Abstract: The goal of option pricing theory is to help the investors
to manage their money, enhance returns and control their financial
future by theoretically valuing their options. However, most of the
option pricing models have no analytical solution. Furthermore,
not all the numerical methods are efficient to solve these models
because they have nonsmoothing payoffs or discontinuous derivatives
at the exercise price. In this paper, we solve the American option
under jump diffusion models by using efficient time-dependent
numerical methods. several techniques are integrated to reduced
the overcome the computational complexity. Fast Fourier Transform
(FFT) algorithm is used as a matrix-vector multiplication solver,
which reduces the complexity from O(M2) into O(M logM).
Partial fraction decomposition technique is applied to rational
approximation schemes to overcome the complexity of inverting
polynomial of matrices. The proposed method is easy to implement
on serial or parallel versions. Numerical results are presented to prove
the accuracy and efficiency of the proposed method.
Abstract: The goal of option pricing theory is to help the
investors to manage their money, enhance returns and control their
financial future by theoretically valuing their options. Modeling
option pricing by Black-School models with jumps guarantees to
consider the market movement. However, only numerical methods
can solve this model. Furthermore, not all the numerical methods
are efficient to solve these models because they have nonsmoothing
payoffs or discontinuous derivatives at the exercise price. In this
paper, the exponential time differencing (ETD) method is applied
for solving partial integrodifferential equations arising in pricing
European options under Merton’s and Kou’s jump-diffusion models.
Fast Fourier Transform (FFT) algorithm is used as a matrix-vector
multiplication solver, which reduces the complexity from O(M2)
into O(M logM). A partial fraction form of Pad`e schemes is used
to overcome the complexity of inverting polynomial of matrices.
These two tools guarantee to get efficient and accurate numerical
solutions. We construct a parallel and easy to implement a version
of the numerical scheme. Numerical experiments are given to show
how fast and accurate is our scheme.
Abstract: Exploratory missions to Mars and Titan have increased recently with various endeavors to find an alternate home to humankind. The use of surface rovers has its limitations due to rugged and uneven surfaces of these planetary bodies. The use of aerial robots requires the complete aerodynamic characterization of these vehicles in the atmospheric conditions of these planetary bodies. The dynamic stall phenomenon is extremely important for rotary wings performance under low Reynolds number that can be encountered in Martian and Titan’s atmosphere. The current research focuses on the aerodynamic characterization and exploration of the dynamic stall phenomenon of two different airfoils viz. E387 and Selig-Donovan7003 in Martian and Titan’s atmosphere at low Reynolds numbers of 10000 and 50000. The two-dimensional numerical simulations are conducted using commercially available finite volume solver with multi-species non-reacting mixture of gases as the working fluid. The k-epsilon (k-ε) turbulence model is used to capture the unsteady flow separation and the effect of turbulence. The dynamic characteristics are studied at a fixed different constant rotational extreme of angles of attack. This study of airfoils at different low Reynolds number and atmospheric conditions on Mars and Titan will be resulting in defining the aerodynamic characteristics of these airfoils for unmanned aerial missions for outer space exploration.
Abstract: Continuously differentiable radial basis functions (RBFs) are meshfree, converge faster as the dimensionality increases, and is theoretically spectrally convergent. When implemented on current single and double precision computers, such RBFs can suffer from ill-conditioning because the systems of equations needed to be solved to find the expansion coefficients are full. However, the Advanpix extended precision software package allows computer mathematics to resemble asymptotically ideal Platonic mathematics. Additionally, full systems with extended precision execute faster graphical processors units and field-programmable gate arrays because no branching is needed. Sparse equation systems are fast for iterative solvers in a very limited number of cases.
Abstract: Modeling dam-break flows over non-flat beds requires
an accurate representation of the topography which is the main
source of uncertainty in the model. Therefore, developing robust
and accurate techniques for reconstructing topography in this class
of problems would reduce the uncertainty in the flow system. In
many hydraulic applications, experimental techniques have been
widely used to measure the bed topography. In practice, experimental
work in hydraulics may be very demanding in both time and cost.
Meanwhile, computational hydraulics have served as an alternative
for laboratory and field experiments. Unlike the forward problem,
the inverse problem is used to identify the bed parameters from the
given experimental data. In this case, the shallow water equations
used for modeling the hydraulics need to be rearranged in a way
that the model parameters can be evaluated from measured data.
However, this approach is not always possible and it suffers from
stability restrictions. In the present work, we propose an adaptive
optimal control technique to numerically identify the underlying bed
topography from a given set of free-surface observation data. In this
approach, a minimization function is defined to iteratively determine
the model parameters. The proposed technique can be interpreted
as a fractional-stage scheme. In the first stage, the forward problem
is solved to determine the measurable parameters from known data.
