Optimal multicommodity flow through the complete graph with random edge capacities

We consider a multicommodity flow problem on a complete graph whose edges have random, independent, and identically distributed capacities. We show that, as the number of nodes tends to infinity, the maximumutility, given by the average of a concave function of each commodity How, has an almost-sure limit. Furthermore, the asymptotically optimal flow uses only direct and two-hop paths, and can be obtained in a distributed manner.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

A weighted mean square method of linearization in non-linear oscillations

The paper deals with a linearization technique in non-linear oscillations for systems which are governed by second-order non-linear ordinary differential equations. The method is based on approximation of the non-linear function by a linear function such that the error is least in the weighted mean square sense. The method has been applied to cubic, sine, hyperbolic sine, and odd polynomial types of non-linearities and the results obtained are more accurate than those given by existing linearization methods.

Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

On the maximal rate of (n+1) x n and (n+2) x n complex orthogonal designs

For p x n complex orthogonal designs in k variables, where p is the number of channels uses and n is the number of transmit antennas, the maximal rate L of the design is asymptotically half as n increases. But, for such maximal rate codes, the decoding delay p increases exponentially. To control the delay, if we put the restriction that p = n, i.e., consider only the square designs, then, the rate decreases exponentially as n increases. This necessitates the study of the maximal rate of the designs with restrictions of the form p = n+1, p = n+2, p = n+3 etc. In this paper, we study the maximal rate of complex orthogonal designs with the restrictions p = n+1 and p = n+2. We derive upper and lower bounds for the maximal rate for p = n+1 and p = n+2. Also for the case of p = n+1, we show that if the orthogonal design admit only the variables, their negatives and multiples of these by root-1 and zeros as the entries of the matrix (other complex linear combinations are not allowed), then the maximal rate always equals the lower bound.

Transient Momentum and Enthalpy Transfer in Packed Beds at High Reynolds Numbers

An experimental study for transient temperature response and pressure drop in a randomly packed bed at high Reynolds numbers is presented.The packed bed is used as a compact heat exchanger along with a solid-propellant gas generator, to generate room-temperature gases for use in control actuation, air bottle pressurization, etc. Packed beds of lengths 200 and 300 mm were characterized for packing-sphere-based Reynolds numbers ranging from 0.8 x 10(4) to 8.5 x 10(4).The solid packing used in the bed consisted of phi 9.5 mm steel spheres. The bed-to-particle diameter ratio was with the average packed-bed porosity around 0.43. The inlet flow temperature was unsteady and a mesh of spheres was used at either end to eliminate flow entrance and exit effects. Gas temperature and pressure were measured at the entry, exit,and at three axial locations along centerline in the packed beds. The solid packing temperature was measured at three axial locations in the packed bed. A correlation based on the ratio of pressure drop and inlet-flow momentum (Euler number) exhibited an asymptotically decreasing trend with increasing Reynolds number. Axial conduction across the packed bed was found to he negligible in the investigated Reynolds number range. The enthalpy absorption rate to solid packing from hot gases is plotted as a function of a nondimensional time constant for different Reynolds numbers. A longer packed bed had high enthalpy absorption rate at Reynolds number similar to 10(4), which decreased at Reynolds number similar to 10(5). The enthalpy absorption plots can be used for estimating enthalpy drop across packed bed with different material, but for a geometrically similar packing.

An Application of 3-D Kinematical Conservation Laws: Propagation of a 3-D Wavefront

Three-dimensional (3-D) kinematical conservation laws (KCL) are equations of evolution of a propagating surface Omega(t) in three space dimensions. We start with a brief review of the 3-D KCL system and mention some of its properties relevant to this paper. The 3-D KCL, a system of six conservation laws, is an underdetermined system to which we add an energy transport equation for a small amplitude 3-D nonlinear wavefront propagating in a polytropic gas in a uniform state and at rest. We call the enlarged system of 3-D KCL with the energy transport equation equations of weakly nonlinear ray theory (WNLRT). We highlight some interesting properties of the eigenstructure of the equations of WNLRT, but the main aim of this paper is to test the numerical efficacy of this system of seven conservation laws. We take several initial shapes for a nonlinear wavefront with a suitable amplitude distribution on it and let it evolve according to the 3-D WNLRT. The 3-D WNLRT is a weakly hyperbolic 7 x 7 system that is highly nonlinear. Here we use the staggered Lax-Friedrichs and Nessyahu-Tadmor central schemes and have obtained some very interesting shapes of the wavefronts. We find the 3-D KCL to be suitable for solving many complex problems for which there presently seems to be no other method capable of giving such physically realistic features.

Non-darcy double-diffusive mixed convection from heated vertical and horizontal plates in saturated porous media

The non-darcy mixed convection flows from heated vertical and horizontal plates in saturated porous media have been considered using boundary layer approximations. The flows are considered to be driven by multiple buoyancy forces. The similarity solutions for both vertical and horizontal plates have been obtained. The governing equations have been solved numerically using a shooting method. The heat transfer, mass transfer and skin friction are reduced due to inertial forces. Also, they increase with the buoyancy parameter for aiding flow and decrease for the opposing flow. For aiding flow, the heat and mass transfer coefficients are found to approach asymptotically the forced or free convection values as the buoyancy parameter approaches zero or infinity.

