Search results for: linear parameter varying systems
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 7086

Search results for: linear parameter varying systems

6906 H∞ Approach to Functional Projective Synchronization for Chaotic Systems with Disturbances

Authors: S. M. Lee, J. H. Park, H. Y. Jung

Abstract:

This paper presents a method for functional projective H∞ synchronization problem of chaotic systems with external disturbance. Based on Lyapunov theory and linear matrix inequality (LMI) formulation, the novel feedback controller is established to not only guarantee stable synchronization of both drive and response systems but also reduce the effect of external disturbance to an H∞ norm constraint.

Keywords: Chaotic systems, functional projective H∞ synchronization, LMI.

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6905 Realization of Design Features for Linear Flow Splitting in NX 6

Authors: Anselm L. Schüle, Thomas Rollmann, Reiner Anderl

Abstract:

Within the collaborative research center 666 a new product development approach and the innovative manufacturing method of linear flow splitting are being developed. So far the design process is supported by 3D-CAD models utilizing User Defined Features in standard CAD-Systems. This paper now presents new functions for generating 3D-models of integral sheet metal products with bifurcations using Siemens PLM NX 6. The emphasis is placed on design and semi-automated insertion of User Defined Features. Therefore User Defined Features for both, linear flow splitting and its derivative linear bend splitting, were developed. In order to facilitate the modeling process, an application was developed that guides through the insertion process. Its usability and dialog layout adapt known standard features. The work presented here has significant implications on the quality, accurateness and efficiency of the product generation process of sheet metal products with higher order bifurcations.

Keywords: Linear Flow Splitting, CRC 666, User Defined Features.

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6904 Variational Iteration Method for Solving Systems of Linear Delay Differential Equations

Authors: Sara Barati, Karim Ivaz

Abstract:

In this paper, using a model transformation approach a system of linear delay differential equations (DDEs) with multiple delays is converted to a non-delayed initial value problem. The variational iteration method (VIM) is then applied to obtain the approximate analytical solutions. Numerical results are given for several examples involving scalar and second order systems. Comparisons with the classical fourth-order Runge-Kutta method (RK4) verify that this method is very effective and convenient.

Keywords: Variational iteration method, delay differential equations, multiple delays, Runge-Kutta method.

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6903 Power Series Form for Solving Linear Fredholm Integral Equations of Second Order via Banach Fixed Point Theorem

Authors: Adil AL-Rammahi

Abstract:

In this paper, a new method for solution of second order linear Fredholm integral equation in power series form was studied. The result is obtained by using Banach fixed point theorem.

Keywords: Fredholm integral equation, power series, Banach fixed point theorem, Linear Systems.

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6902 Investigation of Optimal Parameter Settings in Super Duplex Welding

Authors: R. M. Chandima Ratnayake, Daniel Dyakov

Abstract:

Super steel materials play a vital role in the construction and fabrication of structural, piping and pipeline components. In assuring the integrity of onshore and offshore operating systems, they enable life cycle costs to be minimized. In this context, Duplex stainless steel (DSS) material related welding on constructions and fabrications plays a significant role in maintaining and assuring integrity at an optimal expenditure over the life cycle of production and process systems as well as associated structures. In DSS welding, factors such as gap geometry, shielding gas supply rate, welding current, and type of the welding process are vital to the final joint performance. Hence, an experimental investigation has been performed using an engineering robust design approach (ERDA) to investigate the optimal settings that generate optimal super DSS (i.e. UNS S32750) joint performance. This manuscript illustrates the mathematical approach and experimental design, optimal parameter settings and results of the verification experiment.

Keywords: Duplex stainless steel welding, engineering robust design, mathematical framework, optimal parameter settings.

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6901 Frequency Domain Analysis for Hopf Bifurcation in a Delayed Competitive Web-site Model

Authors: Changjin Xu, Yusen Wu

Abstract:

In this paper, applying frequency domain approach, a delayed competitive web-site system is investigated. By choosing the parameter α as a bifurcation parameter, it is found that Hopf bifurcation occurs as the bifurcation parameter α passes a critical values. That is, a family of periodic solutions bifurcate from the equilibrium when the bifurcation parameter exceeds a critical value. Some numerical simulations are included to justify the theoretical analysis results. Finally, main conclusions are given.

