Search results for: approximation

Authors: Ali Safdari-Vaighani

Abstract:

Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation (PIDEs), which is an extension of the Black-Scholes PDE with a new integral term. The aim of this paper is to show how basket option prices in the jump diffusion models, mainly on the Merton model, can be computed using RBF based approximation methods. For a test problem, the RBF-PU method is applied for numerical solution of partial integral differential equation arising from the two-asset European vanilla put options. The numerical result shows the accuracy and efficiency of the presented method.

Keywords: Radial basis function, basket option, jump diffusion, RBF-PUM.

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Authors: N. Ebrahimi, J. Rashidinia

Abstract:

In this paper, numerical solution of system of Fredholm and Volterra integral equations by means of the Spline collocation method is considered. This approximation reduces the system of integral equations to an explicit system of algebraic equations. The solution is collocated by cubic B-spline and the integrand is approximated by the Newton-Cotes formula. The error analysis of proposed numerical method is studied theoretically. The results are compared with the results obtained by other methods to illustrate the accuracy and the implementation of our method.

Keywords: Convergence analysis, Cubic B-spline, Newton- Cotes formula, System of Fredholm and Volterra integral equations.

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Authors: A. Farshidianfar, P. Oliazadeh, M. H. Farshidianfar

Abstract:

In order to study the free vibration of simply supported circular cylindrical shells; an analytical procedure is developed and discussed in detail. To identify its’ validity, the exact technique was applied to four different shell theories 1) Soedel, 2) Flugge, 3) Morley-Koiter, and 4) Donnell. The exact procedure was compared favorably with experimental results and those obtained using the numerical finite element method. A literature review reveals that beam functions are used extensively as an approximation for simply supported boundary conditions. The effects of this approximate method were also investigated on the natural frequencies by comparing results with those of the exact analysis.

Keywords: Circular Cylindrical Shell, Free Vibration, Natural Frequency.

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Authors: Alexander B. Bichkov, Alla A. Mityureva, Valery V. Smirnov

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In present work are considered the scheme of evaluation the transition probability in quantum system. It is based on path integral representation of transition probability amplitude and its evaluation by means of a saddle point method, applied to the part of integration variables. The whole integration process is reduced to initial value problem solutions of Hamilton equations with a random initial phase point. The scheme is related to the semiclassical initial value representation approaches using great number of trajectories. In contrast to them from total set of generated phase paths only one path for each initial coordinate value is selected in Monte Karlo process.

Keywords: Path integral, saddle point method, semiclassical approximation, transition probability

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Authors: M. Mordjaoui, B. Boudjema, M. Chabane, R. Daira

Abstract:

In determining the electromagnetic properties of magnetic materials, hysteresis modeling is of high importance. Many models are available to investigate those characteristics but they tend to be complex and difficult to implement. In this paper a new qualitative hysteresis model for ferromagnetic core is presented, based on the function approximation capabilities of adaptive neuro fuzzy inference system (ANFIS). The proposed ANFIS model combined the neural network adaptive capabilities and the fuzzy logic qualitative approach can restored the hysteresis curve with a little RMS error. The model accuracy is good and can be easily adapted to the requirements of the application by extending or reducing the network training set and thus the required amount of measurement data.

Keywords: ANFIS modeling technique, magnetic hysteresis, Jiles-Atherton model, ferromagnetic core.

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Authors: Noor Atinah Ahmad, Shazia Javed

Abstract:

We present a discussion of three adaptive filtering algorithms well known for their one-step termination property, in terms of their relationship with the minimal residual method. These algorithms are the normalized least mean square (NLMS), Affine Projection algorithm (APA) and the recursive least squares algorithm (RLS). The NLMS is shown to be a result of the orthogonality condition imposed on the instantaneous approximation of the Wiener equation, while APA and RLS algorithm result from orthogonality condition in multi-dimensional minimal residual formulation. Further analysis of the minimal residual formulation for the RLS leads to a triangular system which also possesses the one-step termination property (in exact arithmetic)

Keywords: Adaptive filtering, minimal residual method, projection method.

