Search results for: nonlinear partial differential equation.
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 2770

Search results for: nonlinear partial differential equation.

2470 A Modification on Newton's Method for Solving Systems of Nonlinear Equations

Authors: Jafar Biazar, Behzad Ghanbari

Abstract:

In this paper, we are concerned with the further study for system of nonlinear equations. Since systems with inaccurate function values or problems with high computational cost arise frequently in science and engineering, recently such systems have attracted researcher-s interest. In this work we present a new method which is independent of function evolutions and has a quadratic convergence. This method can be viewed as a extension of some recent methods for solving mentioned systems of nonlinear equations. Numerical results of applying this method to some test problems show the efficiently and reliability of method.

Keywords: System of nonlinear equations.

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2469 Nonlinear Slow Shear Alfven Waves in Electron- Positron-Ion Plasma Including Full Ion Dynamics

Authors: B. Ghosh, H. Sahoo, K. K. Mondal

Abstract:

Propagation of arbitrary amplitude nonlinear Alfven waves has been investigated in low but finite β electron-positron-ion plasma including full ion dynamics. Using Sagdeev pseudopotential method an energy integral equation has been derived. The Sagdeev potential has been calculated for different plasma parameters and it has been shown that inclusion of ion parallel motion along the magnetic field changes the nature of slow shear Alfven wave solitons from dip type to hump type. The effects of positron concentration, plasma-β and obliqueness of the wave propagation on the solitary wave structure have also been examined.

Keywords: Alfven waves, Sagdeev potential, Solitary waves.

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2468 Three Phase Fault Analysis of DC-Link Rectifier using new Power Differential Protection Concept

Authors: A. Gamil, G. Herold

Abstract:

The concept of differential protection based on current quantities has been discussed in many paper and researches. For certificating and inverting of currents and voltages through converter systems, there is no conventional current differential relay, which can compare current quantities, because they are different in form and frequencies. An overview over a new concept of differential protection for converters based on instantaneous power quantities will be discussed in this paper. To drive the power quantities a mathematical background of the space vectors will be introduced. A simple DCLink is preceded in this paper and a power analysis description and simulation is derived using Matlab®/ SimulinkTM concerning a certain construction scheme of Power Differential Relay System. Finally a complete analysis of three phase fault in DC-Link Rectifier is discussed to ensure the ability of Power Differential Protection System to detect the fault in main and selectivity protection sections.

Keywords: Space Vectors, Power Differential Relay (PDR), Short Circuit Power, Diode Recovery Energy, Detected Power Differential Signal (DPDS), Power Space Vector (PSV), Power Space Vector Protection Area (PSVPA).

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2467 State Estimation Method Based on Unscented Kalman Filter for Vehicle Nonlinear Dynamics

Authors: Wataru Nakamura, Tomoaki Hashimoto, Liang-Kuang Chen

Abstract:

This paper provides a state estimation method for automatic control systems of nonlinear vehicle dynamics. A nonlinear tire model is employed to represent the realistic behavior of a vehicle. In general, all the state variables of control systems are not precisedly known, because those variables are observed through output sensors and limited parts of them might be only measurable. Hence, automatic control systems must incorporate some type of state estimation. It is needed to establish a state estimation method for nonlinear vehicle dynamics with restricted measurable state variables. For this purpose, unscented Kalman filter method is applied in this study for estimating the state variables of nonlinear vehicle dynamics. The objective of this paper is to propose a state estimation method using unscented Kalman filter for nonlinear vehicle dynamics. The effectiveness of the proposed method is verified by numerical simulations.

Keywords: State estimation, control systems, observer systems, unscented Kalman filter, nonlinear vehicle dynamics.

