Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

Unsteady flow of a dilute suspension in a semi-infinite contracting or expanding pipe

In the present paper an exact similar solution of the Navier-Stokes equation for unsteady flow of a dilute suspension in a semi-infinite contracting or expanding circular pipe is presented. The effects of the Schmidt number (Sc), Reynolds number (|ε|), the volume fraction (α) and the relaxation time (τ) of the particulate phase on the flow characteristics are examined. The presence of the solid particles has been observed to influence the flow behaviour significantly. These solutions are valid down to the state of a completely collapsed pipe, since the nonlinearity is retained fully. The results may help understanding the flow near the heart and certain forced contractions or expansions of valved veins.

Optimal dynamic inversion-based semi-active control of benchmark bridge using MR dampers

A new two-stage state feedback control design approach has been developed to monitor the voltage supplied to magnetorheological (MR) dampers for semi-active vibration control of the benchmark highway bridge. The first stage contains a primary controller, which provides the force required to obtain a desired closed-loop response of the system. In the second stage, an optimal dynamic inversion (ODI) approach has been developed to obtain the amount of voltage to be supplied to each of the MR dampers such that it provides the required force prescribed by the primary controller. ODI is formulated by optimization with dynamic inversion, such that an optimal voltage is supplied to each damper in a set. The proposed control design has been simulated for both phase-I and phase-II study of the recently developed benchmark highway bridge problem. The efficiency of the proposed controller is analyzed in terms of the performance indices defined in the benchmark problem definition. Simulation results demonstrate that the proposed approach generally reduces peak response quantities over those obtained from the sample semi-active controller, although some response quantities have been seen to be increasing. Overall, the proposed control approach is quite competitive as compared with the sample semi-active control approach.

Surface instability in a semi-infinite plasma in the presence of high frequency fields

The surface instability of a semi-infinite plasma immersed in a high frequency field is investigated. When the natural Langmuir frequency of the surface is nearly equal to the frequency of the high frequency field, the dispersion relation predicts build-up of oscillations with a growth rate comparable with the real part of the frequency. Threshold values above which the instability is possible are derived.

An End-Use Oriented Global Energy Strategy

Abstract is not available.

A semi-empirical theory of molten salts

A semi-empirical model is presented for describing the interionic interactions in molten salts using the experimentally available structure data. An extension of Bertaut's method of non-overlapping charges is used to estimate the electrostatic interaction energy in ionic melts. It is shown, in agreement with earlier computer simulation studies, that this energy increases when an ionic salt melts. The repulsion between ions is described using a compressible ion theory which uses structure-independent parameters. The van der Waals interactions and the thermal free energy are also included in the total energy, which is minimised with respect to isostructural volume variations to calculate the equilibrium density. Detailed results are presented for three molten systems, NaCl, CaCl2 and ZnCl2, and are shown to be in satisfactory agreement with experiments. With reliable structural data now being reported for several other molten salts, the present study gains relevance.

Two-dimensional heat conduction with phase change in a semi-infinite mould

Analytical solution of a 2-dimensional problem of solidification of a superheated liquid in a semi-infinite mould has been studied in this paper. On the boundary, the prescribed temperature is such that the solidification starts simultaneously at all points of the boundary. Results are also given for the 2-dimensional ablation problem. The solution of the heat conduction equation has been obtained in terms of multiple Laplace integrals involving suitable unknown fictitious initial temperatures. These fictitious initial temperatures have interesting physical interpretations. By choosing suitable series expansions for fictitious initial temperatures and moving interface boundary, the unknown quantities can be determined. Solidification thickness has been calculated for short time and effect of parameters on the solidification thickness has been shown with the help of graphs.

Optimal maintenance and replacement via a semi-Markov decision model

Optimal bang-coast maintenance policies for a machine, subject to failure, are considered. The approach utilizes a semi-Markov model for the system. A simplified model for modifying the probability of machine failure with maintenance is employed. A numerical example is presented to illustrate the procedure and results.

