Search results for: multiple linear models
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 5315

Search results for: multiple linear models

3185 Biosorption of Metal Ions from Sarcheshmeh Acid Mine Drainage by Immobilized Bacillus thuringiensis in a Fixed-Bed Column

Authors: V. Khosravi, F. D. Ardejani, A. Aryafar, M. Sedighi

Abstract:

Heavy metals have a damaging impact for the environment, animals and humans due to their extreme toxicity and removing them from wastewaters is a very important and interesting task in the field of water pollution control. Biosorption is a relatively new method for treatment of wastewaters and recovery of heavy metals. In this study, a continuous fixed bed study was carried out by using Bacillus thuringiensis as a biosorbent for the removal of Cu and Mn ions from Sarcheshmeh Acid Mine Drainage (AMD). The effect of operating parameters such as flow rate and bed height on the sorption characteristics of B. thuringiensis was investigated at pH 6.0 for each metal ion. The experimental results showed that the breakthrough time decreased with increasing flow rate and decreasing bed height. The data also indicated that the equilibrium uptake of both metals increased with decreasing flow rate and increasing bed height. BDST, Thomas, and Yoon–Nelson models were applied to experimental data to predict the breakthrough curves. All models were found suitable for describing the whole dynamic behavior of the column with respect to flow rate and bed height. In order to regenerate the adsorbent, an elution step was carried out with 1 M HCl and five adsorption-desorption cycles were carried out in continuous manner.

Keywords: Acid Mine Drainage, Bacillus thuringiensis, Biosorption, Cu and Mn ions, Fixed bed.

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3184 Numerical Solution of Volterra Integro-differential Equations of Fractional Order by Laplace Decomposition Method

Authors: Changqing Yang, Jianhua Hou

Abstract:

In this paper the Laplace Decomposition method is developed to solve linear and nonlinear fractional integro- differential equations of Volterra type.The fractional derivative is described in the Caputo sense.The Laplace decomposition method is found to be fast and accurate.Illustrative examples  are included to demonstrate the validity and applicability of presented technique and comparasion is made with exacting results.

Keywords: Integro-differential equations, Laplace transform, fractional derivative, adomian polynomials, pade appoximants.

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3183 Quasi-Permutation Representations for the Group SL(2, q) when Extended by a Certain Group of Order Two

Authors: M. Ghorbany

Abstract:

A square matrix over the complex field with non- negative integral trace is called a quasi-permutation matrix. For a finite group G the minimal degree of a faithful representation of G by quasi-permutation matrices over the rationals and the complex numbers are denoted by q(G) and c(G) respectively. Finally r (G) denotes the minimal degree of a faithful rational valued complex character of C. The purpose of this paper is to calculate q(G), c(G) and r(G) for the group S L(2, q) when extended by a certain group of order two.

Keywords: General linear group, Quasi-permutation

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3182 An Agent Oriented Approach to Operational Profile Management

Authors: Sunitha Ramanujam, Hany El Yamany, Miriam A. M. Capretz

Abstract:

Software reliability, defined as the probability of a software system or application functioning without failure or errors over a defined period of time, has been an important area of research for over three decades. Several research efforts aimed at developing models to improve reliability are currently underway. One of the most popular approaches to software reliability adopted by some of these research efforts involves the use of operational profiles to predict how software applications will be used. Operational profiles are a quantification of usage patterns for a software application. The research presented in this paper investigates an innovative multiagent framework for automatic creation and management of operational profiles for generic distributed systems after their release into the market. The architecture of the proposed Operational Profile MAS (Multi-Agent System) is presented along with detailed descriptions of the various models arrived at following the analysis and design phases of the proposed system. The operational profile in this paper is extended to comprise seven different profiles. Further, the criticality of operations is defined using a new composed metrics in order to organize the testing process as well as to decrease the time and cost involved in this process. A prototype implementation of the proposed MAS is included as proof-of-concept and the framework is considered as a step towards making distributed systems intelligent and self-managing.

