Search results for: quadratic equation.
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1242

Search results for: quadratic equation.

1032 A C1-Conforming Finite Element Method for Nonlinear Fourth-Order Hyperbolic Equation

Authors: Yang Liu, Hong Li, Siriguleng He, Wei Gao, Zhichao Fang

Abstract:

In this paper, the C1-conforming finite element method is analyzed for a class of nonlinear fourth-order hyperbolic partial differential equation. Some a priori bounds are derived using Lyapunov functional, and existence, uniqueness and regularity for the weak solutions are proved. Optimal error estimates are derived for both semidiscrete and fully discrete schemes.

Keywords: Nonlinear fourth-order hyperbolic equation, Lyapunov functional, existence, uniqueness and regularity, conforming finite element method, optimal error estimates.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1892
1031 Note to the Global GMRES for Solving the Matrix Equation AXB = F

Authors: Fatemeh Panjeh Ali Beik

Abstract:

In the present work, we propose a new projection method for solving the matrix equation AXB = F. For implementing our new method, generalized forms of block Krylov subspace and global Arnoldi process are presented. The new method can be considered as an extended form of the well-known global generalized minimum residual (Gl-GMRES) method for solving multiple linear systems and it will be called as the extended Gl-GMRES (EGl- GMRES). Some new theoretical results have been established for proposed method by employing Schur complement. Finally, some numerical results are given to illustrate the efficiency of our new method.

Keywords: Matrix equation, Iterative method, linear systems, block Krylov subspace method, global generalized minimum residual (Gl-GMRES).

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1838
1030 Unified Gas-Kinetic Scheme for Gas-Particle Flow in Shock-Induced Fluidization of Particles Bed

Authors: Zhao Wang, Hong Yan

Abstract:

In this paper, a unified-gas kinetic scheme (UGKS) for the gas-particle flow is constructed. UGKS is a direct modeling method for both continuum and rarefied flow computations. The dynamics of particle and gas are described as rarefied and continuum flow, respectively. Therefore, we use the Bhatnagar-Gross-Krook (BGK) equation for the particle distribution function. For the gas phase, the gas kinetic scheme for Navier-Stokes equation is solved. The momentum transfer between gas and particle is achieved by the acceleration term added to the BGK equation. The new scheme is tested by a 2cm-in-thickness dense bed comprised of glass particles with 1.5mm in diameter, and reasonable agreement is achieved.

Keywords: Gas-particle flow, unified gas-kinetic scheme, momentum transfer, shock-induced fluidization.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 622
1029 Photon Localization inside a Waveguide Modeled by Uncertainty Principle

Authors: Shilpa N. Kulkarni, Sujata R. Patrikar

Abstract:

In the present work, an attempt is made to understand electromagnetic field confinement in a subwavelength waveguide structure using concepts of quantum mechanics. Evanescent field in the waveguide is looked as inability of the photon to get confined in the waveguide core and uncertainty of position is assigned to it. The momentum uncertainty is calculated from position uncertainty. Schrödinger wave equation for the photon is written by incorporating position-momentum uncertainty. The equation is solved and field distribution in the waveguide is obtained. The field distribution and power confinement is compared with conventional waveguide theory. They were found in good agreement with each other.

Keywords: photon localization in waveguide, photon tunneling, quantum confinement of light, Schrödinger wave equation, uncertainty principle.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2918
1028 Contact Problem for an Elastic Layered Composite Resting on Rigid Flat Supports

Authors: T. S. Ozsahin, V. Kahya, A. Birinci, A. O. Cakiroglu

Abstract:

In this study, the contact problem of a layered composite which consists of two materials with different elastic constants and heights resting on two rigid flat supports with sharp edges is considered. The effect of gravity is neglected. While friction between the layers is taken into account, it is assumed that there is no friction between the supports and the layered composite so that only compressive tractions can be transmitted across the interface. The layered composite is subjected to a uniform clamping pressure over a finite portion of its top surface. The problem is reduced to a singular integral equation in which the contact pressure is the unknown function. The singular integral equation is evaluated numerically and the results for various dimensionless quantities are presented in graphical forms.

