Reliable estimation via simulation

Let a and s denote the inter arrival times and service times in a GI/GI/1 queue. Let a (n), s (n) be the r.v.s, with distributions as the estimated distributions of a and s from iid samples of a and s of sizes n. Let w be a r.v. with the stationary distribution lr of the waiting times of the queue with input (a, s). We consider the problem of estimating E [w~], tx > 0 and 7r via simulations when (a (n), s (n)) are used as input. Conditions for the accuracy of the asymptotic estimate, continuity of the asymptotic variance and uniformity in the rate of convergence to the estimate are obtained. We also obtain rates of convergence for sample moments, the empirical process and the quantile process for the regenerative processes. Robust estimates are also obtained when an outlier contaminated sample of a and s is provided. In the process we obtain consistency, continuity and asymptotic normality of M-estimators for stationary sequences. Some robustness results for Markov processes are included.

Families of asymptotic tensile crack tip stress fields in elastic-perfectly plastic single crystals

In this work, two families of asymptotic near-tip stress fields are constructed in an elastic-ideally plastic FCC single crystal under mode I plane strain conditions. A crack is taken to lie on the (010) plane and its front is aligned along the [(1) over bar 01] direction. Finite element analysis is first used to systematically examine the stress distributions corresponding to different constraint levels. The general framework developed by Rice (Mech Mater 6:317-335, 1987) and Drugan (J Mech Phys Solids 49:2155-2176, 2001) is then adopted to generate low triaxiality solutions by introducing an elastic sector near the crack tip. The two families of stress fields are parameterized by the normalized opening stress (tau(A)(22)/tau(o)) prevailing in the plastic sector in front of the tip and by the coordinates of a point where elastic unloading commences in stress space. It is found that the angular stress variations obtained from the analytical solutions show good agreement with finite element analysis.

Asymptotic behavior of a hierarchical system of learning automata

Learning automata arranged in a two-level hierarchy are considered. The automata operate in a stationary random environment and update their action probabilities according to the linear-reward- -penalty algorithm at each level. Unlike some hierarchical systems previously proposed, no information transfer exists from one level to another, and yet the hierarchy possesses good convergence properties. Using weak-convergence concepts it is shown that for large time and small values of parameters in the algorithm, the evolution of the optimal path probability can be represented by a diffusion whose parameters can be computed explicitly.

Asymptotic behaviour of point processes with Markov-dependent intervals

This splitting techniques for MARKOV chains developed by NUMMELIN (1978a) and ATHREYA and NEY (1978b) are used to derive an imbedded renewal process in WOLD's point process with MARKOV-correlated intervals. This leads to a simple proof of renewal theorems for such processes. In particular, a key renewal theorem is proved, from which analogues to both BLACKWELL's and BREIMAN's forms of the renewal theorem can be deduced.

Analysis of vibration of clamped square plates by the Rayleigh-Ritz method with asymptotic solutions from a modified Bolotin method

Estimates of flexural frequencies of clamped square plates are initially obtained by the modified Bolotin's method. The mode shapes in “each direction” are then determined and the product functions of these mode shapes are used as admissible functions in the Rayleigh-Ritz method. The data for the first twenty eigenvalues in each of the three (four) symmetric groups obtained by the (i) Bolotin, (ii) Rayleigh and (iii) Rayleigh-Ritz methods are reported here. The Rayleigh estimates are found to be much closer to the true eigenvalues than the Bolotin estimates. The present product functions are found to be much superior to the conventional beam eigenmodes as admissible functions in the Rayleigh-Ritz method of analysis.

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Asymptotic analysis for the coupled wavenumbers in an infinite fluid-filled flexible cylindrical shell: The beam mode

