Search results for: Quartic Splines.
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 25

Search results for: Quartic Splines.

25 Numerical Treatment of Matrix Differential Models Using Matrix Splines

Authors: Kholod M. Abualnaja

Abstract:

This paper consider the solution of the matrix differential models using quadratic, cubic, quartic, and quintic splines. Also using the Taylor’s and Picard’s matrix methods, one illustrative example is included.

Keywords: Matrix Splines, Cubic Splines, Quartic Splines.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1704
24 Quartic Nonpolynomial Spline Solutions for Third Order Two-Point Boundary Value Problem

Authors: Talaat S. El-Danaf

Abstract:

In this paper, we develop quartic nonpolynomial spline method for the numerical solution of third order two point boundary value problems. It is shown that the new method gives approximations, which are better than those produced by other spline methods. Convergence analysis of the method is discussed through standard procedures. Two numerical examples are given to illustrate the applicability and efficiency of the novel method.

Keywords: Quartic nonpolynomial spline, Two-point boundary value problem.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2010
23 Injection Forging of Splines Using Numerical and Experimental Study

Authors: M.Zadshakoyan, H.Jafarzadeh, E.Abdi Sobbouhi

Abstract:

Injection forging is a Nett-shape manufacturing process in which one or two punches move axially causing a radial flow into a die cavity in a form which is prescribed by the exitgeometry, such as pulley, flanges, gears and splines on a shaft. This paper presents an experimental and numerical study of the injection forging of splines in terms of load requirement and material flow. Three dimensional finite element analyses are used to investigate the effect of some important parameters in this process. The experiment has been carried out using solid commercial lead billets with two different billet diameters and four different dies.

Keywords: Injection forging, splines, material flow, FEM

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1775
22 Application of Higher Order Splines for Boundary Value Problems

Authors: Pankaj Kumar Srivastava

Abstract:

Bringing forth a survey on recent higher order spline techniques for solving boundary value problems in ordinary differential equations. Here we have discussed the summary of the articles since 2000 till date based on higher order splines like Septic, Octic, Nonic, Tenth, Eleventh, Twelfth and Thirteenth Degree splines. Comparisons of methods with own critical comments as remarks have been included.

Keywords: Septic spline, Octic spline, Nonic spline, Tenth, Eleventh, Twelfth and Thirteenth Degree spline, parametric and non-parametric splines, thermal instability, astrophysics.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2769
21 Generalization Kernel for Geopotential Approximation by Harmonic Splines

Authors: Elena Kotevska

Abstract:

This paper presents a generalization kernel for gravitational potential determination by harmonic splines. It was shown in [10] that the gravitational potential can be approximated using a kernel represented as a Newton integral over the real Earth body. On the other side, the theory of geopotential approximation by harmonic splines uses spherically oriented kernels. The purpose of this paper is to show that in the spherical case both kernels have the same type of representation, which leads us to conclusion that it is possible to consider the kernel represented as a Newton integral over the real Earth body as a kind of generalization of spherically harmonic kernels to real geometries.

Keywords: Geopotential, Reproducing Kernel, Approximation, Regular Surface

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1297
20 Numerical Solution for Integro-Differential Equations by Using Quartic B-Spline Wavelet and Operational Matrices

Authors: Khosrow Maleknejad, Yaser Rostami

Abstract:

In this paper, Semi-orthogonal B-spline scaling functions and wavelets and their dual functions are presented to approximate the solutions of integro-differential equations.The B-spline scaling functions and wavelets, their properties and the operational matrices of derivative for this function are presented to reduce the solution of integro-differential equations to the solution of algebraic equations. Here we compute B-spline scaling functions of degree 4 and their dual, then we will show that by using them we have better approximation results for the solution of integro-differential equations in comparison with less degrees of scaling functions

Keywords: Integro-differential equations, Quartic B-spline wavelet, Operational matrices.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3153
19 Variational Evolutionary Splines for Solving a Model of Temporomandibular Disorders

Authors: Alberto Hananel

Abstract:

The aim of this work is to modelize the occlusion of a person with temporomandibular disorders as an evolutionary equation and approach its solution by the construction and characterizing of discrete variational splines. To formulate the problem, certain boundary conditions have been considered. After showing the existence and the uniqueness of the solution of such a problem, a convergence result of a discrete variational evolutionary spline is shown. A stress analysis of the occlusion of a human jaw with temporomandibular disorders by finite elements is carried out in FreeFem++ in order to prove the validity of the presented method.