In the second stage, the adaptive control Ensemble Kalman Filter is
implemented to combine the optimality of observation data in order to
obtain the accurate estimation of the topography. The main features
of this method are on one hand, the ability to solve for different
complex geometries with no need for any rearrangements in the
original model to rewrite it in an explicit form. On the other hand, its
achievement of strong stability for simulations of flows in different
regimes containing shocks or discontinuities over any geometry.
Numerical results are presented for a dam-break flow problem over
non-flat bed using different solvers for the shallow water equations.
The robustness of the proposed method is investigated using different
numbers of loops, sensitivity parameters, initial samples and location
of observations. The obtained results demonstrate high reliability and
accuracy of the proposed techniques.
Abstract: This paper presents the energy and exergy optimization of a real gas turbine power plant performance of 100 MW of power, installed in the South East of Tunisia. A simulation code is established using the EES (Engineering Equation Solver) software. The parameters considered are those of the actual operating conditions of the gas turbine thermal power station under study. The results show that thermal and exergetic efficiency decreases with the increase of the ambient temperature. Air excess has an important effect on the thermal efficiency. The emission of NOx rises in the summer and decreases in the winter. The obtained rates of NOx are compared with measurements results.
Abstract: Rubberwood is a crucial commercial timber in Southern Thailand. All processes in a rubberwood production depend on the knowledge and expertise of the technicians, especially the drying process. This research aims to develop an empirical model for drying kinetics in rubberwood. During the experiment, the temperature of the hot air and the average air flow velocity were kept at 80-100 °C and 1.75 m/s, respectively. The moisture content in the samples was determined less than 12% in the achievement of drying basis. The drying kinetic was simulated using an empirical solver. The experimental results illustrated that the moisture content was reduced whereas the drying temperature and time were increased. The coefficient of the moisture ratio between the empirical and the experimental model was tested with three statistical parameters, R-square (R²), Root Mean Square Error (RMSE) and Chi-square (χ²) to predict the accuracy of the parameters. The experimental moisture ratio had a good fit with the empirical model. Additionally, the results indicated that the drying of rubberwood using the Henderson and Pabis model revealed the suitable level of agreement. The result presented an excellent estimation (R² = 0.9963) for the moisture movement compared to the other models. Therefore, the empirical results were valid and can be implemented in the future experiments.
Abstract: A compact planar monopole antenna with dual-band operation suitable for wireless local area network (WLAN) application is presented in this paper. The antenna occupies an overall area of 18 ×12 mm2. The antenna is fed by a coplanar waveguide (CPW) transmission line and it combines two folded strips, which radiates at 2.4 and 5.2 GHz. In the proposed antenna, by optimally selecting the antenna dimensions, dual-band resonant modes with a much wider impedance matching at the higher band can be produced. Prototypes of the obtained optimized design have been simulated using EM solver. The simulated results explore good dual-band operation with -10 dB impedance bandwidths of 50 MHz and 2400 MHz at bands of 2.4 and 5.2 GHz, respectively, which cover the 2.4/5.2/5.8 GHz WLAN operating bands. Good antenna performances such as radiation patterns and antenna gains over the operating bands have also been observed. The antenna with a compact size of 18×12×1.6 mm3 is designed on an FR4 substrate with a dielectric constant of 4.4.
Abstract: In recent years the increasing use of fossil fuels has led to various environmental problems including urban pollution, ozone layer depletion and acid rains. Moreover, with the increased number of industrial centers and higher consumption of these fuels, the end point of the fossil energy reserves has become more evident. Considering the environmental pollution caused by fossil fuels and their limited availability, renewable sources can be considered as the main substitute for non-renewable resources. One of these resources is the Organic Rankine Cycles (ORCs). These cycles while having high safety, have low maintenance requirements. Combining the ORCs with other systems, such as ejector and reheater will increase overall cycle efficiency. In this study, ejector and reheater are used to improve the thermal efficiency (ηth), exergy efficiency (η_ex) and net output power (w_net); therefore, the ORCs with reheater (RORCs) are proposed. A computational program has been developed to calculate the thermodynamic parameters required in Engineering Equations Solver (EES). In this program, the analysis of the first and second law in RORC is conducted, and a comparison is made between them and the ORCs with Ejector (EORC). R245fa is selected as the working fluid and water is chosen as low temperature heat source with a temperature of 95 °C and a mass transfer rate of 1 kg/s. The pressures of the second evaporator and reheater are optimized in terms of maximum exergy efficiency. The environment is at 298.15 k and at 101.325 kpa. The results indicate that the thermodynamic parameters in the RORC have improved compared to EORC.
