Numerical Optimization within Vector of Parameters Estimation in Volatility Models

In this paper usefulness of quasi-Newton iteration procedure in parameters estimation of the conditional variance equation within BHHH algorithm is presented. Analytical solution of maximization of the likelihood function using first and second derivatives is too complex when the variance is time-varying. The advantage of BHHH algorithm in comparison to the other optimization algorithms is that requires no third derivatives with assured convergence. To simplify optimization procedure BHHH algorithm uses the approximation of the matrix of second derivatives according to information identity. However, parameters estimation in a/symmetric GARCH(1,1) model assuming normal distribution of returns is not that simple, i.e. it is difficult to solve it analytically. Maximum of the likelihood function can be founded by iteration procedure until no further increase can be found. Because the solutions of the numerical optimization are very sensitive to the initial values, GARCH(1,1) model starting parameters are defined. The number of iterations can be reduced using starting values close to the global maximum. Optimization procedure will be illustrated in framework of modeling volatility on daily basis of the most liquid stocks on Croatian capital market: Podravka stocks (food industry), Petrokemija stocks (fertilizer industry) and Ericsson Nikola Tesla stocks (information-s-communications industry).

Performance, Emission and Combustion Characteristics of Direct Injection Diesel Engine Running on Rice Bran Oil / Diesel Fuel Blend

Triglycerides and their derivatives are considered as viable alternatives for diesel fuels. Rice bran oil is used as diesel fuel. Highly viscous rice bran oil can be reduced by blending it with diesel fuel. The present research is aimed to investigate experimentally the performance, exhaust emission and combustion characteristics of a direct injection (DI) diesel engine, typically used in agricultural sector, over the entire load range when fuelled with rice bran oil and diesel fuel blends, RB10 (10% rice bran oil + 90% diesel fuel) to RB50. The performance, emission and combustion parameters of RB20 were found to be very close to neat diesel fuel (ND). The injector opening pressure (IOP) undoubtedly is of prime importance in diesel engine operation. Performance, emission and combustion characteristics with RB30 at enhanced IOPs are better than ND. Improved premixed heat release rate were noticed with RB30 when the IOP is enhanced.

Bioefficacy of Some Oil-Mixed Plant Derivatives against African Mud Catfish (Clarias gariepinus) Beetles, Dermestes maculatus and Necrobia rufipes

The efficacy of the separate mixing of four tropical spicy and medicinal plant products: Dennettia tripetala Baker (pepper fruit), Eugenia aromatica Hook (clove), Piper guineense (Schum and Thonn) (black pepper) and Monodora myristica (Dunal) (African nut-meg) with a household vegetable oil was evaluated under tropical storage conditions for the control and reproductive performance of Dermestes maculatus (De Geer) (hide beetle) and Necroba rufipes (De Geer) (copra beetle) on African catfish, Clarias gariepinus (Burchell). Each of the plant materials was pulverized into powder and applied as a mix of 1ml of oil and plant powder at 2.5, 5.0, 7.5 and 10.0g per 100g of dried fish, and allowed to dry for 6h. Each of the four oil-mixed powder treatments evoked significant (P < 05) mortalities of the two insects compared with the control (oil only) at 1, 3 and 7 days post treatment. The oil-powder mixture dosages did not prevent insect egg hatchability but while the emergent larvae on the treated samples died, the emergent larvae in the control survived into adults. The application of oil-mixed powders effectively suppressed the emergence of the larvae of the beetles. Similarly, each of the oil-powder mixtures significantly reduced weight loss in smoked fish that were exposed to D. maculatus and N. rufipes when compared to the control (P < 05). The results of this study suggest that the plant powders rather than the domestic oil demonstrated protective ability against the fish beetles and confirm the efficacy of the plant products as pest control agents.

A New Quadrature Rule Derived from Spline Interpolation with Error Analysis

We present a new quadrature rule based on the spline interpolation along with the error analysis. Moreover, some error estimates for the reminder when the integrand is either a Lipschitzian function, a function of bounded variation or a function whose derivative belongs to Lp are given. We also give some examples to show that, practically, the spline rule is better than the trapezoidal rule.

