FPGA Acceleration of Monte Carlo-based Financial Simulation: Design Challenges and Lessons Learnt

The simulation of interest rate derivatives is a powerful tool to face the current market fluctuations. However, the complexity of the financial models and the way they are processed require exorbitant computation times, what is in clear conflict with the need of a processing time as short as possible to operate in the financial market. To shorten the computation time of financial derivatives the use of hardware accelerators becomes a must.

Simulation, Design and Analysis of Air-Breathing Combined-Cycle Engines for High Speed Propulsion

Desde la aparición del turborreactor, el motor aeróbico con turbomaquinaria ha demostrado unas prestaciones excepcionales en los regímenes subsónico y supersónico bajo. No obstante, la operación a velocidades superiores requiere sistemas más complejos y pesados, lo cual ha imposibilitado la ejecución de estos conceptos. Los recientes avances tecnológicos, especialmente en materiales ligeros, han restablecido el interés por los motores de ciclo combinado. La simulación numérica de estos nuevos conceptos es esencial para estimar las prestaciones de la planta propulsiva, así como para abordar las dificultades de integración entre célula y motor durante las primeras etapas de diseño. Al mismo tiempo, la evaluación de estos extraordinarios motores requiere una metodología de análisis distinta. La tesis doctoral versa sobre el diseño y el análisis de los mencionados conceptos propulsivos mediante el modelado numérico y la simulación dinámica con herramientas de vanguardia. Las distintas arquitecturas presentadas por los ciclos combinados basados en sendos turborreactor y motor cohete, así como los diversos sistemas comprendidos en cada uno de ellos, hacen necesario establecer una referencia común para su evaluación. Es más, la tendencia actual hacia aeronaves "más eléctricas" requiere una nueva métrica para juzgar la aptitud de un proceso de generación de empuje en el que coexisten diversas formas de energía. A este respecto, la combinación del Primer y Segundo Principios define, en un marco de referencia absoluto, la calidad de la trasferencia de energía entre los diferentes sistemas. Esta idea, que se ha estado empleando desde hace mucho tiempo en el análisis de plantas de potencia terrestres, ha sido extendida para relacionar la misión de la aeronave con la ineficiencia de cada proceso involucrado en la generación de empuje. La metodología se ilustra mediante el estudio del motor de ciclo combinado variable de una aeronave para el crucero a Mach 5. El diseño de un acelerador de ciclo combinado basado en el turborreactor sirve para subrayar la importancia de la integración del motor y la célula. El diseño está limitado por la trayectoria ascensional y el espacio disponible en la aeronave de crucero supersónico. Posteriormente se calculan las prestaciones instaladas de la planta propulsiva en función de la velocidad y la altitud de vuelo y los parámetros de control del motor: relación de compresión, relación aire/combustible y área de garganta. ABSTRACT Since the advent of the turbojet, the air-breathing engine with rotating machinery has demonstrated exceptional performance in the subsonic and low supersonic regimes. However, the operation at higher speeds requires further system complexity and weight, which so far has impeded the realization of these concepts. Recent technology developments, especially in lightweight materials, have restored the interest towards combined-cycle engines. The numerical simulation of these new concepts is essential at the early design stages to compute a first estimate of the engine performance in addition to addressing airframe-engine integration issues. In parallel, a different analysis methodology is required to evaluate these unconventional engines. The doctoral thesis concerns the design and analysis of the aforementioned engine concepts by means of numerical modeling and dynamic simulation with state-of-the-art tools. A common reference is needed to evaluate the different architectures of the turbine and the rocket-based combined-cycle engines as well as the various systems within each one of them. Furthermore, the actual trend towards more electric aircraft necessitates a common metric to judge the suitability of a thrust generation process where different forms of energy coexist. In line with this, the combination of the First and the Second Laws yields the quality of the energy being transferred between the systems on an absolute reference frame. This idea, which has been since long applied to the analysis of on-ground power plants, was extended here to relate the aircraft mission with the inefficiency of every process related to the thrust generation. The methodology is illustrated with the study of a variable- combined-cycle engine for a Mach 5 cruise aircraft. The design of a turbine-based combined-cycle booster serves to highlight the importance of the engine-airframe integration. The design is constrained by the ascent trajectory and the allocated space in the supersonic cruise aircraft. The installed performance of the propulsive plant is then computed as a function of the flight speed and altitude and the engine control parameters: pressure ratio, air-to-fuel ratio and throat area.