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Authors: Y. K. Chen, K. C. Chiou, C. Y. Chen

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The cumulative conformance count (CCC) charts are widespread in process monitoring of high-yield manufacturing. Recently, it is found the use of variable sampling interval (VSI) scheme could further enhance the efficiency of the standard CCC charts. The average time to signal (ATS) a shift in defect rate has become traditional measure of efficiency of a chart with the VSI scheme. Determining the ATS is frequently a difficult and tedious task. A simple method based on a finite Markov Chain approach for modeling the ATS is developed. In addition, numerical results are given.

Keywords: Cumulative conformance count, variable sampling interval, Markov Chain, average time to signal, control chart.

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Authors: Y. Boutiche, N. Ramou, M. Ben Gharsallah

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This paper is devoted to present and discuss a model that allows a local segmentation by using statistical information of a given image. It is based on Chan-Vese model, curve evolution, partial differential equations and binary level sets method. The proposed model uses the piecewise constant approximation of Chan-Vese model to compute Signed Pressure Force (SPF) function, this one attracts the curve to the true object(s)-s boundaries. The implemented model is used to extract weld defects from weld radiographic images in the aim to calculate the perimeter and surfaces of those weld defects; encouraged resultants are obtained on synthetic and real radiographic images.

Keywords: Active contour, Chan-Vese Model, local segmentation, weld radiographic images.

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Authors: Abhijit Mitra

Abstract:

A special case of floating point data representation is block floating point format where a block of operands are forced to have a joint exponent term. This paper deals with the finite wordlength properties of this data format. The theoretical errors associated with the error model for block floating point quantization process is investigated with the help of error distribution functions. A fast and easy approximation formula for calculating signal-to-noise ratio in quantization to block floating point format is derived. This representation is found to be a useful compromise between fixed point and floating point format due to its acceptable numerical error properties over a wide dynamic range.

Keywords: Block floating point, Roundoff error, Block exponent dis-tribution fuction, Signal factor.

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Authors: Veni.S , K.A.Narayanankutty

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For about two decades scientists have been developing techniques for enhancing the quality of medical images using Fourier transform, DWT (Discrete wavelet transform),PDE model etc., Gabor wavelet on hexagonal sampled grid of the images is proposed in this work. This method has optimal approximation theoretic performances, for a good quality image. The computational cost is considerably low when compared to similar processing in the rectangular domain. As X-ray images contain light scattered pixels, instead of unique sigma, the parameter sigma of 0.5 to 3 is found to satisfy most of the image interpolation requirements in terms of high Peak Signal-to-Noise Ratio (PSNR) , lower Mean Squared Error (MSE) and better image quality by adopting windowing technique.

Keywords: Hexagonal lattices, Gabor filter, Interpolation, imageprocessing.

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Authors: Panos D. Kotsas

Abstract:

This paper presents the application of a signal intensity independent registration criterion for 2D rigid body registration of medical images using 1D binary projections. The criterion is defined as the weighted ratio of two projections. The ratio is computed on a pixel per pixel basis and weighting is performed by setting the ratios between one and zero pixels to a standard high value. The mean squared value of the weighted ratio is computed over the union of the one areas of the two projections and it is minimized using the Chebyshev polynomial approximation using n=5 points. The sum of x and y projections is used for translational adjustment and a 45deg projection for rotational adjustment. 20 T1- T2 registration experiments were performed and gave mean errors 1.19deg and 1.78 pixels. The method is suitable for contour/surface matching. Further research is necessary to determine the robustness of the method with regards to threshold, shape and missing data.

Keywords: Medical image, projections, registration, rigid.

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Authors: Tugrul Oktay, Mehmet Konar, Mustafa Soylak, Firat Sal, Murat Onay, Orhan Kizilkaya

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In this paper, autonomous performance of a small manufactured unmanned helicopter is tried to be increased. For this purpose, a small unmanned helicopter is manufactured in Erciyes University, Faculty of Aeronautics and Astronautics. It is called as ZANKA-Heli-I. For performance maximization, autopilot parameters are determined via minimizing a cost function consisting of flight performance parameters such as settling time, rise time, overshoot during trajectory tracking. For this purpose, a stochastic optimization method named as simultaneous perturbation stochastic approximation is benefited. Using this approach, considerable autonomous performance increase (around %23) is obtained.