Keywords: Approximation, evolutionary PDE, finite element method, temporomandibular disorders, variational spline.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1586
18 Mixture Design Experiment on Flow Behaviour of O/W Emulsions as Affected by Polysaccharide Interactions

Authors: Nor Hayati Ibrahim, Yaakob B. Che Man, Chin Ping Tan, Nor Aini Idris

Abstract:

Interaction effects of xanthan gum (XG), carboxymethyl cellulose (CMC), and locust bean gum (LBG) on the flow properties of oil-in-water emulsions were investigated by a mixture design experiment. Blends of XG, CMC and LBG were prepared according to an augmented simplex-centroid mixture design (10 points) and used at 0.5% (wt/wt) in the emulsion formulations. An appropriate mathematical model was fitted to express each response as a function of the proportions of the blend components that are able to empirically predict the response to any blend of combination of the components. The synergistic interaction effect of the ternary XG:CMC:LBG blends at approximately 33-67% XG levels was shown to be much stronger than that of the binary XG:LBG blend at 50% XG level (p < 0.05). Nevertheless, an antagonistic interaction effect became significant as CMC level in blends was more than 33% (p < 0.05). Yield stress and apparent viscosity (at 10 s-1) responses were successfully fitted with a special quartic model while flow behaviour index and consistency coefficient were fitted with a full quartic model (R2 adjusted ≥ 0.90). This study found that a mixture design approach could serve as a valuable tool in better elucidating and predicting the interaction effects beyond the conventional twocomponent blends.

Keywords: O/W emulsions, flow behavior, polysaccharideinteraction, mixture design.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2220
17 Cubic Splines and Fourier Series Approach to Study Temperature Variation in Dermal Layers of Elliptical Shaped Human Limbs

Authors: Mamta Agrawal, Neeru Adlakha, K.R. Pardasani

Abstract:

An attempt has been made to develop a seminumerical model to study temperature variations in dermal layers of human limbs. The model has been developed for two dimensional steady state case. The human limb has been assumed to have elliptical cross section. The dermal region has been divided into three natural layers namely epidermis, dermis and subdermal tissues. The model incorporates the effect of important physiological parameters like blood mass flow rate, metabolic heat generation, and thermal conductivity of the tissues. The outer surface of the limb is exposed to the environment and it is assumed that heat loss takes place at the outer surface by conduction, convection, radiation, and evaporation. The temperature of inner core of the limb also varies at the lower atmospheric temperature. Appropriate boundary conditions have been framed based on the physical conditions of the problem. Cubic splines approach has been employed along radial direction and Fourier series along angular direction to obtain the solution. The numerical results have been computed for different values of eccentricity resembling with the elliptic cross section of the human limbs. The numerical results have been used to obtain the temperature profile and to study the relationships among the various physiological parameters.

Keywords: Blood Mass Flow Rate, Metabolic Heat Generation, Fourier Series, Cubic splines and Thermal Conductivity.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1800
16 Comparison of Multivariate Adaptive Regression Splines and Random Forest Regression in Predicting Forced Expiratory Volume in One Second

Authors: P. V. Pramila, V. Mahesh

Abstract:

