easily checked. Finally, some examples are showed to demonstrate the effectiveness and less conservatism of the proposed method.
Keywords: Neural networks, Globally asymptotic stability, LMI approach, Additive time-varying delays.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15666094 Development Partitioning Intervalwise Block Method for Solving Ordinary Differential Equations
Authors: K.H.Khairul Anuar, K.I.Othman, F.Ishak, Z.B.Ibrahim, Z.Majid
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Solving Ordinary Differential Equations (ODEs) by using Partitioning Block Intervalwise (PBI) technique is our aim in this paper. The PBI technique is based on Block Adams Method and Backward Differentiation Formula (BDF). Block Adams Method only use the simple iteration for solving while BDF requires Newtonlike iteration involving Jacobian matrix of ODEs which consumes a considerable amount of computational effort. Therefore, PBI is developed in order to reduce the cost of iteration within acceptable maximum errorKeywords: Adam Block Method, BDF, Ordinary Differential Equations, Partitioning Block Intervalwise
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16706093 Quasilinearization–Barycentric Approach for Numerical Investigation of the Boundary Value Fin Problem
Authors: Alireza Rezaei, Fatemeh Baharifard, Kourosh Parand
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In this paper we improve the quasilinearization method by barycentric Lagrange interpolation because of its numerical stability and computation speed to achieve a stable semi analytical solution. Then we applied the improved method for solving the Fin problem which is a nonlinear equation that occurs in the heat transferring. In the quasilinearization approach the nonlinear differential equation is treated by approximating the nonlinear terms by a sequence of linear expressions. The modified QLM is iterative but not perturbative and gives stable semi analytical solutions to nonlinear problems without depending on the existence of a smallness parameter. Comparison with some numerical solutions shows that the present solution is applicable.
Keywords: Quasilinearization method, Barycentric lagrange interpolation, nonlinear ODE, fin problem, heat transfer.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18746092 About the Instability Modes of Current Sheet in Wide Range of Frequencies
Authors: V. V. Lyahov, V. M. Neshchadim
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We offer a new technique for research of stability of current sheaths in space plasma taking into account the effect of polarization. At the beginning, the found perturbation of the distribution function is used for calculation of the dielectric permeability tensor, which simulates inhomogeneous medium of a current sheath. Further, we in the usual manner solve the system of Maxwell's equations closed with the material equation. The amplitudes of Fourier perturbations are considered to be exponentially decaying through the current sheath thickness. The dispersion equation follows from the nontrivial solution requirement for perturbations of the electromagnetic field. The resulting dispersion equation allows one to study the temporal and spatial characteristics of instability modes of the current sheath (within the limits of the proposed model) over a wide frequency range, including low frequencies.
Keywords: Current sheath, distribution function, effect of polarization, instability modes, low frequencies, perturbation of electromagnetic field dispersion equation, space plasma, tensor of dielectric permeability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16536091 Delay-Dependent Stability Analysis for Neural Networks with Distributed Delays
Authors: Qingqing Wang, Shouming Zhong
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This paper deals with the problem of delay-dependent stability for neural networks with distributed delays. Some new sufficient condition are derived by constructing a novel Lyapunov-Krasovskii functional approach. The criteria are formulated in terms of a set of linear matrix inequalities, this is convenient for numerically checking the system stability using the powerful MATLAB LMI Toolbox. Moreover, in order to show the stability condition in this paper gives much less conservative results than those in the literature, numerical examples are considered.
Keywords: Neural networks, Globally asymptotic stability , LMI approach, Distributed delays.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15686090 Transceiver for Differential Wave Pipe-Lined Serial Interconnect with Surfing
Authors: Bhaskar M., Venkataramani B.
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In the literature, surfing technique has been proposed for single ended wave-pipelined serial interconnects to increase the data transfer rate. In this paper a novel surfing technique is proposed for differential wave-pipelined serial interconnects, which uses a 'Controllable inverter pair' for surfing. To evaluate the efficiency of this technique, a transceiver with transmitter, receiver, delay locked loop (DLL) along with 40mm metal 4 interconnects using the proposed surfing technique is implemented in UMC 180nm technology and their performances are studied through post layout simulations. From the study, it is observed that the proposed scheme permits 1.875 times higher data transmission rate compared to the single ended scheme whose maximum data transfer rate is 1.33 GB/s. The proposed scheme has the ability to receive the correct data even with stuck-at-faults in the complementary line.