Keywords: Software reliability, Software testing, Metrics, Distributed systems, Multi-agent systems

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3181 Experimental and Numerical Study of A/C Outletsand Its Impact on Room Airflow Characteristics

Authors: Mohammed A. Aziz, Ibrahim A. M. Gad, El Shahat F. A. Mohammed, Ramy H. Mohammed

Abstract:

This paper investigates experimental and numerical study of the airflow characteristics for vortex, round and square ceiling diffusers and its effect on the thermal comfort in a ventilated room. Three different thermal comfort criteria namely; Mean Age of the Air (MAA), ventilation effectiveness (E), and Effective Draft Temperature (EDT) have been used to predict the thermal comfort zone inside the room. In experimental work, a sub-scale room is set-up to measure the temperature field in the room. In numerical analysis, unstructured grids have been used to discretize the numerical domain. Conservation equations are solved using FLUENT commercial flow solver. The code is validated by comparing the numerical results obtained from three different turbulence models with the available experimental data. The comparison between the various numerical models shows that the standard k-ε turbulence model can be used to simulate these cases successfully. After validation of the code, effect of supply air velocity on the flow and thermal field could be investigated and hence the thermal comfort. The results show that the pressure coefficient created by the square diffuser is 1.5 times greater than that created by the vortex diffuser. The velocity decay coefficient is nearly the same for square and round diffusers and is 2.6 times greater than that for the vortex diffuser.

Keywords: Ceiling diffuser, Thermal Comfort, MAA, EDT, Fluent, Turbulence model.

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3180 Influence of the Granular Mixture Properties on the Rheological Properties of Concrete: Yield Stress Determination Using Modified Chateau et al. Model

Authors: Rachid Zentar, Mokrane Bala, Pascal Boustingorry

Abstract:

The prediction of the rheological behavior of concrete is at the center of current concerns of the concrete industry for different reasons. The shortage of good quality standard materials combined with variable properties of available materials imposes to improve existing models to take into account these variations at the design stage of concrete. The main reasons for improving the predictive models are, of course, saving time and cost at the design stage as well as to optimize concrete performances. In this study, we will highlight the different properties of the granular mixtures that affect the rheological properties of concrete. Our objective is to identify the intrinsic parameters of the aggregates which make it possible to predict the yield stress of concrete. The work was done using two typologies of grains: crushed and rolled aggregates. The experimental results have shown that the rheology of concrete is improved by increasing the packing density of the granular mixture using rolled aggregates. The experimental program realized allowed to model the yield stress of concrete by a modified model of Chateau et al. through a dimensionless parameter following Krieger-Dougherty law. The modelling confirms that the yield stress of concrete depends not only on the properties of cement paste but also on the packing density of the granular skeleton and the shape of grains.

Keywords: Crushed aggregates, intrinsic viscosity, packing density, rolled aggregates, slump, yield stress of concrete.

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3179 Establishing Econometric Modeling Equations for Lumpy Skin Disease Outbreaks in the Nile Delta of Egypt under Current Climate Conditions

Authors: Abdelgawad, Salah El-Tahawy

Abstract:

This paper aimed to establish econometrical equation models for the Nile delta region in Egypt, which will represent a basement for future predictions of Lumpy skin disease outbreaks and its pathway in relation to climate change. Data of lumpy skin disease (LSD) outbreaks were collected from the cattle farms located in the provinces representing the Nile delta region during 1 January, 2015 to December, 2015. The obtained results indicated that there was a significant association between the degree of the LSD outbreaks and the investigated climate factors (temperature, wind speed, and humidity) and the outbreaks peaked during the months of June, July, and August and gradually decreased to the lowest rate in January, February, and December. The model obtained depicted that the increment of these climate factors were associated with evidently increment on LSD outbreaks on the Nile Delta of Egypt. The model validation process was done by the root mean square error (RMSE) and means bias (MB) which compared the number of LSD outbreaks expected with the number of observed outbreaks and estimated the confidence level of the model. The value of RMSE was 1.38% and MB was 99.50% confirming that this established model described the current association between the LSD outbreaks and the change on climate factors and also can be used as a base for predicting the of LSD outbreaks depending on the climatic change on the future.

Keywords: LSD, climate factors, econometric models, Nile Delta.

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3178 A New Algorithm for Determining the Leading Coefficient of in the Parabolic Equation

Authors: Shiping Zhou, Minggen Cui

Abstract:

This paper investigates the inverse problem of determining the unknown time-dependent leading coefficient in the parabolic equation using the usual conditions of the direct problem and an additional condition. An algorithm is developed for solving numerically the inverse problem using the technique of space decomposition in a reproducing kernel space. The leading coefficients can be solved by a lower triangular linear system. Numerical experiments are presented to show the efficiency of the proposed methods.