Development of numerical tools for the simulation, design and optimization of a Helicon Plasma Thruster

This work thesis focuses on the Helicon Plasma Thruster (HPT) as a candidate for generating thrust for small satellites and CubeSats. Two main topics are addressed: the development of a Global Model (GM) and a 3D self-consistent numerical tool. The GM is suitable for preliminary analysis of HPTs with noble gases such as argon, neon, krypton, and xenon, and alternative propellants such as air and iodine. A lumping methodology is developed to reduce the computational cost when modelling the excited species in the plasma chemistry. A 3D self-consistent numerical tool is also developed that can treat discharges with a generic 3D geometry and model the actual plasma-antenna coupling. The tool consists of two main modules, an EM module and a FLUID module, which run iteratively until a steady state solution is converged. A third module is available for solving the plume with a simplified semi-analytical approach, a PIC code, or directly by integration of the fluid equations. Results obtained from both the numerical tools are benchmarked against experimental measures of HPTs or Helicon reactors, obtaining very good qualitative agreement with the experimental trend for what concerns the GM, and an excellent agreement of the physical trends predicted against the measured data for the 3D numerical strategy.

Design and Simulation of High-Speed Rotating Electrical Machinery

Global energy consumption has been increasing yearly and a big portion of it is used in rotating electrical machineries. It is clear that in these machines energy should be used efficiently. In this dissertation the aim is to improve the design process of high-speed electrical machines especially from the mechanical engineering perspective in order to achieve more reliable and efficient machines. The design process of high-speed machines is challenging due to high demands and several interactions between different engineering disciplines such as mechanical, electrical and energy engineering. A multidisciplinary design flow chart for a specific type of high-speed machine in which computer simulation is utilized is proposed. In addition to utilizing simulation parallel with the design process, two simulation studies are presented. The first is used to find the limits of two ball bearing models. The second is used to study the improvement of machine load capacity in a compressor application to exceed the limits of current machinery. The proposed flow chart and simulation studies show clearly that improvements in the high-speed machinery design process can be achieved. Engineers designing in high-speed machines can utilize the flow chart and simulation results as a guideline during the design phase to achieve more reliable and efficient machines that use energy efficiently in required different operation conditions.

A hybrid simulation-optimization approach for the design of internally heat-integrated distillation columns

Paper submitted to AIChE 2012 Annual Meeting: Energy Efficiency by Process Intensification, Pittsburgh, PA, October 28-November 2, 2012.

Design and optimization of an extrusion die for the production of wood–plastic composite profiles

In this work, the optimization of an extrusion die designed for the production of a wood–plastic composite (WPC) decking profile is investigated. The optimization was performed with the help of numerical tools, more precisely, by solving the continuity and momentum conservation equations that govern such flow, and aiming to balance properly the flow distribution at the extrusion die flow channel outlet. To capture the rheological behavior of the material, we used a Bird-Carreau model with parameters obtained from a fit to the (shear viscosity versus shearrate) experimental data, collected from rheological tests. To yield a balanced output flow, several numerical runs were performed by adjusting the flow restriction at different regions of the flow-channel parallel zone crosssection. The simulations were compared with the experimental results and an excellent qualitative agreement was obtained, allowing, in this way, to attain a good balancing of the output flow and emphasizing the advantages of using numerical tools to aid the design of profile extrusion dies.

Assembly Design and Evaluation in an Augmented Reality Environment

The technologies and methodologies of assembly design and evaluation in the early design stage are highly significant to product development. This paper looks at a promising technology to mix real components (e.g. physical prototypes, assembly tools, machines, etc.) with virtual components to create an Augmented Reality (AR) interface for assembly process evaluation. The goal of this paper is to clarify the methodologies and enabling technologies of how to establish an AR assembly simulation and evaluation environment. The architecture of an AR assembly system is proposed and the important functional modules including AR environment set-up, design for assembly (DFA) analysis and AR assembly sequence planning in an AR environment are discussed in detail.

Design and Development of 3-DOF Modular Micro Parallel Kinematic Manipulator

This paper presents the research and development of a 3-legged micro Parallel Kinematic Manipulator (PKM) for positioning in micro-machining and assembly operations. The structural characteristics associated with parallel manipulators are evaluated and the PKMs with translational and rotational movements are identified. Based on these identifications, a hybrid 3-UPU (Universal Joint-Prismatic Joint-Universal Joint) parallel manipulator is designed and fabricated. The principles of the operation and modeling of this micro PKM is largely similar to a normal size Stewart Platform (SP). A modular design methodology is introduced for the construction of this micro PKM. Calibration results of this hybrid 3-UPU PKM are discussed in this paper.

Development of advanced silicon radiation detectors for high energy physics and medical imaging

The 1st chapter of this work presents the different experiments and collaborations in which I am involved during my PhD studies of Physics. Following those descriptions, the 2nd chapter is dedicated to how the radiation affects the silicon sensors, as well as some experimental measurements carried out at CERN (Geneve, Schwitzerland) and IFIC (Valencia, Spain) laboratories. Besides the previous investigation results, this chapter includes the most recent scientific papers appeared in the latest RD50 (Research & Development #50) Status Report, published in January 2007, as well as some others published this year. The 3rd and 4th are dedicated to the simulation of the electrical behavior of solid state detectors. In chapter 3 are reported the results obtained for the illumination of edgeless detectors irradiated at different fluences, in the framework of the TOSTER Collaboration. The 4th chapter reports about simulation design, simulation and fabrication of a novel 3D detector developed at CNM for ions detection in the future ITER fusion reactor. This chapter will be extended with irradiation simulations and experimental measurements in my PhD Thesis.

