Search results for: Curve Length Method
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 8948

Search results for: Curve Length Method

8948 Establishing a New Simple Formula for Buckling Length Factor (K) of Rigid Frames Columns

Authors: Ehab Hasan Ahmed Hasan Ali

Abstract:

The calculation of buckling length factor (K) for steel frames columns is a major and governing processes to determine the dimensions steel frame columns cross sections during design. The buckling length of steel frames columns has a direct effect on the cost (weight) of using cross section. A new formula is required to determine buckling length factor (K) by simplified way. In this research a new formula for buckling length factor (K) was established to determine by accurate method for a limited interval of columns ends rigidity (GA, GB). The new formula can be used ease to evaluate the buckling length factor without needing to complicated equations or difficult charts.

Keywords: Buckling length, New formula, Curve fitting, Simplification, Steel column design.

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8947 Arc Length of Rational Bezier Curves and Use for CAD Reparametrization

Authors: Maharavo Randrianarivony

Abstract:

The length  of a given rational B'ezier curve is efficiently estimated. Since a rational B'ezier function is nonlinear, it is usually impossible to evaluate its length exactly. The length is approximated by using subdivision and the accuracy of the approximation n is investigated. In order to improve the efficiency, adaptivity is used with some length estimator. A rigorous theoretical analysis of the rate of convergence of n to  is given. The required number of subdivisions to attain a prescribed accuracy is also analyzed. An application to CAD parametrization is briefly described. Numerical results are reported to supplement the theory.

Keywords: Adaptivity, Length, Parametrization, Rational Bezier

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8946 Solving 94-bit ECDLP with 70 Computers in Parallel

Authors: Shunsuke Miyoshi, Yasuyuki Nogami, Takuya Kusaka, Nariyoshi Yamai

Abstract:

Elliptic curve discrete logarithm problem(ECDLP) is one of problems on which the security of pairing-based cryptography is based. This paper considers Pollard’s rho method to evaluate the security of ECDLP on Barreto-Naehrig(BN) curve that is an efficient pairing-friendly curve. Some techniques are proposed to make the rho method efficient. Especially, the group structure on BN curve, distinguished point method, and Montgomery trick are well-known techniques. This paper applies these techniques and shows its optimization. According to the experimental results for which a large-scale parallel system with MySQL is applied, 94-bit ECDLP was solved about 28 hours by parallelizing 71 computers.

Keywords: Pollard’s rho method, BN curve, Montgomery multiplication.

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8945 The Control Vector Scheme for Design of Planar Primitive PH curves

Authors: Ching-Shoei Chiang, Sheng-Hsin Tsai, James Chen

Abstract:

The PH curve can be constructed by given parameters, but the shape of the curve is not so easy to image from the value of the parameters. On the contract, Bézier curve can be constructed by the control polygon, and from the control polygon, we can image the figure of the curve. In this paper, we want to use the hodograph of Bézier curve to construct PH curve by selecting part of the control vectors, and produce other control vectors, so the property of PH curve exists.

Keywords: PH curve, hodograph, Bézier curve.

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8944 Robust Heart Sounds Segmentation Based on the Variation of the Phonocardiogram Curve Length

Authors: Mecheri Zeid Belmecheri, Maamar Ahfir, Izzet Kale

Abstract:

Automatic cardiac auscultation is still a subject of research in order to establish an objective diagnosis. Recorded heart sounds as Phonocardiogram (PCG) signals can be used for automatic segmentation into components that have clinical meanings. These are the first sound, S1, the second sound, S2, and the systolic and diastolic components, respectively. In this paper, an automatic method is proposed for the robust segmentation of heart sounds. This method is based on calculating an intermediate sawtooth-shaped signal from the length variation of the recorded PCG signal in the time domain and, using its positive derivative function that is a binary signal in training a Recurrent Neural Network (RNN). Results obtained in the context of a large database of recorded PCGs with their simultaneously recorded Electrocardiograms (ECGs) from different patients in clinical settings, including normal and abnormal subjects, show on average a segmentation testing performance average of 76% sensitivity and 94% specificity.

Keywords: Heart sounds, PCG segmentation, event detection, Recurrent Neural Networks, PCG curve length.