Keywords: parabolic equations, coefficient inverse problem, reproducing kernel.

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3177 Explicit Feedback Linearization of Magnetic Levitation System

Authors: Bhawna Tandon, Shiv Narayan, Jagdish Kumar

Abstract:

This study proposes the transformation of nonlinear Magnetic Levitation System into linear one, via state and feedback transformations using explicit algorithm. This algorithm allows computing explicitly the linearizing state coordinates and feedback for any nonlinear control system, which is feedback linearizable, without solving the Partial Differential Equations. The algorithm is performed using a maximum of N-1 steps where N being the dimension of the system.

Keywords: Explicit Algorithm, Feedback Linearization, Nonlinear control, Magnetic Levitation System.

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3176 Performance Comparison of Situation-Aware Models for Activating Robot Vacuum Cleaner in a Smart Home

Authors: Seongcheol Kwon, Jeongmin Kim, Kwang Ryel Ryu

Abstract:

We assume an IoT-based smart-home environment where the on-off status of each of the electrical appliances including the room lights can be recognized in a real time by monitoring and analyzing the smart meter data. At any moment in such an environment, we can recognize what the household or the user is doing by referring to the status data of the appliances. In this paper, we focus on a smart-home service that is to activate a robot vacuum cleaner at right time by recognizing the user situation, which requires a situation-aware model that can distinguish the situations that allow vacuum cleaning (Yes) from those that do not (No). We learn as our candidate models a few classifiers such as naïve Bayes, decision tree, and logistic regression that can map the appliance-status data into Yes and No situations. Our training and test data are obtained from simulations of user behaviors, in which a sequence of user situations such as cooking, eating, dish washing, and so on is generated with the status of the relevant appliances changed in accordance with the situation changes. During the simulation, both the situation transition and the resulting appliance status are determined stochastically. To compare the performances of the aforementioned classifiers we obtain their learning curves for different types of users through simulations. The result of our empirical study reveals that naïve Bayes achieves a slightly better classification accuracy than the other compared classifiers.

Keywords: Situation-awareness, Smart home, IoT, Machine learning, Classifier.

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3175 Hydrological Characterization of a Watershed for Streamflow Prediction

Authors: Oseni Taiwo Amoo, Bloodless Dzwairo

Abstract:

In this paper, we extend the versatility and usefulness of GIS as a methodology for any river basin hydrologic characteristics analysis (HCA). The Gurara River basin located in North-Central Nigeria is presented in this study. It is an on-going research using spatial Digital Elevation Model (DEM) and Arc-Hydro tools to take inventory of the basin characteristics in order to predict water abstraction quantification on streamflow regime. One of the main concerns of hydrological modelling is the quantification of runoff from rainstorm events. In practice, the soil conservation service curve (SCS) method and the Conventional procedure called rational technique are still generally used these traditional hydrological lumped models convert statistical properties of rainfall in river basin to observed runoff and hydrograph. However, the models give little or no information about spatially dispersed information on rainfall and basin physical characteristics. Therefore, this paper synthesizes morphometric parameters in generating runoff. The expected results of the basin characteristics such as size, area, shape, slope of the watershed and stream distribution network analysis could be useful in estimating streamflow discharge. Water resources managers and irrigation farmers could utilize the tool for determining net return from available scarce water resources, where past data records are sparse for the aspect of land and climate.

Keywords: Hydrological characteristic, land and climate, runoff discharge, streamflow.

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3174 Assembly Process Algorithms of Flexible Cell

Authors: M. Kusá, M. Matúšová, A. Javorová, K. Velí

Abstract:

This paper deals about four items assembly process of linear drive. This assembly will be realized in flexible assembly cell on Institute of Manufacturing Systems and Applied Mechanics. There is defined manufacturing cell, individual actuators created our flexible cell. Next chapter is about control type, detailed describe a sequence control type, which will be used in mentioned flexible assembly cell. All cell control is divided in individual steps instructions. There instructions illustrate table number III.