Pulmonary Function Tests are important non-invasive diagnostic tests to assess respiratory impairments and provides quantifiable measures of lung function. Spirometry is the most frequently used measure of lung function and plays an essential role in the diagnosis and management of pulmonary diseases. However, the test requires considerable patient effort and cooperation, markedly related to the age of patients resulting in incomplete data sets. This paper presents, a nonlinear model built using Multivariate adaptive regression splines and Random forest regression model to predict the missing spirometric features. Random forest based feature selection is used to enhance both the generalization capability and the model interpretability. In the present study, flow-volume data are recorded for N= 198 subjects. The ranked order of feature importance index calculated by the random forests model shows that the spirometric features FVC, FEF25, PEF, FEF25-75, FEF50 and the demographic parameter height are the important descriptors. A comparison of performance assessment of both models prove that, the prediction ability of MARS with the `top two ranked features namely the FVC and FEF25 is higher, yielding a model fit of R2= 0.96 and R2= 0.99 for normal and abnormal subjects. The Root Mean Square Error analysis of the RF model and the MARS model also shows that the latter is capable of predicting the missing values of FEV1 with a notably lower error value of 0.0191 (normal subjects) and 0.0106 (abnormal subjects) with the aforementioned input features. It is concluded that combining feature selection with a prediction model provides a minimum subset of predominant features to train the model, as well as yielding better prediction performance. This analysis can assist clinicians with a intelligence support system in the medical diagnosis and improvement of clinical care.

Keywords: FEV1, Multivariate Adaptive Regression Splines Pulmonary Function Test, Random Forest.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3738
15 Interpolation of Geofield Parameters

Authors: A. Pashayev, C. Ardil, R. Sadiqov

Abstract:

Various methods of geofield parameters restoration (by algebraic polynoms; filters; rational fractions; interpolation splines; geostatistical methods – kriging; search methods of nearest points – inverse distance, minimum curvature, local – polynomial interpolation; neural networks) have been analyzed and some possible mistakes arising during geofield surface modeling have been presented.

Keywords: interpolation methods, geofield parameters, neural networks.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1704
14 Monotone Rational Trigonometric Interpolation

Authors: Uzma Bashir, Jamaludin Md. Ali

Abstract:

This study is concerned with the visualization of monotone data using a piecewise C1 rational trigonometric interpolating scheme. Four positive shape parameters are incorporated in the structure of rational trigonometric spline. Conditions on two of these parameters are derived to attain the monotonicity of monotone data and othertwo are leftfree. Figures are used widely to exhibit that the proposed scheme produces graphically smooth monotone curves.

Keywords: Trigonometric splines, Monotone data, Shape preserving, C1 monotone interpolant.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2044
13 A Comparison of Some Splines-Based Methods for the One-dimensional Heat Equation

Authors: Joan Goh, Ahmad Abd. Majid, Ahmad Izani Md. Ismail

Abstract:

In this paper, collocation based cubic B-spline and extended cubic uniform B-spline method are considered for solving one-dimensional heat equation with a nonlocal initial condition. Finite difference and θ-weighted scheme is used for time and space discretization respectively. The stability of the method is analyzed by the Von Neumann method. Accuracy of the methods is illustrated with an example. The numerical results are obtained and compared with the analytical solutions.

Keywords: Heat equation, Collocation based, Cubic Bspline, Extended cubic uniform B-spline.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1905
12 Non-Rigid Registration of Medical Images Using an Automated Method

Authors: Panos Kotsas

Abstract:

This paper presents the application of a signal intensity independent registration criterion for non-rigid body registration of medical images. The criterion is defined as the weighted ratio image of two images. The ratio is computed on a voxel per voxel basis and weighting is performed by setting the ratios between signal and background voxels to a standard high value. The mean squared value of the weighted ratio is computed over the union of the signal areas of the two images and it is minimized using the Chebyshev polynomial approximation. The geometric transformation model adopted is a local cubic B-splines based model.

Keywords: Medical image, non-rigid, registration.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1451
11 Molecular Dynamics Simulation of Lubricant Adsorption and Thermal Depletion Instability

Authors: Bei Li, Qiu B. Chen, Chee H. Wong

Abstract:

In this work, we incorporated a quartic bond potential into a coarse-grained bead-spring model to study lubricant adsorption on a solid surface as well as depletion instability. The surface tension density and the number density profiles were examined to verify the solid-liquid and liquid-vapor interfaces during heat treatment. It was found that both the liquid-vapor interfacial thickness and the solid-vapor separation increase with the temperatureT* when T*is below the phase transition temperature Tc *. At high temperatures (T*>Tc *), the solid-vapor separation decreases gradually as the temperature increases. In addition, we evaluated the lubricant weight and bond loss profiles at different temperatures. It was observed that the lubricant desorption is favored over decomposition and is the main cause of the lubricant failure at the head disk interface in our simulations.

