Search results for: dynamic stochastic general equilibrium

Authors: Karolína Vozková, Matěj Kuc

Abstract:

This paper analyzes recent trends in cost efficiency of European cooperative banks using efficient frontier analysis. Our methodology is based on stochastic frontier analysis which is run on a set of 649 European cooperative banks using data between 2006 and 2015. Our results show that average inefficiency of European cooperative banks is increasing since 2008, smaller cooperative banks are significantly more efficient than the bigger ones over the whole time period and that share of net fee and commission income to total income surprisingly seems to have no impact on bank cost efficiency.

Keywords: Cooperative banks, cost efficiency, efficient frontier analysis, stochastic frontier analysis, net fee and commission income.

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Authors: E. Muzenda

Abstract:

Group contribution methods such as the UNIFAC are of major interest to researchers and engineers involved synthesis, feasibility studies, design and optimization of separation processes as well as other applications of industrial use. Reliable knowledge of the phase equilibrium behavior is crucial for the prediction of the fate of the chemical in the environment and other applications. The objective of this study was to predict the solubility of selected volatile organic compounds (VOCs) in glycol polymers and biodiesel. Measurements can be expensive and time consuming, hence the need for thermodynamic models. The results obtained in this study for the infinite dilution activity coefficients compare very well those published in literature obtained through measurements. It is suggested that in preliminary design or feasibility studies of absorption systems for the abatement of volatile organic compounds, prediction procedures should be implemented while accurate fluid phase equilibrium data should be obtained from experiment.

Keywords: Volatile organic compounds, Prediction, Phaseequilibrium, Environmental, Infinite dilution.

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Authors: Rosita Suhaimi, Firdaus Abdullah, Chong Fen Nee, Nurhani Aba Ibrahim

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This paper attempts to identify the significance of Information and Communications Technology (ICT) and competitiveness to the profit efficiency of commercial banks in Malaysia. The profit efficiency of commercial banks in Malaysia, the dependent variable, was estimated using the Stochastic Frontier Approach (SFA) on a sample of unbalanced panel data, covering 23 commercial banks, between 1995 to 2007. Based on the empirical results, ICT was not found to exert a significant impact on profit efficiency, whereas competitiveness, non ICT stock expenditure and ownership were significant contributors. On the other hand, the size of banks was found to have significantly reduced profit efficiency, opening up for various interpretations of the interrelated role of ICT and competition.

Keywords: Competitiveness, Profit Efficiency, Stochastic Frontier Analysis

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Authors: John Kabuba, Antoine Mulaba-Bafubiandi

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The elution process for the removal of Co and Cu from clinoptilolite as an ion-exchanger was investigated using three parameters: bed volume, pH and contact time. The present paper study has shown quantitatively that acid concentration has a significant effect on the elution process. The favorable eluant concentration was found to be 2 M HCl and 2 M H2SO4, respectively. The multi-component equilibrium relationship in the process can be very complex, and perhaps ill-defined. In such circumstances, it is preferable to use a non-parametric technique such as Neural Network to represent such an equilibrium relationship.

Keywords: Clinoptilolite, elution, modeling, neural network.

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Authors: Laura Lukmanto, Harya Widiputra, Lukas

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Studies in economics domain tried to reveal the correlation between stock markets. Since the globalization era, interdependence between stock markets becomes more obvious. The Dynamic Interaction Network (DIN) algorithm, which was inspired by a Gene Regulatory Network (GRN) extraction method in the bioinformatics field, is applied to reveal important and complex dynamic relationship between stock markets. We use the data of the stock market indices from eight countries around the world in this study. Our results conclude that DIN is able to reveal and model patterns of dynamic interaction from the observed variables (i.e. stock market indices). Furthermore, it is also found that the extracted network models can be utilized to predict movement of the stock market indices with a considerably good accuracy.

Keywords: complex dynamic relationship, dynamic interaction network, interactive stock markets, stock market interdependence.

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Authors: Giovanni Incerti

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The dynamic behaviour of a four-bar linkage driven by a velocity controlled DC motor is discussed in the paper. In particular the author presents the results obtained by means of a specifically developed software, which implements the mathematical models of all components of the system (linkage, transmission, electric motor, control devices). The use of this software enables a more efficient design approach, since it allows the designer to check, in a simple and immediate way, the dynamic behaviour of the mechanism, arising from different values of the system parameters.