Keywords: Controllable inverter pair, differential interconnect, serial link, surfing, wave pipelining.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16716089 Stochastic Estimation of Cavity Flowfield
Authors: Yin Yin Pey, Leok Poh Chua, Wei Long Siauw
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Linear stochastic estimation and quadratic stochastic estimation techniques were applied to estimate the entire velocity flow-field of an open cavity with a length to depth ratio of 2. The estimations were done through the use of instantaneous velocity magnitude as estimators. These measurements were obtained by Particle Image Velocimetry. The predicted flow was compared against the original flow-field in terms of the Reynolds stresses and turbulent kinetic energy. Quadratic stochastic estimation proved to be more superior than linear stochastic estimation in resolving the shear layer flow. When the velocity fluctuations were scaled up in the quadratic estimate, both the time-averaged quantities and the instantaneous cavity flow can be predicted to a rather accurate extent.Keywords: Open cavity, Particle Image Velocimetry, Stochastic estimation, Turbulent kinetic energy.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17146088 Stochastic Programming Model for Power Generation
Authors: Takayuki Shiina
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We consider power system expansion planning under uncertainty. In our approach, integer programming and stochastic programming provide a basic framework. We develop a multistage stochastic programming model in which some of the variables are restricted to integer values. By utilizing the special property of the problem, called block separable recourse, the problem is transformed into a two-stage stochastic program with recourse. The electric power capacity expansion problem is reformulated as the problem with first stage integer variables and continuous second stage variables. The L-shaped algorithm to solve the problem is proposed.Keywords: electric power capacity expansion problem, integerprogramming, L-shaped method, stochastic programming
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18246087 An eighth order Backward Differentiation Formula with Continuous Coefficients for Stiff Ordinary Differential Equations
Authors: Olusheye Akinfenwa, Samuel Jator, Nianmin Yoa
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A block backward differentiation formula of uniform order eight is proposed for solving first order stiff initial value problems (IVPs). The conventional 8-step Backward Differentiation Formula (BDF) and additional methods are obtained from the same continuous scheme and assembled into a block matrix equation which is applied to provide the solutions of IVPs on non-overlapping intervals. The stability analysis of the method indicates that the method is L0-stable. Numerical results obtained using the proposed new block form show that it is attractive for solutions of stiff problems and compares favourably with existing ones.Keywords: Stiff IVPs, System of ODEs, Backward differentiationformulas, Block methods, Stability.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 27596086 Forecasting the Volatility of Geophysical Time Series with Stochastic Volatility Models
Authors: Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Hector G. Huizar
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This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.Keywords: Augmented Dickey Fuller Test, geophysical time series, maximum likelihood estimation, stochastic volatility model.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 8586085 A Hyperexponential Approximation to Finite-Time and Infinite-Time Ruin Probabilities of Compound Poisson Processes
Authors: Amir T. Payandeh Najafabadi
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This article considers the problem of evaluating infinite-time (or finite-time) ruin probability under a given compound Poisson surplus process by approximating the claim size distribution by a finite mixture exponential, say Hyperexponential, distribution. It restates the infinite-time (or finite-time) ruin probability as a solvable ordinary differential equation (or a partial differential equation). Application of our findings has been given through a simulation study.Keywords: Ruin probability, compound Poisson processes, mixture exponential (hyperexponential) distribution, heavy-tailed distributions.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 12826084 Predicting Radiative Heat Transfer in Arbitrary Two and Three-Dimensional Participating Media
Authors: Mohammad Hadi Bordbar, Timo Hyppänen
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The radiative exchange method is introduced as a numerical method for the simulation of radiative heat transfer in an absorbing, emitting and isotropically scattering media. In this method, the integro-differential radiative balance equation is solved by using a new introduced concept for the exchange factor. Even though the radiative source term is calculated in a mesh structure that is coarser than the structure used in computational fluid dynamics, calculating the exchange factor between different coarse elements by using differential integration elements makes the result of the method close to that of integro-differential radiative equation. A set of equations for calculating exchange factors in two and threedimensional Cartesian coordinate system is presented, and the method is used in the simulation of radiative heat transfer in twodimensional rectangular case and a three-dimensional simple cube. The result of using this method in simulating different cases is verified by comparing them with those of using other numerical radiative models.Keywords: Exchange factor, Numerical simulation, Thermal radiation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20236083 Mathematical Approach for Large Deformation Analysis of the Stiffened Coupled Shear Walls
Authors: M. J. Fadaee, H. Saffari, H. Khosravi
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Shear walls are used in most of the tall buildings for carrying the lateral load. When openings for doors or windows are necessary to be existed in the shear walls, a special type of the shear walls is used called "coupled shear walls" which in some cases is stiffened by specific beams and so, called "stiffened coupled shear walls". In this paper, a mathematical method for geometrically nonlinear analysis of the stiffened coupled shear walls has been presented. Then, a suitable formulation for determining the critical load of the stiffened coupled shear walls under gravity force has been proposed. The governing differential equations for equilibrium and deformation of the stiffened coupled shear walls have been obtained by setting up the equilibrium equations and the moment-curvature relationships for each wall. Because of the complexity of the differential equation, the energy method has been adopted for approximate solution of the equations.Keywords: Buckling load, differential equation, energy method, geometrically nonlinear analysis, mathematical method, Stiffened coupled shear walls.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16406082 Power System Stability Improvement by Simultaneous Tuning of PSS and SVC Based Damping Controllers Employing Differential Evolution Algorithm
Authors: Sangram Keshori Mohapatra, Sidhartha Panda, Prasant Kumar Satpathy
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Power-system stability improvement by simultaneous tuning of power system stabilizer (PSS) and a Static Var Compensator (SVC) based damping controller is thoroughly investigated in this paper. Both local and remote signals with associated time delays are considered in the present study. The design problem of the proposed controller is formulated as an optimization problem, and differential evolution (DE) algorithm is employed to search for the optimal controller parameters. The performances of the proposed controllers are evaluated under different disturbances for both single-machine infinite bus power system and multi-machine power system. The performance of the proposed controllers with variations in the signal transmission delays has also been investigated. The proposed stabilizers are tested on a weakly connected power system subjected to different disturbances. Nonlinear simulation results are presented to show the effectiveness and robustness of the proposed control schemes over a wide range of loading conditions and disturbances. Further, the proposed design approach is found to be robust and improves stability effectively even under small disturbance conditions.
