Nonlinear mixture autoregressive model: economic applications

The aim of this dissertation is to model economic variables by a mixture autoregressive (MAR) model. The MAR model is a generalization of linear autoregressive (AR) model. The MAR -model consists of K linear autoregressive components. At any given point of time one of these autoregressive components is randomly selected to generate a new observation for the time series. The mixture probability can be constant over time or a direct function of a some observable variable. Many economic time series contain properties which cannot be described by linear and stationary time series models. A nonlinear autoregressive model such as MAR model can a plausible alternative in the case of these time series. In this dissertation the MAR model is used to model stock market bubbles and a relationship between inflation and the interest rate. In the case of the inflation rate we arrived at the MAR model where inflation process is less mean reverting in the case of high inflation than in the case of normal inflation. The interest rate move one-for-one with expected inflation. We use the data from the Livingston survey as a proxy for inflation expectations. We have found that survey inflation expectations are not perfectly rational. According to our results information stickiness play an important role in the expectation formation. We also found that survey participants have a tendency to underestimate inflation. A MAR model has also used to model stock market bubbles and crashes. This model has two regimes: the bubble regime and the error correction regime. In the error correction regime price depends on a fundamental factor, the price-dividend ratio, and in the bubble regime, price is independent of fundamentals. In this model a stock market crash is usually caused by a regime switch from a bubble regime to an error-correction regime. According to our empirical results bubbles are related to a low inflation. Our model also imply that bubbles have influences investment return distribution in both short and long run.

Linear and nonlinear optical properties of cumulenes and polyenynes: a model exact study

Model exact static and frequency-dependent polarizabilities, static second hyperpolarizabilities and THG coefficents of cumulenes and polyenynes, calculated within the correlated Pariser-Parr-Pople (PPP) model defined over the pi-framework are reported and compared with the results for the polyenes. It is found that for the same chain length, the polarizabilities and THG coefficients of the cumulenes are largest and those of the polyenynes smallest with the polyenes having an intermediate value. The optical gap of the infinite cumulene is lowest (0.75 eV) and is associated with a low transition dipole moment for an excitation involving transfer of an electron between the two orthogonal conjugated pi-systems. The polyenynes have the largest optical gap (4.37 eV), with the magnitude being nearly independent of the chain length. This excitation involves charge transfer between the conjugated bonds in the terminal triple bond. Chain length and frequency dependence of alpha(ij) and gamma(ijkl) of these systems are also reported. The effect of a heteroatom on the polarizability and THG coefficients of acetylenic systems is also reported. It has been found that the presence of the heteroatom reduces the polarizability and THG coefficients of these systems, an effect opposite to that found in the polyenes and cyanine dyes. This result has been associated with the different nature of the charge transfer in the acetylenic systems.

Model Hamiltonians for nonlinear optical properties of conjugated polymers

Quantum cell models for delocalized electrons provide a unified approach to the large NLO responses of conjugated polymers and pi-pi* spectra of conjugated molecules. We discuss exact NLO coefficients of infinite chains with noninteracting pi-electrons and finite chains with molecular Coulomb interactions V(R) in order to compare exact and self-consistent-field results, to follow the evolution from molecular to polymeric responses, and to model vibronic contributions in third-harmonic-generation spectra. We relate polymer fluorescence to the alternation delta of transfer integrals t(1+/-delta) along the chain and discuss correlated excited states and energy thresholds of conjugated polymers.