Keywords: Frictionless contact, Layered composite, Singularintegral equation, The theory of elasticity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1583
1027 Constructing Distinct Kinds of Solutions for the Time-Dependent Coefficients Coupled Klein-Gordon-Schrödinger Equation

Authors: Anupma Bansal

Abstract:

We seek exact solutions of the coupled Klein-Gordon-Schrödinger equation with variable coefficients with the aid of Lie classical approach. By using the Lie classical method, we are able to derive symmetries that are used for reducing the coupled system of partial differential equations into ordinary differential equations. From reduced differential equations we have derived some new exact solutions of coupled Klein-Gordon-Schrödinger equations involving some special functions such as Airy wave functions, Bessel functions, Mathieu functions etc.

Keywords: Klein-Gordon-Schödinger Equation, Lie Classical Method, Exact Solutions

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 4530
1026 Investigation on Nanoparticle Velocity in Two Phase Approach

Authors: E. Mat Tokit, Yusoff M. Z, Mohammed H.

Abstract:

Numerical investigation on the generality of nanoparticle velocity equation had been done on the previous published work. The three dimensional governing equations (continuity, momentum and energy) were solved using finite volume method (FVM). Parametric study of thermal performance between pure water-cooled and nanofluid-cooled are evaluated for volume fraction in the range of 1% to 4%, and nanofluid type of gamma-Al2O3 at Reynolds number range of 67.41 to 286.77. The nanofluid is modeled using single and two phase approach. Three different existing Brownian motion velocities are applied in comparing the generality of the equation for a wide parametric condition. Deviation in between the Brownian motion velocity is identified to be due to the different means of mean free path and constant value used in diffusion equation.

Keywords: Brownian nanoparticle velocity, heat transfer enhancement, nanofluid, two phase model.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2513
1025 Effect of Gravity Modulation on Weakly Non-Linear Stability of Stationary Convection in a Dielectric Liquid

Authors: P. G. Siddheshwar, B. R. Revathi

Abstract:

The effect of time-periodic oscillations of the Rayleigh- Benard system on the heat transport in dielectric liquids is investigated by weakly nonlinear analysis. We focus on stationary convection using the slow time scale and arrive at the real Ginzburg- Landau equation. Classical fourth order Runge-kutta method is used to solve the Ginzburg-Landau equation which gives the amplitude of convection and this helps in quantifying the heat transfer in dielectric liquids in terms of the Nusselt number. The effect of electrical Rayleigh number and the amplitude of modulation on heat transport is studied.

Keywords: Dielectric liquid, Nusselt number, amplitude equation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2216
1024 A Comparative Study of High Order Rotated Group Iterative Schemes on Helmholtz Equation

Authors: Norhashidah Hj. Mohd Ali, Teng Wai Ping

Abstract:

In this paper, we present a high order group explicit method in solving the two dimensional Helmholtz equation. The presented method is derived from a nine-point fourth order finite difference approximation formula obtained from a 45-degree rotation of the standard grid which makes it possible for the construction of iterative procedure with reduced complexity. The developed method will be compared with the existing group iterative schemes available in literature in terms of computational time, iteration counts, and computational complexity. The comparative performances of the methods will be discussed and reported.

Keywords: Explicit group method, finite difference, Helmholtz equation, rotated grid, standard grid.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1166
1023 On Method of Fundamental Solution for Nondestructive Testing

Authors: Jieer Wu, Zheshu Ma

Abstract:

Nondestructive testing in engineering is an inverse Cauchy problem for Laplace equation. In this paper the problem of nondestructive testing is expressed by a Laplace-s equation with third-kind boundary conditions. In order to find unknown values on the boundary, the method of fundamental solution is introduced and realized. Because of the ill-posedness of studied problems, the TSVD regularization technique in combination with L-curve criteria and Generalized Cross Validation criteria is employed. Numerical results are shown that the TSVD method combined with L-curve criteria is more efficient than the TSVD method combined with GCV criteria. The abstract goes here.