Keywords: assembly, flexible cell, sequence control

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3173 A Novel SVM-Based OOK Detector in Low SNR Infrared Channels

Authors: J. P. Dubois, O. M. Abdul-Latif

Abstract:

Support Vector Machine (SVM) is a recent class of statistical classification and regression techniques playing an increasing role in applications to detection problems in various engineering problems, notably in statistical signal processing, pattern recognition, image analysis, and communication systems. In this paper, SVM is applied to an infrared (IR) binary communication system with different types of channel models including Ricean multipath fading and partially developed scattering channel with additive white Gaussian noise (AWGN) at the receiver. The structure and performance of SVM in terms of the bit error rate (BER) metric is derived and simulated for these channel stochastic models and the computational complexity of the implementation, in terms of average computational time per bit, is also presented. The performance of SVM is then compared to classical binary signal maximum likelihood detection using a matched filter driven by On-Off keying (OOK) modulation. We found that the performance of SVM is superior to that of the traditional optimal detection schemes used in statistical communication, especially for very low signal-to-noise ratio (SNR) ranges. For large SNR, the performance of the SVM is similar to that of the classical detectors. The implication of these results is that SVM can prove very beneficial to IR communication systems that notoriously suffer from low SNR at the cost of increased computational complexity.

Keywords: Least square-support vector machine, on-off keying, matched filter, maximum likelihood detector, wireless infrared communication.

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3172 An Extended Domain-Specific Modeling Language for Marine Observatory Relying on Enterprise Architecture

Authors: Charbel Geryes Aoun, Loic Lagadec

Abstract:

A Sensor Network (SN) is considered as an operation of two phases: (1) the observation/measuring, which means the accumulation of the gathered data at each sensor node; (2) transferring the collected data to some processing center (e.g. Fusion Servers) within the SN. Therefore, an underwater sensor network can be defined as a sensor network deployed underwater that monitors underwater activity. The deployed sensors, such as hydrophones, are responsible for registering underwater activity and transferring it to more advanced components. The process of data exchange between the aforementioned components perfectly defines the Marine Observatory (MO) concept which provides information on ocean state, phenomena and processes. The first step towards the implementation of this concept is defining the environmental constraints and the required tools and components (Marine Cables, Smart Sensors, Data Fusion Server, etc). The logical and physical components that are used in these observatories perform some critical functions such as the localization of underwater moving objects. These functions can be orchestrated with other services (e.g. military or civilian reaction). In this paper, we present an extension to our MO meta-model that is used to generate a design tool (ArchiMO). We propose constraints to be taken into consideration at design time. We illustrate our proposal with an example from the MO domain. Additionally, we generate the corresponding simulation code using our self-developed domain-specific model compiler. On the one hand, this illustrates our approach in relying on Enterprise Architecture (EA) framework that respects: multiple-views, perspectives of stakeholders, and domain specificity. On the other hand, it helps reducing both complexity and time spent in design activity, while preventing from design modeling errors during porting this activity in the MO domain. As conclusion, this work aims to demonstrate that we can improve the design activity of complex system based on the use of MDE technologies and a domain-specific modeling language with the associated tooling. The major improvement is to provide an early validation step via models and simulation approach to consolidate the system design.

Keywords: Smart sensors, data fusion, distributed fusion architecture, sensor networks, domain specific modeling language, enterprise architecture, underwater moving object, localization, marine observatory, NS-3, IMS.

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3171 A Comparative Study on the Dimensional Error of 3D CAD Model and SLS RP Model for Reconstruction of Cranial Defect

Authors: L. Siva Rama Krishna, Sriram Venkatesh, M. Sastish Kumar, M. Uma Maheswara Chary

Abstract:

Rapid Prototyping (RP) is a technology that produces models and prototype parts from 3D CAD model data, CT/MRI scan data, and model data created from 3D object digitizing systems. There are several RP process like Stereolithography (SLA), Solid Ground Curing (SGC), Selective Laser Sintering (SLS), Fused Deposition Modeling (FDM), 3D Printing (3DP) among them SLS and FDM RP processes are used to fabricate pattern of custom cranial implant. RP technology is useful in engineering and biomedical application. This is helpful in engineering for product design, tooling and manufacture etc. RP biomedical applications are design and development of medical devices, instruments, prosthetics and implantation; it is also helpful in planning complex surgical operation. The traditional approach limits the full appreciation of various bony structure movements and therefore the custom implants produced are difficult to measure the anatomy of parts and analyze the changes in facial appearances accurately. Cranioplasty surgery is a surgical correction of a defect in cranial bone by implanting a metal or plastic replacement to restore the missing part. This paper aims to do a comparative study on the dimensional error of CAD and SLS RP Models for reconstruction of cranial defect by comparing the virtual CAD with the physical RP model of a cranial defect.