A nonlinear spectral finite element model for analysis of wave propagation in solid with internal friction and dissipation

A geometrically non-linear Spectral Finite Flement Model (SFEM) including hysteresis, internal friction and viscous dissipation in the material is developed and is used to study non-linear dissipative wave propagation in elementary rod under high amplitude pulse loading. The solution to non-linear dispersive dissipative equation constitutes one of the most difficult problems in contemporary mathematical physics. Although intensive research towards analytical developments are on, a general purpose cumputational discretization technique for complex applications, such as finite element, but with all the features of travelling wave (TW) solutions is not available. The present effort is aimed towards development of such computational framework. Fast Fourier Transform (FFT) is used for transformation between temporal and frequency domain. SFEM for the associated linear system is used as initial state for vector iteration. General purpose procedure involving matrix computation and frequency domain convolution operators are used and implemented in a finite element code. Convergnence of the spectral residual force vector ensures the solution accuracy. Important conclusions are drawn from the numerical simulations. Future course of developments are highlighted.

Nonlinear cyclic load analysis for lateral response of batter piles in soft clay with a rigorous degradation model

Nonlinear analysis of batter piles in soft clay is performed using the finite element technique. As the batter piles are not only governed by lateral load but also axial load, the effect of P- Delta moment and geometric stiffness matrix is included in the analysis. For implementing the nonlinear soil behavior, reduction in soil strength (degradation), and formation of gap with number of load cycles, a numerical model is developed where a hyperbolic relation is adopted for the soil in static condition and hyperbolic relation considering degradation and gap for cyclic load condition. The numerical model is validated with published experimental results for cyclic lateral loading and the hysteresis loops are developed to predict the load-deflection behavior and soil resistance behavior during consecutive cycles of loading. This paper highlights the importance of a rigorous degradation model for subsequent cycles of loading on the pile-soil system by a hysteretic representation.

Biased PN based impact angle constrained guidance using a nonlinear engagement model

Impact angle constrained guidance laws are important in many applications such as guidance of torpedoes, anti-ballistic missiles and reentry vehicles. In this paper, we design a guidance law which is capable of achieving a wide range of impact angles. Biased proportional navigation guidance uses a bias term in addition to the basic PN command to satisfy additional constraints. Angle constrained BPNG (ACBPNG) uses small angle approximations to derive the bias term for impact angle requirement. We design a modified ACBPNG (MACBPNG) where the required bias term is derived in a closed form considering non-linear equations of motion. Simulations are carried out for a wide range of impact angle requirements. We also analyze capturability from different initial positions and also the launch angles possible at each initial position. The performance of the proposed law is compared with an existing law.

Optimal control of grinding mill circuit using model predictive static programming: A new nonlinear MPC paradigm

The recently developed reference-command tracking version of model predictive static programming (MPSP) is successfully applied to a single-stage closed grinding mill circuit. MPSP is an innovative optimal control technique that combines the philosophies of model predictive control (MPC) and approximate dynamic programming. The performance of the proposed MPSP control technique, which can be viewed as a `new paradigm' under the nonlinear MPC philosophy, is compared to the performance of a standard nonlinear MPC technique applied to the same plant for the same conditions. Results show that the MPSP control technique is more than capable of tracking the desired set-point in the presence of model-plant mismatch, disturbances and measurement noise. The performance of MPSP and nonlinear MPC compare very well, with definite advantages offered by MPSP. The computational speed of MPSP is increased through a sequence of innovations such as the conversion of the dynamic optimization problem to a low-dimensional static optimization problem, the recursive computation of sensitivity matrices and using a closed form expression to update the control. To alleviate the burden on the optimization procedure in standard MPC, the control horizon is normally restricted. However, in the MPSP technique the control horizon is extended to the prediction horizon with a minor increase in the computational time. Furthermore, the MPSP technique generally takes only a couple of iterations to converge, even when input constraints are applied. Therefore, MPSP can be regarded as a potential candidate for online applications of the nonlinear MPC philosophy to real-world industrial process plants. (C) 2014 Elsevier Ltd. All rights reserved.

