Monte Carlo Methods in Parameter Estimation of Nonlinear Models

Yksi keskeisimmistä tehtävistä matemaattisten mallien tilastollisessa analyysissä on mallien tuntemattomien parametrien estimointi. Tässä diplomityössä ollaan kiinnostuneita tuntemattomien parametrien jakaumista ja niiden muodostamiseen sopivista numeerisista menetelmistä, etenkin tapauksissa, joissa malli on epälineaarinen parametrien suhteen. Erilaisten numeeristen menetelmien osalta pääpaino on Markovin ketju Monte Carlo -menetelmissä (MCMC). Nämä laskentaintensiiviset menetelmät ovat viime aikoina kasvattaneet suosiotaan lähinnä kasvaneen laskentatehon vuoksi. Sekä Markovin ketjujen että Monte Carlo -simuloinnin teoriaa on esitelty työssä siinä määrin, että menetelmien toimivuus saadaan perusteltua. Viime aikoina kehitetyistä menetelmistä tarkastellaan etenkin adaptiivisia MCMC menetelmiä. Työn lähestymistapa on käytännönläheinen ja erilaisia MCMC -menetelmien toteutukseen liittyviä asioita korostetaan. Työn empiirisessä osuudessa tarkastellaan viiden esimerkkimallin tuntemattomien parametrien jakaumaa käyttäen hyväksi teoriaosassa esitettyjä menetelmiä. Mallit kuvaavat kemiallisia reaktioita ja kuvataan tavallisina differentiaaliyhtälöryhminä. Mallit on kerätty kemisteiltä Lappeenrannan teknillisestä yliopistosta ja Åbo Akademista, Turusta.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

The kinetics of the 2π+2π photodimerisation reactions of single-crystalline derivatives of trans-cinnamic acid: a study by infrared microspectroscopy

The kinetics of the photodimerisation reactions of the 2- and 4-β-halogeno-derivatives of trans-cinnamic acid (where the halogen is fluorine, chlorine or bromine) have been investigated by infrared microspectroscopy. It is found that none of the reactions proceed to 100% yield. This is in line with a reaction mechanism developed by Wernick and his co-workers that postulates the formation of isolated monomers within the solid, which cannot react. β-4-Bromo and β-4-chloro-trans-cinnamic acids show approximately first order kinetics, although in both cases the reaction accelerates somewhat as it proceeds. First order kinetics is explained in terms of a reaction between one excited- and one ground-state monomer molecule, while the acceleration of the reaction implies that it is promoted as defects are formed within the crystal. By contrast β-2-chloro-trans-cinnamic acid shows a strongly accelerating reaction which models closely to the contracting cube equation. β-2-Fluoro- and β-4-fluoro-trans-cinnamic acids show a close match to first order kinetics. The 4-fluoro-derivative, however, shows a reaction that proceeds via a structural intermediate. The difference in behaviour between the 2-fluoro- and 4-fluoro-derivative may be due to different C–HF hydrogen bonds observed within these single-crystalline starting materials.

Evaluation of data for atmospheric models: master equation/RRKM calculations on the combination reaction, BrO+NO2 -> BrONO2, a conundrum

Experimental data for the title reaction were modeled using master equation (ME)/RRKM methods based on the Multiwell suite of programs. The starting point for the exercise was the empirical fitting provided by the NASA (Sander, S. P.; Finlayson-Pitts, B. J.; Friedl, R. R.; Golden, D. M.; Huie, R. E.; Kolb, C. E.; Kurylo, M. J.; Molina, M. J.; Moortgat, G. K.; Orkin, V. L.; Ravishankara, A. R. Chemical Kinetics and Photochemical Data for Use in Atmospheric Studies, Evaluation Number 15; Jet Propulsion Laboratory: Pasadena, California, 2006)(1) and IUPAC (Atkinson, R.; Baulch, D. L.; Cox, R. A.: R. F. Hampson, J.; Kerr, J. A.; Rossi, M. J.; Troe, J. J. Phys. Chem. Ref. Data. 2000, 29, 167) 2 data evaluation panels, which represents the data in the experimental pressure ranges rather well. Despite the availability of quite reliable parameters for these calculations (molecular vibrational frequencies (Parthiban, S.; Lee, T. J. J. Chem. Phys. 2000, 113, 145)3 and a. value (Orlando, J. J.; Tyndall, G. S. J. Phys. Chem. 1996, 100,. 19398)4 of the bond dissociation energy, D-298(BrO-NO2) = 118 kJ mol(-1), corresponding to Delta H-0(circle) = 114.3 kJ mol(-1) at 0 K) and the use of RRKM/ME methods, fitting calculations to the reported data or the empirical equations was anything but straightforward. Using these molecular parameters resulted in a discrepancy between the calculations and the database of rate constants of a factor of ca. 4 at, or close to, the low-pressure limit. Agreement between calculation and experiment could be achieved in two ways, either by increasing Delta H-0(circle) to an unrealistically high value (149.3 kJ mol(-1)) or by increasing , the average energy transferred in a downward collision, to an unusually large value (> 5000 cm(-1)). The discrepancy could also be reduced by making all overall rotations fully active. The system was relatively insensitive to changing the moments of inertia in the transition state to increase the centrifugal effect. The possibility of involvement of BrOONO was tested and cannot account for the difficulties of fitting the data.