Keywords: Rapid Prototyping, Selective Laser Sintering, Cranial defect, Dimensional Error.

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3170 Delay-Dependent Stability Analysis for Neural Networks with Distributed Delays

Authors: Qingqing Wang, Shouming Zhong

Abstract:

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.

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3169 H∞ State Estimation of Neural Networks with Discrete and Distributed Delays

Authors: Biao Qin, Jin Huang

Abstract:

In this paper, together with some improved Lyapunov-Krasovskii functional and effective mathematical techniques, several sufficient conditions are derived to guarantee the error system is globally asymptotically stable with H∞ performance, in which both the time-delay and its time variation can be fully considered. In order to get less conservative results of the state estimation condition, zero equalities and reciprocally convex approach are employed. The estimator gain matrix can be obtained in terms of the solution to linear matrix inequalities. A numerical example is provided to illustrate the usefulness and effectiveness of the obtained results.

Keywords: H∞ performance, Neural networks, State estimation.

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3168 The Estimation Method of Stress Distribution for Beam Structures Using the Terrestrial Laser Scanning

Authors: Sang Wook Park, Jun Su Park, Byung Kwan Oh, Yousok Kim, Hyo Seon Park

Abstract:

This study suggests the estimation method of stress distribution for the beam structures based on TLS (Terrestrial Laser Scanning). The main components of method are the creation of the lattices of raw data from TLS to satisfy the suitable condition and application of CSSI (Cubic Smoothing Spline Interpolation) for estimating stress distribution. Estimation of stress distribution for the structural member or the whole structure is one of the important factors for safety evaluation of the structure. Existing sensors which include ESG (Electric strain gauge) and LVDT (Linear Variable Differential Transformer) can be categorized as contact type sensor which should be installed on the structural members and also there are various limitations such as the need of separate space where the network cables are installed and the difficulty of access for sensor installation in real buildings. To overcome these problems inherent in the contact type sensors, TLS system of LiDAR (light detection and ranging), which can measure the displacement of a target in a long range without the influence of surrounding environment and also get the whole shape of the structure, has been applied to the field of structural health monitoring. The important characteristic of TLS measuring is a formation of point clouds which has many points including the local coordinate. Point clouds are not linear distribution but dispersed shape. Thus, to analyze point clouds, the interpolation is needed vitally. Through formation of averaged lattices and CSSI for the raw data, the method which can estimate the displacement of simple beam was developed. Also, the developed method can be extended to calculate the strain and finally applicable to estimate a stress distribution of a structural member. To verify the validity of the method, the loading test on a simple beam was conducted and TLS measured it. Through a comparison of the estimated stress and reference stress, the validity of the method is confirmed.

Keywords: Structural health monitoring, terrestrial laser scanning, estimation of stress distribution, coordinate transformation, cubic smoothing spline interpolation.

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3167 Design of Adaptive Controller Based On Lyapunov Stability for a CSTR

Authors: S. Anbu, N. Jaya

Abstract:

Nonlinearity is the inherent characteristics of all the industrial processes. The Classical control approach used for a generation often fails to show better results particularly for non-linear systems and in the systems, whose parameters changes over a period of time for a variety of reasons. Alternatively, adaptive control strategies provide very good performance. The Model Reference Adaptive Control based on Lyapunov stability analysis and classical PI control strategies are designed and evaluated for Continuous Stirred Tank Reactor, which shows appreciable dynamic nonlinear characteristics.

Keywords: Adaptive Control, CSTR, Lyapunov stability, MRAS, PID.

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3166 The Research Approaches on Crisis and its Management

Authors: M. Mikušová, P. Horváthová

Abstract:

The paper structures research approaches to the crisis and its management. It focuses on approaches – psychological, sociological, economic, ethical and technological. Furthermore, it describes the basic features of models chosen according to those approaches. By their comparison it shows how the crisis influences organizations and individuals, and their mutual interaction.