Interaction of rhodium(III) with DNA

The nature of interaction of Rh(III) with DNA was studied using viscometry and ultraviolet, visible and infrared spectroscopy. The rate of interaction was found to be very slow at room temperature taking several days for completion. The time needed to attain equilibrium is dependent on the concentrations of metal ion, higher the concentration shorter the period required for equilibration. Visible spectra of Rh(III) were found to alter considerably in the presence of DNA. An increase in absorbance and a red shift were observed in the ultraviolet spectra of DNA in the presence of Rh(III). The specific viscosity of DNA solution was found to decrease asymptotically with time and concentrations of metal ion. The melting temperature of DNA was found to increase at lower metal ion concentrations, whereas at higher values a decrease was obtained. At still higher metal ion concentrations (Image ) a ‘nonmeltable state’ of DNA was observed. These results seem to indicate that Rh(III) binds both with the phosphate and the bases of the DNA.

On the holographic simulation of non-circular zone plates

New methods involving the manipulation of fundamental wavefronts (e.g., plane and spherical) with simple optical components such as pinholes and spherical lenses have been developed for the fabrication of elliptic, hyperbolic and conical holographic zone plates. Also parabolic zone plates by holographic techniques have been obtained for the first time. The performance behaviour of these zone plates has been studied. Further a phenomenological explanation is offered for the observed improved fringe contrast obtained with a spherical reference wave.

An efficient marching algorithm for waterhammer analysis by the method of characteristics

A new fast and efficient marching algorithm is introduced to solve the basic quasilinear, hyperbolic partial differential equations describing unsteady, flow in conduits by the method of characteristics. The details of the marching method are presented with an illustration of the waterhammer problem in a simple piping system both for friction and frictionless cases. It is shown that for the same accuracy the new marching method requires fewer computational steps, less computer memory and time.

Implications of rapid footpoint motions of photospheric flux tubes for coronal heating

Some recent observations at Pic-du-Midi (Mulleret al., 1992a) suggest that the photospheric footpoints of coronal magnetic field lines occasionally move rapidly with typical velocities of the order 3 km s–1 for about 3 or 4 min. We argue that such occasional rapid footpoint motions could have a profound impact on the heating of the quiet corona. Qualitative estimates indicate that these occasional rapid motions can account for the entire energy flux needed to heat the quiet corona. We therefore carry out a mathematical analysis to study in detail the response of a vertical thin flux tube to photospheric footpoint motions in terms of a superposition of linear kink modes for an isothermal atmosphere. We find the resulting total energy that is asymptotically injected into an isothermal atmosphere (i.e., an atmosphere without any back reflection). By using typical parameter values for fast and slow footpoint motions, we show that, even if the footpoints spend only 2.5% of the time undergoing rapid motions, still these rapid motions could be more efficient in transporting energy to the corona than the slow motions that take place most of the time.

Normal mode sound propagation in an ocean with random narrow-band surface waves

Normal mode sound propagation in an isovelocity ocean with random narrow-band surface waves is considered, assuming the root-mean-square wave height to be small compared to the acoustic wavelength. Nonresonant interaction among the normal modes is studied straightforward perturbation technique. The more interesting case of resonant interaction is investigated using the method of multiple scales to obtain a pair of stochastic coupled amplitude equations which are solved using the Peano-Baker expansion technique. Equations for the spatial evolution of the first and second moments of the mode amplitudes are also derived and solved. It is shown that, irrespective of the initial conditions, the mean values of the mode amplitudes tend to zero asymptotically with increasing range, the mean-square amplitudes tend towards a state of equipartition of energy, and the total energy of the modes is conserved.

Non-linearity in piezo-fiber reinforced composites: an asymptotic approach

An asymptotically correct analysis is developed for Macro Fiber Composite unit cell using Variational Asymptotic Method (VAM). VAM splits the 3D nonlinear problem into two parts: A 1D nonlinear problem along the length of the fiber and a linear 2D cross-sectional problem. Closed form solutions are obtained for the 2D problem which are in terms of 1D parameters.

A bicharacteristic formulation of the ideal MHD equations

On a characteristic surface Omega of a hyperbolic system of first-order equations in multi-dimensions (x, t), there exits a compatibility condition which is in the form of a transport equation along a bicharacteristic on Omega. This result can be interpreted also as a transport equation along rays of the wavefront Omega(t) in x-space associated with Omega. For a system of quasi-linear equations, the ray equations (which has two distinct parts) and the transport equation form a coupled system of underdetermined equations. As an example of this bicharacteristic formulation, we consider two-dimensional unsteady flow of an ideal magnetohydrodynamics gas with a plane aligned magnetic field. For any mode of propagation in this two-dimensional flow, there are three ray equations: two for the spatial coordinates x and y and one for the ray diffraction. In spite of little longer calculations, the final four equations (three ray equations and one transport equation) for the fast magneto-acoustic wave are simple and elegant and cannot be derived in these simple forms by use of a computer program like REDUCE.