Keywords: Depletion instability, Lubricant film, Thermal adsorption, Molecular dynamics (MD).

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1770
10 Cubic B-spline Collocation Method for Numerical Solution of the Benjamin-Bona-Mahony-Burgers Equation

Authors: M. Zarebnia, R. Parvaz

Abstract:

In this paper, numerical solutions of the nonlinear Benjamin-Bona-Mahony-Burgers (BBMB) equation are obtained by a method based on collocation of cubic B-splines. Applying the Von-Neumann stability analysis, the proposed method is shown to be unconditionally stable. The method is applied on some test examples, and the numerical results have been compared with the exact solutions. The L∞ and L2 in the solutions show the efficiency of the method computationally.

Keywords: Benjamin-Bona-Mahony-Burgers equation, Cubic Bspline, Collocation method, Finite difference.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3694
9 Septic B-spline Collocation Method for Solving One-dimensional Hyperbolic Telegraph Equation

Authors: Marzieh Dosti, Alireza Nazemi

Abstract:

Recently, it is found that telegraph equation is more suitable than ordinary diffusion equation in modelling reaction diffusion for such branches of sciences. In this paper, a numerical solution for the one-dimensional hyperbolic telegraph equation by using the collocation method using the septic splines is proposed. The scheme works in a similar fashion as finite difference methods. Test problems are used to validate our scheme by calculate L2-norm and L∞-norm. The accuracy of the presented method is demonstrated by two test problems. The numerical results are found to be in good agreement with the exact solutions.

Keywords: B-spline, collocation method, second-order hyperbolic telegraph equation, difference schemes.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1797
8 New Technologies for Modeling of Gas Turbine Cooled Blades

Authors: A. Pashayev, D. Askerov, R.Sadiqov, A. Samedov, C. Ardil

Abstract:

In contrast to existing methods which do not take into account multiconnectivity in a broad sense of this term, we develop mathematical models and highly effective combination (BIEM and FDM) numerical methods of calculation of stationary and cvazistationary temperature field of a profile part of a blade with convective cooling (from the point of view of realization on PC). The theoretical substantiation of these methods is proved by appropriate theorems. For it, converging quadrature processes have been developed and the estimations of errors in the terms of A.Ziqmound continuity modules have been received. For visualization of profiles are used: the method of the least squares with automatic conjecture, device spline, smooth replenishment and neural nets. Boundary conditions of heat exchange are determined from the solution of the corresponding integral equations and empirical relationships. The reliability of designed methods is proved by calculation and experimental investigations heat and hydraulic characteristics of the gas turbine 1st stage nozzle blade

Keywords: multiconnected systems, method of the boundary integrated equations, splines, neural networks.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1653
7 Numerical Modeling of Gas Turbine Engines

Authors: A. Pashayev, D. Askerov, C. Ardil, R. Sadiqov

Abstract:

In contrast to existing methods which do not take into account multiconnectivity in a broad sense of this term, we develop mathematical models and highly effective combination (BIEM and FDM) numerical methods of calculation of stationary and quasi-stationary temperature field of a profile part of a blade with convective cooling (from the point of view of realization on PC). The theoretical substantiation of these methods is proved by appropriate theorems. For it, converging quadrature processes have been developed and the estimations of errors in the terms of A.Ziqmound continuity modules have been received. For visualization of profiles are used: the method of the least squares with automatic conjecture, device spline, smooth replenishment and neural nets. Boundary conditions of heat exchange are determined from the solution of the corresponding integral equations and empirical relationships. The reliability of designed methods is proved by calculation and experimental investigations heat and hydraulic characteristics of the gas turbine first stage nozzle blade.