Keywords: Differential Evolution Algorithm, Power System Stability, Power System Stabilizer, Static Var Compensator
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 23396081 Data Envelopment Analysis under Uncertainty and Risk
Authors: P. Beraldi, M. E. Bruni
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Data Envelopment Analysis (DEA) is one of the most widely used technique for evaluating the relative efficiency of a set of homogeneous decision making units. Traditionally, it assumes that input and output variables are known in advance, ignoring the critical issue of data uncertainty. In this paper, we deal with the problem of efficiency evaluation under uncertain conditions by adopting the general framework of the stochastic programming. We assume that output parameters are represented by discretely distributed random variables and we propose two different models defined according to a neutral and risk-averse perspective. The models have been validated by considering a real case study concerning the evaluation of the technical efficiency of a sample of individual firms operating in the Italian leather manufacturing industry. Our findings show the validity of the proposed approach as ex-ante evaluation technique by providing the decision maker with useful insights depending on his risk aversion degree.Keywords: DEA, Stochastic Programming, Ex-ante evaluation technique, Conditional Value at Risk.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19676080 2 – Block 3 - Point Modified Numerov Block Methods for Solving Ordinary Differential Equations
Authors: Abdu Masanawa Sagir
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In this paper, linear multistep technique using power series as the basis function is used to develop the block methods which are suitable for generating direct solution of the special second order ordinary differential equations of the form y′′ = f(x,y), a < = x < = b with associated initial or boundary conditions. The continuaous hybrid formulations enable us to differentiate and evaluate at some grids and off – grid points to obtain two different three discrete schemes, each of order (4,4,4)T, which were used in block form for parallel or sequential solutions of the problems. The computational burden and computer time wastage involved in the usual reduction of second order problem into system of first order equations are avoided by this approach. Furthermore, a stability analysis and efficiency of the block method are tested on linear and non-linear ordinary differential equations whose solutions are oscillatory or nearly periodic in nature, and the results obtained compared favourably with the exact solution.Keywords: Block Method, Hybrid, Linear Multistep Method, Self – starting, Special Second Order.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19506079 Solving Inhomogeneous Wave Equation Cauchy Problems using Homotopy Perturbation Method
Authors: Mohamed M. Mousa, Aidarkhan Kaltayev
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In this paper, He-s homotopy perturbation method (HPM) is applied to spatial one and three spatial dimensional inhomogeneous wave equation Cauchy problems for obtaining exact solutions. HPM is used for analytic handling of these equations. The results reveal that the HPM is a very effective, convenient and quite accurate to such types of partial differential equations (PDEs).
Keywords: Homotopy perturbation method, Exact solution, Cauchy problem, inhomogeneous wave equation
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18076078 Robust Features for Impulsive Noisy Speech Recognition Using Relative Spectral Analysis
Authors: Hajer Rahali, Zied Hajaiej, Noureddine Ellouze
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The goal of speech parameterization is to extract the relevant information about what is being spoken from the audio signal. In speech recognition systems Mel-Frequency Cepstral Coefficients (MFCC) and Relative Spectral Mel-Frequency Cepstral Coefficients (RASTA-MFCC) are the two main techniques used. It will be shown in this paper that it presents some modifications to the original MFCC method. In our work the effectiveness of proposed changes to MFCC called Modified Function Cepstral Coefficients (MODFCC) were tested and compared against the original MFCC and RASTA-MFCC features. The prosodic features such as jitter and shimmer are added to baseline spectral features. The above-mentioned techniques were tested with impulsive signals under various noisy conditions within AURORA databases.