Improved Approximation to the Derivative of a Digital Signal Using Wavelet Transforms for Crosstalk Analysis

The information revealed by derivatives can help to better characterize digital near-end crosstalk signatures with the ultimate goal of identifying the specific aggressor signal. Unfortunately, derivatives tend to be very sensitive to even low levels of noise. In this work we approximated the derivatives of both quiet and noisy digital signals using a wavelet-based technique. The results are presented for Gaussian digital edges, IBIS Model digital edges, and digital edges in oscilloscope data captured from an actual printed circuit board. Tradeoffs between accuracy and noise immunity are presented. The results show that the wavelet technique can produce first derivative approximations that are accurate to within 5% or better, even under noisy conditions. The wavelet technique can be used to calculate the derivative of a digital signal edge when conventional methods fail.

An Edge Detection and Filtering Mechanism of Two Dimensional Digital Objects Based on Fuzzy Inference

The general idea behind the filter is to average a pixel using other pixel values from its neighborhood, but simultaneously to take care of important image structures such as edges. The main concern of the proposed filter is to distinguish between any variations of the captured digital image due to noise and due to image structure. The edges give the image the appearance depth and sharpness. A loss of edges makes the image appear blurred or unfocused. However, noise smoothing and edge enhancement are traditionally conflicting tasks. Since most noise filtering behaves like a low pass filter, the blurring of edges and loss of detail seems a natural consequence. Techniques to remedy this inherent conflict often encompass generation of new noise due to enhancement. In this work a new fuzzy filter is presented for the noise reduction of images corrupted with additive noise. The filter consists of three stages. (1) Define fuzzy sets in the input space to computes a fuzzy derivative for eight different directions (2) construct a set of IFTHEN rules by to perform fuzzy smoothing according to contributions of neighboring pixel values and (3) define fuzzy sets in the output space to get the filtered and edged image. Experimental results are obtained to show the feasibility of the proposed approach with two dimensional objects.

Adaptive Bidirectional Flow for Image Interpolation and Enhancement

Image interpolation is a common problem in imaging applications. However, most interpolation algorithms in existence suffer visually the effects of blurred edges and jagged artifacts in the image to some extent. This paper presents an adaptive feature preserving bidirectional flow process, where an inverse diffusion is performed to sharpen edges along the normal directions to the isophote lines (edges), while a normal diffusion is done to remove artifacts (“jaggies") along the tangent directions. In order to preserve image features such as edges, corners and textures, the nonlinear diffusion coefficients are locally adjusted according to the directional derivatives of the image. Experimental results on synthetic images and nature images demonstrate that our interpolation algorithm substantially improves the subjective quality of the interpolated images over conventional interpolations.

A Finite Point Method Based on Directional Derivatives for Diffusion Equation

This paper presents a finite point method based on directional derivatives for diffusion equation on 2D scattered points. To discretize the diffusion operator at a given point, a six-point stencil is derived by employing explicit numerical formulae of directional derivatives, namely, for the point under consideration, only five neighbor points are involved, the number of which is the smallest for discretizing diffusion operator with first-order accuracy. A method for selecting neighbor point set is proposed, which satisfies the solvability condition of numerical derivatives. Some numerical examples are performed to show the good performance of the proposed method.

Fuzzy Logic PID Control of Automatic Voltage Regulator System

The application of a simple microcontroller to deal with a three variable input and a single output fuzzy logic controller, with Proportional – Integral – Derivative (PID) response control built-in has been tested for an automatic voltage regulator. The fuzzifiers are based on fixed range of the variables of output voltage. The control output is used to control the wiper motor of the auto transformer to adjust the voltage, using fuzzy logic principles, so that the voltage is stabilized. In this report, the author will demonstrate how fuzzy logic might provide elegant and efficient solutions in the design of multivariable control based on experimental results rather than on mathematical models.

Numerical Solution of Riccati Differential Equations by Using Hybrid Functions and Tau Method

A numerical method for Riccati equation is presented in this work. The method is based on the replacement of unknown functions through a truncated series of hybrid of block-pulse functions and Chebyshev polynomials. The operational matrices of derivative and product of hybrid functions are presented. These matrices together with the tau method are then utilized to transform the differential equation into a system of algebraic equations. Corresponding numerical examples are presented to demonstrate the accuracy of the proposed method.