Keywords: Four-bar linkage, Speed control, Dynamic analysis.

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Authors: Karim Hamidi Machekposhti, Hossein Sedghi

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This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.

Keywords: Stochastic models, ARIMA, extreme streamflow, Karkheh River.

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Authors: Farshad Mehrabi, Ali kheirodin, Mohsen Gerami

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Ambiguities in effects of earthquake on various structures in all earthquake codes would necessitate more study and research concerning influential factors on dynamic behavior. Previous studies which were done on different features in different buildings play a major role in the type of response a structure makes to lateral vibrations. Diagnosing each of these irregularities can help structure designers in choosing appropriate setbacks for decreasing possible damages. Therefore vertical setback is one of the irregularity factors in the height of the building where can be seen in skyscrapers and hotels. Previous researches reveal notable changes in the place of these setbacks showing dynamic response of the structure. Consequently analyzing 48 models of concrete frames for 3, 6 and 9 stories heights with three different bays in general shape of a surface decline by height have been constructed in ETABS2000 software, and then the shape effect of each and every one of these frames in period scale has been discussed. The result of this study reveals that not only mass, stiffness and height but also shape of the frame is influential.

Keywords: period, concrete frame, irregularity in height, decrease in plan surface, dynamic behavior

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Authors: Salinee Thumronglaohapun

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The proper number and appropriate locations of service centers can save cost, raise revenue and gain more satisfaction from customers. Establishing service centers is high-cost and difficult to relocate. In long-term planning periods, several factors may affect the service. One of the most critical factors is uncertain demand of customers. The opened service centers need to be capable of serving customers and making a profit although the demand in each period is changed. In this work, the capacitated location-allocation problem with stochastic demand is considered. A mathematical model is formulated to determine suitable locations of service centers and their allocation to maximize total profit for multiple planning periods. Two heuristic methods, a local search and genetic algorithm, are used to solve this problem. For the local search, five different chances to choose each type of moves are applied. For the genetic algorithm, three different replacement strategies are considered. The results of applying each method to solve numerical examples are compared. Both methods reach to the same best found solution in most examples but the genetic algorithm provides better solutions in some cases.

Keywords: Location-allocation problem, stochastic demand, local search, genetic algorithm.

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Authors: S. Noor, M. W. Siddiqi

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This study examines causal link between energy use and economic growth for five South Asian countries over period 1971-2006. Panel cointegration, ECM and FMOLS are applied for short and long run estimates. In short run unidirectional causality from per capita GDP to per capita energy consumption is found, but not vice versa. In long run one percent increase in per capita energy consumption tend to decrease 0.13 percent per capita GDP. i.e. Energy use discourage economic growth. This short and long run relationship indicate energy shortage crisis in South Asia due to increased energy use coupled with insufficient energy supply. Beside this long run estimated coefficient of error term suggest that short term adjustment to equilibrium are driven by adjustment back to long run equilibrium. Moreover, per capita energy consumption is responsive to adjustment back to equilibrium and it takes 59 years approximately. It specifies long run feedback between both variables.

Keywords: Energy consumption, Income, Panel co-integration, Causality.

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Authors: M. Delavar, A.A. Ghoreyshi, M. Jahanshahi, M. Irannejad

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This study investigates the capacity of granular activated carbon (GAC) for the storage of methane through the equilibrium adsorption. An experimental apparatus consist of a dual adsorption vessel was set up for the measurement of equilibrium adsorption of methane on GAC using volumetric technique (pressure decay). Experimental isotherms of methane adsorption were determined by the measurement of equilibrium uptake of methane in different pressures (0-50 bar) and temperatures (285.15-328.15°K). The experimental data was fitted to Freundlich and Langmuir equations to determine the model isotherm. The results show that the experimental data is equally well fitted by the both model isotherms. Using the experimental data obtained in different temperatures the isosteric heat of methane adsorption was also calculated by the Clausius-Clapeyron equation from the Sips isotherm model. Results of isosteric heat of adsorption show that decreasing temperature or increasing methane uptake by GAC decrease the isosteric heat of methane adsorption.

Keywords: Methane adsorption, Activated carbon, Modelisotherm, Isosteric heat

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Authors: Irwin Ma, Tony Wong, Thiagas Sankar

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By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract typical features from the volatility data sets of S&P100 and S&P500 indices that include abrupt drops, jumps and other non-linearity. As a result, accuracy of forecasting has reached an average of over 75% surpassing any other publicly available results on the forecast of any financial index.

