Abstract: An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.
Abstract: The use of mathematical models for solving biological problems varies from simple to complex analyses, depending on the nature of the research problems and applicability of the models. The method is more common nowadays. Many complex models become impractical when transmitted analytically. However, alternative approach such as numerical method can be employed. It appropriateness in solving linear and non-linear model equation in Differential Transformation Method (DTM) which depends on Taylor series make it applicable. Hence this study investigates the application of DTM to solve dynamic transmission of Lassa fever model in a population. The mathematical model was formulated using first order differential equation. Firstly, existence and uniqueness of the solution was determined to establish that the model is mathematically well posed for the application of DTM. Numerically, simulations were conducted to compare the results obtained by DTM and that of fourth-order Runge-Kutta method. As shown, DTM is very effective in predicting the solution of epidemics of Lassa fever model.
Abstract: The emergence of digital twin technology, a digital replica of physical world, has improved the real-time access to data from sensors about the performance of buildings. This digital transformation has opened up many opportunities to improve the management of the building by using the data collected to help monitor consumption patterns and energy leakages. One example is the integration of predictive models for anomaly detection. In this paper, we use the GAM (Generalised Additive Model) for the anomaly detection of Air Handling Units (AHU) power consumption pattern. There is ample research work on the use of GAM for the prediction of power consumption at the office building and nation-wide level. However, there is limited illustration of its anomaly detection capabilities, prescriptive analytics case study, and its integration with the latest development of digital twin technology. In this paper, we applied the general GAM modelling framework on the historical data of the AHU power consumption and cooling load of the building between Jan 2018 to Aug 2019 from an education campus in Singapore to train prediction models that, in turn, yield predicted values and ranges. The historical data are seamlessly extracted from the digital twin for modelling purposes. We enhanced the utility of the GAM model by using it to power a real-time anomaly detection system based on the forward predicted ranges. The magnitude of deviation from the upper and lower bounds of the uncertainty intervals is used to inform and identify anomalous data points, all based on historical data, without explicit intervention from domain experts. Notwithstanding, the domain expert fits in through an optional feedback loop through which iterative data cleansing is performed. After an anomalously high or low level of power consumption detected, a set of rule-based conditions are evaluated in real-time to help determine the next course of action for the facilities manager. The performance of GAM is then compared with other approaches to evaluate its effectiveness. Lastly, we discuss the successfully deployment of this approach for the detection of anomalous power consumption pattern and illustrated with real-world use cases.
Abstract: A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.
Abstract: Based on activity method, this paper focuses on morning commuting behavior when commuters travel with autonomous vehicles (AVs). Firstly, a net utility function of commuters is constructed by the activity utility of commuters at home, in car and at workplace, and the disutility of travel time cost and that of schedule delay cost. Then, this net utility function is applied to build an equilibrium model. Finally, under the assumption of constant marginal activity utility, the properties of equilibrium are analyzed. The results show that, in autonomous driving, the starting and ending time of morning peak and the number of commuters who arrive early and late at workplace are the same as those in manual driving. In automatic driving, however, the departure rate of arriving early at workplace is higher than that of manual driving, while the departure rate of arriving late is just the opposite. In addition, compared with manual driving, the departure time of arriving at workplace on time is earlier and the number of people queuing at the bottleneck is larger in automatic driving. However, the net utility of commuters and the total net utility of system in automatic driving are greater than those in manual driving.
Abstract: Authentication protocols based on public key infrastructure (PKI) and trusted third party (TTP) are no longer adequate for industrial scale IoT networks thanks to issues such as low compute and power availability, the use of widely distributed and commercial off-the-shelf (COTS) systems, and the increasingly sophisticated attackers and attacks we now have to counter. For example, there is increasing concern about nation-state-based interference and future quantum computing capability. We have examined this space from first principles and have developed several approaches to group and point-to-point authentication for IoT that do not depend on the use of a centralised client-server model. We emphasise the use of quantum resistant primitives such as strong cryptographic hashing and the use multi-factor authentication.