CHEMICAL EVOLUTION OF THE GALACTIC BULGE: SINGLE AND DOUBLE INFALL MODELS

Recent work, has produced a wealth of data concerning the chemical evolution of the Galactic bulge, both for stars and nebulae. Present theoretical models generally adopt it limited range of such constraints, frequenfly using it single chemical element (usually iron), which is not enough to describe it unambiguously. In this work, we take into account contraints involving,9 Many chemical elements as possible, basically obtained from bulge nebulae and stars. Our main goal is to show that different scenarios can describe, at least partially the abundance distribution and several dishuice-independent correlations for these objects . Three classes of models were developed. The first is it one-zone, single-infall model, the. Second is it one-zone, double-infall model and the third is a multizone, double-infall model. We show that a one-zone model with it single infall episode is able to reproduce some of the observational data, but the best results tire achieved using it multizone, double-infall model.

Numerical prediction of three-dimensional time-dependent viscoelastic extrudate swell using differential and algebraic models

This study investigates the numerical simulation of three-dimensional time-dependent viscoelastic free surface flows using the Upper-Convected Maxwell (UCM) constitutive equation and an algebraic explicit model. This investigation was carried out to develop a simplified approach that can be applied to the extrudate swell problem. The relevant physics of this flow phenomenon is discussed in the paper and an algebraic model to predict the extrudate swell problem is presented. It is based on an explicit algebraic representation of the non-Newtonian extra-stress through a kinematic tensor formed with the scaled dyadic product of the velocity field. The elasticity of the fluid is governed by a single transport equation for a scalar quantity which has dimension of strain rate. Mass and momentum conservations, and the constitutive equation (UCM and algebraic model) were solved by a three-dimensional time-dependent finite difference method. The free surface of the fluid was modeled using a marker-and-cell approach. The algebraic model was validated by comparing the numerical predictions with analytic solutions for pipe flow. In comparison with the classical UCM model, one advantage of this approach is that computational workload is substantially reduced: the UCM model employs six differential equations while the algebraic model uses only one. The results showed stable flows with very large extrudate growths beyond those usually obtained with standard differential viscoelastic models. (C) 2010 Elsevier Ltd. All rights reserved.

Nonlinear two-field models from orbit equation deformations

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Single-particle momentum distributions of Efimov states in mixed-species systems

We solve the three-body bound-state problem in three dimensions for mass imbalanced systems of two identical bosons and a third particle in the universal limit where the interactions are assumed to be of zero range. The system displays the Efimov effect and we use the momentum-space wave equation to derive formulas for the scaling factor of the Efimov spectrum for any mass ratio assuming either that two or three of the two-body subsystems have a bound state at zero energy. We consider the single-particle momentum distribution analytically and numerically and analyze the tail of the momentum distribution to obtain the three-body contact parameter. Our findings demonstrate that the functional form of the three-body contact term depends on the mass ratio, and we obtain an analytic expression for this behavior. To exemplify our results, we consider mixtures of lithium with either two caesium or rubidium atoms which are systems of current experimental interest. © 2013 American Physical Society.

Neural networks models for wear patterns recognition of single-point dresser

Grinding is a workpiece finishing process for advanced products and surfaces. However, the constant friction between workpiece and grinding wheel causes the latter to lose its sharpness, thereby impairing the result of the grinding process. When this occurs, the dressing process is essential to sharpen the worn grains of the grinding wheel. The dressing conditions strongly influence the performance of the grinding operation; hence, monitoring them throughout the process can increase its efficiency. The purpose of this study was to classify the wear condition of a single-point dresser using intelligent systems whose inputs were obtained by digitally processing acoustic emission signals. Two multilayer perceptron (MLP) neural networks were compared for their classification ability, one using the root mean square (RMS) statistics and another the ratio of power (ROP) statistics as input. In this study, it was found that the harmonic content of the acoustic emission signal is influenced by the condition of the dresser, and that the condition of the tool under study can be classified by using the aforementioned statistics to feed a neural network. © IFAC.

