Search results for: backward martingale.

Authors: Yilun Shang

Abstract:

Let {Xi}i≥1 be a martingale difference sequence with Xi = Si - Si-1. Under some regularity conditions, we show that (X2 1+· · ·+X2N n)-1/2SNn is asymptotically normal, where {Ni}i≥1 is a sequence of positive integer-valued random variables tending to infinity. In a similar manner, a backward (or reverse) martingale central limit theorem with random indices is provided.

Keywords: central limit theorem, martingale difference sequence, backward martingale.

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Authors: Entisar A. Elgmati

Abstract:

Martingale model diagnostic for assessing the fit of logistic regression model to recurrent events data are studied. One way of assessing the fit is by plotting the empirical standard deviation of the standardized martingale residual processes. Here we used another diagnostic plot based on martingale residual covariance. We investigated the plot performance under several types of model misspecification. Clearly the method has correctly picked up the wrong model. Also we present a test statistic that supplement the inspection of the two diagnostic. The test statistic power agrees with what we have seen in the plots of the estimated martingale covariance.

Keywords: Covariance, logistic model, misspecification, recurrent events.

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Authors: Zhuan-de Wang, Hou-biao Li, Zhong-xi Gao

Abstract:

In this paper, the backward MPSD (Modified Preconditioned Simultaneous Displacement) iterative matrix is firstly proposed. The relationship of eigenvalues between the backward MPSD iterative matrix and backward Jacobi iterative matrix for block p-cyclic case is obtained, which improves and refines the results in the corresponding references.

Keywords: Backward MPSD iterative matrix, Jacobi iterative matrix, eigenvalue, p-cyclic matrix.

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Authors: Zuan-De Wang, Hou-biao Li, Zhong-xi Gao

Abstract:

In this paper, the backward Ussor iterative matrix is proposed. The relationship of convergence between the backward Ussor iterative matrix and Jacobi iterative matrix is obtained, which makes the results in the corresponding references be improved and refined.Moreover,numerical examples also illustrate the effectiveness of these conclusions.

Keywords: Backward USSOR iterative matrix, Jacobi iterative matrix, convergence, spectral radius

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Authors: K. Vandenboer, L. Dolphen, A. Bezuijen

Abstract:

Backward erosion piping is an important failure mechanism for water-retaining structures, a phenomenon that results in the formation of shallow pipes at the interface of a sandy or silty foundation and a cohesive cover layer. This paper studies the effect of two soil types on backward erosion piping; both in case of a homogeneous sand layer, and in a vertically layered sand sample, where the pipe is forced to subsequently grow through the different layers. Two configurations with vertical sand layers are tested; they both result in wider pipes and higher critical gradients, thereby making this an interesting topic in research on measures to prevent backward erosion piping failures.

Keywords: Backward erosion piping, embankments, physical modelling, sand.

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Authors: Zarina Bibi Ibrahim, Mohamed Suleiman, Khairil Iskandar Othman

Abstract:

In this paper, a direct method based on variable step size Block Backward Differentiation Formula which is referred as BBDF2 for solving second order Ordinary Differential Equations (ODEs) is developed. The advantages of the BBDF2 method over the corresponding sequential variable step variable order Backward Differentiation Formula (BDFVS) when used to solve the same problem as a first order system are pointed out. Numerical results are given to validate the method.

Keywords: Backward Differentiation Formula, block, secondorder.