Keywords: approaches, crisis, model.

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3165 Optimal Control Problem, Quasi-Assignment Problem and Genetic Algorithm

Authors: Omid S. Fard, Akbar H. Borzabadi

Abstract:

In this paper we apply one of approaches in category of heuristic methods as Genetic Algorithms for obtaining approximate solution of optimal control problems. The firs we convert optimal control problem to a quasi Assignment Problem by defining some usual characters as defined in Genetic algorithm applications. Then we obtain approximate optimal control function as an piecewise constant function. Finally the numerical examples are given.

Keywords: Optimal control, Integer programming, Genetic algorithm, Discrete approximation, Linear programming.

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3164 Robust BIBO Stabilization Analysis for Discrete-time Uncertain System

Authors: Zixin Liu, Shu Lü, Shouming Zhong, Mao Ye

Abstract:

The discrete-time uncertain system with time delay is investigated for bounded input bounded output (BIBO). By constructing an augmented Lyapunov function, three different sufficient conditions are established for BIBO stabilization. These conditions are expressed in the form of linear matrix inequalities (LMIs), whose feasibility can be easily checked by using Matlab LMI Toolbox. Two numerical examples are provided to demonstrate the effectiveness of the derived results.

Keywords: Robust BIBO stabilization, delay-dependent stabilization, discrete-time system, time delay.

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3163 Analysis of Thermoelectric Coolers as Energy Harvesters for Low Power Embedded Applications

Authors: Yannick Verbelen, Sam De Winne, Niek Blondeel, Ann Peeters, An Braeken, Abdellah Touhafi

Abstract:

The growing popularity of solid state thermoelectric devices in cooling applications has sparked an increasing diversity of thermoelectric coolers (TECs) on the market, commonly known as “Peltier modules”. They can also be used as generators, converting a temperature difference into electric power, and opportunities are plentiful to make use of these devices as thermoelectric generators (TEGs) to supply energy to low power, autonomous embedded electronic applications. Their adoption as energy harvesters in this new domain of usage is obstructed by the complex thermoelectric models commonly associated with TEGs. Low cost TECs for the consumer market lack the required parameters to use the models because they are not intended for this mode of operation, thereby urging an alternative method to obtain electric power estimations in specific operating conditions. The design of the test setup implemented in this paper is specifically targeted at benchmarking commercial, off-the-shelf TECs for use as energy harvesters in domestic environments: applications with limited temperature differences and space available. The usefulness is demonstrated by testing and comparing single and multi stage TECs with different sizes. The effect of a boost converter stage on the thermoelectric end-to-end efficiency is also discussed.

Keywords: Thermoelectric cooler, TEC, complementary balanced energy harvesting, step-up converter, DC/DC converter, embedded systems, energy harvesting, thermal harvesting.

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3162 Customer Need Type Classification Model using Data Mining Techniques for Recommender Systems

Authors: Kyoung-jae Kim

Abstract:

Recommender systems are usually regarded as an important marketing tool in the e-commerce. They use important information about users to facilitate accurate recommendation. The information includes user context such as location, time and interest for personalization of mobile users. We can easily collect information about location and time because mobile devices communicate with the base station of the service provider. However, information about user interest can-t be easily collected because user interest can not be captured automatically without user-s approval process. User interest usually represented as a need. In this study, we classify needs into two types according to prior research. This study investigates the usefulness of data mining techniques for classifying user need type for recommendation systems. We employ several data mining techniques including artificial neural networks, decision trees, case-based reasoning, and multivariate discriminant analysis. Experimental results show that CHAID algorithm outperforms other models for classifying user need type. This study performs McNemar test to examine the statistical significance of the differences of classification results. The results of McNemar test also show that CHAID performs better than the other models with statistical significance.

Keywords: Customer need type, Data mining techniques, Recommender system, Personalization, Mobile user.