Modelagem de máquina pneumática recolhedora de frutos de café em terreiro usando análise por elementos finitos

Teve-se o objetivo de desenvolver um modelo matemático por meio de análise de elementos finitos, utilizando o programa computacional ANSYS®, versão 5.7, para otimizar o projeto de máquina recolhedora de frutos de café no terreiro. A modelagem da máquina foi realizada com base no levantamento das características aerodinâmicas dos frutos de café e da vazão de ar necessária para o transporte pneumático dos frutos. Foram obtidas, experimentalmente, as pressões estáticas nos dutos da máquina, sendo esses valores comparados com os resultados determinados pelo programa ANSYS, no intuito de validar o modelo. Com base nos resultados numéricos obtidos, concluiu-se que a modelagem desenvolvida apresentou resultados próximos aos determinados experimentalmente, obtendo erro relativo médio nos valores simulados de pressão de 9,2%. Por meio da modelagem, identificaram-se faixas de pressão que dificultariam o transporte pneumático dos frutos de café em alguns pontos da máquina. Esses problemas foram corrigidos e, com isso, o fluxo de ar proporcionado pelo ventilador foi suficiente para succionar os frutos de café no terreiro e transportá-los para dentro do reservatório da máquina. A modelagem desenvolvida atendeu às necessidades propostas no trabalho para o recolhimento dos frutos de café utilizando transporte pneumático eficientemente.

A multimedia environment for supporting the teaching of robotics systems

This paper aims at describing an educational system for teaching and learning robotic systems. Multimedia resources were used to construct a virtual laboratory where users are able to use functionalities of a virtual robotic arm, by moving and clicking the mouse without caring about the detailed internal robot operation. Moreover through the multimedia system the user can interact with a real robot arm. The engineering students are the target public of the developed system. With its contents and interactive capabilities, it has been used as a support to the traditional face-to-face classes on the subject of robotics.. In the paper it is first introduced the metaphor of Virtual Laboratory used in the system. Next, it is described the Graphical and Multimedia Environment approach: an interactive graphic user interface with a 3D environment for simulation. Design and implementation issues of the real-time interactive multimedia learning system, which supports the W3C SMIL standard for presenting the real-time multimedia teaching material, are described. Finally, some preliminary conclusions and possible future works from this research are presented.

Modelos paramétricos simples e causais para cabos de cobre apropriados para caracterização de enlaces em sistemas G.fast

O G.fast é um novo padrão da União Internacional de Telecomunicações que almeja atingir 1 Gb/s sobre enlaces de cobre curtos, utilizando freqüências de até 212 MHz. Essa nova tecnologia requer modelos paramétricos precisos de cabo para fins de projeto, simulação e testes de avaliação de desempenho. A maioria dos modelos de cabo de cobre foram desenvolvidos focando o espectro VDSL - isto é, freqüências de até 30 MHz - e adotam suposições que são violadas quando a faixa de freqüência é estendida para freqüências G.fast. Esta tese apresenta novos modelos de cabo simples e causais capazes de caracterizar com precisão enlaces de cobre compostos por segmentos individuais ou múltiplos, tanto no domínio do tempo quanto no domínio da freqüência. Resultados utilizando as topologias de referência do padrão G.fast mostram que, além de serem precisos, os novos modelos são atrativos devido ao baixo custo computacional e fórmulas fechadas para ajuste de seus parâmetros junto a dados medidos.

Computational and experimental characterization of a low-cost piezoelectric valveless diaphragm pump

Flow pumps act as important devices in areas such as Bioengineering, Medicine, and Pharmacy, among other areas of Engineering, mainly for delivering liquids or gases at small-scale and precision flow rate quantities. Principles for pumping fluids based on piezoelectric actuators have been widely studied, since they allow the construction of pump systems for displacement of small fluid volumes with low power consumption. This work studies valveless piezoelectric diaphragm pumps for flow generation, which uses a piezoelectric ceramic (PZT) as actuator to move a membrane (diaphragm) up and down as a piston. The direction of the flow is guaranteed by valveless configuration based on a nozzle-diffuser system that privileges the flow in just one pumping direction. Most research efforts on development of valveless flow pump deal either with computational simulations based on simplified models or with simplified physical approaches based on analytical models. The main objective of this work is the study of a methodology to develop a low-cost valveless piezoelectric diaphragm flow pump using computational simulations, parametric study, prototype manufacturing, and experimental characterization. The parametric study has shown that the eccentricity of PZT layer and metal layer plays a key role in the performance of the pump.