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2466 Analysis of a Self-Acting Air Journal Bearing: Effect of Dynamic Deformation of Bump Foil

Authors: H. Bensouilah, H. Boucherit, M. Lahmar

Abstract:

A theoretical investigation on the effects of both steady-state and dynamic deformations of the foils on the dynamic performance characteristics of a self-acting air foil journal bearing operating under small harmonic vibrations is proposed. To take into account the dynamic deformations of foils, the perturbation method is used for determining the gas-film stiffness and damping coefficients for given values of excitation frequency, compressibility number, and compliance factor of the bump foil. The nonlinear stationary Reynolds’ equation is solved by means of the Galerkins’ finite element formulation while the finite differences method are used to solve the first order complex dynamic equations resulting from the perturbation of the nonlinear transient compressible Reynolds’ equation. The stiffness of a bump is uniformly distributed throughout the bearing surface (generation I bearing). It was found that the dynamic properties of the compliant finite length journal bearing are significantly affected by the compliance of foils especially whenthe dynamic deformation of foils is considered in addition to the static one by applying the principle of superposition.

Keywords: Elasto-aerodynamic lubrication, Air foil bearing, Steady-state deformation, Dynamic deformation, Stiffness and damping coefficients, Perturbation method, Fluid-structure interaction, Galerk infinite element method, Finite difference method.

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2465 Delay-independent Stabilization of Linear Systems with Multiple Time-delays

Authors: Ping He, Heng-You Lan, Gong-Quan Tan

Abstract:

The multidelays linear control systems described by difference differential equations are often studied in modern control theory. In this paper, the delay-independent stabilization algebraic criteria and the theorem of delay-independent stabilization for linear systems with multiple time-delays are established by using the Lyapunov functional and the Riccati algebra matrix equation in the matrix theory. An illustrative example and the simulation result, show that the approach to linear systems with multiple time-delays is effective.

Keywords: Linear system, Delay-independent stabilization, Lyapunovfunctional, Riccati algebra matrix equation.

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2464 A Study on Optimal Determination of Partial Transmission Ratios of Helical Gearboxes with Second-Step Double Gear-Sets

Authors: Vu Ngoc Pi

Abstract:

In this paper, a study on the applications of the optimization and regression techniques for optimal calculation of partial ratios of helical gearboxes with second-step double gear-sets for minimal cross section dimension is introduced. From the condition of the moment equilibrium of a mechanic system including three gear units and their regular resistance condition, models for calculation of the partial ratios of helical gearboxes with second-step double gear-sets were given. Especially, by regression analysis, explicit models for calculation of the partial ratios are introduced. These models allow determining the partial ratios accurately and simply.

Keywords: Gearbox design, optimal design, helical gearbox, transmission ratio.

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2463 Projective Synchronization of a Class of Fractional-Order Chaotic Systems

Authors: Zahra Yaghoubi, Nooshin Bigdeli, Karim Afshar

Abstract:

This paper at first presents approximate analytical solutions for systems of fractional differential equations using the differential transform method. The application of differential transform method, developed for differential equations of integer order, is extended to derive approximate analytical solutions of systems of fractional differential equations. The solutions of our model equations are calculated in the form of convergent series with easily computable components. After that a drive-response synchronization method with linear output error feedback is presented for “generalized projective synchronization" for a class of fractional-order chaotic systems via a scalar transmitted signal. Genesio_Tesi and Duffing systems are used to illustrate the effectiveness of the proposed synchronization method.

Keywords: Generalized projective synchronization; Fractionalorder;Chaos; Caputo derivative; Differential transform method

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2462 Numerical Treatment of Block Method for the Solution of Ordinary Differential Equations

Authors: A. M. Sagir

Abstract:

Discrete linear multistep block method of uniform order for the solution of first order initial value problems (IVP­s­) in ordinary differential equations (ODE­s­) is presented in this paper. The approach of interpolation and collocation approximation are adopted in the derivation of the method which is then applied to first order ordinary differential equations with associated initial conditions. The continuous hybrid formulations enable us to differentiate and evaluate at some grids and off – grid points to obtain four discrete schemes, which were used in block form for parallel or sequential solutions of the problems. Furthermore, a stability analysis and efficiency of the block method are tested on ordinary differential equations, and the results obtained compared favorably with the exact solution.

Keywords: Block Method, First Order Ordinary Differential Equations, Hybrid, Self starting.