Keywords: Small helicopters, hierarchical control, stochastic optimization, autonomous performance maximization, autopilots.

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Authors: M. Babaeipour, M. Vejdanihemmat

Abstract:

Optical properties of bulk and thin film of 1H-CaAlSi for two directions (1,0,0) and (0,0,1) were studied. The calculations are carried out by Density Functional Theory (DFT) method using full potential. GGA approximation was used to calculate exchange-correlation energy. The calculations are performed by WIEN2k package. The results showed that the absorption edge is shifted backward 0.82eV in the thin film than the bulk for both directions. The static values of the real part of dielectric function for four cases were obtained. The static values of the refractive index for four cases are calculated too. The reflectivity graphs have shown an intensive difference between the reflectivity of the thin film and the bulk in the ultraviolet region.

Keywords: 1H-CaAlSi, absorption, bulk, optical, thin film.

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Authors: Chinwendu. B. Eleje, Udechukwu P. Egbuhuzor

Abstract:

One of the difficulties encountered in solving nonlinear Boundary Value Problems (BVP) by many researchers is finding approximated solutions with minimum deviations from the exact solutions without so much rigor and complications. In this paper, we propose an approach to solve a two point BVP which involves a combination of Taylor series expansion method and Newton Raphson method. Furthermore, the fourth and sixth order approximated solutions are obtained and we compare their relative error and rate of convergence to the exact solution. Finally, some numerical simulations are presented to show the behavior of the solution and its derivatives.

Keywords: Newton Raphson method, non-linear boundary value problem, Taylor series approximation, Michaelis-Menten equation.

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Authors: Peng Li, Chuanri Li, Tao Li

Abstract:

Reliability allocation is quite important during early design and development stages for a system to apportion its specified reliability goal to subsystems. This paper improves the reliability fuzzy allocation method, and gives concrete processes on determining the factor and sub-factor sets, weight sets, judgment set, and multi-stage fuzzy evaluation. To determine the weight of factor and sub-factor sets, the modified trapezoidal numbers are proposed to reduce errors caused by subjective factors. To decrease the fuzziness in fuzzy division, an approximation method based on linear programming is employed. To compute the explicit values of fuzzy numbers, centroid method of defuzzification is considered. An example is provided to illustrate the application of the proposed reliability allocation method based on fuzzy arithmetic.

Keywords: Reliability allocation, fuzzy arithmetic, allocation weight.

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Authors: Norhashidah Hj. Mohd Ali, Teng Wai Ping

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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.

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Authors: Khosrow Maleknejad, Yaser Rostami

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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.

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Authors: Zina Benouaret, Djamil Aissani

Abstract:

In this work, we introduce the qualitative and quantitative concept of the strong stability method in the risk process modeling two lines of business of the same insurance company or an insurance and re-insurance companies that divide between them both claims and premiums with a certain proportion. The approach proposed is based on the identification of the ruin probability associate to the model considered, with a stationary distribution of a Markov random process called a reversed process. Our objective, after clarifying the condition and the perturbation domain of parameters, is to obtain the stability inequality of the ruin probability which is applied to estimate the approximation error of a model with disturbance parameters by the considered model. In the stability bound obtained, all constants are explicitly written.

Keywords: Markov chain, risk models, ruin probabilities, strong stability analysis.

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Authors: Ashok Kumar Goel, Suresh Chandra Saxena, Surekha Bhanot

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In this work, a Modified Functional Link Artificial Neural Network (M-FLANN) is proposed which is simpler than a Multilayer Perceptron (MLP) and improves upon the universal approximation capability of Functional Link Artificial Neural Network (FLANN). MLP and its variants: Direct Linear Feedthrough Artificial Neural Network (DLFANN), FLANN and M-FLANN have been implemented to model a simulated Water Bath System and a Continually Stirred Tank Heater (CSTH). Their convergence speed and generalization ability have been compared. The networks have been tested for their interpolation and extrapolation capability using noise-free and noisy data. The results show that M-FLANN which is computationally cheap, performs better and has greater generalization ability than other networks considered in the work.