Keywords: Web-site system, stability, Nyquist criterion, Hopf bifurcation, frequency domain.

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6900 MEGSOR Iterative Scheme for the Solution of 2D Elliptic PDE's

Authors: J. Sulaiman, M. Othman, M. K. Hasan

Abstract:

Recently, the findings on the MEG iterative scheme has demonstrated to accelerate the convergence rate in solving any system of linear equations generated by using approximation equations of boundary value problems. Based on the same scheme, the aim of this paper is to investigate the capability of a family of four-point block iterative methods with a weighted parameter, ω such as the 4 Point-EGSOR, 4 Point-EDGSOR, and 4 Point-MEGSOR in solving two-dimensional elliptic partial differential equations by using the second-order finite difference approximation. In fact, the formulation and implementation of three four-point block iterative methods are also presented. Finally, the experimental results show that the Four Point MEGSOR iterative scheme is superior as compared with the existing four point block schemes.

Keywords: MEG iteration, second-order finite difference, weighted parameter.

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6899 An Inverse Optimal Control Approach for the Nonlinear System Design Using ANN

Authors: M. P. Nanda Kumar, K. Dheeraj

Abstract:

The design of a feedback controller, so as to minimize a given performance criterion, for a general non-linear dynamical system is difficult; if not impossible. But for a large class of non-linear dynamical systems, the open loop control that minimizes a performance criterion can be obtained using calculus of variations and Pontryagin’s minimum principle. In this paper, the open loop optimal trajectories, that minimizes a given performance measure, is used to train the neural network whose inputs are state variables of non-linear dynamical systems and the open loop optimal control as the desired output. This trained neural network is used as the feedback controller. In other words, attempts are made here to solve the “inverse optimal control problem” by using the state and control trajectories that are optimal in an open loop sense.

Keywords: Inverse Optimal Control, Radial basis function neural network, Controller Design.

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6898 Asymptotic Stability of Input-saturated System with Linear-growth-bound Disturbances via Variable Structure Control: An LMI Approach

Authors: Yun Jong Choi, Nam Woong, PooGyeon Park

Abstract:

Variable Structure Control (VSC) is one of the most useful tools handling the practical system with uncertainties and disturbances. Up to now, unfortunately, not enough studies on the input-saturated system with linear-growth-bound disturbances via VSC have been presented. Therefore, this paper proposes an asymp¬totic stability condition for the system via VSC. The designed VSC controller consists of two control parts. The linear control part plays a role in stabilizing the system, and simultaneously, the nonlinear control part in rejecting the linear-growth-bound disturbances perfectly. All conditions derived in this paper are expressed with Linear Matrices Inequalities (LMIs), which can be easily solved with an LMI toolbox in MATLAB.

Keywords: Input saturation, linear-growth bounded disturbances, linear matrix inequality (LMI), variable structure control

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6897 Unsteady Heat and Mass Transfer in MHD Flow of Nanofluids over Stretching Sheet with a Non-Uniform Heat Source/Sink

Authors: Bandaris Shankar, Yohannes Yirga

Abstract:

In this paper, the problem of heat and mass transfer in unsteady MHD boundary-layer flow of nanofluids over stretching sheet with a non uniform heat source/sink is considered. The unsteadiness in the flow and temperature is caused by the time-dependent stretching velocity and surface temperature. The unsteady boundary layer equations are transformed to a system of non-linear ordinary differential equations and solved numerically using Keller box method. The velocity, temperature, and concentration profiles were obtained and utilized to compute the skin-friction coefficient, local Nusselt number, and local Sherwood number for different values of the governing parameters viz. solid volume fraction parameter, unsteadiness parameter, magnetic field parameter, Schmidt number, space-dependent and temperature-dependent parameters for heat source/sink. A comparison of the numerical results of the present study with previously published data revealed an excellent agreement.

