Application of nonlinear filtering to credit risk

Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the filter itself depends on the parameters in question, this does not permit direct maximum likelihood estimation, but does pave the way for the `Expectation-Maximization' method for estimating parameters. (C) 2010 Elsevier B.V. All rights reserved.

Nonlinear finite element analysis of reinforced concrete corbel

Reinforced concrete corbels have been analysed using the nonlinear finite element method. An elasto-plastic-cracking constitutive formulation using Huber-Hencky-Mises yield surface augmented with a tension cut-off is employed. Smeared-fixed cracking with mesh-dependent strain softening is employed to obtain objective results. Multiple non-orthogonal cracking and opening and closing of cracks are permitted. The model and the formulation are verified with respect to available numerical solution for an RC corbel. Results of analyses of nine reinforced concrete corbels are presented and compared with experimental results. Nonlinear finite element analysis of reinforced concrete structures is shown to be a complement and also a feasible alternative to laboratory testing.

Physical characterization of the organic nonlinear optical crystal � 3-methoxy 4-hydroxy benzaldehyde

We highlight our recent experimental work on an efficient molecular nonlinear optical crystal, 3-methoxy 4-hydroxy benzaldehyde (MHBA). Optical quality single crystals of MHBA were grown from mixtures of solvents and from melt. The overall absorption and transparency window were improved by growing them in a mixture of chloroform and acetone. The grown crystals were characterized for their optical transmission, mechanical hardness and laser damage. We have observed a strong correlation between mechanical properties and laser induced damage.

A single network adaptive critic (SNAC) architecture for optimal control synthesis for a class of nonlinear systems

Even though dynamic programming offers an optimal control solution in a state feedback form, the method is overwhelmed by computational and storage requirements. Approximate dynamic programming implemented with an Adaptive Critic (AC) neural network structure has evolved as a powerful alternative technique that obviates the need for excessive computations and storage requirements in solving optimal control problems. In this paper, an improvement to the AC architecture, called the �Single Network Adaptive Critic (SNAC)� is presented. This approach is applicable to a wide class of nonlinear systems where the optimal control (stationary) equation can be explicitly expressed in terms of the state and costate variables. The selection of this terminology is guided by the fact that it eliminates the use of one neural network (namely the action network) that is part of a typical dual network AC setup. As a consequence, the SNAC architecture offers three potential advantages: a simpler architecture, lesser computational load and elimination of the approximation error associated with the eliminated network. In order to demonstrate these benefits and the control synthesis technique using SNAC, two problems have been solved with the AC and SNAC approaches and their computational performances are compared. One of these problems is a real-life Micro-Electro-Mechanical-system (MEMS) problem, which demonstrates that the SNAC technique is applicable to complex engineering systems.

A characteristic based numerical method with tracking for nonlinear wave equations

Many physical problems can be modeled by scalar, first-order, nonlinear, hyperbolic, partial differential equations (PDEs). The solutions to these PDEs often contain shock and rarefaction waves, where the solution becomes discontinuous or has a discontinuous derivative. One can encounter difficulties using traditional finite difference methods to solve these equations. In this paper, we introduce a numerical method for solving first-order scalar wave equations. The method involves solving ordinary differential equations (ODEs) to advance the solution along the characteristics and to propagate the characteristics in time. Shocks are created when characteristics cross, and the shocks are then propagated by applying analytical jump conditions. New characteristics are inserted in spreading rarefaction fans. New characteristics are also inserted when values on adjacent characteristics lie on opposite sides of an inflection point of a nonconvex flux function, Solutions along characteristics are propagated using a standard fourth-order Runge-Kutta ODE solver. Shocks waves are kept perfectly sharp. In addition, shock locations and velocities are determined without analyzing smeared profiles or taking numerical derivatives. In order to test the numerical method, we study analytically a particular class of nonlinear hyperbolic PDEs, deriving closed form solutions for certain special initial data. We also find bounded, smooth, self-similar solutions using group theoretic methods. The numerical method is validated against these analytical results. In addition, we compare the errors in our method with those using the Lax-Wendroff method for both convex and nonconvex flux functions. Finally, we apply the method to solve a PDE with a convex flux function describing the development of a thin liquid film on a horizontally rotating disk and a PDE with a nonconvex flux function, arising in a problem concerning flow in an underground reservoir.

Nonlinear static and dynamic damped response of a composite rectangular plate resting on a two-parameter elastic foundation

Nonlinear static and dynamic response analyses of a clamped. rectangular composite plate resting on a two-parameter elastic foundation have been studied using von Karman's relations. Incorporating the material damping, the governing coupled, nonlinear partial differential equations are obtained for the plate under step pressure pulse load excitation. These equations have been solved by a one-term solution and by applying Galerkin's technique to the deflection equation. This yields an ordinary nonlinear differential equation in time. The nonlinear static solution is obtained by neglecting the time-dependent variables. Thc nonlinear dynamic damped response is obtained by applying the ultraspherical polynomial approximation (UPA) technique. The influences of foundation modulus, shear modulus, orthotropy, etc. upon the nonlinear static and dynamic responses have been presented.

