Differential and numerical models of hysteretic systems with stochastic and deterministic inputs

Many deterministic models with hysteresis have been developed in the areas of economics, finance, terrestrial hydrology and biology. These models lack any stochastic element which can often have a strong effect in these areas. In this work stochastically driven closed loop systems with hysteresis type memory are studied. This type of system is presented as a possible stochastic counterpart to deterministic models in the areas of economics, finance, terrestrial hydrology and biology. Some price dynamics models are presented as a motivation for the development of this type of model. Numerical schemes for solving this class of stochastic differential equation are developed in order to examine the prototype models presented. As a means of further testing the developed numerical schemes, numerical examination is made of the behaviour near equilibrium of coupled ordinary differential equations where the time derivative of the Preisach operator is included in one of the equations. A model of two phenotype bacteria is also presented. This model is examined to explore memory effects and related hysteresis effects in the area of biology. The memory effects found in this model are similar to that found in the non-ideal relay. This non-ideal relay type behaviour is used to model a colony of bacteria with multiple switching thresholds. This model contains a Preisach type memory with a variable Preisach weight function. Shown numerically for this multi-threshold model is a pattern formation for the distribution of the phenotypes among the available thresholds.

Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

Mathematical modelling and optimisation of the formulation and manufacture of aggregate food products

In this PhD study, mathematical modelling and optimisation of granola production has been carried out. Granola is an aggregated food product used in breakfast cereals and cereal bars. It is a baked crispy food product typically incorporating oats, other cereals and nuts bound together with a binder, such as honey, water and oil, to form a structured unit aggregate. In this work, the design and operation of two parallel processes to produce aggregate granola products were incorporated: i) a high shear mixing granulation stage (in a designated granulator) followed by drying/toasting in an oven. ii) a continuous fluidised bed followed by drying/toasting in an oven. In addition, the particle breakage of granola during pneumatic conveying produced by both a high shear granulator (HSG) and fluidised bed granulator (FBG) process were examined. Products were pneumatically conveyed in a purpose built conveying rig designed to mimic product conveying and packaging. Three different conveying rig configurations were employed; a straight pipe, a rig consisting two 45° bends and one with 90° bend. It was observed that the least amount of breakage occurred in the straight pipe while the most breakage occurred at 90° bend pipe. Moreover, lower levels of breakage were observed in two 45° bend pipe than the 90° bend vi pipe configuration. In general, increasing the impact angle increases the degree of breakage. Additionally for the granules produced in the HSG, those produced at 300 rpm have the lowest breakage rates while the granules produced at 150 rpm have the highest breakage rates. This effect clearly the importance of shear history (during granule production) on breakage rates during subsequent processing. In terms of the FBG there was no single operating parameter that was deemed to have a significant effect on breakage during subsequent conveying. A population balance model was developed to analyse the particle breakage occurring during pneumatic conveying. The population balance equations that govern this breakage process are solved using discretization. The Markov chain method was used for the solution of PBEs for this process. This study found that increasing the air velocity (by increasing the air pressure to the rig), results in increased breakage among granola aggregates. Furthermore, the analysis carried out in this work provides that a greater degree of breakage of granola aggregates occur in line with an increase in bend angle.

Comparison of deterministic, stochastic and fuzzy logic uncertainty modelling for capacity extension projects of DI/WFI pharmaceutical plant utilities with variable/dynamic demand

