Discretization of highly persistent correlated AR(1) shocks

The finite state Markov-chain approximation methods developed by Tauchen (1986) and Tauchen and Hussey (1991) are widely used in economics, finance and econometrics to solve functional equations in which state variables follow autoregressive processes. For highly persistent processes, the methods require a large number of discrete values for the state variables to produce close approximations which leads to an undesirable reduction in computational speed, especially in a multivariate case. This paper proposes an alternative method of discretizing multivariate autoregressive processes. This method can be treated as an extension of Rouwenhorst's (1995) method which, according to our finding, outperforms the existing methods in the scalar case for highly persistent processes. The new method works well as an approximation that is much more robust to the number of discrete values for a wide range of the parameter space.

GPU Acceleration of Partial Differential Equation Solvers

Differential equations are often directly solvable by analytical means only in their one dimensional version. Partial differential equations are generally not solvable by analytical means in two and three dimensions, with the exception of few special cases. In all other cases, numerical approximation methods need to be utilized. One of the most popular methods is the finite element method. The main areas of focus, here, are the Poisson heat equation and the plate bending equation. The purpose of this paper is to provide a quick walkthrough of the various approaches that the authors followed in pursuit of creating optimal solvers, accelerated with the use of graphical processing units, and comparing them in terms of accuracy and time efficiency with existing or self-made non-accelerated solvers.

Dynamic State Estimation of Power Systems with Quantization Eects: A Recursive Filter Approach

In this paper, a recursive filter algorithm is developed to deal with the state estimation problem for power systems with quantized nonlinear measurements. The measurements from both the remote terminal units and the phasor measurement unit are subject to quantizations described by a logarithmic quantizer. Attention is focused on the design of a recursive filter such that, in the simultaneous presence of nonlinear measurements and quantization effects, an upper bound for the estimation error covariance is guaranteed and subsequently minimized. Instead of using the traditional approximation methods in nonlinear estimation that simply ignore the linearization errors, we treat both the linearization and quantization errors as norm-bounded uncertainties in the algorithm development so as to improve the performance of the estimator. For the power system with such kind of introduced uncertainties, a filter is designed in the framework of robust recursive estimation, and the developed filter algorithm is tested on the IEEE benchmark power system to demonstrate its effectiveness.

Inelastic quantum transport in nanostructures: The self-consistent Born approximation and correlated electron-ion dynamics

A dynamical method for inelastic transport simulations in nanostructures is compared to a steady-state method based on nonequilibrium Green's functions. A simplified form of the dynamical method produces, in the steady state in the weak-coupling limit, effective self-energies analogous to those in the Born approximation due to electron-phonon coupling. The two methods are then compared numerically on a resonant system consisting of a linear trimer weakly embedded between metal electrodes. This system exhibits an enhanced heating at high biases and long phonon equilibration times. Despite the differences in their formulation, the static and dynamical methods capture local current-induced heating and inelastic corrections to the current with good agreement over a wide range of conditions, except in the limit of very high vibrational excitations where differences begin to emerge.

Gaussian Approximation for Tracking Occluding and Interacting Targets

In this paper, we show how interacting and occluding targets can be tackled successfully within a Gaussian approximation. For that purpose, we develop a general expansion of the mean and covariance of the posterior and we consider a first order approximation of it. The proposed method differs from EKF in that neither a non-linear dynamical model nor a non-linear measurement vector to state relation have to be defined, so it works with any kind of interaction potential and likelihood. The approach has been tested on three sequences (10400, 2500, and 400 frames each one). The results show that our approach helps to reduce the number of failures without increasing too much the computation time with respect to methods that do not take into account target interactions.

Implementation and testing of Lanczos-based algorithms for Random-Phase Approximation eigenproblems

The treatment of the Random-Phase Approximation Hamiltonians, encountered in different frameworks, like time-dependent density functional theory or Bethe-Salpeter equation, is complicated by their non-Hermicity. Compared to their Hermitian Hamiltonian counterparts, computational methods for the treatment of non-Hermitian Hamiltonians are often less efficient and less stable, sometimes leading to the breakdown of the method. Recently [Gruning et al. Nano Lett. 8 (2009) 28201, we have identified that such Hamiltonians are usually pseudo-Hermitian. Exploiting this property, we have implemented an algorithm of the Lanczos type for Random-Phase Approximation Hamiltonians that benefits from the same stability and computational load as its Hermitian counterpart, and applied it to the study of the optical response of carbon nanotubes. We present here the related theoretical grounds and technical details, and study the performance of the algorithm for the calculation of the optical absorption of a molecule within the Bethe-Salpeter equation framework. (C) 2011 Elsevier B.V. All rights reserved.

Exchange potential from the common energy denominator approximation for the Kohn-Sham Green's function: Application to (hyper)polarizabilities of molecular chains

An approximate Kohn-Sham (KS) exchange potential v(xsigma)(CEDA) is developed, based on the common energy denominator approximation (CEDA) for the static orbital Green's function, which preserves the essential structure of the density response function. v(xsigma)(CEDA) is an explicit functional of the occupied KS orbitals, which has the Slater v(Ssigma) and response v(respsigma)(CEDA) potentials as its components. The latter exhibits the characteristic step structure with "diagonal" contributions from the orbital densities \psi(isigma)\(2), as well as "off-diagonal" ones from the occupied-occupied orbital products psi(isigma)psi(j(not equal1)sigma). Comparison of the results of atomic and molecular ground-state CEDA calculations with those of the Krieger-Li-Iafrate (KLI), exact exchange (EXX), and Hartree-Fock (HF) methods show, that both KLI and CEDA potentials can be considered as very good analytical "closure approximations" to the exact KS exchange potential. The total CEDA and KLI energies nearly coincide with the EXX ones and the corresponding orbital energies epsilon(isigma) are rather close to each other for the light atoms and small molecules considered. The CEDA, KLI, EXX-epsilon(isigma) values provide the qualitatively correct order of ionizations and they give an estimate of VIPs comparable to that of the HF Koopmans' theorem. However, the additional off-diagonal orbital structure of v(xsigma)(CEDA) appears to be essential for the calculated response properties of molecular chains. KLI already considerably improves the calculated (hyper)polarizabilities of the prototype hydrogen chains H-n over local density approximation (LDA) and standard generalized gradient approximations (GGAs), while the CEDA results are definitely an improvement over the KLI ones. The reasons of this success are the specific orbital structures of the CEDA and KLI response potentials, which produce in an external field an ultranonlocal field-counteracting exchange potential. (C) 2002 American Institute of Physics.