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3161 The Use of Artificial Neural Network in Option Pricing: The Case of S and P 100 Index Options

Authors: Zeynep İltüzer Samur, Gül Tekin Temur

Abstract:

Due to the increasing and varying risks that economic units face with, derivative instruments gain substantial importance, and trading volumes of derivatives have reached very significant level. Parallel with these high trading volumes, researchers have developed many different models. Some are parametric, some are nonparametric. In this study, the aim is to analyse the success of artificial neural network in pricing of options with S&P 100 index options data. Generally, the previous studies cover the data of European type call options. This study includes not only European call option but also American call and put options and European put options. Three data sets are used to perform three different ANN models. One only includes data that are directly observed from the economic environment, i.e. strike price, spot price, interest rate, maturity, type of the contract. The others include an extra input that is not an observable data but a parameter, i.e. volatility. With these detail data, the performance of ANN in put/call dimension, American/European dimension, moneyness dimension is analyzed and whether the contribution of the volatility in neural network analysis make improvement in prediction performance or not is examined. The most striking results revealed by the study is that ANN shows better performance when pricing call options compared to put options; and the use of volatility parameter as an input does not improve the performance.

Keywords: Option Pricing, Neural Network, S&P 100 Index, American/European options

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3160 Instability of Electron Plasma Waves in an Electron-Hole Bounded Quantum Dusty Plasma

Authors: Basudev Ghosh, Sailendranath Paul, Sreyasi Banerjee

Abstract:

Using quantum hydrodynamical (QHD) model the linear dispersion relation for the electron plasma waves propagating in a cylindrical waveguide filled with a dense plasma containing streaming electron, hole and stationary charged dust particles has been derived. It is shown that the effect of finite boundary and stream velocity of electrons and holes make some of the possible modes of propagation linearly unstable. The growth rate of this instability is shown to depend significantly on different plasma parameters.

Keywords: Electron Plasma wave, Quantum plasma, Quantum Hydrodynamical model.

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3159 Exponentially Weighted Simultaneous Estimation of Several Quantiles

Authors: Valeriy Naumov, Olli Martikainen

Abstract:

In this paper we propose new method for simultaneous generating multiple quantiles corresponding to given probability levels from data streams and massive data sets. This method provides a basis for development of single-pass low-storage quantile estimation algorithms, which differ in complexity, storage requirement and accuracy. We demonstrate that such algorithms may perform well even for heavy-tailed data.

Keywords: Quantile estimation, data stream, heavy-taileddistribution, tail index.

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3158 Investigation of Genetic Epidemiology of Metabolic Compromises in ß Thalassemia Minor Mutation: Phenotypic Pleiotropy

Authors: Surajit Debnath, Soma Addya

Abstract:

Human genome is not only the evolutionary summation of all advantageous events, but also houses lesions of deleterious foot prints. A single gene mutation sometimes may express multiple consequences in numerous tissues and a linear relationship of the genotype and the phenotype may often be obscure. ß Thalassemia minor, a transfusion independent mild anaemia, coupled with environment among other factors may articulate into phenotypic pleotropy with Hypocholesterolemia, Vitamin D deficiency, Tissue hypoxia, Hyper-parathyroidism and Psychological alterations. Occurrence of Pancreatic insufficiency, resultant steatorrhoea, Vitamin-D (25-OH) deficiency (13.86 ngm/ml) with Hypocholesterolemia (85mg/dl) in a 30 years old male ß Thal-minor patient (Hemoglobin 11mg/dl with Fetal Hemoglobin 2.10%, Hb A2 4.60% and Hb Adult 84.80% and altered Hemogram) with increased Para thyroid hormone (62 pg/ml) & moderate Serum Ca+2 (9.5mg/ml) indicate towards a cascade of phenotypic pleotropy where the ß Thalassemia mutation ,be it in the 5’ cap site of the mRNA , differential splicing etc in heterozygous state is effecting several metabolic pathways. Compensatory extramedulary hematopoiesis may not coped up well with the stressful life style of the young individual and increased erythropoietic stress with high demand for cholesterol for RBC membrane synthesis may have resulted in Hypocholesterolemia.Oxidative stress and tissue hypoxia may have caused the pancreatic insufficiency, leading to Vitamin D deficiency. This may in turn have caused the secondary hyperparathyroidism to sustain serum Calcium level. Irritability and stress intolerance of the patient was a cumulative effect of the vicious cycle of metabolic compromises. From these findings we propose that the metabolic deficiencies in the ß Thalassemia mutations may be considered as the phenotypic display of the pleotropy to explain the genetic epidemiology. According to the recommendations from the NIH Workshop on Gene-Environment Interplay in Common Complex Diseases: Forging an Integrative Model, study design of observations should be informed by gene-environment hypotheses and results of a study (genetic diseases) should be published to inform future hypotheses. Variety of approaches is needed to capture data on all possible aspects, each of which is likely to contribute to the etiology of disease. Speakers also agreed that there is a need for development of new statistical methods and measurement tools to appraise information that may be missed out by conventional method where large sample size is needed to segregate considerable effect. A meta analytic cohort study in future may bring about significant insight on to the title comment.