Keywords: DLFANN, FLANN, M-FLANN, MLP

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Authors: S. Balaji, V. Swaminathan, K. Kannan

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The Minimum Weighted Vertex Cover (MWVC) problem is a classic graph optimization NP - complete problem. Given an undirected graph G = (V, E) and weighting function defined on the vertex set, the minimum weighted vertex cover problem is to find a vertex set S V whose total weight is minimum subject to every edge of G has at least one end point in S. In this paper an effective algorithm, called Support Ratio Algorithm (SRA), is designed to find the minimum weighted vertex cover of a graph. Computational experiments are designed and conducted to study the performance of our proposed algorithm. Extensive simulation results show that the SRA can yield better solutions than other existing algorithms found in the literature for solving the minimum vertex cover problem.

Keywords: Weighted vertex cover, vertex support, approximation algorithms, NP-complete problem.

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Authors: Hassan Baghgar Bostan Abad, Ali Yazdian Varjani, Taheri Asghar

Abstract:

Variable speed drives are growing and varying. Drives expanse depend on progress in different part of science like power system, microelectronic, control methods, and so on. Artificial intelligent contains hard computation and soft computation. Artificial intelligent has found high application in most nonlinear systems same as motors drive. Because it has intelligence like human but there are no sentimental against human like angriness and.... Artificial intelligent is used for various points like approximation, control, and monitoring. Because artificial intelligent techniques can use as controller for any system without requirement to system mathematical model, it has been used in electrical drive control. With this manner, efficiency and reliability of drives increase and volume, weight and cost of them decrease.

Keywords: Artificial intelligent, electrical motor, intelligent drive and control,

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Authors: S. Sukparungsee

Abstract:

Generally, the traditional Shewhart p chart has been developed by for charting the binomial data. This chart has been developed using the normal approximation with condition as low defect level and the small to moderate sample size. In real applications, however, are away from these assumptions due to skewness in the exact distribution. In this paper, a modified Exponentially Weighted Moving Average (EWMA) control chat for detecting a change in binomial data by improving square root transformations, namely ISRT p EWMA control chart. The numerical results show that ISRT p EWMA chart is superior to ISRT p chart for small to moderate shifts, otherwise, the latter is better for large shifts.

Keywords: Number of defects, Exponentially Weighted Moving Average, Average Run Length, Square root transformations.

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Authors: A. Jameel, G. A. Harmain, Y. Anand, J. H. Masoodi, F. A. Najar

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The present study investigates the effect of inclusions on the shape and size of crack tip plastic zones in engineering materials subjected to static loads by employing the element free Galerkin method (EFGM). The modeling of the discontinuities produced by cracks and inclusions becomes independent of the grid chosen for analysis. The standard displacement approximation is modified by adding additional enrichment functions, which introduce the effects of different discontinuities into the formulation. The level set method has been used to represent different discontinuities present in the domain. The effect of inclusions on the extent of crack tip plastic zones is investigated by solving some numerical problems by the EFGM.

Keywords: EFGM, stress intensity factors, crack tip plastic zones, inclusions.

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Authors: Hsian Ming Goo

Abstract:

The paper concerns a special approximate algorithm of the square root of the specific positive integer, which is built by the use of the property of positive integer solution of the Pell’s equation, together with using some elementary theorems of matrices, and then takes it to compare with general used the Newton’s method and give a practical numerical example and error analysis; it is unexpected to find its special property: the significant figure of the approximation value of the square root of positive integer will increase one digit by one. It is well useful in some occasions.

Keywords: Special approximate algorithm, square root, Pell’s equation, Newton’s method, error analysis.

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Authors: O. H. Colak, T. C. Destici, S. Ozen, H. Arman, O. Cerezci

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The wavelet transform is one of the most important method used in signal processing. In this study, we have introduced frequency-energy characteristics of local earthquakes using discrete wavelet transform. Frequency-energy characteristic was analyzed depend on difference between P and S wave arrival time and noise within records. We have found that local earthquakes have similar characteristics. If frequency-energy characteristics can be found accurately, this gives us a hint to calculate P and S wave arrival time. It can be seen that wavelet transform provides successful approximation for this. In this study, 100 earthquakes with 500 records were analyzed approximately.