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8943 Comparison of the Distillation Curve Obtained Experimentally with the Curve Extrapolated by a Commercial Simulator

Authors: Lívia B. Meirelles, Erika C. A. N. Chrisman, Flávia B. de Andrade, Lilian C. M. de Oliveira

Abstract:

True Boiling Point distillation (TBP) is one of the most common experimental techniques for the determination of petroleum properties. This curve provides information about the performance of petroleum in terms of its cuts. The experiment is performed in a few days. Techniques are used to determine the properties faster with a software that calculates the distillation curve when a little information about crude oil is known. In order to evaluate the accuracy of distillation curve prediction, eight points of the TBP curve and specific gravity curve (348 K and 523 K) were inserted into the HYSYS Oil Manager, and the extended curve was evaluated up to 748 K. The methods were able to predict the curve with the accuracy of 0.6%-9.2% error (Software X ASTM), 0.2%-5.1% error (Software X Spaltrohr).

Keywords: Distillation curve, petroleum distillation, simulation, true boiling point curve.

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8942 On-line Lao Handwritten Recognition with Proportional Invariant Feature

Authors: Khampheth Bounnady, Boontee Kruatrachue, Somkiat Wangsiripitak

Abstract:

This paper proposed high level feature for online Lao handwritten recognition. This feature must be high level enough so that the feature is not change when characters are written by different persons at different speed and different proportion (shorter or longer stroke, head, tail, loop, curve). In this high level feature, a character is divided in to sequence of curve segments where a segment start where curve reverse rotation (counter clockwise and clockwise). In each segment, following features are gathered cumulative change in direction of curve (- for clockwise), cumulative curve length, cumulative length of left to right, right to left, top to bottom and bottom to top ( cumulative change in X and Y axis of segment). This feature is simple yet robust for high accuracy recognition. The feature can be gather from parsing the original time sampling sequence X, Y point of the pen location without re-sampling. We also experiment on other segmentation point such as the maximum curvature point which was widely used by other researcher. Experiments results show that the recognition rates are at 94.62% in comparing to using maximum curvature point 75.07%. This is due to a lot of variations of turning points in handwritten.

Keywords: Handwritten feature, chain code, Lao handwritten recognition.

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8941 Accurate Dimensional Measurement of 3D Round Holes Based on Stereo Vision

Authors: Zhiguo Ren, Lilong Cai

Abstract:

This paper present an effective method to accurately reconstruct and measure the 3D curve edges of small industrial parts based on stereo vision. To effectively fit the curve of the measured parts using a series of line segments in the images, a strategy from coarse to fine is employed based on multi-scale curve fitting. After reconstructing the 3D curve of a hole through a curved surface, its axis is adjusted so that it is parallel to the Z axis with least squares error and the dimensions of the hole can be calculated on the XY plane easily. Experimental results show that the presented method can accurately measure the dimensions of round holes through a curved surface.

Keywords: Stereo Vision, 3D Round Hole Measurement, Curve Fitting, 3D Curve Reconstruction, Least Squares Error.

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8940 ROC Analysis of PVC Detection Algorithm using ECG and Vector-ECG Charateristics

Authors: J. S. Nah, A. Y. Jeon, J. H. Ro, G. R. Jeon

Abstract:

ECG analysis method was developed using ROC analysis of PVC detecting algorithm. ECG signal of MIT-BIH arrhythmia database was analyzed by MATLAB. First of all, the baseline was removed by median filter to preprocess the ECG signal. R peaks were detected for ECG analysis method, and normal VCG was extracted for VCG analysis method. Four PVC detecting algorithm was analyzed by ROC curve, which parameters are maximum amplitude of QRS complex, width of QRS complex, r-r interval and geometric mean of VCG. To set cut-off value of parameters, ROC curve was estimated by true-positive rate (sensitivity) and false-positive rate. sensitivity and false negative rate (specificity) of ROC curve calculated, and ECG was analyzed using cut-off value which was estimated from ROC curve. As a result, PVC detecting algorithm of VCG geometric mean have high availability, and PVC could be detected more accurately with amplitude and width of QRS complex.