Vibration-rotation pattern in acetylene. II. Introduction of Coriolis coupling in the global model and analysis of emission spectra of hot acetylene around 3 mu m

A high temperature source has been developed and coupled to a high resolution Fourier transform spectrometer to record emission spectra of acetylene around 3 mu m up to 1455 K under Doppler limited resolution (0.015 cm(-1)). The nu(3)-ground state (GS) and nu(2)+nu(4)+nu(5)(Sigma(+)(u) and Delta(u))-GS bands and 76 related hot bands, counting e and f parities separately, are assigned using semiautomatic methods based on a global model to reproduce all related vibration-rotation states. Significantly higher J-values than previously reported are observed for 40 known substates while 37 new e or f vibrational substates, up to about 6000 cm(-1), are identified and characterized by vibration-rotation parameters. The 3 811 new or improved data resulting from the analysis are merged into the database presented by Robert et al. [Mol. Phys. 106, 2581 (2008)], now including 15 562 lines accessing vibrational states up to 8600 cm(-1). A global model, updated as compared to the one in the previous paper, allows all lines in the database to be simultaneously fitted, successfully. The updates are discussed taking into account, in particular, the systematic inclusion of Coriolis interaction.

Semi-Classical Mechanics in Phase Space: A Study of Wigner's Function

We explore the semi-classical structure of the Wigner functions ($\Psi $(q, p)) representing bound energy eigenstates $|\psi \rangle $ for systems with f degrees of freedom. If the classical motion is integrable, the classical limit of $\Psi $ is a delta function on the f-dimensional torus to which classical trajectories corresponding to ($|\psi \rangle $) are confined in the 2f-dimensional phase space. In the semi-classical limit of ($\Psi $ ($\hslash $) small but not zero) the delta function softens to a peak of order ($\hslash ^{-\frac{2}{3}f}$) and the torus develops fringes of a characteristic 'Airy' form. Away from the torus, $\Psi $ can have semi-classical singularities that are not delta functions; these are discussed (in full detail when f = 1) using Thom's theory of catastrophes. Brief consideration is given to problems raised when ($\Psi $) is calculated in a representation based on operators derived from angle coordinates and their conjugate momenta. When the classical motion is non-integrable, the phase space is not filled with tori and existing semi-classical methods fail. We conjecture that (a) For a given value of non-integrability parameter ($\epsilon $), the system passes through three semi-classical regimes as ($\hslash $) diminishes. (b) For states ($|\psi \rangle $) associated with regions in phase space filled with irregular trajectories, ($\Psi $) will be a random function confined near that region of the 'energy shell' explored by these trajectories (this region has more than f dimensions). (c) For ($\epsilon \neq $0, $\hslash $) blurs the infinitely fine classical path structure, in contrast to the integrable case ($\epsilon $ = 0, where $\hslash $ )imposes oscillatory quantum detail on a smooth classical path structure.

A semi-analytical particle filter for identification of nonlinear oscillators

Particle filters find important applications in the problems of state and parameter estimations of dynamical systems of engineering interest. Since a typical filtering algorithm involves Monte Carlo simulations of the process equations, sample variance of the estimator is inversely proportional to the number of particles. The sample variance may be reduced if one uses a Rao-Blackwell marginalization of states and performs analytical computations as much as possible. In this work, we propose a semi-analytical particle filter, requiring no Rao-Blackwell marginalization, for state and parameter estimations of nonlinear dynamical systems with additively Gaussian process/observation noises. Through local linearizations of the nonlinear drift fields in the process/observation equations via explicit Ito-Taylor expansions, the given nonlinear system is transformed into an ensemble of locally linearized systems. Using the most recent observation, conditionally Gaussian posterior density functions of the linearized systems are analytically obtained through the Kalman filter. This information is further exploited within the particle filter algorithm for obtaining samples from the optimal posterior density of the states. The potential of the method in state/parameter estimations is demonstrated through numerical illustrations for a few nonlinear oscillators. The proposed filter is found to yield estimates with reduced sample variance and improved accuracy vis-a-vis results from a form of sequential importance sampling filter.