Derivative Spectrophotometry Applied to the Determination of Triprolidine Hydrochloride and Pseudoephedrine Hydrochloride in Tablets and Dissolution Testing

A spectrophotometric method was developed for simultaneous quantification of pseudoephedrine hydrochloride (PSE) triprolidine hydrochloride (TRI) using second derivative method (zero-crossing technique). The second derivative amplitudes of PSE and TRI were measured at 271 and 321 nm, respectively. The calibration curves were linear in the range of 200 to 1,000 g/ml for PSE and 10 to 50 g/ml for TRI. The method was validated for specificity, accuracy, precision, limit of detection and limit of quantitation. The proposed method was applied to the assaying and dissolution of PSE and TRI in commercial tablets without any chemical separation. The results were compared with those obtained by the official USP31 method and statistical tests showed that there is no significant between the methods at 95% confidence level. The proposed method is simple, rapid and suitable for the routine quality control application. KeywordsTriprolidine, Pseudoephedrine, Derivative spectrophotometry, Dissolution testing.

PI Control for Positive Output Elementary Super Lift Luo Converter

The object of this paper is to design and analyze a proportional – integral (PI) control for positive output elementary super lift Luo converter (POESLLC), which is the start-of-the-art DC-DC converter. The positive output elementary super lift Luo converter performs the voltage conversion from positive source voltage to positive load voltage. This paper proposes a development of PI control capable of providing the good static and dynamic performance compared to proportional – integralderivative (PID) controller. Using state space average method derives the dynamic equations describing the positive output elementary super lift luo converter and PI control is designed. The simulation model of the positive output elementary super lift Luo converter with its control circuit is implemented in Matlab/Simulink. The PI control for positive output elementary super lift Luo converter is tested for transient region, line changes, load changes, steady state region and also for components variations.

Lagrange and Multilevel Wavelet-Galerkin with Polynomial Time Basis for Heat Equation

The Wavelet-Galerkin finite element method for solving the one-dimensional heat equation is presented in this work. Two types of basis functions which are the Lagrange and multi-level wavelet bases are employed to derive the full form of matrix system. We consider both linear and quadratic bases in the Galerkin method. Time derivative is approximated by polynomial time basis that provides easily extend the order of approximation in time space. Our numerical results show that the rate of convergences for the linear Lagrange and the linear wavelet bases are the same and in order 2 while the rate of convergences for the quadratic Lagrange and the quadratic wavelet bases are approximately in order 4. It also reveals that the wavelet basis provides an easy treatment to improve numerical resolutions that can be done by increasing just its desired levels in the multilevel construction process.

Bail-in Capital: The New Box

In this paper, we discuss the paradigm shift in bank capital from the “gone concern" to the “going concern" mindset. We then propose a methodology for pricing a product of this shift called Contingent Capital Notes (“CoCos"). The Merton Model can determine a price for credit risk by using the firm-s equity value as a call option on those assets. Our pricing methodology for CoCos also uses the credit spread implied by the Merton Model in a subsequent derivative form created by John Hull et al . Here, a market implied asset volatility is calculated by using observed market CDS spreads. This implied asset volatility is then used to estimate the probability of triggering a predetermined “contingency event" given the distanceto- trigger (DTT). The paper then investigates the effect of varying DTTs and recovery assumptions on the CoCo yield. We conclude with an investment rationale.

Automated ECG Segmentation Using Piecewise Derivative Dynamic Time Warping

Electrocardiogram (ECG) segmentation is necessary to help reduce the time consuming task of manually annotating ECG's. Several algorithms have been developed to segment the ECG automatically. We first review several of such methods, and then present a new single lead segmentation method based on Adaptive piecewise constant approximation (APCA) and Piecewise derivative dynamic time warping (PDDTW). The results are tested on the QT database. We compared our results to Laguna's two lead method. Our proposed approach has a comparable mean error, but yields a slightly higher standard deviation than Laguna's method.