Keywords: Discrete stochastic optimization, genetic algorithms, genetic programming, volatility forecast

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Authors: Changzhao Li, Juan Zhang

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In this paper, we investigate a class of fuzzy Cohen- Grossberg neural networks with time delays and impulsive effects. By virtue of stochastic analysis, Halanay inequality for stochastic differential equations, we find sufficient conditions for the global exponential square-mean synchronization of the FCGNNs under noise perturbation. In particular, the traditional assumption on the differentiability of the time-varying delays is no longer needed. Finally, a numerical example is given to show the effectiveness of the results in this paper.

Keywords: Fuzzy Cohen-Grossberg neural networks (FCGNNs), complete synchronization, time delays, impulsive, noise perturbation.

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Authors: Siamak Rasulzadeh

Abstract:

Graph transformation has recently become more and more popular as a general visual modeling language to formally state the dynamic semantics of the designed models. Especially, it is a very natural formalism for languages which basically are graph (e.g. UML). Using this technique, we present a highly understandable yet precise approach to formally model and analyze the behavioral semantics of UML 2.0 Activity diagrams. In our proposal, AGG is used to design Activities, then using our previous approach to model checking graph transformation systems, designers can verify and analyze designed Activity diagrams by checking the interesting properties as combination of graph rules and LTL (Linear Temporal Logic) formulas on the Activities.

Keywords: UML 2.0 Activity, Verification, Model Checking, Graph Transformation, Dynamic Semantics.

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Authors: András Király, Tamás Varga, János Abonyi

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Since supply chains highly impact the financial performance of companies, it is important to optimize and analyze their Key Performance Indicators (KPI). The synergistic combination of Particle Swarm Optimization (PSO) and Monte Carlo simulation is applied to determine the optimal reorder point of warehouses in supply chains. The goal of the optimization is the minimization of the objective function calculated as the linear combination of holding and order costs. The required values of service levels of the warehouses represent non-linear constraints in the PSO. The results illustrate that the developed stochastic simulator and optimization tool is flexible enough to handle complex situations.

Keywords: stochastic processes, empirical distributions, Monte Carlo simulation, PSO, supply chain management

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Authors: Manish K. Khandelwal, P. Bera, A. Chakrabarti

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This article presents a numerical study of the doublediffusive mixed convection in a vertical channel filled with porous medium by using non-equilibrium model. The flow is assumed fully developed, uni-directional and steady state. The controlling parameters are thermal Rayleigh number (RaT ), Darcy number (Da), Forchheimer number (F), buoyancy ratio (N), inter phase heat transfer coefficient (H), and porosity scaled thermal conductivity ratio (γ). The Brinkman-extended non-Darcy model is considered. The governing equations are solved by spectral collocation method. The main emphasize is given on flow profiles as well as heat and solute transfer rates, when two diffusive components in terms of buoyancy ratio are in favor (against) of each other and solid matrix and fluid are thermally non-equilibrium. The results show that, for aiding flow (RaT = 1000), the heat transfer rate of fluid (Nuf ) increases upto a certain value of H, beyond that decreases smoothly and converges to a constant, whereas in case of opposing flow (RaT = -1000), the result is same for N = 0 and 1. The variation of Nuf in (N, Nuf )-plane shows sinusoidal pattern for RaT = -1000. For both cases (aiding and opposing) the flow destabilize on increasing N by inviting point of inflection or flow separation on the velocity profile. Overall, the buoyancy force have significant impact on the non-Darcy mixed convection under LTNE conditions.

Keywords: buoyancy ratio, mixed convection, non-Darcy model, thermal non-equilibrium

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Authors: Fadi Eleiwi, Taous Meriem Laleg-Kirati

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This paper presents a complete dynamic modeling of a membrane distillation process. The model contains two consistent dynamic models. A 2D advection-diffusion equation for modeling the whole process and a modified heat equation for modeling the membrane itself. The complete model describes the temperature diffusion phenomenon across the feed, membrane, permeate containers and boundary layers of the membrane. It gives an online and complete temperature profile for each point in the domain. It explains heat conduction and convection mechanisms that take place inside the process in terms of mathematical parameters, and justify process behavior during transient and steady state phases. The process is monitored for any sudden change in the performance at any instance of time. In addition, it assists maintaining production rates as desired, and gives recommendations during membrane fabrication stages. System performance and parameters can be optimized and controlled using this complete dynamic model. Evolution of membrane boundary temperature with time, vapor mass transfer along the process, and temperature difference between membrane boundary layers are depicted and included. Simulations were performed over the complete model with real membrane specifications. The plots show consistency between 2D advection-diffusion model and the expected behavior of the systems as well as literature. Evolution of heat inside the membrane starting from transient response till reaching steady state response for fixed and varying times is illustrated.

