19 resultados para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em Instituto Politécnico do Porto, Portugal


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We perform a comparison between the fractional iteration and decomposition methods applied to the wave equation on Cantor set. The operators are taken in the local sense. The results illustrate the significant features of the two methods which are both very effective and straightforward for solving the differential equations with local fractional derivative.

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No presente trabalho descreve-se o estudo realizado no Instituto Superior de Engenharia do Porto (ISEP) com o objetivo de comprovar a viabilidade da utilização de pneus em fim de vida em estruturas de solo reforçado. As estruturas de suporte de terras materializadas com pneus preenchidos com solo são usadas em alguns países, sobretudo em estruturas do tipo gravidade. Investiga-se neste trabalho o seu desempenho em estruturas de solo reforçado. Com a finalidade de prever o comportamento da construção, foi utilizado um software desenvolvido pela empresa Canadiana Rocscience, denominado Phase2. Com este software foi possível fazer uma análise paramétrica da secção transversal do modelo, avaliando os esforços e os deslocamentos que se desenvolvem no interior da estrutura, através da utilização do Método dos Elementos Finitos. Foi efetuada uma campanha de ensaios laboratoriais, realizados com amostras de solo retiradas do local de construção do protótipo, com o intuito de caracterizar os parâmetros do solo A definição destes parâmetros tem como objetivo tornar a simulação o mais fidedigna possível. Estruturas de Suporte de Terras Executadas Com Pneus. Estudo Paramétrico e Conceção de Protótipo Como validação da modelação realizada no programa Phase2, o protótipo será devidamente instrumentado com equipamentos de monitorização; a informação recolhida receberá um tratamento posterior e permitirá a calibração do modelo numérico. No presente trabalho define-se o plano de monitorização a instalar no protótipo.

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We consider an optimal control problem with a deterministic finite horizon and state variable dynamics given by a Markov-switching jump–diffusion stochastic differential equation. Our main results extend the dynamic programming technique to this larger family of stochastic optimal control problems. More specifically, we provide a detailed proof of Bellman’s optimality principle (or dynamic programming principle) and obtain the corresponding Hamilton–Jacobi–Belman equation, which turns out to be a partial integro-differential equation due to the extra terms arising from the Lévy process and the Markov process. As an application of our results, we study a finite horizon consumption– investment problem for a jump–diffusion financial market consisting of one risk-free asset and one risky asset whose coefficients are assumed to depend on the state of a continuous time finite state Markov process. We provide a detailed study of the optimal strategies for this problem, for the economically relevant families of power utilities and logarithmic utilities.

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In this paper we present a Constraint Logic Programming (CLP) based model, and hybrid solving method for the Scheduling of Maintenance Activities in the Power Transmission Network. The model distinguishes from others not only because of its completeness but also by the way it models and solves the Electric Constraints. Specifically we present a efficient filtering algorithm for the Electrical Constraints. Furthermore, the solving method improves the pure CLP methods efficiency by integrating a type of Local Search technique with CLP. To test the approach we compare the method results with another method using a 24 bus network, which considerers 42 tasks and 24 maintenance periods.

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Solving systems of nonlinear equations is a very important task since the problems emerge mostly through the mathematical modelling of real problems that arise naturally in many branches of engineering and in the physical sciences. The problem can be naturally reformulated as a global optimization problem. In this paper, we show that a self-adaptive combination of a metaheuristic with a classical local search method is able to converge to some difficult problems that are not solved by Newton-type methods.

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As ligações adesivas têm sido cada vez mais utilizadas nos últimos anos em detrimento de outros métodos tais como a soldadura, ligações aparafusadas e ligações rebitadas. Os plásticos de Engenharia têm um papel cada vez mais preponderante na indústria, devido às suas excelentes propriedades. Neste trabalho foram considerados três polímeros diferentes, o Policloreto de Vinilo (PVC) e o Polipropileno (PP) dado o seu baixo custo e peso e a superfície quimicamente inerte e o Politetrafluoretileno (PTFE) devido às suas boas propriedades químicas e excelentes propriedades de deslizamento. No entanto, estes materiais possuem uma baixa energia de superfície e, por isso, são muito difíceis de colar com mais relevância para o PTFE. Assim, após um estudo preliminar foi escolhido, para realizar as colagens necessárias, um adesivo da Tamarron Technology “Tam Tech Adhesive”, próprio para este tipo de substratos difíceis de colar. Posteriormente foi efetuada a sua caraterização através de ensaios de provetes maciços à tração. O principal objetivo deste trabalho foi estudar juntas de sobreposição simples de materiais poliméricos difíceis de colar tais como o PTFE, PP e PVC com recurso a um adesivo que não necessitasse de preparação de superfície. Foram fabricadas juntas de sobreposição simples (JSS) segundo os métodos Lap Shear (LS) e Block Shear (BS) dos três materiais referidos anteriormente e realizados os respetivos ensaios para avaliar o comportamento mecânico das ligações adesivas. Os materiais utilizados como substratos foram também submetidos a ensaios de tração com a finalidade de obter o módulo de elasticidade e as suas propriedades de resistência. Os substratos envolvidos nas juntas adesivas não sofreram qualquer preparação especial das superfícies. Na maioria dos casos consistiu apenas numa limpeza das superfícies com álcool etílico. Contudo, para o PTFE também se experimentou a preparação por abrasão com lixa e por chama. Foi também efetuado um trabalho de simulação numérica por elementos finitos utilizando um modelo de dano coesivo triangular. As resistências ao corte obtidas são superiores em BS comparativamente a LS, exceção feita aos substratos de PTFE aonde os resultados são similares. O tratamento por chama melhorou a resistência mecânica das juntas. Verificou-se também que o modelo numérico simulou adequadamente o comportamento das juntas principalmente das LS.

