Temporal management using relative time in knowledge-based process control

In this paper, a knowledge-based approach is proposed for the management of temporal information in process control. A common-sense theory of temporal constraints over processes/events, allowing relative temporal knowledge, is employed here as the temporal basis for the system. This theory supports duration reasoning and consistency checking, and accepts relative temporal knowledge which is in a form normally used by human operators. An architecture for process control is proposed which centres on an historical database consisting of events and processes, together with the qualitative temporal relationships between their occurrences. The dynamics of the system is expressed by means of three types of rule: database updating rules, process control rules, and data deletion rules. An example is provided in the form of a life scheduler, to illustrate the database and the rule sets. The example demonstrates the transitions of the database over time, and identifies the procedure in terms of a state transition model for the application. The dividing instant problem for logical inference is discussed with reference to this process control example, and it is shown how the temporal theory employed can be used to deal with the problem.

Predicting HCl concentrations in fire enclosures using an HCl decay model coupled to a CFD-based fire field model

The amount of atmospheric hydrogen chloride (HCl) within fire enclosures produced from the combustion of chloride-based materials tends to decay as the fire effluent is transported through the enclosure due to mixing with fresh air and absorption by solids. This paper describes an HCl decay model, typically used in zone models, which has been modified and applied to a computational fluid dynamics (CFD)-based fire field model. While the modified model still makes use of some empirical formulations to represent the deposition mechanisms, these have been reduced from the original three to two through the use of the CFD framework. Furthermore, the effect of HCl flow to the wall surfaces on the time to reach equilibrium between HCl in the boundary layer and on wall surfaces is addressed by the modified model. Simulation results using the modified HCl decay model are compared with data from three experiments. The model is found to be able to reproduce the experimental trends and the predicted HCl levels are in good agreement with measured values

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.