Brownian bridge and other path-dependent Gaussian processes vectorial simulation

The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.

Simulation and theory of hybrid aligned liquid crystal films

We present a study of the effects of nanoconfinement on a system of hard Gaussian overlap particles interacting with planar substrates through the hard-needle-wall potential, extending earlier work by two of us [D. J. Cleaver and P. I. C. Teixeira, Chem. Phys. Lett. 338, 1 (2001)]. Here, we consider the case of hybrid films, where one of the substrates induces strongly homeotropic anchoring, while the other favors either weakly homeotropic or planar anchoring. These systems are investigated using both Monte Carlo simulation and density-functional theory, the latter implemented at the level of Onsager's second-virial approximation with Parsons-Lee rescaling. The orientational structure is found to change either continuously or discontinuously depending on substrate separation, in agreement with earlier predictions by others. The theory is seen to perform well in spite of its simplicity, predicting the positional and orientational structure seen in simulations even for small particle elongations.

Practical simulation of GNSS signals in the presence of ionospheric scintillaton

We propose a low complexity technique to generate amplitude correlated time-series with Nakagami-m distribution and phase correlated Gaussian-distributed time-series, which is useful in the simulation of ionospheric scintillation effects during the transmission of GNSS signals. The method requires only the knowledge of parameters S4 (scintillation index) and σΦ (phase standard deviation) besides the definition of models for the amplitude and phase power spectra. The Zhang algorithm is used to produce Nakagami-distributed signals from a set of Gaussian autoregressive processes.

Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

(Virtual) Agents for running electricity markets

This paper describes a multi-agent based simulation (MABS) framework to construct an artificial electric power market populated with learning agents. The artificial market, named TEMMAS (The Electricity Market Multi-Agent Simulator), explores the integration of two design constructs: (i) the specification of the environmental physical market properties and (ii) the specification of the decision-making (deliberative) and reactive agents. TEMMAS is materialized in an experimental setup involving distinct power generator companies that operate in the market and search for the trading strategies that best exploit their generating units' resources. The experimental results show a coherent market behavior that emerges from the overall simulated environment.

Modeling, control and simulation of full-power converter wind turbines equipped with permanent magnet synchronous generator

In this paper, two wind turbines equipped with a permanent magnet synchronous generator (PMSG) and respectively with a two-level or a multilevel converter are simulated in order to access the malfunction transient performance. Three different drive train mass models, respectively, one, two and three mass models, are considered in order to model the bending flexibility of the blades. Moreover, a fractional-order control strategy is studied comparatively to a classical integer-order control strategy. Computer simulations are carried out, and conclusions about the total harmonic distortion (THD) of the electric current injected into the electric grid are in favor of the fractional-order control strategy.

Power converter topologies for wind energy conversion systems: Integrated modeling, control strategy and performance simulation

This paper presents new integrated model for variable-speed wind energy conversion systems, considering a more accurate dynamic of the wind turbine, rotor, generator, power converter and filter. Pulse width modulation by space vector modulation associated with sliding mode is used for controlling the power converters. Also, power factor control is introduced at the output of the power converters. Comprehensive performance simulation studies are carried out with matrix, two-level and multilevel power converter topologies in order to adequately assert the system performance. Conclusions are duly drawn.

Fractional-order control and simulation of wind energy systems with PMSG/full-power converter topology

This paper presents a new integrated model for the simulation of wind energy systems. The proposed model is more realistic and accurate, considering a variable-speed wind turbine, two-mass rotor, permanent magnet synchronous generator (PMSG), different power converter topologies, and filters. Additionally, a new control strategy is proposed for the variable-speed operation of wind turbines with PMSG/full-power converter topology, based on fractional-order controllers. Comprehensive simulation studies are carried out with matrix and multilevel power converter topologies, in order to adequately assert the system performance in what regards the quality of the energy injected into the electric grid. Finally, conclusions are duly drawn.

Simulation of defects in bubble clusters

Topological defects in foam, either isolated (disclinations and dislocations) or in pairs, affect the energy and stress, and play an important role in foam deformation. Surface Evolver simulations were performed on large finite clusters of bubbles. These allow us to evaluate the effect of the topology of the defects, and the distance between defects, on the energy and pressure of foam clusters of different sizes. The energy of such defects follows trends similar to known analytical results for a continuous medium.