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2461 Analytical Based Truncation Principle of Higher-Order Solution for a x1/3 Force Nonlinear Oscillator

Authors: Md. Alal Hosen

Abstract:

In this paper, a modified harmonic balance method based an analytical technique has been developed to determine higher-order approximate periodic solutions of a conservative nonlinear oscillator for which the elastic force term is proportional to x1/3. Usually, a set of nonlinear algebraic equations is solved in this method. However, analytical solutions of these algebraic equations are not always possible, especially in the case of a large oscillation. In this article, different parameters of the same nonlinear problems are found, for which the power series produces desired results even for the large oscillation. We find a modified harmonic balance method works very well for the whole range of initial amplitudes, and the excellent agreement of the approximate frequencies and periodic solutions with the exact ones has been demonstrated and discussed. Besides these, a suitable truncation formula is found in which the solution measures better results than existing solutions. The method is mainly illustrated by the x1/3 force nonlinear oscillator but it is also useful for many other nonlinear problems.

Keywords: Approximate solutions, Harmonic balance method, Nonlinear oscillator, Perturbation.

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2460 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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2459 Partial Connection Architecture for Mobile Computing

Authors: Phyoung Jung Kim, Seogyun Kim

Abstract:

In mobile computing environments, there are many new non existing problems in the distributed system, which is consisted of stationary hosts because of host mobility, sudden disconnection by handoff in wireless networks, voluntary disconnection for efficient power consumption of a mobile host, etc. To solve the problems, we proposed the architecture of Partial Connection Manager (PCM) in this paper. PCM creates the limited number of mobile agents according to priority, sends them in parallel to servers, and combines the results to process the user request rapidly. In applying the proposed PCM to the mobile market agent service, we understand that the mobile agent technique could be suited for the mobile computing environment and the partial connection problem management.

Keywords: Mobile agent, mobile computing, partial connection

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2458 Approximated Solutions of Two-Point Nonlinear Boundary Problem by a Combination of Taylor Series Expansion and Newton Raphson Method

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

Abstract:

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

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

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2457 Simulation of Propagation of Cos-Gaussian Beam in Strongly Nonlocal Nonlinear Media Using Paraxial Group Transformation

Authors: A. Keshavarz, Z. Roosta

Abstract:

In this paper, propagation of cos-Gaussian beam in strongly nonlocal nonlinear media has been stimulated by using paraxial group transformation. At first, cos-Gaussian beam, nonlocal nonlinear media, critical power, transfer matrix, and paraxial group transformation are introduced. Then, the propagation of the cos-Gaussian beam in strongly nonlocal nonlinear media is simulated. Results show that beam propagation has periodic structure during self-focusing effect in this case. However, this simple method can be used for investigation of propagation of kinds of beams in ABCD optical media.

Keywords: Paraxial group transformation, nonlocal nonlinear media, Cos-Gaussian beam, ABCD law.

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2456 A Qualitative Description of the Dynamics in the Interactions between Three Populations: Pollinators, Plants, and Herbivores

Authors: Miriam Sosa-Díaz, Faustino Sánchez-Garduño

Abstract:

In population dynamics the study of both, the abundance and the spatial distribution of the populations in a given habitat, is a fundamental issue a From ecological point of view, the determination of the factors influencing such changes involves important problems. In this paper a mathematical model to describe the temporal dynamic and the spatiotemporal dynamic of the interaction of three populations (pollinators, plants and herbivores) is presented. The study we present is carried out by stages: 1. The temporal dynamics and 2. The spatio-temporal dynamics. In turn, each of these stages is developed by considering three cases which correspond to the dynamics of each type of interaction. For instance, for stage 1, we consider three ODE nonlinear systems describing the pollinator-plant, plant-herbivore and plant-pollinator-herbivore, interactions, respectively. In each of these systems different types of dynamical behaviors are reported. Namely, transcritical and pitchfork bifurcations, existence of a limit cycle, existence of a heteroclinic orbit, etc. For the spatiotemporal dynamics of the two mathematical models a novel factor are introduced. This consists in considering that both, the pollinators and the herbivores, move towards those places of the habitat where the plant population density is high. In mathematical terms, this means that the diffusive part of the pollinators and herbivores equations depend on the plant population density. The analysis of this part is presented by considering pairs of populations, i. e., the pollinator-plant and plant-herbivore interactions and at the end the two mathematical model is presented, these models consist of two coupled nonlinear partial differential equations of reaction-diffusion type. These are defined on a rectangular domain with the homogeneous Neumann boundary conditions. We focused in the role played by the density dependent diffusion term into the coexistence of the populations. For both, the temporal and spatio-temporal dynamics, a several of numerical simulations are included.