Crystal growth and defects characterization of zinc tris (thiourea) sulfate: a novel metalorganic nonlinear optical crystal

Single crystals of the metalorganic nonlinear optical material zinc tris (thiourea) sulfate (ZTS) were grown from aqueous solution. The morphology of the crystals was indexed. The grown crystals were characterized by recording the powder X-ray diffraction pattern and by identifying the diffracting planes. Spectrophotometric studies on ZTS reveal that it has good transparency for the Nd: YAG laser fundamental wavelength. Differential thermal analysis of ZTS indicates that the material does not sublime before melting but decomposes immediately after melting. The defect content of the crystals was estimated using etching and X-ray topography. The mechanical hardness anisotropy was evaluated in the (100) plane, which indicates the presence of soft directions.

Estimation of low-velocity impact damage in laminated composite circular plates using nonlinear finite element analysis

Nonlinear finite element analysis is used for the estimation of damage due to low-velocity impact loading of laminated composite circular plates. The impact loading is treated as an equivalent static loading by assuming the impactor to be spherical and the contact to obey Hertzian law. The stresses in the laminate are calculated using a 48 d.o.f. laminated composite sector element. Subsequently, the Tsai-Wu criterion is used to detect the zones of failure and the maximum stress criterion is used to identify the mode of failure. Then the material properties of the laminate are degraded in the failed regions. The stress analysis is performed again using the degraded properties of the plies. The iterative process is repeated until no more failure is detected in the laminate. The problem of a typical T300/N5208 composite [45 degrees/0 degrees/-45 degrees/90 degrees](s) circular plate being impacted by a spherical impactor is solved and the results are compared with experimental and analytical results available in the literature. The method proposed and the computer code developed can handle symmetric, as well as unsymmetric, laminates. It can be easily extended to cover the impact of composite rectangular plates, shell panels and shells.

Nonlinear analysis of adhesively bonded lap joints considering viscoplasticity in adhesives

This paper presents nonlinear finite element analysis of adhesively bonded joints considering the elastoviscoplastic constitutive model of the adhesive material and the finite rotation of the joint. Though the adherends have been assumed to be linearly elastic, the yielding of the adhesive is represented by a pressure sensitive modified von Mises yield function. The stress-strain relation of the adhesive is represented by the Ramberg-Osgood relation. Geometric nonlinearity due to finite rotation in the joint is accounted for using the Green-Lagrange strain tensor and the second Piola-Kirchhoff stress tensor in a total Lagrangian formulation. Critical time steps have been calculated based on the eigenvalues of the transition matrices of the viscoplastic model of the adhesive. Stability of the viscoplastic solution and time dependent behaviour of the joints are examined. A parametric study has been carried out with particular reference to peel and shear stress along the interface. Critical zones for failure of joints have been identified. The study is of significance in the design of lap joints as well as on the characterization of adhesive strength. (C) 1999 Elsevier Science Ltd. All rights reserved.

Nonlinear optical activity of anhydrous and hydrated sodium p-nitrophenolate

Differently hydrated sodium p-nitrophenolate (NPNa) crystals were obtained while growing them from different solvents such as methanol and water. Thermal analysis and powder X-ray diffraction studies were carried out on these crystals. Kurtz powder SHG technique was used for qualitative assessment of their nonlinear optical (NLO) activity. From the detailed single-crystal X-ray diffraction studies it is established that NPNa has three different forms, of which only one is found to possess NLO activity. Additionally, a new NLO active crystal was also found to grow from aqueous solution. (C) 1999 Elsevier Science B.V. All rights reserved.

Aryl monosulphides and symmetrical disulphides based second order nonlinear optical chromophores with transparency in the visible

A series of aryl monosulphides and disulphides have been synthesized and characterized. Their molecular hyperpolarizability (beta) has been measured in solution with the hyper-Rayleigh Scattering technique and also calculated by semiempirical AMI method. The trend in the observed and calculated values of first hyperpolarizability of these compounds has been found to be in good agreement. These compounds show moderate P values and excellent transparency in the visible region.

