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.

Pulsatile blood flow in a rigid pulmonary alveolar sheet with porous walls

This paper deals with the pulsatile blood flow in the lung alveolar sheets by idealizing each of them as a channel covered by porous media. As the blood flow in the lung is of low Reynolds number, a creeping flow is assumed in the channel. The analytical and numerical results for the velocity and pressure distribution in the porous medium are presented. The effect of an imposed slip condition is also studied. Comparisons with the corresponding results for the steady-state case are made at the end.

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.

Is 3'-nucleotide rigid?

Conformational analysis of nucleic acids and polynucleotides is far more complex than that of proteins and polypeptides, due to five single bond rotations in addition to the sugar puckerings in the monomer. Sundaralingam1 proposed the concept of the 'rigid' nucleotides from analysis of crystal structure data, with the flexibility allowed only about the phosphodiester bonds. However, the crystal structure of deoxyguanosine-5'−phosphate2,3 indicates at gt conformation about the C-4'−C-5' bond against gg in a conformationally rigid nudeotide1. Jack et al. 4 considered the flexibility of nucleotides in tRNA about the C-4'−C-5' bond, thereby introducing the concept of 'non-rigid' ribonucleotides. Conformational flexibility of the f uranose ring in DNA and RNA and their energetics using classical and quantum chemical methods have been reported5−8. We have examined the flexibility of 3'-nucleotides. alpha, the most important of the conformational parameters defining the 3'-end of a nucleotide unit9, has a value in the range 195°−270° in all the 3'-nucleotides, dinucleoside monophosphates and higher oligomers which have been surveyed. A survey of the proposed structures of polyribonudeotides10,11 also shows the values of a to be greater than 200°. However, the structures proposed for B-DNA by Arnott and Hukins12,13 and D-DNA by Arnott et al. 14 have values of alpha of 155° and 141° respectively, much lower than the lowest observed value. The structure for B-DNA has two strong, short contacts (C-2'...OP-1 = 2.64 Å and HC-2"...OP-1 = 1.79 Å) which lead to an energetically unfavourable conformation. Hence, it is of interest to investigate whether, by allowing flexibility to the sugar moiety in the nucleotide unit, it is possible to make the structure energetically favourable. Here, conformational energy calculations were carried out to determine the range of alpha which would give rise to energetically favoured conformations with different sugar puckerings. Our analysis has shown that the theoretically obtained range is nearly the same as the preferred range in crystals, indicating the flexibility of the 3'-nucleotides.

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.

Note on the Helmholtz instability in stratified flows with magnetic fields

The nature of the neutral curves for the stability of a Helmholtz velocity profile in a stratified, Boussinesq fluid in the presence of a uniform magnetic field for the cases (1) an infinite fluid (2) a semi-infinite fluid with a rigid boundary is discussed.

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.

Influence of adhesive non-linearities on the performance and optimal length of adhesive bonded joints

An analytical study for the static strength of adhesive lap joints is presented. The earlier solutions of Volkersen [i], DeBruyne[2] and others were limited to linear adhesives. The influence of adhesive non-linearity was first considered by Grimes' et al[3] and Dickson et al [4]. Recently Hart-Smith[5] successfully introduced elastic-plastic behaviour of the adhesive. In the present study the problem is formulated for general non-linear adhesive behaviour and an efficient numerical algorithm is written for the solution. Bilinear and trilinear models for the nonlinearity yield closed form analytical solutions.

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.

Seismic behaviour of rigid-faced reinforced soil retaining wall models:reinforcement effect

This paper presents the results of shaking table tests on models of rigid-faced reinforced soil retaining walls in which reinforcement materials of different tensile strength were used. The construction of the model retaining walls in a laminar box mounted on a shaking table, the instrumentation and the results from the shaking table tests are described in detail and the effects of the reinforcement parameters on the acceleration response at different elevations of the retaining wall, horizontal soil pressures and face deformations are presented. It was observed from these tests that the horizontal face displacement response of the rigid-faced retaining walls was significantly affected by the inclusion of reinforcement and even low-strength polymer reinforcement was found to be efficient in significantly reducing the deformation of the face. The acceleration amplifications were, however, observed to be less influenced by the reinforcement parameters. The results obtained from this study are helpful in understanding the relative performance of reinforced soil retaining walls under the different test conditions used in the experiments.