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Authors: Hussein Togun, Tuqa Abdulrazzaq, S. N. Kazi, A. Badarudin, M. K. A. Ariffin, M. N. M. Zubir

Abstract:

Heat transfer and laminar fluid flow over backward facing step with and without obstacle numerically studied in this paper. The finite volume method adopted to solve continuity, momentum and energy equations in two dimensions. Backward facing step without obstacle and with different dimension of obstacle were presented. The step height and expansion ratio of channel were 4.8mm and 2 respectively, the range of Reynolds number varied from 75 to 225, constant heat flux subjected on downstream of wall was 2000W/m², and length of obstacle was 1.5, 3, and 4.5mm with width 1.5mm. The separation length noticed increase with increase Reynolds number and height of obstacle. The result shows increase of heat transfer coefficient for backward facing step with obstacle in compared to those without obstacle. The maximum enhancement of heat transfer observed at 4.5mm of height obstacle due to increase recirculation flow after the obstacle in addition that at backward. Streamline of velocity showing the increase of recirculation region with used obstacle in compared without obstacle and highest recirculation region observed at obstacle height 4.5mm. The amount of enhancement heat transfer was varied between 3-5% compared to backward without obstacle.

Keywords: Separation flow, Backward facing step, Heat transfer, Laminar flow.

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Authors: Olusheye Akinfenwa, Samuel Jator, Nianmin Yoa

Abstract:

A block backward differentiation formula of uniform order eight is proposed for solving first order stiff initial value problems (IVPs). The conventional 8-step Backward Differentiation Formula (BDF) and additional methods are obtained from the same continuous scheme and assembled into a block matrix equation which is applied to provide the solutions of IVPs on non-overlapping intervals. The stability analysis of the method indicates that the method is L0-stable. Numerical results obtained using the proposed new block form show that it is attractive for solutions of stiff problems and compares favourably with existing ones.

Keywords: Stiff IVPs, System of ODEs, Backward differentiationformulas, Block methods, Stability.

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Authors: J. A. Michline Rupa, S. Ganesh

Abstract:

This paper proposes a backward/forward sweep method to analyze the power flow in radial distribution systems. The distribution system has radial structure and high R/X ratios. So the newton-raphson and fast decoupled methods are failed with distribution system. The proposed method presents a load flow study using backward/forward sweep method, which is one of the most effective methods for the load-flow analysis of the radial distribution system. By using this method, power losses for each bus branch and voltage magnitudes for each bus node are determined. This method has been tested on IEEE 33-bus radial distribution system and effective results are obtained using MATLAB.

Keywords: Backward/Forward sweep method, Distribution system, Load flow analysis.

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Authors: H. C. Chinwenyi, H. D. Ibrahim, F. A. Ahmed

Abstract:

In modern financial mathematics, valuing derivatives such as options is often a tedious task. This is simply because their fair and correct prices in the future are often probabilistic. This paper examines three different Stochastic Differential Equation (SDE) models in finance; the Constant Elasticity of Variance (CEV) model, the Balck-Karasinski model, and the Heston model. The various Martingales option price valuation formulas for these three models were obtained using the replicating portfolio method. Also, the numerical solution of the derived Martingales options price valuation equations for the SDEs models was carried out using the Monte Carlo method which was implemented using MATLAB. Furthermore, results from the numerical examples using published data from the Nigeria Stock Exchange (NSE), all share index data show the effect of increase in the underlying asset value (stock price) on the value of the European Put Option for these models. From the results obtained, we see that an increase in the stock price yields a decrease in the value of the European put option price. Hence, this guides the option holder in making a quality decision by not exercising his right on the option.

Keywords: Equivalent Martingale Measure, European Put Option, Girsanov Theorem, Martingales, Monte Carlo method, option price valuation, option price valuation formula.

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Authors: Soyoon Bak, Sunyoung Bu, Philsu Kim

Abstract:

In this paper, a backward semi-Lagrangian scheme combined with the second-order backward difference formula is designed to calculate the numerical solutions of nonlinear advection-diffusion equations. The primary aims of this paper are to remove any iteration process and to get an efficient algorithm with the convergence order of accuracy 2 in time. In order to achieve these objects, we use the second-order central finite difference and the B-spline approximations of degree 2 and 3 in order to approximate the diffusion term and the spatial discretization, respectively. For the temporal discretization, the second order backward difference formula is applied. To calculate the numerical solution of the starting point of the characteristic curves, we use the error correction methodology developed by the authors recently. The proposed algorithm turns out to be completely iteration free, which resolves the main weakness of the conventional backward semi-Lagrangian method. Also, the adaptability of the proposed method is indicated by numerical simulations for Burgers’ equations. Throughout these numerical simulations, it is shown that the numerical results is in good agreement with the analytic solution and the present scheme offer better accuracy in comparison with other existing numerical schemes.