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Joining of components with structural adhesives is currently one of the most widespread techniques for advanced structures (e.g., aerospace or aeronautical). Adhesive bonding does not involve drilling operations and it distributes the load over a larger area than mechanical joints. However, peak stresses tend to develop near the overlap edges because of differential straining of the adherends and load asymmetry. As a result, premature failures can be expected, especially for brittle adhesives. Moreover, bonded joints are very sensitive to the surface treatment of the material, service temperature, humidity and ageing. To surpass these limitations, the combination of adhesive bonding with spot-welding is a choice to be considered, adding a few advantages like superior static strength and stiffness, higher peeling and fatigue strength and easier fabrication, as fixtures during the adhesive curing are not needed. The experimental and numerical study presented here evaluates hybrid spot-welded/bonded single-lap joints in comparison with the purely spot-welded and bonded equivalents. A parametric study on the overlap length (LO) allowed achieving different strength advantages, up to 58% compared to spot-welded joints and 24% over bonded joints. The Finite Element Method (FEM) and Cohesive Zone Models (CZM) for damage growth were also tested in Abaqus® to evaluate this technique for strength prediction, showing accurate estimations for all kinds of joints.

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Adhesive joints are largely employed nowadays as a fast and effective joining process. The respective techniques for strength prediction have also improved over the years. Cohesive Zone Models (CZM’s) coupled to Finite Element Method (FEM) analyses surpass the limitations of stress and fracture criteria and allow modelling damage. CZM’s require the energy release rates in tension (Gn) and shear (Gs) and respective fracture energies in tension (Gnc) and shear (Gsc). Additionally, the cohesive strengths (tn0 for tension and ts0 for shear) must also be defined. In this work, the influence of the CZM parameters of a triangular CZM used to model a thin adhesive layer is studied, to estimate their effect on the predictions. Some conclusions were drawn for the accuracy of the simulation results by variations of each one of these parameters.

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Adhesive-bonding for the unions in multi-component structures is gaining momentum over welding, riveting and fastening. It is vital for the design of bonded structures the availability of accurate damage models, to minimize design costs and time to market. Cohesive Zone Models (CZM’s) have been used for fracture prediction in structures. The eXtended Finite Element Method (XFEM) is a recent improvement of the Finite Element Method (FEM) that relies on traction-separation laws similar to those of CZM’s but it allows the growth of discontinuities within bulk solids along an arbitrary path, by enriching degrees of freedom. This work proposes and validates a damage law to model crack propagation in a thin layer of a structural epoxy adhesive using the XFEM. The fracture toughness in pure mode I (GIc) and tensile cohesive strength (sn0) were defined by Double-Cantilever Beam (DCB) and bulk tensile tests, respectively, which permitted to build the damage law. The XFEM simulations of the DCB tests accurately matched the experimental load-displacement (P-d) curves, which validated the analysis procedure.

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This work reports on an experimental and finite element method (FEM) parametric study of adhesively-bonded single and double-strap repairs on carbon-epoxy structures under buckling unrestrained compression. The influence of the overlap length and patch thickness was evaluated. This loading gains a particular significance from the additional characteristic mechanisms of structures under compression, such as fibres microbuckling, for buckling restrained structures, or global buckling of the assembly, if no transverse restriction exists. The FEM analysis is based on the use of cohesive elements including mixed-mode criteria to simulate a cohesive fracture of the adhesive layer. Trapezoidal laws in pure modes I and II were used to account for the ductility of most structural adhesives. These laws were estimated for the adhesive used from double cantilever beam (DCB) and end-notched flexure (ENF) tests, respectively, using an inverse technique. The pure mode III cohesive law was equalled to the pure mode II one. Compression failure in the laminates was predicted using a stress-based criterion. The accurate FEM predictions open a good prospect for the reduction of the extensive experimentation in the design of carbon-epoxy repairs. Design principles were also established for these repairs under buckling.