The last 30 years have seen Fuzzy Logic (FL) emerging as a method either complementing or challenging stochastic methods as the traditional method of modelling uncertainty. But the circumstances under which FL or stochastic methods should be used are shrouded in disagreement, because the areas of application of statistical and FL methods are overlapping with differences in opinion as to when which method should be used. Lacking are practically relevant case studies comparing these two methods. This work compares stochastic and FL methods for the assessment of spare capacity on the example of pharmaceutical high purity water (HPW) utility systems. The goal of this study was to find the most appropriate method modelling uncertainty in industrial scale HPW systems. The results provide evidence which suggests that stochastic methods are superior to the methods of FL in simulating uncertainty in chemical plant utilities including HPW systems in typical cases whereby extreme events, for example peaks in demand, or day-to-day variation rather than average values are of interest. The average production output or other statistical measures may, for instance, be of interest in the assessment of workshops. Furthermore the results indicate that the stochastic model should be used only if found necessary by a deterministic simulation. Consequently, this thesis concludes that either deterministic or stochastic methods should be used to simulate uncertainty in chemical plant utility systems and by extension some process system because extreme events or the modelling of day-to-day variation are important in capacity extension projects. Other reasons supporting the suggestion that stochastic HPW models are preferred to FL HPW models include: 1. The computer code for stochastic models is typically less complex than a FL models, thus reducing code maintenance and validation issues. 2. In many respects FL models are similar to deterministic models. Thus the need for a FL model over a deterministic model is questionable in the case of industrial scale HPW systems as presented here (as well as other similar systems) since the latter requires simpler models. 3. A FL model may be difficult to "sell" to an end-user as its results represent "approximate reasoning" a definition of which is, however, lacking. 4. Stochastic models may be applied with some relatively minor modifications on other systems, whereas FL models may not. For instance, the stochastic HPW system could be used to model municipal drinking water systems, whereas the FL HPW model should or could not be used on such systems. This is because the FL and stochastic model philosophies of a HPW system are fundamentally different. The stochastic model sees schedule and volume uncertainties as random phenomena described by statistical distributions based on either estimated or historical data. The FL model, on the other hand, simulates schedule uncertainties based on estimated operator behaviour e.g. tiredness of the operators and their working schedule. But in a municipal drinking water distribution system the notion of "operator" breaks down. 5. Stochastic methods can account for uncertainties that are difficult to model with FL. The FL HPW system model does not account for dispensed volume uncertainty, as there appears to be no reasonable method to account for it with FL whereas the stochastic model includes volume uncertainty.

Analysing energy detector diversity receivers for spectrum sensing

The analysis of energy detector systems is a well studied topic in the literature: numerous models have been derived describing the behaviour of single and multiple antenna architectures operating in a variety of radio environments. However, in many cases of interest, these models are not in a closed form and so their evaluation requires the use of numerical methods. In general, these are computationally expensive, which can cause difficulties in certain scenarios, such as in the optimisation of device parameters on low cost hardware. The problem becomes acute in situations where the signal to noise ratio is small and reliable detection is to be ensured or where the number of samples of the received signal is large. Furthermore, due to the analytic complexity of the models, further insight into the behaviour of various system parameters of interest is not readily apparent. In this thesis, an approximation based approach is taken towards the analysis of such systems. By focusing on the situations where exact analyses become complicated, and making a small number of astute simplifications to the underlying mathematical models, it is possible to derive novel, accurate and compact descriptions of system behaviour. Approximations are derived for the analysis of energy detectors with single and multiple antennae operating on additive white Gaussian noise (AWGN) and independent and identically distributed Rayleigh, Nakagami-m and Rice channels; in the multiple antenna case, approximations are derived for systems with maximal ratio combiner (MRC), equal gain combiner (EGC) and square law combiner (SLC) diversity. In each case, error bounds are derived describing the maximum error resulting from the use of the approximations. In addition, it is demonstrated that the derived approximations require fewer computations of simple functions than any of the exact models available in the literature. Consequently, the regions of applicability of the approximations directly complement the regions of applicability of the available exact models. Further novel approximations for other system parameters of interest, such as sample complexity, minimum detectable signal to noise ratio and diversity gain, are also derived. In the course of the analysis, a novel theorem describing the convergence of the chi square, noncentral chi square and gamma distributions towards the normal distribution is derived. The theorem describes a tight upper bound on the error resulting from the application of the central limit theorem to random variables of the aforementioned distributions and gives a much better description of the resulting error than existing Berry-Esseen type bounds. A second novel theorem, providing an upper bound on the maximum error resulting from the use of the central limit theorem to approximate the noncentral chi square distribution where the noncentrality parameter is a multiple of the number of degrees of freedom, is also derived.