Keywords: Multiconnected systems, method of the boundary integrated equations, splines, neural networks.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1625
6 Optimum Shape and Design of Cooling Towers

Authors: A. M. El Ansary, A. A. El Damatty, A. O. Nassef

Abstract:

The aim of the current study is to develop a numerical tool that is capable of achieving an optimum shape and design of hyperbolic cooling towers based on coupling a non-linear finite element model developed in-house and a genetic algorithm optimization technique. The objective function is set to be the minimum weight of the tower. The geometric modeling of the tower is represented by means of B-spline curves. The finite element method is applied to model the elastic buckling behaviour of a tower subjected to wind pressure and dead load. The study is divided into two main parts. The first part investigates the optimum shape of the tower corresponding to minimum weight assuming constant thickness. The study is extended in the second part by introducing the shell thickness as one of the design variables in order to achieve an optimum shape and design. Design, functionality and practicality constraints are applied.

Keywords: B-splines, Cooling towers, Finite element, Genetic algorithm, Optimization

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3258
5 Numerical Solution of Manning's Equation in Rectangular Channels

Authors: Abdulrahman Abdulrahman

Abstract:

When the Manning equation is used, a unique value of normal depth in the uniform flow exists for a given channel geometry, discharge, roughness, and slope. Depending on the value of normal depth relative to the critical depth, the flow type (supercritical or subcritical) for a given characteristic of channel conditions is determined whether or not flow is uniform. There is no general solution of Manning's equation for determining the flow depth for a given flow rate, because the area of cross section and the hydraulic radius produce a complicated function of depth. The familiar solution of normal depth for a rectangular channel involves 1) a trial-and-error solution; 2) constructing a non-dimensional graph; 3) preparing tables involving non-dimensional parameters. Author in this paper has derived semi-analytical solution to Manning's equation for determining the flow depth given the flow rate in rectangular open channel. The solution was derived by expressing Manning's equation in non-dimensional form, then expanding this form using Maclaurin's series. In order to simplify the solution, terms containing power up to 4 have been considered. The resulted equation is a quartic equation with a standard form, where its solution was obtained by resolving this into two quadratic factors. The proposed solution for Manning's equation is valid over a large range of parameters, and its maximum error is within -1.586%.

Keywords: Channel design, civil engineering, hydraulic engineering, open channel flow, Manning's equation, normal depth, uniform flow.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2287
4 A Review on Higher Order Spline Techniques for Solving Burgers Equation Using B-Spline Methods and Variation of B-Spline Techniques

Authors: Maryam Khazaei Pool, Lori Lewis

Abstract:

This is a summary of articles based on higher order B-splines methods and the variation of B-spline methods such as Quadratic B-spline Finite Elements Method, Exponential Cubic B-Spline Method Septic B-spline Technique, Quintic B-spline Galerkin Method, and B-spline Galerkin Method based on the Quadratic B-spline Galerkin method (QBGM) and Cubic B-spline Galerkin method (CBGM). In this paper we study the B-spline methods and variations of B-spline techniques to find a numerical solution to the Burgers’ equation. A set of fundamental definitions including Burgers equation, spline functions, and B-spline functions are provided. For each method, the main technique is discussed as well as the discretization and stability analysis. A summary of the numerical results is provided and the efficiency of each method presented is discussed. A general conclusion is provided where we look at a comparison between the computational results of all the presented schemes. We describe the effectiveness and advantages of these methods.

Keywords: Burgers’ Equation, Septic B-spline, Modified Cubic B-Spline Differential Quadrature Method, Exponential Cubic B-Spline Technique, B-Spline Galerkin Method, and Quintic B-Spline Galerkin Method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 363
3 Damping and Stability Evaluation for the Dynamical Hunting Motion of the Bullet Train Wheel Axle Equipped with Cylindrical Wheel Treads

Authors: Barenten Suciu

Abstract:

Classical matrix calculus and Routh-Hurwitz stability conditions, applied to the snake-like motion of the conical wheel axle, lead to the conclusion that the hunting mode is inherently unstable, and its natural frequency is a complex number. In order to analytically solve such a complicated vibration model, either the inertia terms were neglected, in the model designated as geometrical, or restrictions on the creep coefficients and yawing diameter were imposed, in the so-called dynamical model. Here, an alternative solution is proposed to solve the hunting mode, based on the observation that the bullet train wheel axle is equipped with cylindrical wheels. One argues that for such wheel treads, the geometrical hunting is irrelevant, since its natural frequency becomes nil, but the dynamical hunting is significant since its natural frequency reduces to a real number. Moreover, one illustrates that the geometrical simplification of the wheel causes the stabilization of the hunting mode, since the characteristic quartic equation, derived for conical wheels, reduces to a quadratic equation of positive coefficients, for cylindrical wheels. Quite simple analytical expressions for the damping ratio and natural frequency are obtained, without applying restrictions into the model of contact. Graphs of the time-depending hunting lateral perturbation, including the maximal and inflexion points, are presented both for the critically-damped and the over-damped wheel axles.

Keywords: Bullet train, dynamical hunting, cylindrical wheels, damping, stability, creep, vibration analysis.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 760
2 Extracting Terrain Points from Airborne Laser Scanning Data in Densely Forested Areas

Authors: Ziad Abdeldayem, Jakub Markiewicz, Kunal Kansara, Laura Edwards

Abstract:

Airborne Laser Scanning (ALS) is one of the main technologies for generating high-resolution digital terrain models (DTMs). DTMs are crucial to several applications, such as topographic mapping, flood zone delineation, geographic information systems (GIS), hydrological modelling, spatial analysis, etc. Laser scanning system generates irregularly spaced three-dimensional cloud of points. Raw ALS data are mainly ground points (that represent the bare earth) and non-ground points (that represent buildings, trees, cars, etc.). Removing all the non-ground points from the raw data is referred to as filtering. Filtering heavily forested areas is considered a difficult and challenging task as the canopy stops laser pulses from reaching the terrain surface. This research presents an approach for removing non-ground points from raw ALS data in densely forested areas. Smoothing splines are exploited to interpolate and fit the noisy ALS data. The presented filter utilizes a weight function to allocate weights for each point of the data. Furthermore, unlike most of the methods, the presented filtering algorithm is designed to be automatic. Three different forested areas in the United Kingdom are used to assess the performance of the algorithm. The results show that the generated DTMs from the filtered data are accurate (when compared against reference terrain data) and the performance of the method is stable for all the heavily forested data samples. The average root mean square error (RMSE) value is 0.35 m.

Keywords: Airborne laser scanning, digital terrain models, filtering, forested areas.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 718
1 Time Series Simulation by Conditional Generative Adversarial Net

Authors: Rao Fu, Jie Chen, Shutian Zeng, Yiping Zhuang, Agus Sudjianto

Abstract:

Generative Adversarial Net (GAN) has proved to be a powerful machine learning tool in image data analysis and generation. In this paper, we propose to use Conditional Generative Adversarial Net (CGAN) to learn and simulate time series data. The conditions include both categorical and continuous variables with different auxiliary information. Our simulation studies show that CGAN has the capability to learn different types of normal and heavy-tailed distributions, as well as dependent structures of different time series. It also has the capability to generate conditional predictive distributions consistent with training data distributions. We also provide an in-depth discussion on the rationale behind GAN and the neural networks as hierarchical splines to establish a clear connection with existing statistical methods of distribution generation. In practice, CGAN has a wide range of applications in market risk and counterparty risk analysis: it can be applied to learn historical data and generate scenarios for the calculation of Value-at-Risk (VaR) and Expected Shortfall (ES), and it can also predict the movement of the market risk factors. We present a real data analysis including a backtesting to demonstrate that CGAN can outperform Historical Simulation (HS), a popular method in market risk analysis to calculate VaR. CGAN can also be applied in economic time series modeling and forecasting. In this regard, we have included an example of hypothetical shock analysis for economic models and the generation of potential CCAR scenarios by CGAN at the end of the paper.

Keywords: Conditional Generative Adversarial Net, market and credit risk management, neural network, time series.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1200