Keywords: Vectorcardiogram (VCG), Premature Ventricular contraction (PVC), ROC (receiver operating characteristic) curve, ECG

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8939 Dynamic Voltage Stability Estimation using Particle Filter

Authors: Osea Zebua, Norikazu Ikoma, Hiroshi Maeda

Abstract:

Estimation of voltage stability based on optimal filtering method is presented. PV curve is used as a tool for voltage stability analysis. Dynamic voltage stability estimation is done by using particle filter method. Optimum value (nose point) of PV curve can be estimated by estimating parameter of PV curve equation optimal value represents critical voltage and condition at specified point of measurement. Voltage stability is then estimated by analyzing loading margin condition c stimating equation. This maximum loading ecified dynamically.

Keywords: normalized PV curve, optimal filtering method particle filter, voltage stability.

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8938 Detection of Keypoint in Press-Fit Curve Based on Convolutional Neural Network

Authors: Shoujia Fang, Guoqing Ding, Xin Chen

Abstract:

The quality of press-fit assembly is closely related to reliability and safety of product. The paper proposed a keypoint detection method based on convolutional neural network to improve the accuracy of keypoint detection in press-fit curve. It would provide an auxiliary basis for judging quality of press-fit assembly. The press-fit curve is a curve of press-fit force and displacement. Both force data and distance data are time-series data. Therefore, one-dimensional convolutional neural network is used to process the press-fit curve. After the obtained press-fit data is filtered, the multi-layer one-dimensional convolutional neural network is used to perform the automatic learning of press-fit curve features, and then sent to the multi-layer perceptron to finally output keypoint of the curve. We used the data of press-fit assembly equipment in the actual production process to train CNN model, and we used different data from the same equipment to evaluate the performance of detection. Compared with the existing research result, the performance of detection was significantly improved. This method can provide a reliable basis for the judgment of press-fit quality.

Keywords: Keypoint detection, curve feature, convolutional neural network, press-fit assembly.

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8937 Generating Arabic Fonts Using Rational Cubic Ball Functions

Authors: Fakharuddin Ibrahim, Jamaludin Md. Ali, Ahmad Ramli

Abstract:

In this paper, we will discuss about the data interpolation by using the rational cubic Ball curve. To generate a curve with a better and satisfactory smoothness, the curve segments must be connected with a certain amount of continuity. The continuity that we will consider is of type G1 continuity. The conditions considered are known as the G1 Hermite condition. A simple application of the proposed method is to generate an Arabic font satisfying the required continuity.

Keywords: Continuity, data interpolation, Hermite condition, rational Ball curve.

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8936 Incorporation of Long-Term Redundancy in ECG Time Domain Compression Methods through Curve Simplification and Block-Sorting

Authors: Bachir Boucheham, Youcef Ferdi, Mohamed Chaouki Batouche

Abstract:

We suggest a novel method to incorporate longterm redundancy (LTR) in signal time domain compression methods. The proposition is based on block-sorting and curve simplification. The proposition is illustrated on the ECG signal as a post-processor for the FAN method. Test applications on the new so-obtained FAN+ method using the MIT-BIH database show substantial improvement of the compression ratio-distortion behavior for a higher quality reconstructed signal.

Keywords: ECG compression, Long-term redundancy, Block-sorting, Curve Simplification.

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8935 Novel Method for Elliptic Curve Multi-Scalar Multiplication

Authors: Raveen R. Goundar, Ken-ichi Shiota, Masahiko Toyonaga

Abstract:

The major building block of most elliptic curve cryptosystems are computation of multi-scalar multiplication. This paper proposes a novel algorithm for simultaneous multi-scalar multiplication, that is by employing addition chains. The previously known methods utilizes double-and-add algorithm with binary representations. In order to accomplish our purpose, an efficient empirical method for finding addition chains for multi-exponents has been proposed.

Keywords: elliptic curve cryptosystems, multi-scalar multiplication, addition chains, Fibonacci sequence.

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8934 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.

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8933 Approximating Maximum Speed on Road from Curvature Information of Bezier Curve

Authors: M. Y. Misro, A. Ramli, J. M. Ali

Abstract:

Bezier curves have useful properties for path generation problem, for instance, it can generate the reference trajectory for vehicles to satisfy the path constraints. Both algorithms join cubic Bezier curve segment smoothly to generate the path. Some of the useful properties of Bezier are curvature. In mathematics, curvature is the amount by which a geometric object deviates from being flat, or straight in the case of a line. Another extrinsic example of curvature is a circle, where the curvature is equal to the reciprocal of its radius at any point on the circle. The smaller the radius, the higher the curvature thus the vehicle needs to bend sharply. In this study, we use Bezier curve to fit highway-like curve. We use different approach to find the best approximation for the curve so that it will resembles highway-like curve. We compute curvature value by analytical differentiation of the Bezier Curve. We will then compute the maximum speed for driving using the curvature information obtained. Our research works on some assumptions; first, the Bezier curve estimates the real shape of the curve which can be verified visually. Even though, fitting process of Bezier curve does not interpolate exactly on the curve of interest, we believe that the estimation of speed are acceptable. We verified our result with the manual calculation of the curvature from the map.