Keywords: Manetohydrodynamics, nanofluid, non-uniform heat source/sink, unsteady.

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6896 Comparison of Two Types of Preconditioners for Stokes and Linearized Navier-Stokes Equations

Authors: Ze-Jun Hu, Ting-Zhu Huang, Ning-Bo Tan

Abstract:

To solve saddle point systems efficiently, several preconditioners have been published. There are many methods for constructing preconditioners for linear systems from saddle point problems, for instance, the relaxed dimensional factorization (RDF) preconditioner and the augmented Lagrangian (AL) preconditioner are used for both steady and unsteady Navier-Stokes equations. In this paper we compare the RDF preconditioner with the modified AL (MAL) preconditioner to show which is more effective to solve Navier-Stokes equations. Numerical experiments indicate that the MAL preconditioner is more efficient and robust, especially, for moderate viscosities and stretched grids in steady problems. For unsteady cases, the convergence rate of the RDF preconditioner is slightly faster than the MAL perconditioner in some circumstances, but the parameter of the RDF preconditioner is more sensitive than the MAL preconditioner. Moreover the convergence rate of the MAL preconditioner is still quite acceptable. Therefore we conclude that the MAL preconditioner is more competitive than the RDF preconditioner. These experiments are implemented with IFISS package. 

Keywords: Navier-Stokes equations, Krylov subspace method, preconditioner, dimensional splitting, augmented Lagrangian preconditioner.

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6895 Prediction of Soil Hydraulic Conductivity from Particle-Size Distribution

Authors: A.F. Salarashayeri, M. Siosemarde

Abstract:

Hydraulic conductivity is one parameter important for predicting the movement of water and contaminants dissolved in the water through the soil. The hydraulic conductivity is measured on soil samples in the lab and sometimes tests carried out in the field. The hydraulic conductivity has been related to soil particle diameter by a number of investigators. In this study, 25 set of soil samples with sand texture. The results show approximately success in predicting hydraulic conductivity from particle diameters data. The following relationship obtained from multiple linear regressions on data (R2 = 0.52): Where d10, d50 and d60, are the soil particle diameter (mm) that 10%, 50% and 60% of all soil particles are finer (smaller) by weight and Ks, saturated hydraulic conductivity is expressed in m/day. The results of regression analysis showed that d10 play a more significant role with respect to Ks, saturated hydraulic conductivity (m/day), and has been named as the effective parameter in Ks calculation.

Keywords: hydraulic conductivity, particle diameter, particle-size distribution and soil

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6894 Exponential Passivity Criteria for BAM Neural Networks with Time-Varying Delays

Authors: Qingqing Wang, Baocheng Chen, Shouming Zhong

Abstract:

In this paper,the exponential passivity criteria for BAM neural networks with time-varying delays is studied.By constructing new Lyapunov-Krasovskii functional and dividing the delay interval into multiple segments,a novel sufficient condition is established to guarantee the exponential stability of the considered system.Finally,a numerical example is provided to illustrate the usefulness of the proposed main results

Keywords: BAM neural networks, Exponential passivity, LMI approach, Time-varying delays.

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6893 A New Stability Analysis and Stabilization of Discrete-Time Switched Linear Systems Using Vector Norms Approach

Authors: Marwen Kermani, Anis Sakly, Faouzi M'sahli

Abstract:

In this paper, we aim to investigate a new stability analysis for discrete-time switched linear systems based on the comparison, the overvaluing principle, the application of Borne-Gentina criterion and the Kotelyanski conditions. This stability conditions issued from vector norms correspond to a vector Lyapunov function. In fact, the switched system to be controlled will be represented in the Companion form. A comparison system relative to a regular vector norm is used in order to get the simple arrow form of the state matrix that yields to a suitable use of Borne-Gentina criterion for the establishment of sufficient conditions for global asymptotic stability. This proposed approach could be a constructive solution to the state and static output feedback stabilization problems.