Abstract: To meet the civilizations future needs for safe living and low environmental footprint, the engineers designing the complex systems of tomorrow will need efficient ways to model and optimize these systems for their intended purpose. For example, a civil defence shelter and its subsystem components needs to withstand, e.g. airblast and ground shock from decided design level explosion which detonates with a certain distance from the structure. In addition, the complex civil defence shelter needs to have functioning air filter systems to protect from toxic gases and provide clean air, clean water, heat, and electricity needs to also be available through shock and vibration safe fixtures and connections. Similar complex building systems can be found in any concentrated living or office area. In this paper, the authors use a multidomain modelling language called Modelica to model a concrete wall as a single degree of freedom (SDOF) system with elastoplastic properties with the implemented option of plastic hardening. The elastoplastic model was developed and implemented in the open source tool OpenModelica. The simulation model was tested on the case with a transient equivalent reflected pressure time history representing an airblast from 100 kg TNT detonating 15 meters from the wall. The concrete wall is approximately regarded as a concrete strip of 1.0 m width. This load represents a realistic threat on any building in a city like area. The OpenModelica model results were compared with an Excel implementation of a SDOF model with an elastic-plastic spring using simple fixed timestep central difference solver. The structural displacement results agreed very well with each other when it comes to plastic displacement magnitude, elastic oscillation displacement, and response times.
Abstract: In the case of the proposed method, the problem is
parallelized by considering multiple possible mode of operation
profiles, which determine the range in which the generators operate
in each period. For each of these profiles, the optimization is carried
out independently, and the best resulting dispatch is chosen. For each
such profile, the resulting problem is a quadratic programming (QP)
problem with a potentially negative definite Q quadratic term, and
constraints depending on the actual operation profile. In this paper we
analyze the performance of available MATLAB optimization methods
and solvers for the corresponding QP.
Abstract: Terrorism and radicalization have become a common threat to every nation in this world. As a part of the asymmetric warfare threat, terrorism and radicalization need a complex strategy as the problem solver. One such way is by collaborating with the international community. The Our Eyes Initiative (OEI), for example, is a cooperation pact in the field of intelligence information exchanges related to terrorism and radicalization initiated by the Indonesian Ministry of Defence. The pact has been signed by Indonesia, Philippines, Malaysia, Brunei Darussalam, Thailand, and Singapore. This cooperation mostly engages military acts as a central role, but it still requires the involvement of various parties such as the police, intelligence agencies and other government institutions. This paper will use a qualitative content analysis method to address the opportunity and enhance the optimization of OEI. As the result, it will explain how OEI takes the opportunities as the strategy for counter-terrorism by building it up as the regional cooperation, building the legitimacy of government and creating the legal framework of the information sharing system.
Abstract: The paper presents an approach to improve the reliability and reduce line losses of practical distribution system applying network reconfiguration. The change of the topology redirects the power flow within the distribution network to obtain better performance of the system. Practical distribution network (Pyigyitagon Industrial Zone (I)) is used as the case study network. The detailed calculations of the reliability indices are done by using analytical method and power flow calculation is performed by Newton-Rephason solver. The comparison of various network reconfiguration techniques are described with respect to power loss and reliability index levels. Finally, the optimal reconfigured network is selected among difference cases based on the two factors: the most reliable network and the least loss minimization.
Abstract: Polycrystalline diamond compact (PDC) drill bits are extensively used in the oil and gas industry as well as the mining industry. Industry engineers continually improve upon PDC drill bit designs and hydraulic conditions. Optimized injection nozzles play a key role in improving the drilling performance and efficiency of these ever changing PDC drill bits. In the first part of this study, computational fluid dynamics (CFD) modelling is performed to investigate the hydrodynamic characteristics of drilling fluid flow around the PDC drill bit. An Open-source CFD software – OpenFOAM simulates the flow around the drill bit, based on the field input data. A specifically developed console application integrates the entire CFD process including, domain extraction, meshing, and solving governing equations and post-processing. The results from the OpenFOAM solver are then compared with that of the ANSYS Fluent software. The data from both software programs agree. The second part of the paper describes the parametric study of the PDC drill bit nozzle to determine the effect of parameters such as number of nozzles, nozzle velocity, nozzle radial position and orientations on the flow field characteristics and bit washing patterns. After analyzing a series of nozzle configurations, the best configuration is identified and recommendations are made for modifying the PDC bit design.