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The interlaminar fracture toughness in pure mode II (GIIc) of a Carbon-Fibre Reinforced Plastic (CFRP) composite is characterized experimentally and numerically in this work, using the End-Notched Flexure (ENF) fracture characterization test. The value of GIIc was extracted by a new data reduction scheme avoiding the crack length measurement, named Compliance-Based Beam Method (CBBM). This method eliminates the crack measurement errors, which can be non-negligible, and reflect on the accuracy of the fracture energy calculations. Moreover, it accounts for the Fracture Process Zone (FPZ) effects. A numerical study using the Finite Element Method (FEM) and a triangular cohesive damage model, implemented within interface finite elements and based on the indirect use of Fracture Mechanics, was performed to evaluate the suitability of the CBBM to obtain GIIc. This was performed comparing the input values of GIIc in the numerical models with the ones resulting from the application of the CBBM to the numerical load-displacement (P-) curve. In this numerical study, the Compliance Calibration Method (CCM) was also used to extract GIIc, for comparison purposes.

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In this study, the tensile strength of single-lap joints (SLJs) between similar and dissimilar adherends bonded with an acrylic adhesive was evaluated experimentally and numerically. The adherend materials included polyethylene (PE), polypropylene (PP), carbon-epoxy (CFRP), and glass-polyester (GFRP) composites. The following adherend combinations were tested: PE/PE, PE/PP, PE/CFRP, PE/GFRP, PP/PP, CFRP/CFRP, and GFRP/GFRP. One of the objectives of this work was to assess the influence of the adherends stiffness on the strength of the joints since it significantly affects the peel stresses magnitude in the adhesive layer. The experimental results were also used to validate a new mixed-mode cohesive damage model developed to simulate the adhesive layer. Thus, the experimental results were compared with numerical simulations performed in ABAQUS®, including a developed mixed-mode (I+II) cohesive damage model, based on the indirect use of fracture mechanics and implemented within interface finite elements. The cohesive laws present a trapezoidal shape with an increasing stress plateau, to reproduce the behaviour of the ductile adhesive used. A good agreement was found between the experimental and numerical results.

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The most common techniques for stress analysis/strength prediction of adhesive joints involve analytical or numerical methods such as the Finite Element Method (FEM). However, the Boundary Element Method (BEM) is an alternative numerical technique that has been successfully applied for the solution of a wide variety of engineering problems. This work evaluates the applicability of the boundary elem ent code BEASY as a design tool to analyze adhesive joints. The linearity of peak shear and peel stresses with the applied displacement is studied and compared between BEASY and the analytical model of Frostig et al., considering a bonded single-lap joint under tensile loading. The BEM results are also compared with FEM in terms of stress distributions. To evaluate the mesh convergence of BEASY, the influence of the mesh refinement on peak shear and peel stress distributions is assessed. Joint stress predictions are carried out numerically in BEASY and ABAQUS®, and analytically by the models of Volkersen, Goland, and Reissner and Frostig et al. The failure loads for each model are compared with experimental results. The preparation, processing, and mesh creation times are compared for all models. BEASY results presented a good agreement with the conventional methods.

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A presente tese surgiu da cooperação entre a empresa Semog Racing e o Instituto Superior de Engenharia do Porto, no âmbito da unidade curricular de DPEST, englobado no 2º ano do Mestrado de Engenharia Mecânica, ramo de Construções Mecânicas. Esta dissertação tem como objetivo principal, o projeto de um novo centro de roda para substituir o existente num veículo de competição da Semog Racing. Este centro deverá ser dimensionado para suportar o peso do veículo e os esforços transmitidos à roda. Pretende-se igualmente que o novo modelo apresente um design apelativo e um baixo custo de produção para poder vir ser a comercializado. Na primeira fase, será estudado o centro de roda original fornecido pela Semog Racing. Este estudo engloba a modelação do componente através do software SolidWorks® e uma fase de simulações para diferentes condições de carregamento. O estudo será complementado com a realização de ensaios experimentais para validação do modelo numérico. A segunda fase é dedicada ao desenvolvimento do novo modelo de centro de roda, focando as características mecânicas e o design. Este tem como base o estudo numérico realizado para a roda original, tendo sempre como objetivo final garantir que o novo centro de roda cumpra todos os requisitos. O caminho seguido no processo de otimização é suportado em simulações numéricas pelo método dos elementos finitos, o qual permite aferir quais os pontos críticos a corrigir. No final, será apresentado um novo modelo de centro de roda capaz de suportar as cargas previstas de serviço, que apresente um baixo custo de fabrico e design apelativo.

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Este trabalho pretende resolver o problema das alocações de salas a exames no Departamento de Engenharia Mecânica do Instituto Superior de Engenharia do Porto. A solução desenvolvida atribui salas a exames respeitando as restrições de capacidade de salas e a restrição de realização dum único exame por sala num determinado período, por forma a minimizar a atribuição de salas e, consequentemente, docentes a exames. Foi criado um modelo matemático, que representa as variáveis relevantes do problema, e realiza a sua implementação numa plataforma informática amigável para o utilizador. O modelo matemático foi validado comparando as suas soluções com as obtidas através do processo manual. Os resultados do novo método demonstram a sua supremacia relativamente ao modelo atual. No futuro, poderá ser estudada a possibilidade de usar esta ferramenta na resolução do mesmo problema em realidades diferentes da do Departamento de Engenharia Mecânica do ISEP.