Keywords: Discrete-time switched linear systems, Global asymptotic stability, Vector norms, Borne-Gentina criterion, Arrow form state matrix, Arbitrary switching, State feedback controller, Static output feedback controller.

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6892 A New Controlling Parameter in Design of Above Knee Prosthesis

Authors: M. Tahani, G. Karimi

Abstract:

In this paper after reviewing some previous studies, in order to optimize the above knee prosthesis, beside the inertial properties a new controlling parameter is informed. This controlling parameter makes the prosthesis able to act as a multi behavior system when the amputee is opposing to different environments. This active prosthesis with the new controlling parameter can simplify the control of prosthesis and reduce the rate of energy consumption in comparison to recently presented similar prosthesis “Agonistantagonist active knee prosthesis". In this paper three models are generated, a passive, an active, and an optimized active prosthesis. Second order Taylor series is the numerical method in solution of the models equations and the optimization procedure is genetic algorithm. Modeling the prosthesis which comprises this new controlling parameter (SEP) during the swing phase represents acceptable results in comparison to natural behavior of shank. Reported results in this paper represent 3.3 degrees as the maximum deviation of models shank angle from the natural pattern. The natural gait pattern belongs to walking at the speed of 81 m/min.

Keywords: Above knee prosthesis, active controlling parameter, ballistic motion, swing phase.

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6891 Radiation Effect on Unsteady MHD Flow over a Stretching Surface

Authors: Zanariah Mohd Yusof, Siti Khuzaimah Soid, Ahmad Sukri Abd Aziz, Seripah Awang Kechil

Abstract:

Unsteady magnetohydrodynamics (MHD) boundary layer flow and heat transfer over a continuously stretching surface in the presence of radiation is examined. By similarity transformation, the governing partial differential equations are transformed to a set of ordinary differential equations. Numerical solutions are obtained by employing the Runge-Kutta-Fehlberg method scheme with shooting technique in Maple software environment. The effects of unsteadiness parameter, radiation parameter, magnetic parameter and Prandtl number on the heat transfer characteristics are obtained and discussed. It is found that the heat transfer rate at the surface increases as the Prandtl number and unsteadiness parameter increase but decreases with magnetic and radiation parameter.

Keywords: Heat transfer, magnetohydrodynamics, radiation, unsteadiness.

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6890 Variogram Fitting Based on the Wilcoxon Norm

Authors: Hazem Al-Mofleh, John Daniels, Joseph McKean

Abstract:

Within geostatistics research, effective estimation of the variogram points has been examined, particularly in developing robust alternatives. The parametric fit of these variogram points which eventually defines the kriging weights, however, has not received the same attention from a robust perspective. This paper proposes the use of the non-linear Wilcoxon norm over weighted non-linear least squares as a robust variogram fitting alternative. First, we introduce the concept of variogram estimation and fitting. Then, as an alternative to non-linear weighted least squares, we discuss the non-linear Wilcoxon estimator. Next, the robustness properties of the non-linear Wilcoxon are demonstrated using a contaminated spatial data set. Finally, under simulated conditions, increasing levels of contaminated spatial processes have their variograms points estimated and fit. In the fitting of these variogram points, both non-linear Weighted Least Squares and non-linear Wilcoxon fits are examined for efficiency. At all levels of contamination (including 0%), using a robust estimation and robust fitting procedure, the non-weighted Wilcoxon outperforms weighted Least Squares.

Keywords: Non-Linear Wilcoxon, robust estimation, Variogram estimation.

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6889 A Pole Radius Varying Notch Filter with Transient Suppression for Electrocardiogram

Authors: Ramesh Rajagopalan, Adam Dahlstrom

Abstract:

Noise removal techniques play a vital role in the performance of electrocardiographic (ECG) signal processing systems. ECG signals can be corrupted by various kinds of noise such as baseline wander noise, electromyographic interference, and powerline interference. One of the significant challenges in ECG signal processing is the degradation caused by additive 50 or 60 Hz powerline interference. This work investigates the removal of power line interference and suppression of transient response for filtering noise corrupted ECG signals. We demonstrate the effectiveness of infinite impulse response (IIR) notch filter with time varying pole radius for improving the transient behavior. The temporary change in the pole radius of the filter diminishes the transient behavior. Simulation results show that the proposed IIR filter with time varying pole radius outperforms traditional IIR notch filters in terms of mean square error and transient suppression.