Keywords: Bifurcation, heteroclinic orbits, steady state, traveling wave.

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2455 Nonlinear Solitary Structures of Electron Plasma Waves in a Finite Temperature Quantum Plasma

Authors: Swarniv Chandra, Basudev Ghosh

Abstract:

Nonlinear solitary structures of electron plasma waves have been investigated by using nonlinear quantum fluid equations for electrons with an arbitrary temperature. It is shown that the electron degeneracy parameter has significant effects on the linear and nonlinear properties of electron plasma waves. Depending on its value both compressive and rarefactive solitons can be excited in the model plasma under consideration.

Keywords: Electron Plasma Waves, Finite Temperature Model, Modulational Instability, Quantum Plasma, Solitary structure

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2454 Flutter Analysis of Slender Beams with Variable Cross Sections Based on Integral Equation Formulation

Authors: Z. El Felsoufi, L. Azrar

Abstract:

This paper studies a mathematical model based on the integral equations for dynamic analyzes numerical investigations of a non-uniform or multi-material composite beam. The beam is subjected to a sub-tangential follower force and elastic foundation. The boundary conditions are represented by generalized parameterized fixations by the linear and rotary springs. A mathematical formula based on Euler-Bernoulli beam theory is presented for beams with variable cross-sections. The non-uniform section introduces non-uniformity in the rigidity and inertia of beams and consequently, more complicated equilibrium who governs the equation. Using the boundary element method and radial basis functions, the equation of motion is reduced to an algebro-differential system related to internal and boundary unknowns. A generalized formula for the deflection, the slope, the moment and the shear force are presented. The free vibration of non-uniform loaded beams is formulated in a compact matrix form and all needed matrices are explicitly given. The dynamic stability analysis of slender beam is illustrated numerically based on the coalescence criterion. A realistic case related to an industrial chimney is investigated.

Keywords: Chimney, BEM and integral equation formulation, non uniform cross section, vibration and Flutter.

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2453 Optical Parametric Oscillators Lidar Sounding of Trace Atmospheric Gases in the 3-4 µm Spectral Range

Authors: Olga V. Kharchenko

Abstract:

Applicability of a KTA crystal-based laser system with optical parametric oscillators (OPO) generation to lidar sounding of the atmosphere in the spectral range 3–4 µm is studied in this work. A technique based on differential absorption lidar (DIAL) method and differential optical absorption spectroscopy (DOAS) is developed for lidar sounding of trace atmospheric gases (TAG). The DIAL-DOAS technique is tested to estimate its efficiency for lidar sounding of atmospheric trace gases.

Keywords: Atmosphere, lidar sounding, DIAL, DOAS, trace gases, nonlinear crystal.

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2452 Automatic Iterative Methods for the Multivariate Solution of Nonlinear Algebraic Equations

Authors: Rafat Alshorman, Safwan Al-Shara', I. Obeidat

Abstract:

Most real world systems express themselves formally as a set of nonlinear algebraic equations. As applications grow, the size and complexity of these equations also increase. In this work, we highlight the key concepts in using the homotopy analysis method as a methodology used to construct efficient iteration formulas for nonlinear equations solving. The proposed method is experimentally characterized according to a set of determined parameters which affect the systems. The experimental results show the potential and limitations of the new method and imply directions for future work.

Keywords: Nonlinear Algebraic Equations, Iterative Methods, Homotopy Analysis Method.