Keywords: Membrane distillation, Dynamical modeling, Advection-diffusion equation, Thermal equilibrium, Heat equation.

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Authors: Reza Cheraghi Kootiani, Ariffin Bin Samsuri

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To derive the fractional flow equation oil displacement will be assumed to take place under the so-called diffusive flow condition. The constraints are that fluid saturations at any point in the linear displacement path are uniformly distributed with respect to thickness; this allows the displacement to be described mathematically in one dimension. The simultaneous flow of oil and water can be modeled using thickness averaged relative permeability, along the centerline of the reservoir. The condition for fluid potential equilibrium is simply that of hydrostatic equilibrium for which the saturation distribution can be determined as a function of capillary pressure and therefore, height. That is the fluids are distributed in accordance with capillary-gravity equilibrium. This paper focused on the fraction flow of water versus cumulative oil recoveries using Buckley Leverett method. Several field cases have been developed to aid in analysis. Producing watercut (at surface conditions) will be compared with the cumulative oil recovery at breakthrough for the flowing fluid.

Keywords: Fractional Flow, Fluid Saturations, Permeability, Cumulative Oil Recoveries, Buckley Leverett Method.

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Authors: Giovanni Incerti, Luigi Solazzi, Candida Petrogalli

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This paper describes three lumped parameters models for the study of the dynamic behavior of a boom crane. The models here proposed allows to evaluate the fluctuations of the load arising from the rope and structure elasticity and from the type of the motion command imposed by the winch. A calculation software was developed in order to determine the actual acceleration of the lifted mass and the dynamic overload during the lifting phase. Some application examples are presented, with the aim of showing the correlation between the magnitude of the stress and the type of the employed motion command.

Keywords: Crane, dynamic model, overloading condition, vibration.

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Authors: Akbar Banitalebi, Mohd Ismail Abd Aziz, Rohanin Ahmad

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A new stochastic algorithm called Probabilistic Global Search Johor (PGSJ) has recently been established for global optimization of nonconvex real valued problems on finite dimensional Euclidean space. In this paper we present convergence guarantee for this algorithm in probabilistic sense without imposing any more condition. Then, we jointly utilize this algorithm along with control parameterization technique for the solution of constrained optimal control problem. The numerical simulations are also included to illustrate the efficiency and effectiveness of the PGSJ algorithm in the solution of control problems.

Keywords: Optimal Control Problem, Constraints, Direct Methods, Stochastic Algorithm

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Authors: Alexander Efremov

Abstract:

A system for market identification (SMI) is presented. The resulting representations are multivariable dynamic demand models. The market specifics are analyzed. Appropriate models and identification techniques are chosen. Multivariate static and dynamic models are used to represent the market behavior. The steps of the first stage of SMI, named data preprocessing, are mentioned. Next, the second stage, which is the model estimation, is considered in more details. Stepwise linear regression (SWR) is used to determine the significant cross-effects and the orders of the model polynomials. The estimates of the model parameters are obtained by a numerically stable estimator. Real market data is used to analyze SMI performance. The main conclusion is related to the applicability of multivariate dynamic models for representation of market systems.

Keywords: market identification, dynamic models, stepwise regression.

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Authors: Muhammad Nizam, Azah Mohamed, Majid Al-Dabbagh, Aini Hussain

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This paper presents dynamic voltage collapse prediction on an actual power system using support vector machines. Dynamic voltage collapse prediction is first determined based on the PTSI calculated from information in dynamic simulation output. Simulations were carried out on a practical 87 bus test system by considering load increase as the contingency. The data collected from the time domain simulation is then used as input to the SVM in which support vector regression is used as a predictor to determine the dynamic voltage collapse indices of the power system. To reduce training time and improve accuracy of the SVM, the Kernel function type and Kernel parameter are considered. To verify the effectiveness of the proposed SVM method, its performance is compared with the multi layer perceptron neural network (MLPNN). Studies show that the SVM gives faster and more accurate results for dynamic voltage collapse prediction compared with the MLPNN.