Keywords: Discrete Wavelet Transform, Frequency-EnergyCharacteristics, P and S waves arrival time.

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Authors: Pan Cheng, Jin Huang, Guang Zeng

Abstract:

Elastic boundary eigensolution problems are converted into boundary integral equations by potential theory. The kernels of the boundary integral equations have both the logarithmic and Hilbert singularity simultaneously. We present the mechanical quadrature methods for solving eigensolutions of the boundary integral equations by dealing with two kinds of singularities at the same time. The methods possess high accuracy O(h3) and low computing complexity. The convergence and stability are proved based on Anselone-s collective compact theory. Bases on the asymptotic error expansion with odd powers, we can greatly improve the accuracy of the approximation, and also derive a posteriori error estimate which can be used for constructing self-adaptive algorithms. The efficiency of the algorithms are illustrated by numerical examples.

Keywords: boundary integral equation, extrapolation algorithm, aposteriori error estimate, elasticity.

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Authors: Duy Cuong Nguyen, Ali Makke, Guillaume Montay

Abstract:

This work presents an improved single fiber pull-out test for fiber/matrix interface characterization. This test has been used to study the Inter-Facial Shear Strength ‘IFSS’ of hemp fibers reinforced polypropylene (PP). For this aim, the fiber diameter has been carefully measured using a tomography inspired method. The fiber section contour can then be approximated by a circle or a polygon. The results show that the IFSS is overestimated if the circular approximation is used. The Influence of the molding temperature on the IFSS has also been studied. We find that a molding temperature of 183◦C leads to better interfacial properties. Above or below this temperature the interface strength is reduced.

Keywords: Interface, pull-out, processing, temperature, hemp, polypropylene, composite.

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Authors: Malika.D Kedir-Talha, Mohammed Mehenni

Abstract:

To improve the characterization of blood flows, we propose a method which makes it possible to use the spectral analysis of the Doppler signals. Our calculation induces a reasonable approximation, the error made on estimated speed reflects the fact that speed depends on the flow conditions as well as on measurement parameters like the bore and the volume flow rate. The estimate of the Doppler signal frequency enables us to determine the maximum Doppler frequencie Fd max as well as the maximum flow speed. The results show that the difference between the estimated frequencies ( Fde ) and the Doppler frequencies ( Fd ) is small, this variation tends to zero for important θ angles and it is proportional to the diameter D. The description of the speed of friction and the coefficient of friction justify the error rate obtained.

Keywords: Doppler frequency, Doppler spectrum, estimate speed, permanent flow.

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Authors: G. L. C. Yap

Abstract:

Modelling realized volatility with high-frequency returns is popular as it is an unbiased and efficient estimator of return volatility. A computationally simple model is fitting the logarithms of the realized volatilities with a fractionally integrated long-memory Gaussian process. The Gaussianity assumption simplifies the parameter estimation using the Whittle approximation. Nonetheless, this assumption may not be met in the finite samples and there may be a need to normalize the financial series. Based on the empirical indices S&P500 and DAX, this paper examines the performance of the linear volatility model pre-treated with normalization compared to its existing counterpart. The empirical results show that by including normalization as a pre-treatment procedure, the forecast performance outperforms the existing model in terms of statistical and economic evaluations.

Keywords: Long-memory, Gaussian process, Whittle estimator, normalization, volatility, value-at-risk.

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Authors: S. Bennoud, M. Zergoug

Abstract:

The numerical simulation of electromagnetic interactions is still a challenging problem, especially in problems that result in fully three dimensional mathematical models.

The goal of this work is to use mathematical modeling to characterize the reliability and capacity of eddy current technique to detect and characterize defects embedded in aeronautical in-service pieces.

The finite element method is used for describing the eddy current technique in a mathematical model by the prediction of the eddy current interaction with defects. However, this model is an approximation of the full Maxwell equations.

In this study, the analysis of the problem is based on a three dimensional finite element model that computes directly the electromagnetic field distortions due to defects.

Keywords: Eddy current, Finite element method, Non destructive testing, Numerical simulations.

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