Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Particulate matter emission during start-up and transient operation of a spark-ignition engine

In order to understand why emissions of Particulate Matter (PM) from Spark-Ignition (SI) automobiles peak during periods of transient operation such as rapid accelerations, a study of controlled, repeatable transients was performed. Time-resolved engine-out PM emissions from a modern four-cylinder engine during transient load and air/fuel ratio operation were examined, and the results could be fit in most cases to a first order time response. The time constants for the transient response are similar to those measured for changes in intake valve temperature, reflecting the strong dependence of PM emissions on the amount of liquid fuel in the combustion chamber. In only one unrepeatable case did the time response differ from a first order function: showing an overshoot in PM emissions during transition from the initial to the final steady state PM emission level. PM emissions during controlled, motored start-up experiments show a peak at start-up followed by a period during which emissions are either relatively constant or drift somewhat. When the fuel injection and ignition are shut off, PM emissions also peak briefly, but rapidly decay to low levels. Qualitative implications on the study and modeling of PM emissions during transient engine operation are discussed. Copyright © 1999 Society of Automotive Engineers, Inc.

Dynamic models of piled foundations

The vibration behavior of piled foundations is an important consideration in fields such as earthquake engineering, construction, machine-foundation design, offshore structures, nuclear energy, and road and rail development. This paper presents a review of the past 40 years' literature on modeling the frequency-dependent behavior of pile foundations. Beginning with the earliest model of a single pile, adapted from those for embedded footings, it charts the development of the four pile-modeling techniques: the "dynamic Winkler-foundation" approach that uses springs to represent the effect of the soil; elasticcontinuum-type formulations involving the analytical solutions for displacements due to a subsurface disk, cylinder, or other element; boundary element methods; and dynamic finite-element formulations with special nonreflecting boundaries. The modeling of pile groups involves accounting for pile-soil-pile interactions, and four such methods exist: interaction factors; complete pile models; the equivalent pier method; and periodic structure theory. Approaches for validating pile models are also explored. Copyright © 2013 by ASME.

A novel modeling approach for design studies of brushless doubly fed induction generator based on magnetic equivalent circuit

Brushless doubly fed induction generator (BDFIG) has substantial benefits, which make it an attractive alternative as a wind turbine generator. However, it suffers from lower efficiency and larger dimensions in comparison to DFIG. Hence, optimizing the BDFIG structure is necessary for enhancing its situation commercially. In previous studies, a simple model has been used in BDFIG design procedure that is insufficiently accurate. Furthermore, magnetic saturation and iron loss are not considered because of difficulties in determination of flux density distributions. The aim of this paper is to establish an accurate yet computationally fast model suitable for BDFIG design studies. The proposed approach combines three equivalent circuits including electric, magnetic and thermal models. Utilizing electric equivalent circuit makes it possible to apply static form of magnetic equivalent circuit, because the elapsed time to reach steady-state results in the dynamic form is too long for using in population-based design studies. The operating characteristics, which are necessary for evaluating the objective function and constraints values of the optimization problem, can be calculated using the presented approach considering iron loss, saturation, and geometrical details. The simulation results of a D-180 prototype BDFIG are compared with measured data in order to validate the developed model. © 1986-2012 IEEE.