Keywords: Auditory filter, impulsive noise, MFCC, prosodic features, RASTA filter.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 23236077 Robust Parameter and Scale Factor Estimation in Nonstationary and Impulsive Noise Environment
Authors: Zoran D. Banjac, Branko D. Kovacevic
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The problem of FIR system parameter estimation has been considered in the paper. A new robust recursive algorithm for simultaneously estimation of parameters and scale factor of prediction residuals in non-stationary environment corrupted by impulsive noise has been proposed. The performance of derived algorithm has been tested by simulations.
Keywords: Adaptive filtering, Non-Gaussian filtering, Robustestimation, Scale factor estimation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17076076 On Symmetry Analysis and Exact Wave Solutions of New Modified Novikov Equation
Authors: Anupma Bansal, R. K. Gupta
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In this paper, we study a new modified Novikov equation for its classical and nonclassical symmetries and use the symmetries to reduce it to a nonlinear ordinary differential equation (ODE). With the aid of solutions of the nonlinear ODE by using the modified (G/G)-expansion method proposed recently, multiple exact traveling wave solutions are obtained and the traveling wave solutions are expressed by the hyperbolic functions, trigonometric functions and rational functions.
Keywords: New Modified Novikov Equation, Lie Classical Method, Nonclassical Method, Modified (G'/G)-Expansion Method, Traveling Wave Solutions.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16256075 A Stochastic Diffusion Process Based on the Two-Parameters Weibull Density Function
Authors: Meriem Bahij, Ahmed Nafidi, Boujemâa Achchab, Sílvio M. A. Gama, José A. O. Matos
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Stochastic modeling concerns the use of probability to model real-world situations in which uncertainty is present. Therefore, the purpose of stochastic modeling is to estimate the probability of outcomes within a forecast, i.e. to be able to predict what conditions or decisions might happen under different situations. In the present study, we present a model of a stochastic diffusion process based on the bi-Weibull distribution function (its trend is proportional to the bi-Weibull probability density function). In general, the Weibull distribution has the ability to assume the characteristics of many different types of distributions. This has made it very popular among engineers and quality practitioners, who have considered it the most commonly used distribution for studying problems such as modeling reliability data, accelerated life testing, and maintainability modeling and analysis. In this work, we start by obtaining the probabilistic characteristics of this model, as the explicit expression of the process, its trends, and its distribution by transforming the diffusion process in a Wiener process as shown in the Ricciaardi theorem. Then, we develop the statistical inference of this model using the maximum likelihood methodology. Finally, we analyse with simulated data the computational problems associated with the parameters, an issue of great importance in its application to real data with the use of the convergence analysis methods. Overall, the use of a stochastic model reflects only a pragmatic decision on the part of the modeler. According to the data that is available and the universe of models known to the modeler, this model represents the best currently available description of the phenomenon under consideration.Keywords: Diffusion process, discrete sampling, likelihood estimation method, simulation, stochastic diffusion equation, trends functions, bi-parameters Weibull density function.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 19676074 Basket Option Pricing under Jump Diffusion Models
Authors: Ali Safdari-Vaighani
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Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation (PIDEs), which is an extension of the Black-Scholes PDE with a new integral term. The aim of this paper is to show how basket option prices in the jump diffusion models, mainly on the Merton model, can be computed using RBF based approximation methods. For a test problem, the RBF-PU method is applied for numerical solution of partial integral differential equation arising from the two-asset European vanilla put options. The numerical result shows the accuracy and efficiency of the presented method.Keywords: Radial basis function, basket option, jump diffusion, RBF-PUM.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 12076073 Atomic Clusters: A Unique Building Motif for Future Smart Nanomaterials
Authors: Debesh R. Roy
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The fundamental issue in understanding the origin and growth mechanism of nanomaterials, from a fundamental unit is a big challenging problem to the scientists. Recently, an immense attention is generated to the researchers for prediction of exceptionally stable atomic cluster units as the building units for future smart materials. The present study is a systematic investigation on the stability and electronic properties of a series of bimetallic (semiconductor-alkaline earth) clusters, viz., BxMg3 (x=1-5) is performed, in search for exceptional and/ or unusual stable motifs. A very popular hybrid exchange-correlation functional, B3LYP along with a higher basis set, viz., 6-31+G[d,p] is employed for this purpose under the density functional formalism. The magic stability among the concerned clusters is explained using the jellium model. It is evident from the present study that the magic stability of B4Mg3 cluster arises due to the jellium shell closure.
Keywords: Atomic Clusters, Density Functional Theory, Jellium Model, Magic Clusters, Smart Nanomaterials.
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