Keywords: ill-posed, TSVD, Laplace's equation, inverse problem, L-curve, Generalized Cross Validation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1473
1022 Exact Pfaffian and N-Soliton Solutions to a (3+1)-Dimensional Generalized Integrable Nonlinear Partial Differential Equations

Authors: Magdy G. Asaad

Abstract:

The objective of this paper is to use the Pfaffian technique to construct different classes of exact Pfaffian solutions and N-soliton solutions to some of the generalized integrable nonlinear partial differential equations in (3+1) dimensions. In this paper, I will show that the Pfaffian solutions to the nonlinear PDEs are nothing but Pfaffian identities. Solitons are among the most beneficial solutions for science and technology, from ocean waves to transmission of information through optical fibers or energy transport along protein molecules. The existence of multi-solitons, especially three-soliton solutions, is essential for information technology: it makes possible undisturbed simultaneous propagation of many pulses in both directions.

Keywords: Bilinear operator, G-BKP equation, Integrable nonlinear PDEs, Jimbo-Miwa equation, Ma-Fan equation, N-soliton solutions, Pfaffian solutions.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2094
1021 A Structural Equation Model of Risk Perception of Rockfall for Revisit Intention

Authors: Ya-Fen Lee, Yun-Yao Chi

Abstract:

The study aims to explore the relationship between risk perception of rockfall and revisit intention using a Structural Equation Modeling (SEM) analysis. A total of 573 valid questionnaires are collected from travelers to Taroko National Park, Taiwan. The findings show the majority of travelers have the medium perception of rockfall risk, and are willing to revisit the Taroko National Park. The revisit intention to Taroko National Park is influenced by hazardous preferences, willingness-to-pay, obstruction and attraction. The risk perception has an indirect effect on revisit intention through influencing willingness-to-pay. The study results can be a reference for mitigation the rockfall disaster.

Keywords: Risk perception, rockfall, revisit intention, structural equation modeling.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2153
1020 Physical Conserved Quantities for the Axisymmetric Liquid, Free and Wall Jets

Authors: Rehana Naz, D. P. Mason, Fazal Mahomed

Abstract:

A systematic way to derive the conserved quantities for the axisymmetric liquid jet, free jet and wall jet using conservation laws is presented. The flow in axisymmetric jets is governed by Prandtl-s momentum boundary layer equation and the continuity equation. The multiplier approach is used to construct a basis of conserved vectors for the system of two partial differential equations for the two velocity components. The basis consists of two conserved vectors. By integrating the corresponding conservation laws across the jet and imposing the boundary conditions, conserved quantities are derived for the axisymmetric liquid and free jet. The multiplier approach applied to the third-order partial differential equation for the stream function yields two local conserved vectors one of which is a non-local conserved vector for the system. One of the conserved vectors gives the conserved quantity for the axisymmetric free jet but the conserved quantity for the wall jet is not obtained from the second conserved vector. The conserved quantity for the axisymmetric wall jet is derived from a non-local conserved vector of the third-order partial differential equation for the stream function. This non-local conserved vector for the third-order partial differential equation for the stream function is obtained by using the stream function as multiplier.

Keywords: Axisymmetric jet, liquid jet, free jet, wall jet, conservation laws, conserved quantity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1461
1019 New Exact Solutions for the (3+1)-Dimensional Breaking Soliton Equation

Authors: Mohammad Taghi Darvishi, Maliheh Najafi, Mohammad Najafi

Abstract:

In this work, we obtain some analytic solutions for the (3+1)-dimensional breaking soliton after obtaining its Hirota-s bilinear form. Our calculations show that, three-wave method is very easy and straightforward to solve nonlinear partial differential equations.