Using asymptotics, the coupled wavenumbers in an infinite fluid-filled flexible cylindrical shell vibrating in the beam mode (viz. circumferential wave order n = 1) are studied. Initially, the uncoupled wavenumbers of the acoustic fluid and the cylindrical shell structure are discussed. Simple closed form expressions for the structural wavenumbers (longitudinal, torsional and bending) are derived using asymptotic methods for low- and high-frequencies. It is found that at low frequencies the cylinder in the beam mode behaves like a Timoshenko beam. Next, the coupled dispersion equation of the system is rewritten in the form of the uncoupled dispersion equation of the structure and the acoustic fluid, with an added fluid-loading term involving a parameter mu due to the coupling. An asymptotic expansion involving mu is substituted in this equation. Analytical expressions are derived for the coupled wavenumbers (as modifications to the uncoupled wavenumbers) separately for low- and high-frequency ranges and further, within each frequency range, for large and small values of mu. Only the flexural wavenumber, the first rigid duct acoustic cut-on wavenumber and the first pressure-release acoustic cut-on wavenumber are considered. The general trend found is that for small mu, the coupled wavenumbers are close to the in vacuo structural wavenumber and the wavenumbers of the rigid-acoustic duct. With increasing mu, the perturbations increase, until the coupled wavenumbers are better identified as perturbations to the pressure-release wavenumbers. The systematic derivation for the separate cases of small and large mu gives more insight into the physics and helps to continuously track the wavenumber solutions as the fluid-loading parameter is varied from small to large values. Also, it is found that at any frequency where two wavenumbers intersect in the uncoupled analysis, there is no more an intersection in the coupled case, but a gap is created at that frequency. This method of asymptotics is simple to implement using a symbolic computation package (like Maple). (C) 2008 Elsevier Ltd. All rights reserved.

An asymptotic analysis for the coupled dispersion characteristics of a structural acoustic waveguide

Analytical expressions are derived, using asymptotics, for the fluid-structure coupled wavenumbers in a one-dimensional (1-D) structural acoustic waveguide. The coupled dispersion equation of the system is rewritten in the form of the uncoupled dispersion equation with an added term due to the fluid-structure coupling. As a result of this coupling, the prior uncoupled structural and acoustic wavenumbers, now become coupled structural and acoustic wavenumbers. A fluid-loading parameter e, defined as the ratio of mass of fluid to mass of the structure per unit area, is introduced which when set to zero yields the uncoupled dispersion equation. The coupled wavenumber is then expressed in terms of an asymptotic series in e. Analytical expressions are found as e is varied from small to large values. Different asymptotic expansions are used for different frequency ranges with continuous transitions occurring between them. This systematic derivation helps to continuously track the wavenumber solutions as the fluid-loading parameter is varied from small to large values. Though the asymptotic expansion used is limited to the first-order correction factor, the results are close to the numerical results. A general trend is that a given wavenumber branch transits from a rigid-walled solution to a pressure-release solution with increasing E. Also, it is found that at any frequency where two wavenumbers intersect in the uncoupled analysis, there is no more an-intersection in the coupled case, but a gap is created at that frequency. (c) 2007 Elsevier Ltd. All rights reserved.

Asymptotic analysis for the coupled wavenumbers in an infinite fluid-filled flexible cylindrical shell: The axisymmetric mode

The coupled wavenumbers of a fluid-filled flexible cylindrical shell vibrating in the axisymmetric mode are studied. The coupled dispersion equation of the system is rewritten in the form of the uncoupled dispersion equation of the structure and the acoustic fluid, with an added fluid-loading term involving a parameter e due to the coupling. Using the smallness of Poisson's ratio (v), a double-asymptotic expansion involving e and v 2 is substituted in this equation. Analytical expressions are derived for the coupled wavenumbers (for large and small values of E). Different asymptotic expansions are used for different frequency ranges with continuous transitions occurring between them. The wavenumber solutions are continuously tracked as e varies from small to large values. A general trend observed is that a given wavenumber branch transits from a rigidwalled solution to a pressure-release solution with increasing E. Also, it is found that at any frequency where two wavenumbers intersect in the uncoupled analysis, there is no more an intersection in the coupled case, but a gap is created at that frequency. Only the axisymmetric mode is considered. However, the method can be extended to the higher order modes.

Optimal configurations of active fiber composites based on asymptotic torsional analysis - art. no. 641413

Active Fiber Composites (AFC) possess desirable characteristics over a wide range of smart structure applications, such as vibration, shape and flow control as well as structural health monitoring. This type of material, capable of collocated actuation and sensing, call be used in smart structures with self-sensing circuits. This paper proposes four novel applications of AFC structures undergoing torsion: sensors and actuators shaped as strips and tubes; and concludes with a preliminary failure analysis. To enable this, a powerful mathematical technique, the Variational Asymptotic Method (VAM) was used to perform cross-sectional analyses of thin generally anisotropic AFC beams. The resulting closed form expressions have been utilized in the applications presented herein.