Keywords: Semi-Lagrangian method, Iteration free method, Nonlinear advection-diffusion equation.

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Authors: Khairil Iskandar Othman, Zarina Bibi Ibrahim, Mohamed Suleiman

Abstract:

A parallel block method based on Backward Differentiation Formulas (BDF) is developed for the parallel solution of stiff Ordinary Differential Equations (ODEs). Most common methods for solving stiff systems of ODEs are based on implicit formulae and solved using Newton iteration which requires repeated solution of systems of linear equations with coefficient matrix, I - hβJ . Here, J is the Jacobian matrix of the problem. In this paper, the matrix operations is paralleled in order to reduce the cost of the iterations. Numerical results are given to compare the speedup and efficiency of parallel algorithm and that of sequential algorithm.

Keywords: Backward Differentiation Formula, block, ordinarydifferential equations.

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Authors: S.A.M. Yatim, Z.B. Ibrahim, K.I. Othman, F. Ismail

Abstract:

The implicit block methods based on the backward differentiation formulae (BDF) for the solution of stiff initial value problems (IVPs) using variable step size is derived. We construct a variable step size block methods which will store all the coefficients of the method with a simplified strategy in controlling the step size with the intention of optimizing the performance in terms of precision and computation time. The strategy involves constant, halving or increasing the step size by 1.9 times the previous step size. Decision of changing the step size is determined by the local truncation error (LTE). Numerical results are provided to support the enhancement of method applied.

Keywords: Backward differentiation formulae, block backwarddifferentiation formulae, stiff ordinary differential equation, variablestep size.

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Authors: H. D. Ibrahim, H. C. Chinwenyi, A. H. Usman

Abstract:

Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.

Keywords: Option price valuation, Martingales, Partial Differential Equations, PDEs, Equivalent Martingale Measure, Girsanov Theorem, Feyman-Kac Theorem, European Put Option.

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Authors: Zarina Bibi, I., Khairil Iskandar, O.

Abstract:

In this paper, parallelism in the solution of Ordinary Differential Equations (ODEs) to increase the computational speed is studied. The focus is the development of parallel algorithm of the two point Block Backward Differentiation Formulas (PBBDF) that can take advantage of the parallel architecture in computer technology. Parallelism is obtained by using Message Passing Interface (MPI). Numerical results are given to validate the efficiency of the PBBDF implementation as compared to the sequential implementation.

Keywords: Ordinary differential equations, parallel.

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Authors: Yilun Shang

Abstract:

We consider a heterogeneously mixing SIR stochastic epidemic process in populations described by a general graph. Likelihood theory is developed to facilitate statistic inference for the parameters of the model under complete observation. We show that these estimators are asymptotically Gaussian unbiased estimates by using a martingale central limit theorem.

Keywords: statistic inference, maximum likelihood, epidemicmodel, heterogeneous mixing.

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Authors: Hussein Togun, Tuqa Abdulrazzaq, S. N. Kazi, A. Badarudin, M. K. A. Ariffin

Abstract:

Heat transfer and laminar air flow over a double backward-facing step numerically studied in this paper. The simulations was performed by using ANSYS ICEM for meshing process and using ANSYS fluent 14 (CFD) for solving. The k-ɛ standard model adopted with Reynolds number varied between 98.5 to 512 and three step height at constant heat flux (q=2000 W/m2). The top of wall and bottom of upstream are insulated with bottom of downstream is heated. The results show increase in Nusselt number with increases of Reynolds number for all cases and the maximum of Nusselt number happens at the first step in compared to the second step. Due to increase of cross section area of downstream to generate sudden expansion then Nusselt number decrease but the profile of Nusselt number keep same trend for all cases where increase after the first and second steps. Recirculation region after the first and second steps are denoted by contour of streamline velocity. The higher augmentation of heat transfer rate observed for case 1 at Reynolds number of 512 and heat flux q=2000 W/m².