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: Here a methodology is considered aiming at evaluating the economic benefit of the provision of a primary frequency control unit using a Battery Energy Storage System (BESS). In this methodology, two control types (basic and hysteresis) are implemented and the corresponding minimum energy storage system power allowing to maintain the frequency drop inside a given threshold under a given contingency is identified and compared using DigSilent’s PowerFactory software. Following this step, the corresponding energy storage capacity (in MWh) is calculated. As PowerFactory is dedicated to dynamic simulation for transient analysis, a first order model related to the IEEE 9 bus grid used for the analysis under PowerFactory is characterized and implemented on MATLAB-Simulink. Primary frequency control is simulated using the two control types over one-month grid's frequency deviation data on this Simulink model. This simulation results in the energy throughput both basic and hysteresis BESSs. It emerges that the 15 minutes operation band of the battery capacity allocated to frequency control is sufficient under the considered disturbances. A sensitivity analysis on the width of the control deadband is then performed for the two control types. The deadband width variation leads to an identical sizing with the hysteresis control showing a better frequency control at the cost of a higher delivered throughput compared to the basic control. An economic analysis comparing the cost of the sized BESS to the potential revenues is then performed.
Abstract: Fuzzy Logic, an advanced method to support decision-making, is used by various scientists in many disciplines. Fuzzy programming is a product of fuzzy logic, fuzzy rules, and implication. In marine science, fuzzy programming for ships is dramatically increasing together with autonomous ship studies. In this paper, a program to support the decision-making process for ship navigation has been designed. The program is produced in fuzzy logic and rules, by taking the marine accidents and expert opinions into account. After the program was designed, the program was tested by 46 ship accidents reported by the Transportation Safety Investigation Center of Turkey. Wind speed, sea condition, visibility, day/night ratio have been used as input data. They have been converted into a risk factor within the Fuzzy Logic Designer application and fuzzy rules set by marine experts. Finally, the expert's meteorological risk factor for each accident is compared with the program's risk factor, and the error rate was calculated. The main objective of this study is to improve the navigational safety of ships, by using the advance decision support model. According to the study result, fuzzy programming is a robust model that supports safe navigation.
Abstract: The deformation behaviour of additively manufactured AlSi10Mg alloy under low strains, high strain rates and elevated temperature conditions is essential to analyse and predict its response against dynamic loading such as impact and thermomechanical fatigue. The constitutive relation of Johnson-Cook is used to capture the strain rate sensitivity and thermal softening effect in AlSi10Mg alloy. Johnson-Cook failure model is widely used for exploring damage mechanics and predicting the fracture in many materials. In this present work, Johnson-Cook material and damage model parameters for additively manufactured AlSi10Mg alloy have been determined numerically from four types of uniaxial tensile test. Three different uniaxial tensile tests with dynamic strain rates (0.1, 1, 10, 50, and 100 s-1) and elevated temperature tensile test with three different temperature conditions (450 K, 500 K and 550 K) were performed on 3D printed AlSi10Mg alloy in ABAQUS/Explicit. Hexahedral elements are used to discretize tensile specimens and fracture energy value of 43.6 kN/m was used for damage initiation. Levenberg Marquardt optimization method was used for the evaluation of Johnson-Cook model parameters. It was observed that additively manufactured AlSi10Mg alloy has shown relatively higher strain rate sensitivity and lower thermal stability as compared to the other Al alloys.
Abstract: Elastic compression stockings (ECSs) have been widely applied in prophylaxis and treatment of chronic venous insufficiency of lower extremities. The medical function of ECS is to improve venous return and increase muscular pumping action to facilitate blood circulation, which is largely determined by the complex interaction between the ECS and lower limb tissues. Understanding the mechanical transmission of ECS along the skin surface, deeper tissues, and vascular system is essential to assess the effectiveness of the ECSs. In this study, a three-dimensional (3D) finite element (FE) model of the leg-ECS system integrated with a 3D fluid-solid interaction (FSI) model of the leg-vein system was constructed to analyze the biomechanical properties of veins and soft tissues under different ECS compression. The Magnetic Resonance Imaging (MRI) of the human leg was divided into three regions, including soft tissues, bones (tibia and fibula) and veins (peroneal vein, great saphenous vein, and small saphenous vein). The ECSs with pressure ranges from 15 to 26 mmHg (Classes I and II) were adopted in the developed FE-FSI model. The soft tissue was assumed as a Neo-Hookean hyperelastic model with the fixed bones, and the ECSs were regarded as an orthotropic elastic shell. The interfacial pressure and stress transmission were simulated by the FE model, and venous hemodynamics properties were simulated by the FSI model. The experimental validation indicated that the simulated interfacial pressure distributions were in accordance with the pressure measurement results. The developed model can be used to predict interfacial pressure, stress transmission, and venous hemodynamics exerted by ECSs and optimize the structure and materials properties of ECSs design, thus improving the efficiency of compression therapy.