Initiatives and facilities for E&T in the nuclear science and technology master at UPM

The present Master/Doctorate in Nuclear Science and Technology programme implemented in the Department of Nuclear Engineering of the Universidad Politécnica de Madrid (NED-UPM) has the excellence qualification by the Spanish Ministry of Education. One of the main of this programme is the training for the development of methodologies of simulation, design and advanced analysis, including experimental tools, necessary in research and in professional work in the nuclear field.

Diseño, implementación y verificación de una antena de microondas

A lo largo de este proyecto se han tratado las diferentes fases que tienen lugar durante el desarrollo del programa de Diseño y Verificación de una Bocina en Banda C destinada a un satélite comercial de comunicaciones. En un primer lugar, se introduce el proyecto en el mundo real realizando una pequeña aproximación a los satélites artificiales y su historia. Después, en una primera fase, se describen los diversos puntos de la etapa de diseño y los resultados de la simulación de nuestra Antena. Se estudian por separado los diferentes elementos que componen el equipo, y además, se realiza un análisis de los parámetros eléctricos que se deben tener en cuenta durante el diseño para adaptar el comportamiento de la Antena a los requisitos solicitados por el cliente. Antes de realizar la verificación de la Antena, se procede a la definición de los ensayos, que se debe realizar sobre el equipo con el fin de simular las condiciones a las que se verá sometido. Pruebas y medidas, niveles de test, etc. que nos ayudan a demostrar que nuestra Antena está preparada para realizar su misión en el espacio. Se hará una descripción sobre la forma de realizar de los ensayos y de las instalaciones donde se van a llevar a cabo, además del orden que llevaremos durante la campaña. Una vez determinados los test y con la Antena fabricada y lista, se procede a la Verificación de nuestro equipo mediante la Campaña de Ensayos con el objetivo de caracterizar por completo el funcionamiento de nuestra Antena en cualquier circunstancia. Se muestran los resultados obtenidos en los test siguiendo el orden establecido por el Test Plan. Medidas en Laboratorio y Radiación, los test de vibración y las pruebas ambientales en las Cámaras Térmicas de Vacío, y medidas eléctricas en condiciones extremas de temperatura y presión. Y una vez realizada la Campaña, se vuelve a medir la Antena para comprobar el funcionamiento tras soportar todos los ensayos. Se analizan los resultados obtenidos en cada una de las pruebas y se comparan con las simulaciones obtenidas durante la fase de diseño. Finalmente, se realiza un pequeño resumen de los valores más importantes obtenidos durante la Verificación y exponen las Conclusiones que se desprende de dicho proceso. Como último punto del proyecto, se estudian las correcciones y mejoras que se podrán llevar a cabo en futuros programas gracias a lo que hemos aprendido en este proyecto. Abstract This project presents a C Band Horn Antenna for a commercial communications satellite. All the different phases from Design to Verification are presented. First of all, an introduction to artificial satellites and their history is presented to put this project into perspective. Next, the electrical design of the Antenna is presented. Taking into account the theoretical fundamentals, each element that comprises this Antenna was designed. Their electrical performances, obtained from analysis using commercial software, are presented in the simulation results. In the design of each element of the antenna, some critical parameters are set and optimized in order to be compliant with the global requirements requested by the customer. After the design is completed, it is necessary to define the Test Campaign that has to be carried out in order to verify the validity of the designed and manufactured Antenna. Therefore, a Test Plan and the Electrical and Environmental Test Procedures are defined. This Test Campaign must be representative of the same conditions of the real space mission. Considering this, the following are defined: parameters for the network analyzer and radiation patterns measurements; test levels for the environmental test; definition of the RF measurements to be carried out and the temperatures to be applied in the thermal vacuum cycling. If the Antenna surpasses these tests, it will be ready to perform its mission in space over the entire satellite’s life cycle. The facilities where the tests are performed, as well as the sequence of the tests along the campaign are described too. After that, the Test Campaign is performed to fully characterize the Antenna in the space simulated conditions. Following the order established in the Test Plan, a radiation pattern and laboratory parameters are measured to correlate its electrical response with the simulations. Then, vibration and thermal vacuum tests are performed to verify its behavior in extreme environmental conditions. Last, if the final electrical results are the same as the initial ones, it can be stated that the antenna has successfully passed the Test Campaign. And finally, conclusions obtained from the data simulation design and Test Campaign results are presented. Status of Compliance with the specification is shown to demonstrate that the Antenna fulfills the requested requirements. Although the purpose of this project is to design and verify the response of C Band Horn Antenna, it is important to highlight improvements for future developments and the lessons learnt during this project.