Keywords: Genetic disease, Genetic epidemiology, Heterozygous, Phenotype, Pleotropy, ß Thalassemia minor, Metabolic compromises.

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3157 Effect of Infill Walls on Response of Multi Storey Reinforced Concrete Structure

Authors: Ayman Abd-Elhamed, Sayed Mahmoud

Abstract:

The present research work investigates the seismic response of reinforced concrete (RC) frame building considering the effect of modeling masonry infill (MI) walls. The seismic behavior of a residential 6-storey RC frame building, considering and ignoring the effect of masonry, is numerically investigated using response spectrum (RS) analysis. The considered herein building is designed as a moment resisting frame (MRF) system following the Egyptian code (EC) requirements. Two developed models in terms of bare frame and infill walls frame are used in the study. Equivalent diagonal strut methodology is used to represent the behavior of infill walls, whilst the well-known software package ETABS is used for implementing all frame models and performing the analysis. The results of the numerical simulations such as base shear, displacements, and internal forces for the bare frame as well as the infill wall frame are presented in a comparative way. The results of the study indicate that the interaction between infill walls and frames significantly change the responses of buildings during earthquakes compared to the results of bare frame building model. Specifically, the seismic analysis of RC bare frame structure leads to underestimation of base shear and consequently damage or even collapse of buildings may occur under strong shakings. On the other hand, considering infill walls significantly decrease the peak floor displacements and drifts in both X and Y-directions.

Keywords: Masonry infill, bare frame, response spectrum, seismic response.

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3156 Calculation of the Thermal Stresses in an Elastoplastic Plate Heated by Local Heat Source

Authors: M. Khaing, A. V. Tkacheva

Abstract:

The work is devoted to solving the problem of temperature stresses, caused by the heating point of the round plate. The plate is made of elastoplastic material, so the Prandtl-Reis model is used. A piecewise-linear condition of the Ishlinsky-Ivlev flow is taken as the loading surface, in which the yield stress depends on the temperature. Piecewise-linear conditions (Treska or Ishlinsky-Ivlev), in contrast to the Mises condition, make it possible to obtain solutions of the equilibrium equation in an analytical form. In the problem under consideration, using the conditions of Tresca, it is impossible to obtain a solution. This is due to the fact that the equation of equilibrium ceases to be satisfied when the two Tresca conditions are fulfilled at once. Using the conditions of plastic flow Ishlinsky-Ivlev allows one to solve the problem. At the same time, there are also no solutions on the edge of the Ishlinsky-Ivlev hexagon in the plane-stressed state. Therefore, the authors of the article propose to jump from the edge to the edge of the mine edge, which gives an opportunity to obtain an analytical solution. At the same time, there is also no solution on the edge of the Ishlinsky-Ivlev hexagon in a plane stressed state; therefore, in this paper, the authors of the article propose to jump from the side to the side of the mine edge, which gives an opportunity to receive an analytical solution. The paper compares solutions of the problem of plate thermal deformation. One of the solutions was obtained under the condition that the elastic moduli (Young's modulus, Poisson's ratio) which depend on temperature. The yield point is assumed to be parabolically temperature dependent. The main results of the comparisons are that the region of irreversible deformation is larger in the calculations obtained for solving the problem with constant elastic moduli. There is no repeated plastic flow in the solution of the problem with elastic moduli depending on temperature. The absolute value of the irreversible deformations is higher for the solution of the problem in which the elastic moduli are constant; there are also insignificant differences in the distribution of the residual stresses.

Keywords: Temperature stresses, elasticity, plasticity, Ishlinsky-Ivlev condition, plate, annular heating, elastic moduli.

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