Keywords: (3+1)-dimensional breaking soliton equation, Hirota'sbilinear form.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1670
1018 On Diffusion Approximation of Discrete Markov Dynamical Systems

Authors: Jevgenijs Carkovs

Abstract:

The paper is devoted to stochastic analysis of finite dimensional difference equation with dependent on ergodic Markov chain increments, which are proportional to small parameter ". A point-form solution of this difference equation may be represented as vertexes of a time-dependent continuous broken line given on the segment [0,1] with "-dependent scaling of intervals between vertexes. Tending " to zero one may apply stochastic averaging and diffusion approximation procedures and construct continuous approximation of the initial stochastic iterations as an ordinary or stochastic Ito differential equation. The paper proves that for sufficiently small " these equations may be successfully applied not only to approximate finite number of iterations but also for asymptotic analysis of iterations, when number of iterations tends to infinity.

Keywords: Markov dynamical system, diffusion approximation, equilibrium stochastic stability.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1577
1017 Genetic Algorithm Approach for Solving the Falkner–Skan Equation

Authors: Indu Saini, Phool Singh, Vikas Malik

Abstract:

A novel method based on Genetic Algorithm to solve the boundary value problems (BVPs) of the Falkner–Skan equation over a semi-infinite interval has been presented. In our approach, we use the free boundary formulation to truncate the semi-infinite interval into a finite one. Then we use the shooting method based on Genetic Algorithm to transform the BVP into initial value problems (IVPs). Genetic Algorithm is used to calculate shooting angle. The initial value problems arisen during shooting are computed by Runge-Kutta Fehlberg method. The numerical solutions obtained by the present method are in agreement with those obtained by previous authors.

Keywords: Boundary Layer Flow, Falkner–Skan equation, Genetic Algorithm, Shooting method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2509
1016 Analysis of Thermal Deformation of a Rough Slider and Its Asperities and Its Impact on Load Generation in Parallel Sliders

Authors: Prawal Sinha, Getachew Adamu

Abstract:

Heating is inevitable in any bearing operation. This leads to not only the thinning of the lubricant but also could lead to a thermal deformation of the bearing. The present work is an attempt to analyze the influence of thermal deformation on the thermohydrodynamic lubrication of infinitely long tilted pad slider rough bearings. As a consequence of heating the slider is deformed and is assumed to take a parabolic shape. Also the asperities expand leading to smaller effective film thickness. Two different types of surface roughness are considered: longitudinal roughness and transverse roughness. Christensen-s stochastic approach is used to derive the Reynolds-type equations. Density and viscosity are considered to be temperature dependent. The modified Reynolds equation, momentum equation, continuity equation and energy equation are decoupled and solved using finite difference method to yield various bearing characteristics. From the numerical simulations it is observed that the performance of the bearing is significantly affected by the thermal distortion of the slider and asperities and even the parallel sliders seem to carry some load.

Keywords: Thermal Deformation, Tilted pad slider bearing, longitudinal roughness, transverse roughness, load capacity

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1871
1015 Kinetic Study of Gluconic Acid Batch Fermentation by Aspergillus niger

Authors: Akbarningrum Fatmawati, Rudy Agustriyanto, Lindawati

Abstract:

Gluconic acid is one of interesting chemical products in industries such as detergents, leather, photographic, textile, and especially in food and pharmaceutical industries. Fermentation is an advantageous process to produce gluconic acid. Mathematical modeling is important in the design and operation of fermentation process. In fact, kinetic data must be available for modeling. The kinetic parameters of gluconic acid production by Aspergillus niger in batch culture was studied in this research at initial substrate concentration of 150, 200 and 250 g/l. The kinetic models used were logistic equation for growth, Luedeking-Piret equation for gluconic acid formation, and Luedeking-Piret-like equation for glucose consumption. The Kinetic parameters in the model were obtained by minimizing non linear least squares curve fitting.