Keywords: Dynamic voltage collapse, prediction, artificial neural network, support vector machines

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Authors: S. Apprich, F. Wulle, A. Lechler, A. Pott, A. Verl

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Large-scale machine tools for the manufacturing of large work pieces, e.g. blades, casings or gears for wind turbines, feature pose-dependent dynamic behavior. Small structural damping coefficients lead to long decay times for structural vibrations that have negative impacts on the production process. Typically, these vibrations are handled by increasing the stiffness of the structure by adding mass. This is counterproductive to the needs of sustainable manufacturing as it leads to higher resource consumption both in material and in energy. Recent research activities have led to higher resource efficiency by radical mass reduction that is based on controlintegrated active vibration avoidance and damping methods. These control methods depend on information describing the dynamic behavior of the controlled machine tools in order to tune the avoidance or reduction method parameters according to the current state of the machine. This paper presents the appearance, consequences and challenges of the pose-dependent dynamic behavior of lightweight large-scale machine tool structures in production. It starts with the theoretical introduction of the challenges of lightweight machine tool structures resulting from reduced stiffness. The statement of the pose-dependent dynamic behavior is corroborated by the results of the experimental modal analysis of a lightweight test structure. Afterwards, the consequences of the pose-dependent dynamic behavior of lightweight machine tool structures for the use of active control and vibration reduction methods are explained. Based on the state of the art of pose-dependent dynamic machine tool models and the modal investigation of an FE-model of the lightweight test structure, the criteria for a pose-dependent model for use in vibration reduction are derived. The description of the approach for a general posedependent model of the dynamic behavior of large lightweight machine tools that provides the necessary input to the aforementioned vibration avoidance and reduction methods to properly tackle machine vibrations is the outlook of the paper.

Keywords: Dynamic behavior, lightweight, machine tool, pose-dependency.

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Authors: J. Daba, J. Dubois

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In this work, we improve a previously developed segmentation scheme aimed at extracting edge information from speckled images using a maximum likelihood edge detector. The scheme was based on finding a threshold for the probability density function of a new kernel defined as the arithmetic mean-to-geometric mean ratio field over a circular neighborhood set and, in a general context, is founded on a likelihood random field model (LRFM). The segmentation algorithm was applied to discriminated speckle areas obtained using simple elliptic discriminant functions based on measures of the signal-to-noise ratio with fractional order moments. A rigorous stochastic analysis was used to derive an exact expression for the cumulative density function of the probability density function of the random field. Based on this, an accurate probability of error was derived and the performance of the scheme was analysed. The improved segmentation scheme performed well for both simulated and real images and showed superior results to those previously obtained using the original LRFM scheme and standard edge detection methods. In particular, the false alarm probability was markedly lower than that of the original LRFM method with oversegmentation artifacts virtually eliminated. The importance of this work lies in the development of a stochastic-based segmentation, allowing an accurate quantification of the probability of false detection. Non visual quantification and misclassification in medical ultrasound speckled images is relatively new and is of interest to clinicians.

Keywords: Discriminant function, false alarm, segmentation, signal-to-noise ratio, skewness, speckle.

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Authors: Herti Utami, Sutijan, Roto, Wahyudi Budi Sediawan

Abstract:

α-Pinene is the main component of the most turpentine oils. The hydration of α-pinene with acid catalysts leads to a complex mixture of monoterpenes. In order to obtain more valuable products, the α-pinene in the turpentine can be hydrated in dilute mineral acid solutions to produce α-terpineol. The design of separation processes requires information on phase equilibrium and related thermodynamic properties. This paper reports the results of study on liquid-liquid equilibrium (LLE) of system containing α- pinene + water and α-terpineol + water. Binary LLE for α-pinene + water system, and α-terpineol + water systems were determined by experiment at 301K and atmospheric pressure. The two component mixture was stirred for about 30min, then the mixture was left for about 2h for complete phase separation. The composition of both phases was analyzed by using a Gas Chromatograph. The experimental data were correlated by considering both NRTL and UNIQUAC activity coefficient models. The LLE data for the system of α-pinene + water and α-terpineol + water were correlated successfully by the NRTL model. The experimental data were not satisfactorily fitted by the UNIQUAC model. The NRTL model (α =0.3) correlates the LLE data for the system of α-pinene + water at 301K with RMSD of 0.0404%. And the NRTL model (α =0.61) at 301K with RMSD of 0.0058 %. The NRTL model (α =0.3) correlates the LLE data for the system of α- terpineol + water at 301K with RMSD of 0.1487% and the NRTL model (α =0.6) at 301K with RMSD of 0.0032%, between the experimental and calculated mole fractions.