Keywords: Speed estimation, path constraints, reference trajectory, Bezier curve.

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8932 Statistical Description of Counterpoise Effective Length Based On Regressive Formulas

Authors: Petar Sarajcev, Josip Vasilj, Damir Jakus

Abstract:

This paper presents a novel statistical description of the counterpoise effective length due to lightning surges, where the (impulse) effective length had been obtained by means of regressive formulas applied to the transient simulation results. The effective length is described in terms of a statistical distribution function, from which median, mean, variance, and other parameters of interest could be readily obtained. The influence of lightning current amplitude, lightning front duration, and soil resistivity on the effective length has been accounted for, assuming statistical nature of these parameters. A method for determining the optimal counterpoise length, in terms of the statistical impulse effective length, is also presented. It is based on estimating the number of dangerous events associated with lightning strikes. Proposed statistical description and the associated method provide valuable information which could aid the design engineer in optimising physical lengths of counterpoises in different grounding arrangements and soil resistivity situations.

Keywords: Counterpoise, Grounding conductor, Effective length, Lightning, Monte Carlo method, Statistical distribution.

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8931 Extraction of Graphene-Titanium Contact Resistances using Transfer Length Measurement and a Curve-Fit Method

Authors: Johanna Anteroinen, Wonjae Kim, Kari Stadius, Juha Riikonen, Harri Lipsanen, Jussi Ryynanen

Abstract:

Graphene-metal contact resistance limits the performance of graphene-based electrical devices. In this work, we have fabricated both graphene field-effect transistors (GFET) and transfer length measurement (TLM) test devices with titanium contacts. The purpose of this work is to compare the contact resistances that can be numerically extracted from the GFETs and measured from the TLM structures. We also provide a brief review of the work done in the field to solve the contact resistance problem.

Keywords: Contact resistance, graphene, TLM

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8930 A Simple Method for Tracing PV Curve of a Radial Transmission Line

Authors: Asfar Ali Khan

Abstract:

Analytical expression for maximum power transfer through a transmission line limited by voltage stability has been formulated using exact representation of transmission line with ABCD parameters. The expression has been used for plotting PV curve at different power factors of a radial transmission line. Limiting values of reactive power have been obtained.

Keywords: Power Transfer, PV Curve, Voltage Stability.

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8929 Preparing the Curve Number (CN) and Surface Runoff Coefficient (C) Map of the Basin in the Aghche Watershed, Iran

Authors: Ali Gholami, Ebrahim Panahpour, Amir Hossein Davami

Abstract:

In this research, a part of Aghche basin in Isfahan province with an area about 2000 hectars, was chosen to be obtain curve number coefficient runoff and W indicator in second Cook method By using aerial photos 1968 and 1995, the satellite data of the IRS in 2008. Then the process of land use changes in the period of study and its effect on the changes of curve number (CN), W indicator and surface runoff coefficient (C) of the basin was investigated. These results showed that on the track of these land use changes the weight averages curve number (CN), surface runoff coefficient (C) and W indicator of the basin were increased to 0.92, 0.02 and 0.78 unit in the first period of study and 1.18, 0.03, 0.99 Unit in the second period of study respectively.

Keywords: Aghche Watershed, Curve Numbers (CV), Land UseChanges, Surface Runoff Coefficient(C) Map, W indicator

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8928 Nonlinear Dynamics of Cracked RC Beams under Harmonic Excitation

Authors: Atul Krishna Banik

Abstract:

Nonlinear response behaviour of a cracked RC beam under harmonic excitation is analysed to investigate various instability phenomena like, bifurcation, jump phenomena etc. The nonlinearity of the system arises due to opening and closing of the cracks in the RC beam and is modelled as a cubic polynomial. In order to trace different branches at the bifurcation point on the response curve (amplitude versus frequency of excitation plot), an arc length continuation technique along with the incremental harmonic balance (IHBC) method is employed. The stability of the solution is investigated by the Floquet theory using Hsu-s scheme. The periodic solutions obtained by the IHBC method are compared with these obtained by the numerical integration of the equation of motion. Characteristics of solutions fold bifurcation, jump phenomena and from stable to unstable zones are identified.