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2451 Study of MHD Oblique Stagnation Point Assisting Flow on Vertical Plate with Uniform Surface Heat Flux

Authors: Phool Singh, Ashok Jangid, N.S. Tomer, Deepa Sinha

Abstract:

The aim of this paper is to study the oblique stagnation point flow on vertical plate with uniform surface heat flux in presence of magnetic field. Using Stream function, partial differential equations corresponding to the momentum and energy equations are converted into non-linear ordinary differential equations. Numerical solutions of these equations are obtained using Runge-Kutta Fehlberg method with the help of shooting technique. In the present work the effects of striking angle, magnetic field parameter, Grashoff number, the Prandtl number on velocity and heat transfer characteristics have been discussed. Effect of above mentioned parameter on the position of stagnation point are also studied.

Keywords: Heat flux, Oblique stagnation point, Mixedconvection, Magneto hydrodynamics

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2450 Comparative Finite Element Simulation of Nonlinear Vibrations and Sensor Output Voltage of Smart Piezolaminated Structures

Authors: Ruediger Schmidt, Thang Duy Vu

Abstract:

Two geometrically nonlinear plate theories, based either on first- or third-order transverse shear deformation theory are used for finite element modeling and simulation of the transient response of smart structures incorporating piezoelectric layers. In particular the time histories of nonlinear vibrations and sensor voltage output of a thin beam with a piezoelectric patch bonded to the surface due to an applied step force are studied.

Keywords: Nonlinear vibrations, piezoelectric patches, sensor voltage output, smart structures.

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2449 Exterior Calculus: Economic Growth Dynamics

Authors: Troy L. Story

Abstract:

Mathematical models of dynamics employing exterior calculus are mathematical representations of the same unifying principle; namely, the description of a dynamic system with a characteristic differential one-form on an odd-dimensional differentiable manifold leads, by analysis with exterior calculus, to a set of differential equations and a characteristic tangent vector (vortex vector) which define transformations of the system. Using this principle, a mathematical model for economic growth is constructed by proposing a characteristic differential one-form for economic growth dynamics (analogous to the action in Hamiltonian dynamics), then generating a pair of characteristic differential equations and solving these equations for the rate of economic growth as a function of labor and capital. By contracting the characteristic differential one-form with the vortex vector, the Lagrangian for economic growth dynamics is obtained.

Keywords: Differential geometry, exterior calculus, Hamiltonian geometry, mathematical economics.

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2448 Traveling Wave Solutions for the (3+1)-Dimensional Breaking Soliton Equation by (G'/G)- Expansion Method and Modified F-Expansion Method

Authors: Mohammad Taghi Darvishi, Maliheh Najafi, Mohammad Najafi

Abstract:

In this paper, using (G/G )-expansion method and modified F-expansion method, we give some explicit formulas of exact traveling wave solutions for the (3+1)-dimensional breaking soliton equation. A modified F-expansion method is proposed by taking full advantages of F-expansion method and Riccati equation in seeking exact solutions of the equation.

Keywords: Exact solution, The (3+1)-dimensional breaking soliton equation, ( G G )-expansion method, Riccati equation, Modified Fexpansion method.

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2447 Internal Surface Measurement of Nanoparticle with Polarization-interferometric Nonlinear Confocal Microscope

Authors: Chikara Egami, Kazuhiro Kuwahara

Abstract:

Polarization-interferometric nonlinear confocal microscopy is proposed for measuring a nano-sized particle with optical anisotropy. The anisotropy in the particle was spectroscopically imaged through a three-dimensional distribution of third-order nonlinear dielectric polarization photoinduced.

Keywords: nanoparticle, optical storage, microscope

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2446 Parameter Estimation using Maximum Likelihood Method from Flight Data at High Angles of Attack

Authors: Rakesh Kumar, A. K. Ghosh

Abstract:

The paper presents the modeling of nonlinear longitudinal aerodynamics using flight data of Hansa-3 aircraft at high angles of attack near stall. The Kirchhoff-s quasi-steady stall model has been used to incorporate nonlinear aerodynamic effects in the aerodynamic model used to estimate the parameters, thereby, making the aerodynamic model nonlinear. The Maximum Likelihood method has been applied to the flight data (at high angles of attack) for the estimation of parameters (aerodynamic and stall characteristics) using the nonlinear aerodynamic model. To improve the accuracy level of the estimates, an approach of fixing the strong parameters has also been presented.