Abstract: This paper presents the observations from a series of shaking-table tests done on a 1:1 scaled confined masonry wall model, with opening for a door – specimens CMDuS (confined masonry wall with opening for a door before strengthening) and CMDS (confined masonry wall with opening for a door after strengthening). Frequency and stiffness changes before and after GFRP (Glass Fiber Reinforced Plastic) wall strengthening are analyzed. Definition of dynamic properties of the models was the first step of the experimental testing, which enabled acquiring important information about the achieved stiffness (natural frequencies) of the model. The natural frequency was defined in the Y direction of the model by applying resonant frequency search tests. It is important to mention that both specimens CMDuS and CMDS are subjected to the same effects. The tests are realized in the laboratory of the Institute of Earthquake Engineering and Engineering Seismology (IZIIS), Skopje. The specimens were examined separately on the shaking table, with uniaxial, in-plane excitation. After testing, samples were strengthened with GFRP and re-tested. The initial frequency of the undamaged model CMDuS is 13.55 Hz, while at the end of the testing, the frequency decreased to 6.38 Hz. This emphasizes the reduction of the initial stiffness of the model due to damage, especially in the masonry and tie-beam to tie-column connection. After strengthening of the damaged wall, the natural frequency increases to 10.89 Hz. This highlights the beneficial effect of the strengthening. After completion of dynamic testing at CMDS, the natural frequency is reduced to 6.66 Hz.
Abstract: With rapid development of urbanization and improvement of living standards in the world, energy consumption and carbon emissions of the building sector are expected to increase in the near future; because of that, energy-saving issues have become more important among the engineers. Besides, the building sector is a major contributor to energy consumption and carbon emissions. The concept of efficient building appeared as a response to the need for reducing energy demand in this sector which has the main purpose of shifting from standard buildings to low-energy buildings. Although energy-saving should happen in all steps of a building during the life cycle (material production, construction, demolition), the main concept of efficient energy building is saving energy during the life expectancy of a building by using passive and active systems, and should not sacrifice comfort and quality to reach these goals. The main aim of this study is to investigate passive strategies (do not need energy consumption or use renewable energy) to achieve energy-efficient buildings. Energy retrofit measures were explored by eQuest software using a case study as a base model. The study investigates predictive accuracy for the major factors like thermal transmittance (U-value) of the material, windows, shading devices, thermal insulation, rate of the exposed envelope, window/wall ration, lighting system in the energy consumption of the building. The base model was located in Istanbul, Turkey. The impact of eight passive parameters on energy consumption had been indicated. After analyzing the base model by eQuest, a final scenario was suggested which had a good energy performance. The results showed a decrease in the U-values of materials, the rate of exposing buildings, and windows had a significant effect on energy consumption. Finally, savings in electric consumption of about 10.5%, and gas consumption by about 8.37% in the suggested model were achieved annually.
Abstract: The purpose of this paper is to develop a multi-product economic production quantity model under vendor management inventory policy and restrictions including limited warehouse space, budget, and number of orders, average shortage time and maximum permissible shortage. Since the “costs” cannot be predicted with certainty, it is assumed that data behave under uncertain environment. The problem is first formulated into the framework of a bi-objective of multi-product economic production quantity model. Then, the problem is solved with three multi-objective decision-making (MODM) methods. Then following this, three methods had been compared on information on the optimal value of the two objective functions and the central processing unit (CPU) time with the statistical analysis method and the multi-attribute decision-making (MADM). The results are compared with statistical analysis method and the MADM. The results of the study demonstrate that augmented-constraint in terms of optimal value of the two objective functions and the CPU time perform better than global criteria, and goal programming. Sensitivity analysis is done to illustrate the effect of parameter variations on the optimal solution. The contribution of this research is the use of random costs data in developing a multi-product economic production quantity model under vendor management inventory policy with several constraints.
Abstract: The vast majority of existing underground railway lines consist of twin tunnels. In this paper, the dynamic interaction between two neighboring tunnels in a layered half-space is investigated by an analytical model. The two tunnels are modelled as cylindrical thin shells, while the soil in the form of a layered half-space with two cylindrical cavities is simulated by the elastic continuum theory. The transfer matrix method is first used to derive the relationship between the plane wave vectors in arbitrary layers and the source layer. Thereafter, the wave translation and transformation are introduced to determine the plane and cylindrical wave vectors in the source layer. The solution for the dynamic interaction between twin tunnels in a layered half-space is obtained by means of the compatibility of displacements and equilibrium of stresses on the two tunnel–soil interfaces. By coupling the proposed model with a fully track model, the train-induced vibrations from twin tunnels in a multi-layered half-space are investigated. The numerical results demonstrate that the existence of a neighboring tunnel has a significant effect on ground vibrations.