Keywords: Incremental harmonic balance, arc-length continuation, bifurcation, jump phenomena.

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8927 Hydrological Method to Evaluate Environmental Flow (Case Study: Gharasou River, Ardabil)

Authors: Mehdi Fuladipanah, Mehdi Jorabloo

Abstract:

Water flow management is one of the most important parts of river engineering. Non-uniformity distribution of rainfall and various flow demand with unreasonable flow management will be caused destroyed of river ecosystem. Then, it is very serious to determine ecosystem flow requirement. In this paper, Flow duration curve indices method which has hydrological based was used to evaluate environmental flow in Gharasou River, Ardabil, Iran. Using flow duration curve, Q90 and Q95 for different return periods were calculated. Their magnitude were determined as 1-day, 3-day, 7-day and 30 day. According the second method, hydraulic alteration indices often had low and medium range. In order to maintain river at an acceptable ecological condition, minimum daily discharge of index Q95 is 0.7 m3.s-1.

Keywords: Ardabil, Environmental flow, Flow Duration Curve, Gharasou River.

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8926 A Method to Calculate Frenet Apparatus of W-Curves in the Euclidean 6-Space

Authors: Süha Yılmaz, Melih Turgut

Abstract:

These In this work, a regular unit speed curve in six dimensional Euclidean space, whose Frenet curvatures are constant, is considered. Thereafter, a method to calculate Frenet apparatus of this curve is presented.

Keywords: Classical Differential Geometry, Euclidean 6-space, Frenet Apparatus of the curves.

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8925 Parametric Transition as a Spiral Curve and Its Application in Spur Gear Tooth with FEA

Authors: S. H. Yahaya, J. M. Ali, T.A. Abdullah

Abstract:

The exploration of this paper will focus on the Cshaped transition curve. This curve is designed by using the concept of circle to circle where one circle lies inside other. The degree of smoothness employed is curvature continuity. The function used in designing the C-curve is Bézier-like cubic function. This function has a low degree, flexible for the interactive design of curves and surfaces and has a shape parameter. The shape parameter is used to control the C-shape curve. Once the C-shaped curve design is completed, this curve will be applied to design spur gear tooth. After the tooth design procedure is finished, the design will be analyzed by using Finite Element Analysis (FEA). This analysis is used to find out the applicability of the tooth design and the gear material that chosen. In this research, Cast Iron 4.5 % Carbon, ASTM A-48 is selected as a gear material.

Keywords: Bézier-like cubic function, Curvature continuity, Cshapedtransition curve, Spur gear tooth.

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8924 Impact of the Operation and Infrastructure Parameters to the Railway Track Capacity

Authors: Martin Kendra, Jaroslav Mašek, Juraj Čamaj, Matej Babin

Abstract:

The railway transport is considered as a one of the most environmentally friendly mode of transport. With future prediction of increasing of freight transport there are lines facing problems with demanded capacity. Increase of the track capacity could be achieved by infrastructure constructive adjustments. The contribution shows how the travel time can be minimized and the track capacity increased by changing some of the basic infrastructure and operation parameters, for example, the minimal curve radius of the track, the number of tracks, or the usable track length at stations. Calculation of the necessary parameter changes is based on the fundamental physical laws applied to the train movement, and calculation of the occupation time is dependent on the changes of controlling the traffic between the stations.

Keywords: Curve radius, maximum curve speed, track mass capacity, reconstruction.

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8923 A Bathtub Curve from Nonparametric Model

Authors: Eduardo C. Guardia, Jose W. M. Lima, Afonso H. M. Santos

Abstract:

This paper presents a nonparametric method to obtain the hazard rate “Bathtub curve” for power system components. The model is a mixture of the three known phases of a component life, the decreasing failure rate (DFR), the constant failure rate (CFR) and the increasing failure rate (IFR) represented by three parametric Weibull models. The parameters are obtained from a simultaneous fitting process of the model to the Kernel nonparametric hazard rate curve. From the Weibull parameters and failure rate curves the useful lifetime and the characteristic lifetime were defined. To demonstrate the model the historic time-to-failure of distribution transformers were used as an example. The resulted “Bathtub curve” shows the failure rate for the equipment lifetime which can be applied in economic and replacement decision models.