Keywords: Notch filter, ECG, transient, pole radius.

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6888 Quality Parameters of Offset Printing Wastewater

Authors: Kiurski S. Jelena, Kecić S. Vesna, Aksentijević M. Snežana

Abstract:

Samples of tap and wastewater were collected in three offset printing facilities in Novi Sad, Serbia. Ten physicochemical parameters were analyzed within all collected samples: pH, conductivity, m - alkalinity, p - alkalinity, acidity, carbonate concentration, hydrogen carbonate concentration, active oxygen content, chloride concentration and total alkali content. All measurements were conducted using the standard analytical and instrumental methods. Comparing the obtained results for tap water and wastewater, a clear quality difference was noticeable, since all physicochemical parameters were significantly higher within wastewater samples. The study also involves the application of simple linear regression analysis on the obtained dataset. By using software package ORIGIN 5 the pH value was mutually correlated with other physicochemical parameters. Based on the obtained values of Pearson coefficient of determination a strong positive correlation between chloride concentration and pH (r = -0.943), as well as between acidity and pH (r = -0.855) was determined. In addition, statistically significant difference was obtained only between acidity and chloride concentration with pH values, since the values of parameter F (247.634 and 182.536) were higher than Fcritical (5.59). In this way, results of statistical analysis highlighted the most influential parameter of water contamination in offset printing, in the form of acidity and chloride concentration. The results showed that variable dependence could be represented by the general regression model: y = a0 + a1x+ k, which further resulted with matching graphic regressions.

Keywords: Pollution, printing industry, simple linear regression analysis, wastewater.

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6887 Radiation Effect on MHD Casson Fluid Flow over a Power-Law Stretching Sheet with Chemical Reaction

Authors: Motahar Reza, Rajni Chahal, Neha Sharma

Abstract:

This article addresses the boundary layer flow and heat transfer of Casson fluid over a nonlinearly permeable stretching surface with chemical reaction in the presence of variable magnetic field. The effect of thermal radiation is considered to control the rate of heat transfer at the surface. Using similarity transformations, the governing partial differential equations of this problem are reduced into a set of non-linear ordinary differential equations which are solved by finite difference method. It is observed that the velocity at fixed point decreases with increasing the nonlinear stretching parameter but the temperature increases with nonlinear stretching parameter.

Keywords: Boundary layer flow, nonlinear stretching, Casson fluid, heat transfer, radiation.

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6886 Linear Programming Application in Unit Commitment of Wind Farms with Considering Uncertainties

Authors: M. Esmaeeli Shahrakht, A. Kazemi

Abstract:

Due to uncertainty of wind velocity, wind power generators don’t have deterministic output power. Utilizing wind power generation and thermal power plants together create new concerns for operation engineers of power systems. In this paper, a model is presented to implement the uncertainty of load and generated wind power which can be utilized in power system operation planning. Stochastic behavior of parameters is simulated by generating scenarios that can be solved by deterministic method. A mixed-integer linear programming method is used for solving deterministic generation scheduling problem. The proposed approach is applied to a 12-unit test system including 10 thermal units and 2 wind farms. The results show affectivity of piecewise linear model in unit commitment problems. Also using linear programming causes a considerable reduction in calculation times and guarantees convergence to the global optimum. Neglecting the uncertainty of wind velocity causes higher cost assessment of generation scheduling.

Keywords: Load uncertainty, linear programming, scenario generation, unit commitment, wind farm.