Tool Condition Monitoring of Single-Point Dresser Using Acoustic Emission and Neural Networks Models

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Generalized Metropolis dynamics with a generalized master equation: An approach for time-independent and time-dependent Monte Carlo simulations of generalized spin systems

The extension of Boltzmann-Gibbs thermostatistics, proposed by Tsallis, introduces an additional parameter q to the inverse temperature beta. Here, we show that a previously introduced generalized Metropolis dynamics to evolve spin models is not local and does not obey the detailed energy balance. In this dynamics, locality is only retrieved for q = 1, which corresponds to the standard Metropolis algorithm. Nonlocality implies very time-consuming computer calculations, since the energy of the whole system must be reevaluated when a single spin is flipped. To circumvent this costly calculation, we propose a generalized master equation, which gives rise to a local generalized Metropolis dynamics that obeys the detailed energy balance. To compare the different critical values obtained with other generalized dynamics, we perform Monte Carlo simulations in equilibrium for the Ising model. By using short-time nonequilibrium numerical simulations, we also calculate for this model the critical temperature and the static and dynamical critical exponents as functions of q. Even for q not equal 1, we show that suitable time-evolving power laws can be found for each initial condition. Our numerical experiments corroborate the literature results when we use nonlocal dynamics, showing that short-time parameter determination works also in this case. However, the dynamics governed by the new master equation leads to different results for critical temperatures and also the critical exponents affecting universality classes. We further propose a simple algorithm to optimize modeling the time evolution with a power law, considering in a log-log plot two successive refinements.

Turbulence models in the atmospheric boundary layer under convective conditions

In this work a modelization of the turbulence in the atmospheric boundary layer, under convective condition, is made. For this aim, the equations that describe the atmospheric motion are expressed through Reynolds averages and, then, they need closures. This work consists in modifying the TKE-l closure used in the BOLAM (Bologna Limited Area Model) forecast model. In particular, the single column model extracted from BOLAM is used, which is modified to obtain other three different closure schemes: a non-local term is added to the flux- gradient relations used to close the second order moments present in the evolution equation of the turbulent kinetic energy, so that the flux-gradient relations become more suitable for simulating an unstable boundary layer. Furthermore, a comparison among the results obtained from the single column model, the ones obtained from the three new schemes and the observations provided by the known case in literature ”GABLS2” is made.

ANALYTICAL MODELS OF EXOPLANETARY ATMOSPHERES. I. ATMOSPHERIC DYNAMICS VIA THE SHALLOW WATER SYSTEM

Within the context of exoplanetary atmospheres, we present a comprehensive linear analysis of forced, damped, magnetized shallow water systems, exploring the effects of dimensionality, geometry (Cartesian, pseudo-spherical, and spherical), rotation, magnetic tension, and hydrodynamic and magnetic sources of friction. Across a broad range of conditions, we find that the key governing equation for atmospheres and quantum harmonic oscillators are identical, even when forcing (stellar irradiation), sources of friction (molecular viscosity, Rayleigh drag, and magnetic drag), and magnetic tension are included. The global atmospheric structure is largely controlled by a single key parameter that involves the Rossby and Prandtl numbers. This near-universality breaks down when either molecular viscosity or magnetic drag acts non-uniformly across latitude or a poloidal magnetic field is present, suggesting that these effects will introduce qualitative changes to the familiar chevron-shaped feature witnessed in simulations of atmospheric circulation. We also find that hydrodynamic and magnetic sources of friction have dissimilar phase signatures and affect the flow in fundamentally different ways, implying that using Rayleigh drag to mimic magnetic drag is inaccurate. We exhaustively lay down the theoretical formalism (dispersion relations, governing equations, and time-dependent wave solutions) for a broad suite of models. In all situations, we derive the steady state of an atmosphere, which is relevant to interpreting infrared phase and eclipse maps of exoplanetary atmospheres. We elucidate a pinching effect that confines the atmospheric structure to be near the equator. Our suite of analytical models may be used to develop decisively physical intuition and as a reference point for three-dimensional magnetohydrodynamic simulations of atmospheric circulation.