Keywords: Laminar flow, Double backward, Separation flow, Recirculation flow.

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Authors: Raju Bhukya, DVLN Somayajulu

Abstract:

Pattern matching is one of the fundamental applications in molecular biology. Searching DNA related data is a common activity for molecular biologists. In this paper we explore the applicability of a new pattern matching technique called Index based Forward Backward Multiple Pattern Matching algorithm(IFBMPM), for DNA Sequences. Our approach avoids unnecessary comparisons in the DNA Sequence due to this; the number of comparisons of the proposed algorithm is very less compared to other existing popular methods. The number of comparisons rapidly decreases and execution time decreases accordingly and shows better performance.

Keywords: Comparisons, DNA Sequence, Index.

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Authors: Bainian Li, Kongsheng Zhang

Abstract:

Strong law of large numbers and complete convergence for sequences of *-mixing random variables are investigated. In particular, Teicher-s strong law of large numbers for independent random variables are generalized to the case of *-mixing random sequences and extended to independent and identically distributed Marcinkiewicz Law of large numbers for *-mixing.

Keywords: mixing squences, strong law of large numbers, martingale differences, Lacunary System

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Authors: Ahmed Sakr Ashour, Hoda Saad AboRemila

Abstract:

An attempt was made to fill the gap in the macro analysis of corruption by suggesting a conceptual framework that differentiates four types of macro corruption: state capture, political, bureaucratic and financial/corporate. The economic consequences or forward linkages (growth, inclusiveness and sustainability of development) and macro institutional determinants constituting the backward linkages of each type were delineated. The research implications of the macro perspective and proposed framework were discussed. Implications of the findings for theory, research and reform policies addressing macro corruption issues were discussed.

Keywords: Economic growth, Inclusive growth, macro corruption, sustainable development.

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Authors: Jaehyug Lee, Tae-Ho Song

Abstract:

Vacuum Insulation Panel (VIP) can achieve very low thermal conductivity by evacuating its inner space. Heat transfer in the core materials of highly-evacuated VIP occurs by conduction through the solid structure and radiation through the pore. The effect of various scattering modes in combined conduction-radiation in VIP is investigated through numerical analysis. The discrete ordinates interpolation method (DOIM) incorporated with the commercial code FLUENT® is employed. It is found that backward scattering is more effective in reducing the total heat transfer while isotropic scattering is almost identical with pure absorbing/emitting case of the same optical thickness. For a purely scattering medium, the results agrees well with additive solution with diffusion approximation, while a modified term is added in the effect of optical thickness to backward scattering is employed. For other scattering phase functions, it is also confirmed that backwardly scattering phase function gives a lower effective thermal conductivity. Thus the materials with backward scattering properties, with radiation shields are desirable to lower the thermal conductivity of VIPs.

Keywords: Combined conduction and radiation, discrete ordinates interpolation method, scattering phase function, vacuum insulation panel.

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Authors: Entisar A. Elgmati

Abstract:

Recurrent event data is a special type of multivariate survival data. Dynamic and frailty models are one of the approaches that dealt with this kind of data. A comparison between these two models is studied using the empirical standard deviation of the standardized martingale residual processes as a way of assessing the fit of the two models based on the Aalen additive regression model. Here we found both approaches took heterogeneity into account and produce residual standard deviations close to each other both in the simulation study and in the real data set.

Keywords: Dynamic, frailty, misspecification, recurrent events.