Keywords: Bathtub curve, failure analysis, lifetime estimation, parameter estimation, Weibull distribution.

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8922 Determination the Curve Number Catchment by Using GIS and Remote Sensing

Authors: Abouzar Nasiri, Hamid Alipur

Abstract:

In recent years, geographic information systems (GIS) and remote sensing using has increased to estimate runoff catchment. In this research, runoff curve number maps for captive catchment of Tehran by helping GIS and also remote sensing which based on factors such as vegetation, lands using, group of soil hydrology and hydrological conditions were obtained. Runoff curve numbers map was obtained by combining these maps in ARC GIS and SCS table. To evaluate the accuracy of the results, the maximum flow rate of flood which was obtained from curve numbers, was compared with the measured maximum flood rate at the watershed outlet and correctness of curve numbers were approved.

Keywords: Curve number, GIS, Remote sensing, Runoff.

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8921 Generalized Method for Estimating Best-Fit Vertical Alignments for Profile Data

Authors: Said M. Easa, Shinya Kikuchi

Abstract:

When the profile information of an existing road is missing or not up-to-date and the parameters of the vertical alignment are needed for engineering analysis, the engineer has to recreate the geometric design features of the road alignment using collected profile data. The profile data may be collected using traditional surveying methods, global positioning systems, or digital imagery. This paper develops a method that estimates the parameters of the geometric features that best characterize the existing vertical alignments in terms of tangents and the expressions of the curve, that may be symmetrical, asymmetrical, reverse, and complex vertical curves. The method is implemented using an Excel-based optimization method that minimizes the differences between the observed profile and the profiles estimated from the equations of the vertical curve. The method uses a 'wireframe' representation of the profile that makes the proposed method applicable to all types of vertical curves. A secondary contribution of this paper is to introduce the properties of the equal-arc asymmetrical curve that has been recently developed in the highway geometric design field.

Keywords: Optimization, parameters, data, reverse, spreadsheet, vertical curves

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8920 Probabilistic Model Development for Project Performance Forecasting

Authors: Milad Eghtedari Naeini, Gholamreza Heravi

Abstract:

In this paper, based on the past project cost and time performance, a model for forecasting project cost performance is developed. This study presents a probabilistic project control concept to assure an acceptable forecast of project cost performance. In this concept project activities are classified into sub-groups entitled control accounts. Then obtain the Stochastic S-Curve (SS-Curve), for each sub-group and the project SS-Curve is obtained by summing sub-groups- SS-Curves. In this model, project cost uncertainties are considered through Beta distribution functions of the project activities costs required to complete the project at every selected time sections through project accomplishment, which are extracted from a variety of sources. Based on this model, after a percentage of the project progress, the project performance is measured via Earned Value Management to adjust the primary cost probability distribution functions. Then, accordingly the future project cost performance is predicted by using the Monte-Carlo simulation method.

Keywords: Monte Carlo method, Probabilistic model, Project forecasting, Stochastic S-curve

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8919 A Hybrid Particle Swarm Optimization-Nelder- Mead Algorithm (PSO-NM) for Nelson-Siegel- Svensson Calibration

Authors: Sofia Ayouche, Rachid Ellaia, Rajae Aboulaich

Abstract:

Today, insurers may use the yield curve as an indicator evaluation of the profit or the performance of their portfolios; therefore, they modeled it by one class of model that has the ability to fit and forecast the future term structure of interest rates. This class of model is the Nelson-Siegel-Svensson model. Unfortunately, many authors have reported a lot of difficulties when they want to calibrate the model because the optimization problem is not convex and has multiple local optima. In this context, we implement a hybrid Particle Swarm optimization and Nelder Mead algorithm in order to minimize by least squares method, the difference between the zero-coupon curve and the NSS curve.

Keywords: Optimization, zero-coupon curve, Nelson-Siegel- Svensson, Particle Swarm Optimization, Nelder-Mead Algorithm.

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