Keywords: Aspergillus niger, fermentation, gluconic acid, kinetic.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2692
1014 Average Turbulent Pipe Flow with Heat Transfer Using a Three-Equation Model

Authors: Khalid Alammar

Abstract:

Aim of this study is to evaluate a new three-equation turbulence model applied to flow and heat transfer through a pipe. Uncertainty is approximated by comparing with published direct numerical simulation results for fully-developed flow. Error in the mean axial velocity, temperature, friction, and heat transfer is found to be negligible.

Keywords: Heat Transfer, Nusselt number, Skin friction, Turbulence.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2447
1013 On the Exact Solution of Non-Uniform Torsion for Beams with Axial Symmetric Cross-Section

Authors: A.Campanile, M. Mandarino, V. Piscopo, A. Pranzitelli

Abstract:

In the traditional theory of non-uniform torsion the axial displacement field is expressed as the product of the unit twist angle and the warping function. The first one, variable along the beam axis, is obtained by a global congruence condition; the second one, instead, defined over the cross-section, is determined by solving a Neumann problem associated to the Laplace equation, as well as for the uniform torsion problem. So, as in the classical theory the warping function doesn-t punctually satisfy the first indefinite equilibrium equation, the principal aim of this work is to develop a new theory for non-uniform torsion of beams with axial symmetric cross-section, fully restrained on both ends and loaded by a constant torque, that permits to punctually satisfy the previous equation, by means of a trigonometric expansion of the axial displacement and unit twist angle functions. Furthermore, as the classical theory is generally applied with good results to the global and local analysis of ship structures, two beams having the first one an open profile, the second one a closed section, have been analyzed, in order to compare the two theories.

Keywords: Non-uniform torsion, Axial symmetric cross-section, Fourier series, Helmholtz equation, FE method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2362
1012 Prediction of Henry's Constant in Polymer Solutions using the Peng-Robinson Equation of State

Authors: Somayeh Tourani, Alireza Behvandi

Abstract:

The peng-Robinson (PR), a cubic equation of state (EoS), is extended to polymers by using a single set of energy (A1, A2, A3) and co-volume (b) parameters per polymer fitted to experimental volume data. Excellent results for the volumetric behavior of the 11 polymer up to 2000 bar pressure are obtained. The EoS is applied to the correlation and prediction of Henry constants in polymer solutions comprising three polymer and many nonpolar and polar solvents, including supercritical gases. The correlation achieved with two adjustable parameter is satisfactory compared with the experimental data. As a result, the present work provides a simple and useful model for the prediction of Henry's constant for polymer containing systems including those containing polar, nonpolar and supercritical fluids.

Keywords: Equation of state, Henry's constant, Peng-Robinson, polymer solution.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2140
1011 Development of Blast Vibration Equation Considering the Polymorphic Characteristics of Basaltic Ground

Authors: Dong Wook Lee, Seung Hyun Kim

Abstract:

Geological structure formed by volcanic activities shows polymorphic characteristics due to repeated cooling and hardening of lava. The Jeju region is showing polymorphic characteristics in which clinker layers are irregularly distributed along with vesicular basalt due to volcanic activities. Accordingly, resident damages and environmental disputes occur frequently in the Jeju region due to blasting. The purpose of this study is to develop a blast vibration equation considering the polymorphic characteristics of basaltic ground in Jeju. The blast vibration equation consists of a functional formula of the blasting vibration constant K that changes according to ground characteristics, and attenuation index n. The case study results in Jeju showed that if there are clinker layers, attenuation index n showed a distribution of -1.32~-1.81, whereas if there are no clinker layers, n was -2.79. Moreover, if there are no clinker layers, the frequency of blast vibration showed a high frequency band from 30Hz to 100Hz, while in rocks with clinker layers it showed a low frequency band from 10Hz to 20Hz.

Keywords: Blast vibration equation, basaltic ground, clinker layer, blasting vibration constant, attenuation index.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1484
1010 Study of Real Gas Behavior in a Single-Stage Gas Gun

Authors: A. Moradi, S. Khodadadiyan

Abstract:

In this paper, one-dimensional analysis of flow in a single-stage gas gun is conducted. The compressible inviscid flow equations are numerically solved by the second-order Roe TVD method, by using moving boundaries. For investigation of real gas effect the Noble-Able equation is applied. The numerical results are compared with the experimental data to validate the numerical scheme. The results show that with using the Noble-Able equation, the muzzle velocity decreases.

