2 resultados para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em Illinois Digital Environment for Access to Learning and Scholarship Repository


Relevância:

100.00% 100.00%

Publicador:

Resumo:

The ability to predict the properties of magnetic materials in a device is essential to ensuring the correct operation and optimization of the design as well as the device behavior over a wide range of input frequencies. Typically, development and simulation of wide-bandwidth models requires detailed, physics-based simulations that utilize significant computational resources. Balancing the trade-offs between model computational overhead and accuracy can be cumbersome, especially when the nonlinear effects of saturation and hysteresis are included in the model. This study focuses on the development of a system for analyzing magnetic devices in cases where model accuracy and computational intensity must be carefully and easily balanced by the engineer. A method for adjusting model complexity and corresponding level of detail while incorporating the nonlinear effects of hysteresis is presented that builds upon recent work in loss analysis and magnetic equivalent circuit (MEC) modeling. The approach utilizes MEC models in conjunction with linearization and model-order reduction techniques to process magnetic devices based on geometry and core type. The validity of steady-state permeability approximations is also discussed.

Relevância:

100.00% 100.00%

Publicador:

Resumo:

This dissertation mainly focuses on coordinated pricing and inventory management problems, where the related background is provided in Chapter 1. Several periodic-review models are then discussed in Chapters 2,3,4 and 5, respectively. Chapter 2 analyzes a deterministic single-product model, where a price adjustment cost incurs if the current selling price is changed from the previous period. We develop exact algorithms for the problem under different conditions and find out that computation complexity varies significantly associated with the cost structure. %Moreover, our numerical study indicates that dynamic pricing strategies may outperform static pricing strategies even when price adjustment cost accounts for a significant portion of the total profit. Chapter 3 develops a single-product model in which demand of a period depends not only on the current selling price but also on past prices through the so-called reference price. Strongly polynomial time algorithms are designed for the case without no fixed ordering cost, and a heuristic is proposed for the general case together with an error bound estimation. Moreover, our illustrates through numerical studies that incorporating reference price effect into coordinated pricing and inventory models can have a significant impact on firms' profits. Chapter 4 discusses the stochastic version of the model in Chapter 3 when customers are loss averse. It extends the associated results developed in literature and proves that the reference price dependent base-stock policy is proved to be optimal under a certain conditions. Instead of dealing with specific problems, Chapter 5 establishes the preservation of supermodularity in a class of optimization problems. This property and its extensions include several existing results in the literature as special cases, and provide powerful tools as we illustrate their applications to several operations problems: the stochastic two-product model with cross-price effects, the two-stage inventory control model, and the self-financing model.