Multivariate nonlinear ensemble prediction of daily chaotic rainfall with climate inputs

The basic characteristic of a chaotic system is its sensitivity to the infinitesimal changes in its initial conditions. A limit to predictability in chaotic system arises mainly due to this sensitivity and also due to the ineffectiveness of the model to reveal the underlying dynamics of the system. In the present study, an attempt is made to quantify these uncertainties involved and thereby improve the predictability by adopting a multivariate nonlinear ensemble prediction. Daily rainfall data of Malaprabha basin, India for the period 1955-2000 is used for the study. It is found to exhibit a low dimensional chaotic nature with the dimension varying from 5 to 7. A multivariate phase space is generated, considering a climate data set of 16 variables. The chaotic nature of each of these variables is confirmed using false nearest neighbor method. The redundancy, if any, of this atmospheric data set is further removed by employing principal component analysis (PCA) method and thereby reducing it to eight principal components (PCs). This multivariate series (rainfall along with eight PCs) is found to exhibit a low dimensional chaotic nature with dimension 10. Nonlinear prediction employing local approximation method is done using univariate series (rainfall alone) and multivariate series for different combinations of embedding dimensions and delay times. The uncertainty in initial conditions is thus addressed by reconstructing the phase space using different combinations of parameters. The ensembles generated from multivariate predictions are found to be better than those from univariate predictions. The uncertainty in predictions is decreased or in other words predictability is increased by adopting multivariate nonlinear ensemble prediction. The restriction on predictability of a chaotic series can thus be altered by quantifying the uncertainty in the initial conditions and also by including other possible variables, which may influence the system. (C) 2011 Elsevier B.V. All rights reserved.

Magnetically tunable nonlinear current-voltage characteristics in oxygen deficient manganite perovskites

(La0.667Ca0.333Mn1-xMO3-delta)-O-x (M = Mg, Li or Re) exhibit insulating behaviour and nonlinear current-voltage (J-E) relationship with voltage-limiting characteristics at temperatures below the ferromagnetic transition (T-c). The high current region is set in at field strengths <60 V/cm. Nonlinearity exponent, alpha in the relation J = kE(alpha) increases inversely with temperature. In presence of an external magnetic field, the J-E curves show higher current density at lower field strengths. Microstructural studies indicate that there is no segregation of secondary phases in the grain boundary regions. There is remarkable changes in p(T) as well as J-E curves with the grain size. Annealing studies in lower p(O2) atmospheres indicate that there is significant out-diffusion of oxygen ions through the grain boundary layer (GBL) regions creating oxygen vacancies in the GBL regions. The concentration of Mn4+ ions is lowered at the GBL due to oxygen vacancies, reducing the probability of hopping and resulting in insulating behaviour. Therefore an insulating barrier is introduced between two conducting grains and the carrier motion between the grains is inhibited. Thus below T-c, where sufficient increase in resistivity is observed the conduction may be arising as a result of spin dependent tunneling across the barrier. External electric field lowers the barrier height and establishes carrier transport across the barrier. Above certain field strength, barrier height diminishes significantly and thereby allowing large number of carriers for conduction, giving rise to highly nonlinear conductivity. (C) 2002 Elsevier Science B.V. All rights reserved.

New transparent crystallized glasses with optical nonlinear LiBGeO4 crystals

Crystallization behaviors of the glass with a composition of 25Li(2)O.25B(2)O(3).50GeO(2) corresponding to lithium borogermanate LiBGeO4 have been examined. It has been confirmed that the LiBGeO4 crystalline phase is formed at the surface of heat-treated glasses. The second harmonic (SH) generation is found from transparent surface crystallized glasses, demonstrating for the first time that the LiBGeO4 phase shows optical nonlinearity. The SH intensity of LiBGeO4 crystallites (powdered state) prepared through crystallization is about ten times as large as that of pulverized alpha-quartz. The SH intensity of transparent crystallized glasses (bulk state) with crystalline layers of 3-4.5 mum thickness increases with increasing heat treatment temperature (540-560degreesC) and time (1-6 h), and the maximum SH intensity among the samples studied is in the order of 1/10 in comparison with that of alpha-quartz single crystal. The transparent crystallized glass obtained by heat treatment at 550alphaC for 3 h exhibits a clear and fine Maker fringe pattern, indicating a highly orientation of LiBGeO4 crystals at the surface.

A new parallel overlapped domain decomposition method for nonlinear dynamic finite element analysis

In this paper a new parallel algorithm for nonlinear transient dynamic analysis of large structures has been presented. An unconditionally stable Newmark-beta method (constant average acceleration technique) has been employed for time integration. The proposed parallel algorithm has been devised within the broad framework of domain decomposition techniques. However, unlike most of the existing parallel algorithms (devised for structural dynamic applications) which are basically derived using nonoverlapped domains, the proposed algorithm uses overlapped domains. The parallel overlapped domain decomposition algorithm proposed in this paper has been formulated by splitting the mass, damping and stiffness matrices arises out of finite element discretisation of a given structure. A predictor-corrector scheme has been formulated for iteratively improving the solution in each step. A computer program based on the proposed algorithm has been developed and implemented with message passing interface as software development environment. PARAM-10000 MIMD parallel computer has been used to evaluate the performances. Numerical experiments have been conducted to validate as well as to evaluate the performance of the proposed parallel algorithm. Comparisons have been made with the conventional nonoverlapped domain decomposition algorithms. Numerical studies indicate that the proposed algorithm is superior in performance to the conventional domain decomposition algorithms. (C) 2003 Elsevier Ltd. All rights reserved.