Keywords: Gas gun, Roe, projectile, muzzle velocity

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2309
1009 Complex Flow Simulation Using a Partially Lagging One-Equation Turbulence Model

Authors: M. Elkhoury

Abstract:

A recently developed one-equation turbulence model has been successfully applied to simulate turbulent flows with various complexities. The model, which is based on the transformation of the k-ε closure, is wall-distance free and equipped with lagging destruction/dissipation terms. Test cases included shockboundary- layer interaction flows over the NACA 0012 airfoil, an axisymmetric bump, and the ONERA M6 wing. The capability of the model to operate in a Scale Resolved Simulation (SRS) mode is demonstrated through the simulation of a massive flow separation over a circular cylinder at Re= 1.2 x106. An assessment of the results against available experiments Menter (k-ε)1Eq and the Spalart- Allmaras model that belongs to the single equation closure family is made.

Keywords: Turbulence modeling, complex flow simulation, scale adaptive simulation, one-equation turbulence model.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1470
1008 Ion- Acoustic Solitary Waves in a Self- Gravitating Dusty Plasma Having Two-Temperature Electrons

Authors: S.N.Paul, G.Pakira, B.Paul, B.Ghosh

Abstract:

Nonlinear propagation of ion-acoustic waves in a selfgravitating dusty plasma consisting of warm positive ions, isothermal two-temperature electrons and negatively charged dust particles having charge fluctuations is studied using the reductive perturbation method. It is shown that the nonlinear propagation of ion-acoustic waves in such plasma can be described by an uncoupled third order partial differential equation which is a modified form of the usual Korteweg-deVries (KdV) equation. From this nonlinear equation, a new type of solution for the ion-acoustic wave is obtained. The effects of two-temperature electrons, gravity and dust charge fluctuations on the ion-acoustic solitary waves are discussed with possible applications.

Keywords: Charge fluctuations, gravitating dusty plasma, Ionacoustic solitary wave, Two-temperature electrons

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2048
1007 A Numerical Algorithm for Positive Solutions of Concave and Convex Elliptic Equation on R2

Authors: Hailong Zhu, Zhaoxiang Li

Abstract:

In this paper we investigate numerically positive solutions of the equation -Δu = λuq+up with Dirichlet boundary condition in a boundary domain ╬® for λ > 0 and 0 < q < 1 < p < 2*, we will compute and visualize the range of λ, this problem achieves a numerical solution.

Keywords: positive solutions, concave-convex, sub-super solution method, pseudo arclength method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1319
1006 The Impact of Transaction Costs on Rebalancing an Investment Portfolio in Portfolio Optimization

Authors: B. Marasović, S. Pivac, S. V. Vukasović

Abstract:

Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the presence of transaction costs on the Croatian capital market is analyzed. The model applied in the paper is an extension of the standard portfolio mean-variance optimization model in which transaction costs are incurred to rebalance an investment portfolio. This model allows different costs for different securities, and different costs for buying and selling. In order to find efficient portfolio, using this model, first, the solution of quadratic programming problem of similar size to the Markowitz model, and then the solution of a linear programming problem have to be found. Furthermore, in the paper the impact of transaction costs on the efficient frontier is investigated. Moreover, it is shown that global minimum variance portfolio on the efficient frontier always has the same level of the risk regardless of the amount of transaction costs. Although efficient frontier position depends of both transaction costs amount and initial portfolio it can be concluded that extreme right portfolio on the efficient frontier always contains only one stock with the highest expected return and the highest risk.