An asymptotic analysis of a simple model for the structure and dynamics of the Ramdas layer

This paper presents a complete asymptotic analysis of a simple model for the evolution of the nocturnal temperature distribution on bare soil in calm clear conditions. The model is based on a simplified flux emissivity scheme that provides a nondiffusive local approximation for estimating longwave radiative cooling near ground. An examination of the various parameters involved shows that the ratio of the characteristic radiative to the diffusive timescale in the problem is of order 10(-3), and can therefore be treated as a small parameter (mu). Certain other plausible approximations and linearization lead to a new equation whose asymptotic solution as mu --> 0 can be written in closed form. Four regimes, consishttp://eprints.iisc.ernet.in/cgi/users/home?screen=EPrint::Edit&eprintid=27192&stage=core#tting of a transient at nominal sunset, a radiative-diffusive boundary ('Ramdas') layer on ground, a boundary layer transient and a radiative outer solution, are identified. The asymptotic solution reproduces all the qualitative features of more exact numerical simulations, including the occurrence of a lifted temperature minimum and its evolution during night, ranging from continuing growth to relatively sudden collapse of the Ramdas layer.

On an asymptotic method of Krylov-Bogoliubov for overdamped nonlinear systems

A general asymptotic method based on the work of Krylov-Bogoliubov is developed to obtain the response of nonlinear over damped systems. A second-order system with both roots real is treated first and the method is then extended to higher-order systems. Two illustrative examples show good agreement with results obtained by numerical integration.

Asymptotic behaviour and boundedness of linear systems with time varying coefficients

Motivated by developments in spacecraft dynamics, the asymptotic behaviour and boundedness of solution of a special class of time varying systems in which each term appears as the sum of a constant and a time varying part, are analysed in this paper. It is not possible to apply standard textbook results to such systems, which are originally in second order. Some of the existing results are reformulated. Four theorems which explore the relations between the asymptotic behaviour/boundedness of the constant coefficient system, obtained by equating the time varying terms to zero, to the corresponding behaviour of the time varying system, are developed. The results show the behaviour of the two systems to be intimately related, provided the solutions of the constant coefficient system approach zero are bounded for large values of time, and the time varying terms are suitably restrained. Two problems are tackled using these theorems.

Reliability models for existing structures based on dynamic state estimation and data based asymptotic extreme value analysis

The problem of time variant reliability analysis of existing structures subjected to stationary random dynamic excitations is considered. The study assumes that samples of dynamic response of the structure, under the action of external excitations, have been measured at a set of sparse points on the structure. The utilization of these measurements m in updating reliability models, postulated prior to making any measurements, is considered. This is achieved by using dynamic state estimation methods which combine results from Markov process theory and Bayes' theorem. The uncertainties present in measurements as well as in the postulated model for the structural behaviour are accounted for. The samples of external excitations are taken to emanate from known stochastic models and allowance is made for ability (or lack of it) to measure the applied excitations. The future reliability of the structure is modeled using expected structural response conditioned on all the measurements made. This expected response is shown to have a time varying mean and a random component that can be treated as being weakly stationary. For linear systems, an approximate analytical solution for the problem of reliability model updating is obtained by combining theories of discrete Kalman filter and level crossing statistics. For the case of nonlinear systems, the problem is tackled by combining particle filtering strategies with data based extreme value analysis. In all these studies, the governing stochastic differential equations are discretized using the strong forms of Ito-Taylor's discretization schemes. The possibility of using conditional simulation strategies, when applied external actions are measured, is also considered. The proposed procedures are exemplifiedmby considering the reliability analysis of a few low-dimensional dynamical systems based on synthetically generated measurement data. The performance of the procedures developed is also assessed based on a limited amount of pertinent Monte Carlo simulations. (C) 2010 Elsevier Ltd. All rights reserved.

Generalized asymptotic expansions for coupled wavenumbers in fluid-filled cylindrical shells

Analytical expressions are found for the coupled wavenumbers in an infinite fluid-filled cylindrical shell using the asymptotic methods. These expressions are valid for any general circumferential order (n).The shallow shell theory (which is more accurate at higher frequencies)is used to model the cylinder. Initially, the in vacua shell is dealt with and asymptotic expressions are derived for the shell wavenumbers in the high-and the low-frequency regimes. Next, the fluid-filled shell is considered. Defining a relevant fluid-loading parameter p, we find solutions for the limiting cases of small and large p. Wherever relevant, a frequency scaling parameter along with some ingenuity is used to arrive at an elegant asymptotic expression. In all cases.Poisson's ratio v is used as an expansion variable. The asymptotic results are compared with numerical solutions of the dispersion equation and the dispersion relation obtained by using the more general Donnell-Mushtari shell theory (in vacuo and fluid-filled). A good match is obtained. Hence, the contribution of this work lies in the extension of the existing literature to include arbitrary circumferential orders(n). (C) 2010 Elsevier Ltd. All rights reserved.