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Authors: Jehad Al Dallal

Abstract:

Program slicing is the task of finding all statements in a program that directly or indirectly influence the value of a variable occurrence. The set of statements that can affect the value of a variable at some point in a program is called a program slice. In several software engineering applications, such as program debugging and measuring program cohesion and parallelism, several slices are computed at different program points. In this paper, algorithms are introduced to compute all backward and forward static slices of a computer program by traversing the program representation graph once. The program representation graph used in this paper is called Program Dependence Graph (PDG). We have conducted an experimental comparison study using 25 software modules to show the effectiveness of the introduced algorithm for computing all backward static slices over single-point slicing approaches in computing the parallelism and functional cohesion of program modules. The effectiveness of the algorithm is measured in terms of time execution and number of traversed PDG edges. The comparison study results indicate that using the introduced algorithm considerably saves the slicing time and effort required to measure module parallelism and functional cohesion.

Keywords: Backward slicing, cohesion measure, forward slicing, parallelism measure, program dependence graph, program slicing, static slicing.

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Authors: C. E. Madubueze, S. C. Madubueze, S. Ajama

Abstract:

Cholera is a disease that is predominately common in developing countries due to poor sanitation and overcrowding population. In this paper, a deterministic model for the dynamics of cholera is developed and control measures such as health educational message, therapeutic treatment, and vaccination are incorporated in the model. The effective reproduction number is computed in terms of the model parameters. The existence and stability of the equilibrium states, disease free and endemic equilibrium states are established and showed to be locally and globally asymptotically stable when R0 < 1 and R0 > 1 respectively. The existence of backward bifurcation of the model is investigated. Furthermore, numerical simulation of the model developed is carried out to show the impact of the control measures and the result indicates that combined control measures will help to reduce the spread of cholera in the population.

Keywords: Backward bifurcation, cholera, equilibrium, dynamics, stability.

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Authors: G. Ahmadi, S.M. Shahrtash

Abstract:

A multiphase harmonic load flow algorithm is developed based on backward/forward sweep to examine the effects of various factors on the neutral to earth voltage (NEV), including unsymmetrical system configuration, load unbalance and harmonic injection. The proposed algorithm composes fundamental frequency and harmonic frequencies power flows. The algorithm and the associated models are tested on IEEE 13 bus system. The magnitude of NEV is investigated under various conditions of the number of grounding rods per feeder lengths, the grounding rods resistance and the grounding resistance of the in feeding source. Additionally, the harmonic injection of nonlinear loads has been considered and its influences on NEV under different conditions are shown.

Keywords: NEV, Distribution System, Multi-grounded, Backward/Forward Sweep, Harmonic Analysis

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Authors: A. Idawaty, O. Mohamed, A. Z. Zuriati

Abstract:

This paper presents the development of an event based Discrete Event Simulation (DES) for a recovery algorithm known Backward Recovery Global Preemptive Utility Accrual Scheduling (BR_GPUAS). This algorithm implements the Backward Recovery (BR) mechanism as a fault recovery solution under the existing Time/Utility Function/ Utility Accrual (TUF/UA) scheduling domain for multiprocessor environment. The BR mechanism attempts to take the faulty tasks back to its initial safe state and then proceeds to re-execute the affected section of the faulty tasks to enable recovery. Considering that faults may occur in the components of any system; a fault tolerance system that can nullify the erroneous effect is necessary to be developed. Current TUF/UA scheduling algorithm uses the abortion recovery mechanism and it simply aborts the erroneous task as their fault recovery solution. None of the existing algorithm in TUF/UA scheduling domain in multiprocessor scheduling environment have considered the transient fault and implement the BR mechanism as a fault recovery mechanism to nullify the erroneous effect and solve the recovery problem in this domain. The developed BR_GPUAS simulator has derived the set of parameter, events and performance metrics according to a detailed analysis of the base model. Simulation results revealed that BR_GPUAS algorithm can saved almost 20-30% of the accumulated utilities making it reliable and efficient for the real-time application in the multiprocessor scheduling environment.