A simulation study on the abatement of CO2 emissions by de-absorption with monoethanolamine

Because of the adverse effect of CO2 from fossil fuel combustion on the earth's ecosystems, the most cost-effective method for CO2 capture is an important area of research. The predominant process for CO2 capture currently employed by industry is chemical absorption in amine solutions. A dynamic model for the de-absorption process was developed with monoethanolamine (MEA) solution. Henry's law was used for modelling the vapour phase equilibrium of the CO2, and fugacity ratios calculated by the Peng-Robinson equation of state (EOS) were used for H2O, MEA, N-2 and O-2. Chemical reactions between CO2 and MEA were included in the model along with the enhancement factor for chemical absorption. Liquid and vapour energy balances were developed to calculate the liquid and vapour temperature, respectively.

Stacked photo-sensing devices based on SiC alloys A non-pixelled architecture for imagers and demultiplexing devices

In this review paper different designs based on stacked p-i'-n-p-i-n heterojunctions are presented and compared with the single p-i-n sensing structures. The imagers utilise self-field induced depletion layers for light detection and a modulated laser beam for sequential readout. The effect of the sensing element structure, cell configurations (single or tandem), and light source properties (intensity and wavelength) are correlated with the sensor output characteristics (light-to-dark sensivity, spatial resolution, linearity and S/N ratio). The readout frequency is optimized showing that scans speeds up to 104 lines per second can be achieved without degradation in the resolution. Multilayered p-i'-n-p-i-n heterostructures can also be used as wavelength-division multiplexing /demultiplexing devices in the visible range. Here the sensor element faces the modulated light from different input colour channels, each one with a specific wavelength and bit rate. By reading out the photocurrent at appropriated applied bias, the information is multiplexed or demultiplexed and can be transmitted or recovered again. Electrical models are present to support the sensing methodologies.

Transport properties in microcrystalline silicon solar cells under AM1.5 illumination analysed by two-dimensional numerical simulation

Microcrystalline silicon is a two-phase material. Its composition can be interpreted as a series of grains of crystalline silicon imbedded in an amorphous silicon tissue, with a high concentration of dangling bonds in the transition regions. In this paper, results for the transport properties of a mu c-Si:H p-i-n junction obtained by means of two-dimensional numerical simulation are reported. The role played by the boundary regions between the crystalline grains and the amorphous matrix is taken into account and these regions are treated similar to a heterojunction interface. The device is analysed under AM1.5 illumination and the paper outlines the influence of the local electric field at the grain boundary transition regions on the internal electric configuration of the device and on the transport mechanism within the mu c-Si:H intrinsic layer.

Simulation of default events in a CDX and estimation of the spread

The portfolio generating the iTraxx EUR index is modeled by coupled Markov chains. Each of the industries of the portfolio evolves according to its own Markov transition matrix. Using a variant of the method of moments, the model parameters are estimated from a data set of Standard and Poor's. Swap spreads are evaluated by Monte-Carlo simulations. Along with an actuarially fair spread, at least squares spread is considered.

Simulation of the Magnetic Induction Vector of a Magnetic Core to be Used in FFC NMR Relaxometry

This paper is a contribution for the assessment and comparison of magnet properties based on magnetic field characteristics particularly concerning the magnetic induction uniformity in the air gaps. For this aim, a solver was developed and implemented to determine the magnetic field of a magnetic core to be used in Fast Field Cycling (FFC) Nuclear Magnetic Resonance (NMR) relaxometry. The electromagnetic field computation is based on a 2D finite-element method (FEM) using both the scalar and the vector potential formulation. Results for the magnetic field lines and the magnetic induction vector in the air gap are presented. The target magnetic induction is 0.2 T, which is a typical requirement of the FFC NMR technique, which can be achieved with a magnetic core based on permanent magnets or coils. In addition, this application requires high magnetic induction uniformity. To achieve this goal, a solution including superconducting pieces is analyzed. Results are compared with a different FEM program.

Analysis and simulation of a-Si Ha-SiC HPINIP structures for color image detection

It is presented in this paper a study on the photo-electronic properties of multi layer a-Si: H/a-SiC: H p-i-n-i-p structures. This study is aimed to give an insight into the internal electrical characteristics of such a structure in thermal equilibrium, under applied Was and under different illumination condition. Taking advantage of this insight it is possible to establish a relation among-the electrical behavior of the structure the structure geometry (i.e. thickness of the light absorbing intrinsic layers and of the internal n-layer) and the composition of the layers (i.e. optical bandgap controlled through percentage of carbon dilution in the a-Si1-xCx: H layers). Showing an optical gain for low incident light power controllable by means of externally applied bias or structure composition, these structures are quite attractive for photo-sensing device applications, like color sensors and large area color image detector. An analysis based on numerical ASCA simulations is presented for describing the behavior of different configurations of the device and compared with experimental measurements (spectral response and current-voltage characteristic). (c) 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.