Feature Based Dense Stereo Matching using Dynamic Programming and Color

This paper presents a new feature based dense stereo matching algorithm to obtain the dense disparity map via dynamic programming. After extraction of some proper features, we use some matching constraints such as epipolar line, disparity limit, ordering and limit of directional derivative of disparity as well. Also, a coarseto- fine multiresolution strategy is used to decrease the search space and therefore increase the accuracy and processing speed. The proposed method links the detected feature points into the chains and compares some of the feature points from different chains, to increase the matching speed. We also employ color stereo matching to increase the accuracy of the algorithm. Then after feature matching, we use the dynamic programming to obtain the dense disparity map. It differs from the classical DP methods in the stereo vision, since it employs sparse disparity map obtained from the feature based matching stage. The DP is also performed further on a scan line, between any matched two feature points on that scan line. Thus our algorithm is truly an optimization method. Our algorithm offers a good trade off in terms of accuracy and computational efficiency. Regarding the results of our experiments, the proposed algorithm increases the accuracy from 20 to 70%, and reduces the running time of the algorithm almost 70%.

Molecular Electronic Devices based on Carotenoid Derivatives

The production of devices in nanoscale with specific molecular rectifying function is one of the most significant goals in state-of-art technology. In this work we show by ab initio quantum mechanics calculations coupled with non-equilibrium Green function, the design of an organic two-terminal device. These molecular structures have molecular source and drain with several bridge length (from five up to 11 double bonds). Our results are consistent with significant features as a molecular rectifier and can be raised up as: (a) it can be used as bi-directional symmetrical rectifier; (b) two devices integrated in one (FET with one operational region, and Thyristor thiristor); (c) Inherent stability due small intrinsic capacitance under forward/reverse bias. We utilize a scheme for the transport mechanism based on previous properties of ¤Ç bonds type that can be successfully utilized to construct organic nanodevices.

Outlier Pulse Detection and Feature Extraction for Wrist Pulse Analysis

Wrist pulse analysis for identification of health status is found in Ancient Indian as well as Chinese literature. The preprocessing of wrist pulse is necessary to remove outlier pulses and fluctuations prior to the analysis of pulse pressure signal. This paper discusses the identification of irregular pulses present in the pulse series and intricacies associated with the extraction of time domain pulse features. An approach of Dynamic Time Warping (DTW) has been utilized for the identification of outlier pulses in the wrist pulse series. The ambiguity present in the identification of pulse features is resolved with the help of first derivative of Ensemble Average of wrist pulse series. An algorithm for detecting tidal and dicrotic notch in individual wrist pulse segment is proposed.

Mapping of C* Elements in Finite Element Method using Transformation Matrix

Mapping between local and global coordinates is an important issue in finite element method, as all calculations are performed in local coordinates. The concern arises when subparametric are used, in which the shape functions of the field variable and the geometry of the element are not the same. This is particularly the case for C* elements in which the extra degrees of freedoms added to the nodes make the elements sub-parametric. In the present work, transformation matrix for C1* (an 8-noded hexahedron element with 12 degrees of freedom at each node) is obtained using equivalent C0 elements (with the same number of degrees of freedom). The convergence rate of 8-noded C1* element is nearly equal to its equivalent C0 element, while it consumes less CPU time with respect to the C0 element. The existence of derivative degrees of freedom at the nodes of C1* element along with excellent convergence makes it superior compared with it equivalent C0 element.

Adaptive Anisotropic Diffusion for Ultrasonic Image Denoising and Edge Enhancement

Utilizing echoic intension and distribution from different organs and local details of human body, ultrasonic image can catch important medical pathological changes, which unfortunately may be affected by ultrasonic speckle noise. A feature preserving ultrasonic image denoising and edge enhancement scheme is put forth, which includes two terms: anisotropic diffusion and edge enhancement, controlled by the optimum smoothing time. In this scheme, the anisotropic diffusion is governed by the local coordinate transformation and the first and the second order normal derivatives of the image, while the edge enhancement is done by the hyperbolic tangent function. Experiments on real ultrasonic images indicate effective preservation of edges, local details and ultrasonic echoic bright strips on denoising by our scheme.