Keywords: Time Utility Function/ Utility Accrual (TUF/UA) scheduling, Real-time system (RTS), Backward Recovery, Multiprocessor, Discrete Event Simulation (DES).

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Authors: Deepak Kumar, Vivek Kumar, V. P. Singh

Abstract:

This paper describes a steady state model of a multiple effect evaporator system for simulation and control purposes. The model includes overall as well as component mass balance equations, energy balance equations and heat transfer rate equations for area calculations for all the effects. Each effect in the process is represented by a number of variables which are related by the energy and material balance equations for the feed, product and vapor flow for backward, mixed and split feed. For simulation 'fsolve' solver in MATLAB source code is used. The optimality of three sequences i.e. backward, mixed and splitting feed is studied by varying the various input parameters.

Keywords: MATLAB "fsolve" solver, multiple effectevaporators, black liquor, feeding sequences.

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Authors: S. Kavitha, Nirmala P. Ratchagar

Abstract:

This paper presents the novel deterministic dynamic programming approach for solving optimization problem with quadratic objective function with linear equality and inequality constraints. The proposed method employs backward recursion in which computations proceeds from last stage to first stage in a multi-stage decision problem. A generalized recursive equation which gives the exact solution of an optimization problem is derived in this paper. The method is purely analytical and avoids the usage of initial solution. The feasibility of the proposed method is demonstrated with a practical example. The numerical results show that the proposed method provides global optimum solution with negligible computation time.

Keywords: Backward recursion, Dynamic programming, Multi-stage decision problem, Quadratic objective function.

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Authors: F. Rezaie Moghaddam, T. Rezaie Moghaddam, M. Pasbani Khiavi, M. Ali Ghorbani

Abstract:

Identifying and classifying intersections according to severity is very important for implementation of safety related counter measures and effective models are needed to compare and assess the severity. Highway safety organizations have considered intersection safety among their priorities. In spite of significant advances in highways safety, the large numbers of crashes with high severities still occur in the highways. Investigation of influential factors on crashes enables engineers to carry out calculations in order to reduce crash severity. Previous studies lacked a model capable of simultaneous illustration of the influence of human factors, road, vehicle, weather conditions and traffic features including traffic volume and flow speed on the crash severity. Thus, this paper is aimed at developing the models to illustrate the simultaneous influence of these variables on the crash severity in urban highways. The models represented in this study have been developed using binary Logit Models. SPSS software has been used to calibrate the models. It must be mentioned that backward regression method in SPSS was used to identify the significant variables in the model. Consider to obtained results it can be concluded that the main factor in increasing of crash severity in urban highways are driver age, movement with reverse gear, technical defect of the vehicle, vehicle collision with motorcycle and bicycle, bridge, frontal impact collisions, frontal-lateral collisions and multi-vehicle crashes in urban highways which always increase the crash severity in urban highways.

Keywords: Backward regression, crash severity, speed, urbanhighways.

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Authors: Durga C. Dalal, Swapan K. Pandit

Abstract:

In this paper, a numerical study has been made to analyze the transient 2-D flows of a viscous incompressible fluid through channels with forward or backward constriction. Problems addressed include flow through sudden contraction and sudden expansion channel geometries with rounded and increasingly sharp reentrant corner. In both the cases, numerical results are presented for the separation and reattachment points, streamlines, vorticity and flow patterns. A fourth order accurate compact scheme has been employed to efficiently capture steady state solutions of the governing equations. It appears from our study that sharpness of the throat in the channel is one of the important parameters to control the strength and size of the separation zone without modifying the general flow patterns. The comparison between the two cases shows that the upstream geometry plays a significant role on vortex growth dynamics.

Keywords: Forward and backward constriction, HOC scheme, Incompressible viscous flows, Separation and reattachment points.

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