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6885 Signal Driven Sampling and Filtering a Promising Approach for Time Varying Signals Processing

Authors: Saeed Mian Qaisar, Laurent Fesquet, Marc Renaudin

Abstract:

The mobile systems are powered by batteries. Reducing the system power consumption is a key to increase its autonomy. It is known that mostly the systems are dealing with time varying signals. Thus, we aim to achieve power efficiency by smartly adapting the system processing activity in accordance with the input signal local characteristics. It is done by completely rethinking the processing chain, by adopting signal driven sampling and processing. In this context, a signal driven filtering technique, based on the level crossing sampling is devised. It adapts the sampling frequency and the filter order by analysing the input signal local variations. Thus, it correlates the processing activity with the signal variations. It leads towards a drastic computational gain of the proposed technique compared to the classical one.

Keywords: Level Crossing Sampling, Activity Selection, Adaptive Rate Filtering, Computational Complexity.

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6884 Estimating an Optimal Neighborhood Size in the Spherical Self-Organizing Feature Map

Authors: Alexandros Leontitsis, Archana P. Sangole

Abstract:

This article presents a short discussion on optimum neighborhood size selection in a spherical selforganizing feature map (SOFM). A majority of the literature on the SOFMs have addressed the issue of selecting optimal learning parameters in the case of Cartesian topology SOFMs. However, the use of a Spherical SOFM suggested that the learning aspects of Cartesian topology SOFM are not directly translated. This article presents an approach on how to estimate the neighborhood size of a spherical SOFM based on the data. It adopts the L-curve criterion, previously suggested for choosing the regularization parameter on problems of linear equations where their right-hand-side is contaminated with noise. Simulation results are presented on two artificial 4D data sets of the coupled Hénon-Ikeda map.

Keywords: Parameter estimation, self-organizing feature maps, spherical topology.

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6883 Robust Image Transmission Over Time-varying Channels using Hierarchical Joint Source Channel Coding

Authors: Hatem. Elmeddeb, Noureddine, Hamdi, Ammar. Bouallègue

Abstract:

In this paper, a joint source-channel coding (JSCC) scheme for time-varying channels is presented. The proposed scheme uses hierarchical framework for both source encoder and transmission via QAM modulation. Hierarchical joint source channel codes with hierarchical QAM constellations are designed to track the channel variations which yields to a higher throughput by adapting certain parameters of the receiver to the channel variation. We consider the problem of still image transmission over time-varying channels with channel state information (CSI) available at 1) receiver only and 2) both transmitter and receiver being informed about the state of the channel. We describe an algorithm that optimizes hierarchical source codebooks by minimizing the distortion due to source quantizer and channel impairments. Simulation results, based on image representation, show that, the proposed hierarchical system outperforms the conventional schemes based on a single-modulator and channel optimized source coding.

Keywords: Channel-optimized VQ (COVQ), joint optimization, QAM, hierarchical systems.

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6882 Delay-range-Dependent Exponential Synchronization of Lur-e Systems with Markovian Switching

Authors: Xia Zhou, Shouming Zhong

Abstract:

The problem of delay-range-dependent exponential synchronization is investigated for Lur-e master-slave systems with delay feedback control and Markovian switching. Using Lyapunov- Krasovskii functional and nonsingular M-matrix method, novel delayrange- dependent exponential synchronization in mean square criterions are established. The systems discussed in this paper is advanced system, and takes all the features of interval systems, Itˆo equations, Markovian switching, time-varying delay, as well as the environmental noise, into account. Finally, an example is given to show the validity of the main result.

Keywords: Synchronization, delay-range-dependent, Markov chain, generalized Itō's formula, brownian motion, M-matrix.

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6881 Multilevel Arnoldi-Tikhonov Regularization Methods for Large-Scale Linear Ill-Posed Systems

Authors: Yiqin Lin, Liang Bao

Abstract:

This paper is devoted to the numerical solution of large-scale linear ill-posed systems. A multilevel regularization method is proposed. This method is based on a synthesis of the Arnoldi-Tikhonov regularization technique and the multilevel technique. We show that if the Arnoldi-Tikhonov method is a regularization method, then the multilevel method is also a regularization one. Numerical experiments presented in this paper illustrate the effectiveness of the proposed method.