Abstract: Software development for complex systems requires
efficient and automatic tools that can be used to verify the
satisfiability of some critical properties such as security ones. With
the emergence of Aspect-Oriented Programming (AOP), considerable
work has been done in order to better modularize the separation of
concerns in the software design and implementation. The goal is to
prevent the cross-cutting concerns to be scattered across the multiple
modules of the program and tangled with other modules. One of the
key challenges in the aspect-oriented programs is to be sure that all
the pieces put together at the weaving time ensure the satisfiability
of the overall system requirements. Our paper focuses on this problem and proposes a formal property
verification approach for a given property from the woven program.
The approach is based on the control flow graph (CFG) of the
woven program, and the use of a satisfiability modulo theories (SMT)
solver to check whether each property (represented par one aspect)
is satisfied or not once the weaving is done.
Abstract: In response to widely used wearable medical devices equipped with a continuous glucose monitor (CGM) and insulin pump, the advanced control methods are still demanding to get the full benefit of these devices. Unlike costly clinical trials, implementing effective insulin-glucose control strategies can provide significant contributions to the patients suffering from chronic diseases such as diabetes. This study deals with a key role of two-layer insulin-glucose regulator based on model-predictive-control (MPC) scheme so that the patient’s predicted glucose profile is in compliance with the insulin level injected through insulin pump automatically. It is achieved by iterative optimization algorithm which is called an integrated perturbation analysis and sequential quadratic programming (IPA-SQP) solver for handling uncertainties due to unexpected variations in glucose-insulin values and body’s characteristics. The feasibility evaluation of the discussed control approach is also studied by means of numerical simulations of two case scenarios via measured data. The obtained results are presented to verify the superior and reliable performance of the proposed control scheme with no negative impact on patient safety.
Abstract: In the present study, the aerodynamic performance of a rigid two-dimensional pitching bio-inspired corrugate airfoil was numerically investigated at Reynolds number of 14000. The Open Field Operations And Manipulations (OpenFOAM) computational fluid dynamic tool is used to solve flow governing equations numerically. The k-ω SST turbulence model with low Reynolds correction (k-ω SST LRC) and the pimpleDyMFOAM solver are utilized to simulate the flow field around pitching bio-airfoil. The lift and drag coefficients of the airfoil are calculated at reduced frequencies k=1.24-4.96 and the angular amplitude of A=5°-20°. Results show that in a fixed reduced frequency, the absolute value of the sectional lift and drag coefficients increase with increasing pitching amplitude. In a fixed angular amplitude, the absolute value of the lift and drag coefficients increase as the pitching reduced frequency increases.
Abstract: The paper discusses the subinterval-based numerical
method for fractional derivative computations. It is now referred
to by its acronym – SubIval. The basis of the method is briefly
recalled. The ability of the method to be applied in time stepping
solvers is discussed. The possibility of implementing a time step size
adaptive solver is also mentioned. The solver is tested on a transient
circuit example. In order to display the accuracy of the solver –
the results have been compared with those obtained by means of a
semi-analytical method called gcdAlpha. The time step size adaptive
solver applying SubIval has been proven to be very accurate as
the results are very close to the referential solution. The solver is
currently able to solve FDE (fractional differential equations) with
various derivative orders for each equation and any type of source
time functions.
Abstract: In this paper, there is concentration on collaborative transportation planning (CTP) among multiple carriers with pickup and delivery requests and time windows. This problem is a vehicle routing problem with constraints from standard vehicle routing problems and new constraints from a real-world application. In the problem, each carrier has a finite number of vehicles, and each request is a pickup and delivery request with time window. Moreover, each carrier has reserved requests, which must be served by itself, whereas its exchangeable requests can be outsourced to and served by other carriers. This collaboration among carriers can help them to reduce total transportation costs. A mixed integer programming model is proposed to the problem. To solve the model, a hybrid algorithm that combines Genetic Algorithm and Simulated Annealing (GASA) is proposed. This algorithm takes advantages of GASA at the same time. After tuning the parameters of the algorithm with the Taguchi method, the experiments are conducted and experimental results are provided for the hybrid algorithm. The results are compared with those obtained by a commercial solver. The comparison indicates that the GASA significantly outperforms the commercial solver.
Abstract: We develop a fast, user-friendly implementation of
a potential flow solver based on the unsteady vortex lattice
method (UVLM). The computational framework uses the Python
programming language which has easy integration with the scripts
requiring computationally-expensive operations written in Fortran.
The mixed-language approach enables high performance in terms
of solution time and high flexibility in terms of easiness of code
adaptation to different system configurations and applications. This
computational tool is intended to predict the unsteady aerodynamic
behavior of multiple moving bodies (e.g., flapping wings, rotating
blades, suspension bridges...) subject to an incoming air. We
simulate different aerodynamic problems to validate and illustrate
the usefulness and effectiveness of the developed computational tool.