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: In sports, individuals and teams are typically interested
in final rankings. Final results, such as times or distances, dictate
these rankings, also known as places. Places can be further associated
with ordered random variables, commonly referred to as order
statistics. In this work, we introduce a simple, yet accurate order
statistical ordinal regression function that predicts relay race places
with changeover-times. We call this function the Fenton-Wilkinson
Order Statistics model. This model is built on the following educated
assumption: individual leg-times follow log-normal distributions.
Moreover, our key idea is to utilize Fenton-Wilkinson approximations
of changeover-times alongside an estimator for the total number
of teams as in the notorious German tank problem. This original
place regression function is sigmoidal and thus correctly predicts
the existence of a small number of elite teams that significantly
outperform the rest of the teams. Our model also describes how place
increases linearly with changeover-time at the inflection point of the
log-normal distribution function. With real-world data from Jukola
2019, a massive orienteering relay race, the model is shown to be
highly accurate even when the size of the training set is only 5%
of the whole data set. Numerical results also show that our model
exhibits smaller place prediction root-mean-square-errors than linear
regression, mord regression and Gaussian process regression.
Abstract: This paper presents a numerical study on determination of ballistic limit velocity (V50) of stainless steel 304 (SS 304) used in manufacturing security screens. The simulated ballistic impact tests were conducted on clamped sheets with different thicknesses using ABAQUS/Explicit nonlinear finite element (FE) package. The ballistic limit velocity was determined using three approaches, namely: numerical tests based on material properties, FE calculated residual velocities and FE calculated residual energies. Johnson-Cook plasticity and failure criterion were utilized to simulate the dynamic behaviour of the SS 304 under various strain rates, while the well-known Lambert-Jonas equation was used for the data regression for the residual velocity and energy model. Good agreement between the investigated numerical methods was achieved. Additionally, the dependence of the ballistic limit velocity on the sheet thickness was observed. The proposed approaches present viable and cost-effective assessment methods of the ballistic performance of SS 304, which will support the development of robust security screen systems.
Abstract: Due to the importance given today to innovation, the education sector is evolving thanks digital technologies. Virtual Reality (VR) can be a potential teaching tool offering many advantages in the field of training and education, as it allows to acquire theoretical knowledge and practical skills using an immersive experience in less time than the traditional educational process. These assumptions allow to lay the foundations for a new educational environment, involving and stimulating for students. Starting from the objective of strengthening the innovative teaching offer and the learning processes, the case study of the research concerns the digitalization of MastrLAB, High Quality Laboratory (HQL) belonging to the Department of Structural, Building and Geotechnical Engineering (DISEG) of the Polytechnic of Turin, a center specialized in experimental mechanical tests on traditional and innovative building materials and on the structures made with them. The MastrLAB-VR has been developed, a revolutionary innovative training tool designed with the aim of educating the class in total safety on the techniques of use of machinery, thus reducing the dangers arising from the performance of potentially dangerous activities. The virtual laboratory, dedicated to the students of the Building and Civil Engineering Courses of the Polytechnic of Turin, has been projected to simulate in an absolutely realistic way the experimental approach to the structural tests foreseen in their courses of study: from the tensile tests to the relaxation tests, from the steel qualification tests to the resilience tests on elements at environmental conditions or at characterizing temperatures. The research work proposes a methodology for the virtualization of technical laboratories through the application of Building Information Modelling (BIM), starting from the creation of a digital model. The process includes the creation of an independent application, which with Oculus Rift technology will allow the user to explore the environment and interact with objects through the use of joypads. The application has been tested in prototype way on volunteers, obtaining results related to the acquisition of the educational notions exposed in the experience through a virtual quiz with multiple answers, achieving an overall evaluation report. The results have shown that MastrLAB-VR is suitable for both beginners and experts and will be adopted experimentally for other laboratories of the University departments.
Abstract: In Algeria agricultural irrigation is the primary water consuming sector followed by the domestic and industrial sectors. Economic development in the last decade has weighed heavily on water resources which are relatively limited and gradually decreasing to the detriment of agriculture. The research presented in this paper focuses on the optimization of irrigation water demand. Dynamic Programming-Neural Network (DPNN) method is applied to investigate reservoir optimization. The optimal operation rule is formulated to minimize the gap between water release and water irrigation demand. As a case study, Foum El-Gherza dam’s reservoir system in south of Algeria has been selected to examine our proposed optimization model. The application of DPNN method allowed increasing the satisfaction rate (SR) from 12.32% to 55%. In addition, the operation rule generated showed more reliable and resilience operation for the examined case study.