Semi-active vibration isolation using a near-zero-spring-rate device:steady state analysis of a single-degree-of-freedom model

A vibration isolator is described which incorporates a near-zero-spring-rate device within its operating range. The device is an assembly of a vertical spring in parallel with two inclined springs. A low spring rate is achieved by combining the equivalent stiffness in the vertical direction of the inclined springs with the stiffness of the vertical central spring. It is shown that there is a relation between the geometry and the stiffness of the individual springs that results in a low spring rate. Computer simulation studies of a single-degree-of-freedom model for harmonic base input show that the performance of the proposed scheme is superior to that of the passive schemes with linear springs and skyhook damping configuration. The response curves show that, for small to large amplitudes of base disturbance, the system goes into resonance at low frequencies of excitation. Thus, it is possible to achieve very good isolation over a wide low-frequency band. Also, the damper force requirements for the proposed scheme are much lower than for the damper force of a skyhook configuration or a conventional linear spring with a semi-active damper.

A study on the variations of optical and physical properties of aerosols over a tropical semi-arid station during grassland fire

The present paper records the results of a case study on the impact of an extensive grassland fire on the physical and optical properties of aerosols at a semi-arid station in southern India for the first time from ground based measurements using a MICROTOPS-II sunphotometer, an aethalometer and a quartz crystal microbalance impactor (QCM). Observations revealed a substantial increase in aerosol optical depth (AOD) at all wavelengths during burning days compared to normal days. High AOD values observed at shorter wavelengths suggest the dominance of accumulation mode particle loading over the study area. Daily mean aerosol size spectra shows, most of the time, power-law distribution. To characterize AOD, the Angstrom parameters (i.e., alpha and beta) were used. Wavelength exponent (1.38) and turbidity coefficient (0.21) are high during burning days compared to normal days, thereby suggesting an increase in accumulation mode particle loading. Aerosol size distribution suggested dominance of accumulation mode particle loading during burning days compared to normal days. A significant positive correlation was observed between AOD at 500 mn and water vapour and negative correlation between AOD at 500 nm and wind speed for burning and non-burning days. Diurnal variations of black carbon (BC) aerosol mass concentrations increased by a factor of similar to 2 in the morning and afternoon hours during burning period compared to normal days.

The effect of horizontal resolution on simulation of very extreme US precipitation events in a global atmosphere model

We investigate the ability of a global atmospheric general circulation model (AGCM) to reproduce observed 20 year return values of the annual maximum daily precipitation totals over the continental United States as a function of horizontal resolution. We find that at the high resolutions enabled by contemporary supercomputers, the AGCM can produce values of comparable magnitude to high quality observations. However, at the resolutions typical of the coupled general circulation models used in the Fourth Assessment Report of the Intergovernmental Panel on Climate Change, the precipitation return values are severely underestimated.

Quasi-periodic, global oscillations in sea level pressure on intraseasonal timescales

The sea level pressure (SLP) variability in 30-60 day intraseasonal timescales is investigated using 25 years of reanalysis data addressing two issues. The first concerns the non-zero zonal mean component of SLP near the equator and its meridional connections, and the second concerns the fast eastward propagation (EP) speed of SLP compared to that of zonal wind. It is shown that the entire globe resonates with high amplitude wave activity during some periods which may last for few to several months, followed by lull periods of varying duration. SLP variations in the tropical belt are highly coherent from 25A degrees S to 25A degrees N, uncorrelated with variations in mid latitudes and again significantly correlated but with opposite phase around 60A degrees S and 65A degrees N. Near the equator (8A degrees S-8A degrees N), the zonal mean contributes significantly to the total variance in SLP, and after its removal, SLP shows a dominant zonal wavenumber one structure having a periodicity of 40 days and EP speeds comparable to that of zonal winds in the Indian Ocean. SLP from many of the atmospheric and coupled general circulation models show similar behaviour in the meridional direction although their propagation characteristics in the tropical belt differ widely.