A Viscoelastic Constitutive Model with Nonlinear Evolutionary Internal Variables

Based on the internal variable theory, a viscoelastic constitutive model of a highly deformable continuous medium is proposed. A set of second rank tensorial internal state variables corresponding to Biot's strain is introduced, and a nonlinear evolution

Evolution induced catastrophe in a nonlinear dynamical model of material failure

In order to study the failure of disordered materials, the ensemble evolution of a nonlinear chain model was examined by using a stochastic slice sampling method. The following results were obtained. (1) Sample-specific behavior, i.e. evolutions are different from sample to sample in some cases under the same macroscopic conditions, is observed for various load-sharing rules except in the globally mean field theory. The evolution according to the cluster load-sharing rule, which reflects the interaction between broken clusters, cannot be predicted by a simple criterion from the initial damage pattern and even then is most complicated. (2) A binary failure probability, its transitional region, where globally stable (GS) modes and evolution-induced catastrophic (EIC) modes coexist, and the corresponding scaling laws are fundamental to the failure. There is a sensitive zone in the vicinity of the boundary between the GS and EIC regions in phase space, where a slight stochastic increment in damage can trigger a radical transition from GS to EIC. (3) The distribution of strength is obtained from the binary failure probability. This, like sample-specificity, originates from a trans-scale sensitivity linking meso-scopic and macroscopic phenomena. (4) Strong fluctuations in stress distribution different from that of GS modes may be assumed as a precursor of evolution-induced catastrophe (EIC).

Time-Frequency Analysis of Nonlinear Systems: The Skeleton Linear Model and the Skeleton Curves

The joint time-frequency analysis method is adopted to study the nonlinear behavior varying with the instantaneous response for a class of S.D.O.F nonlinear system. A time-frequency masking operator, together with the conception of effective time-frequency region of the asymptotic signal are defined here. Based on these mathematical foundations, a so-called skeleton linear model (SLM) is constructed which has similar nonlinear characteristics with the nonlinear system. Two skeleton curves are deduced which can indicate the stiffness and damping in the nonlinear system. The relationship between the SLM and the nonlinear system, both parameters and solutions, is clarified. Based on this work a new identification technique of nonlinear systems using the nonstationary vibration data will be proposed through time-frequency filtering technique and wavelet transform in the following paper.

A Nonlinear Threshold Model Applied to Spallation Analysis

Spallation in heterogeneous media is a complex, dynamic process. Generally speaking, the spallation process is relevant to multiple scales and the diversity and coupling of physics at different scales present two fundamental difficulties for spallation modeling and simulation. More importantly, these difficulties can be greatly enhanced by the disordered heterogeneity on multi-scales. In this paper, a driven nonlinear threshold model for damage evolution in heterogeneous materials is presented and a trans-scale formulation of damage evolution is obtained. The damage evolution in spallation is analyzed with the formulation. Scaling of the formulation reveals that some dimensionless numbers govern the whole process of deformation and damage evolution. The effects of heterogeneity in terms of Weibull modulus on damage evolution in spallation process are also investigated.

Derivation Of A Nonlinear Reynolds Stress Model Using Renormalization Group Analysis And Two-Scale Expansion Technique

Adopting Yoshizawa's two-scale expansion technique, the fluctuating field is expanded around the isotropic field. The renormalization group method is applied for calculating the covariance of the fluctuating field at the lower order expansion. A nonlinear Reynolds stress model is derived and the turbulent constants inside are evaluated analytically. Compared with the two-scale direct interaction approximation analysis for turbulent shear flows proposed by Yoshizawa, the calculation is much more simple. The analytical model presented here is close to the Speziale model, which is widely applied in the numerical simulations for the complex turbulent flows.

Threshold diversity and trans-scales sensitivity in a finite nonlinear evolution model of materials failure

We present a slice-sampling method and study the ensemble evolution of a large finite nonlinear system in order to model materials failure. There is a transitional region of failure probability. Its size effect is expressed by a slowly decaying scaling law. In a meso-macroscopic range (similar to 10(5)) in realistic failure, the diversity cannot be ignored. Sensitivity to mesoscopic details governs the phenomena. (C) 1997 Published by Elsevier Science B.V.