Keywords: α-Pinene, α-Terpineol, Liquid-liquid Equilibrium, NRTL model, UNIQUAC model

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Authors: B. Chetti

Abstract:

Dynamic characteristics of a four-lobe journal bearing of micropolar fluids are presented. Lubricating oil containing additives and contaminants is modelled as micropolar fluid. The modified Reynolds equation is obtained using the micropolar lubrication theory and solving it by using finite difference technique. The dynamic characteristics in terms of stiffness, damping coefficients, the critical mass and whirl ratio are determined for various values of size of material characteristic length and the coupling number. The results show compared with Newtonian fluids, that micropolar fluid exhibits better stability.

Keywords: Four-lobe bearings, dynamic characteristics, stabilityanalysis, micropolar fluid

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Authors: Sun Li-ping, Zhu Jian-xun, Liu Sheng-nan

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In order to study the performance of dynamic positioning system during S-lay operations, dynamic positioning system is simulated with the hull-stinger-pipe coupling effect. The roller of stinger is simulated by the generalized elastic contact theory. The stinger is composed of Morrison members. Force on pipe is calculated by lumped mass method. Time domain of fully coupled barge model is analyzed combining with PID controller, Kalman filter and allocation of thrust using Sequential Quadratic Programming method. It is also analyzed that the effect of hull wave frequency motion on pipe-stinger coupling force and dynamic positioning system. Besides, it is studied that how S-lay operations affect the dynamic positioning accuracy. The simulation results are proved to be available by checking pipe stress with API criterion. The effect of heave and yaw motion cannot be ignored on hull-stinger-pipe coupling force and dynamic positioning system. It is important to decrease the barge’s pitch motion and lay pipe in head sea in order to improve safety of the S-lay installation and dynamic positioning.

Keywords: S-lay operation, dynamic positioning, coupling motion; time domain, allocation of thrust.

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Authors: R. Kongnuy, P. Pongsumpun

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Dengue, a disease found in most tropical and subtropical areas of the world. It has become the most common arboviral disease of humans. This disease is caused by any of four serotypes of dengue virus (DEN1-DEN4). In many endemic countries, the average age of getting dengue infection is shifting upwards, dengue in pregnancy and infancy are likely to be encountered more frequently. The dynamics of the disease is studied by a compartmental model involving ordinary differential equations for the pregnant, infant human and the vector populations. The stability of each equilibrium point is given. The epidemic dynamic is discussed. Moreover, the numerical results are shown for difference values of dengue antibody.

Keywords: Dengue antibody, infant, pregnant human, mathematical model.

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Authors: Faramarz Khosravi, Gokhan Izbirak

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A weighted statistical stochastic based Analytical Hierarchy Process (AHP) model for modeling the potential barriers and enablers of sustainability for measuring and assessing the sustainability level is proposed. For context-dependent potential barriers and enablers, the proposed model takes the basis of the properties of the variables describing the sustainability functions and was developed into a realistic analytical model for the sustainable behavior of an organization. This thus serves as a means for measuring the sustainability of the organization. The main focus of this paper was the application of the AHP tool in a statistically-based model for measuring sustainability. Hence a strong weighted stochastic AHP based procedure was achieved. A case study scenario of a widely reported major Canadian electric utility was adopted to demonstrate the applicability of the developed model and comparatively examined its results with those of an equal-weighted model method. Variations in the sustainability of a company, as fluctuations, were figured out during the time. In the results obtained, sustainability index for successive years changed form 73.12%, 79.02%, 74.31%, 76.65%, 80.49%, 79.81%, 79.83% to more exact values 73.32%, 77.72%, 76.76%, 79.41%, 81.93%, 79.72%, and 80,45% according to priorities of factors that have found by expert views, respectively. By obtaining relatively necessary informative measurement indicators, the model can practically and effectively evaluate the sustainability extent of any organization and also to determine fluctuations in the organization over time.

Keywords: AHP, sustainability fluctuation, environmental indicators, performance measurement, environmental sustainability.

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

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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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