Keywords: Croatian capital market, Fractional quadratic programming, Markowitz model, Portfolio optimization, Transaction costs.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2946
1005 A Shape Optimization Method in Viscous Flow Using Acoustic Velocity and Four-step Explicit Scheme

Authors: Yoichi Hikino, Mutsuto Kawahara

Abstract:

The purpose of this study is to derive optimal shapes of a body located in viscous flows by the finite element method using the acoustic velocity and the four-step explicit scheme. The formulation is based on an optimal control theory in which a performance function of the fluid force is introduced. The performance function should be minimized satisfying the state equation. This problem can be transformed into the minimization problem without constraint conditions by using the adjoint equation with adjoint variables corresponding to the state equation. The performance function is defined by the drag and lift forces acting on the body. The weighted gradient method is applied as a minimization technique, the Galerkin finite element method is used as a spatial discretization and the four-step explicit scheme is used as a temporal discretization to solve the state equation and the adjoint equation. As the interpolation, the orthogonal basis bubble function for velocity and the linear function for pressure are employed. In case that the orthogonal basis bubble function is used, the mass matrix can be diagonalized without any artificial centralization. The shape optimization is performed by the presented method.

Keywords: Shape Optimization, Optimal Control Theory, Finite Element Method, Weighted Gradient Method, Fluid Force, Orthogonal Basis Bubble Function, Four-step Explicit Scheme, Acoustic Velocity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1463
1004 Existence of Periodic Solution for p-Laplacian Neutral Rayleigh Equation with Sign-variable Coefficient of Non Linear Term

Authors: Aomar Anane, Omar Chakrone, Loubna Moutaouekkil

Abstract:

As p-Laplacian equations have been widely applied in field of the fluid mechanics and nonlinear elastic mechanics, it is necessary to investigate the periodic solutions of functional differential equations involving the scalar p-Laplacian. By using Mawhin’s continuation theorem, we study the existence of periodic solutions for p-Laplacian neutral Rayleigh equation (ϕp(x(t)−c(t)x(t − r))) + f(x(t)) + g1(x(t − τ1(t, |x|∞))) + β(t)g2(x(t − τ2(t, |x|∞))) = e(t), It is meaningful that the functions c(t) and β(t) are allowed to change signs in this paper, which are different from the corresponding ones of known literature.

Keywords: periodic solution, neutral Rayleigh equation, variable sign, Deviating argument, p-Laplacian, Mawhin’s continuation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1379
1003 Transient Combined Conduction and Radiation in a Two-Dimensional Participating Cylinder in Presence of Heat Generation

Authors: Raoudha Chaabane, Faouzi Askri, Sassi Ben Nasrallah

Abstract:

Simultaneous transient conduction and radiation heat transfer with heat generation is investigated. Analysis is carried out for both steady and unsteady situations. two-dimensional gray cylindrical enclosure with an absorbing, emitting, and isotropically scattering medium is considered. Enclosure boundaries are assumed at specified temperatures. The heat generation rate is considered uniform and constant throughout the medium. The lattice Boltzmann method (LBM) was used to solve the energy equation of a transient conduction-radiation heat transfer problem. The control volume finite element method (CVFEM) was used to compute the radiative information. To study the compatibility of the LBM for the energy equation and the CVFEM for the radiative transfer equation, transient conduction and radiation heat transfer problems in 2-D cylindrical geometries were considered. In order to establish the suitability of the LBM, the energy equation of the present problem was also solved using the the finite difference method (FDM) of the computational fluid dynamics. The CVFEM used in the radiative heat transfer was employed to compute the radiative information required for the solution of the energy equation using the LBM or the FDM (of the CFD). To study the compatibility and suitability of the LBM for the solution of energy equation and the CVFEM for the radiative information, results were analyzed for the effects of various parameters such as the boundary emissivity. The results of the LBMCVFEM combination were found to be in excellent agreement with the FDM-CVFEM combination. The number of iterations and the steady state temperature in both of the combinations were found comparable. Results are found for situations with and without heat generation. Heat generation is found to have significant bearing on temperature distribution.

Keywords: heat generation, cylindrical coordinates; RTE;transient; coupled conduction radiation; heat transfer; CVFEM; LBM

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2202