Keywords: Discrete ill-posed problem, Tikhonov regularization, discrepancy principle, Arnoldi process, multilevel method.

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6880 Restarted GMRES Method Augmented with the Combination of Harmonic Ritz Vectors and Error Approximations

Authors: Qiang Niu, Linzhang Lu

Abstract:

Restarted GMRES methods augmented with approximate eigenvectors are widely used for solving large sparse linear systems. Recently a new scheme of augmenting with error approximations is proposed. The main aim of this paper is to develop a restarted GMRES method augmented with the combination of harmonic Ritz vectors and error approximations. We demonstrate that the resulted combination method can gain the advantages of two approaches: (i) effectively deflate the small eigenvalues in magnitude that may hamper the convergence of the method and (ii) partially recover the global optimality lost due to restarting. The effectiveness and efficiency of the new method are demonstrated through various numerical examples.

Keywords: Arnoldi process, GMRES, Krylov subspace, systems of linear equations.

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6879 Relationship between Sums of Squares in Linear Regression and Semi-parametric Regression

Authors: Dursun Aydın, Bilgin Senel

Abstract:

In this paper, the sum of squares in linear regression is reduced to sum of squares in semi-parametric regression. We indicated that different sums of squares in the linear regression are similar to various deviance statements in semi-parametric regression. In addition to, coefficient of the determination derived in linear regression model is easily generalized to coefficient of the determination of the semi-parametric regression model. Then, it is made an application in order to support the theory of the linear regression and semi-parametric regression. In this way, study is supported with a simulated data example.

Keywords: Semi-parametric regression, Penalized LeastSquares, Residuals, Deviance, Smoothing Spline.

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6878 On Algebraic Structure of Improved Gauss-Seidel Iteration

Authors: O. M. Bamigbola, A. A. Ibrahim

Abstract:

Analysis of real life problems often results in linear systems of equations for which solutions are sought. The method to employ depends, to some extent, on the properties of the coefficient matrix. It is not always feasible to solve linear systems of equations by direct methods, as such the need to use an iterative method becomes imperative. Before an iterative method can be employed to solve a linear system of equations there must be a guaranty that the process of solution will converge. This guaranty, which must be determined apriori, involve the use of some criterion expressible in terms of the entries of the coefficient matrix. It is, therefore, logical that the convergence criterion should depend implicitly on the algebraic structure of such a method. However, in deference to this view is the practice of conducting convergence analysis for Gauss- Seidel iteration on a criterion formulated based on the algebraic structure of Jacobi iteration. To remedy this anomaly, the Gauss- Seidel iteration was studied for its algebraic structure and contrary to the usual assumption, it was discovered that some property of the iteration matrix of Gauss-Seidel method is only diagonally dominant in its first row while the other rows do not satisfy diagonal dominance. With the aid of this structure we herein fashion out an improved version of Gauss-Seidel iteration with the prospect of enhancing convergence and robustness of the method. A numerical section is included to demonstrate the validity of the theoretical results obtained for the improved Gauss-Seidel method.

Keywords: Linear system of equations, Gauss-Seidel iteration, algebraic structure, convergence.

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6877 EML-Estimation of Multivariate t Copulas with Heuristic Optimization

Authors: Jin Zhang, Wing Lon Ng

Abstract:

In recent years, copulas have become very popular in financial research and actuarial science as they are more flexible in modelling the co-movements and relationships of risk factors as compared to the conventional linear correlation coefficient by Pearson. However, a precise estimation of the copula parameters is vital in order to correctly capture the (possibly nonlinear) dependence structure and joint tail events. In this study, we employ two optimization heuristics, namely Differential Evolution and Threshold Accepting to tackle the parameter estimation of multivariate t distribution models in the EML approach. Since the evolutionary optimizer does not rely on gradient search, the EML approach can be applied to estimation of more complicated copula models such as high-dimensional copulas. Our experimental study shows that the proposed method provides more robust and more accurate estimates as compared to the IFM approach.

Keywords: Copula Models, Student t Copula, Parameter Inference, Differential Evolution, Threshold Accepting.

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