Keywords: Maximum Likelihood, nonlinear, parameters, stall.

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2445 Breast Skin-Line Estimation and Breast Segmentation in Mammograms using Fast-Marching Method

Authors: Roshan Dharshana Yapa, Koichi Harada

Abstract:

Breast skin-line estimation and breast segmentation is an important pre-process in mammogram image processing and computer-aided diagnosis of breast cancer. Limiting the area to be processed into a specific target region in an image would increase the accuracy and efficiency of processing algorithms. In this paper we are presenting a new algorithm for estimating skin-line and breast segmentation using fast marching algorithm. Fast marching is a partial-differential equation based numerical technique to track evolution of interfaces. We have introduced some modifications to the traditional fast marching method, specifically to improve the accuracy of skin-line estimation and breast tissue segmentation. Proposed modifications ensure that the evolving front stops near the desired boundary. We have evaluated the performance of the algorithm by using 100 mammogram images taken from mini-MIAS database. The results obtained from the experimental evaluation indicate that this algorithm explains 98.6% of the ground truth breast region and accuracy of the segmentation is 99.1%. Also this algorithm is capable of partially-extracting nipple when it is available in the profile.

Keywords: Mammogram, fast marching method, mathematical morphology.

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2444 Numerical Method Based On Initial Value-Finite Differences for Free Vibration of Stepped Thickness Plates

Authors: Ahmed M. Farag, Wael F. Mohamed, Atef A. Ata, Burhamy M. Burhamy

Abstract:

The main objective of the present paper is to derive an easy numerical technique for the analysis of the free vibration through the stepped regions of plates. Based on the utilities of the step by step integration initial values IV and Finite differences FD methods, the present improved Initial Value Finite Differences (IVFD) technique is achieved. The first initial conditions are formulated in convenient forms for the step by step integrations while the upper and lower edge conditions are expressed in finite difference modes. Also compatibility conditions are created due to the sudden variation of plate thickness. The present method (IVFD) is applied to solve the fourth order partial differential equation of motion for stepped plate across two different panels under the sudden step compatibility in addition to different types of end conditions. The obtained results are examined and the validity of the present method is proved showing excellent efficiency and rapid convergence.

Keywords: Vibrations, Step by Step Integration, Stepped plate, Boundary.

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2443 Heat and Mass Transfer of Triple Diffusive Convection in a Rotating Couple Stress Liquid Using Ginzburg-Landau Model

Authors: Sameena Tarannum, S. Pranesh

Abstract:

A nonlinear study of triple diffusive convection in a rotating couple stress liquid has been analysed. It is performed to study the effect of heat and mass transfer by deriving Ginzburg-Landau equation. Heat and mass transfer are quantified in terms of Nusselt number and Sherwood numbers, which are obtained as a function of thermal and solute Rayleigh numbers. The obtained Ginzburg-Landau equation is Bernoulli equation, and it has been elucidated numerically by using Mathematica. The effects of couple stress parameter, solute Rayleigh numbers, and Taylor number on the onset of convection and heat and mass transfer have been examined. It is found that the effects of couple stress parameter and Taylor number are to stabilize the system and to increase the heat and mass transfer.

Keywords: Couple stress liquid, Ginzburg-Landau model, rotation, triple diffusive convection.

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2442 An Application of Differential Subordination to Analytic Functions

Authors: Sukhwinder Singh Billing, Sushma Gupta, Sukhjit Singh Dhaliwal

Abstract:

the present paper, using the technique of differential subordination, we obtain certain results for analytic functions defined by a multiplier transformation in the open unit disc E = { z : IzI < 1}. We claim that our results extend and generalize the existing results in this particular direction

Keywords: function, Differential subordination, Multiplier transformation.

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2441 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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