Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Enhanced pulse propagation in non-linear arrays of oscillators

The propagation of a pulse in a nonlinear array of oscillators is influenced by the nature of the array and by its coupling to a thermal environment. For example, in some arrays a pulse can be speeded up while in others a pulse can be slowed down by raising the temperature. We begin by showing that an energy pulse (one dimension) or energy front (two dimensions) travels more rapidly and remains more localized over greater distances in an isolated array (microcanonical) of hard springs than in a harmonic array or in a soft-springed array. Increasing the pulse amplitude causes it to speed up in a hard chain, leaves the pulse speed unchanged in a harmonic system, and slows down the pulse in a soft chain. Connection of each site to a thermal environment (canonical) affects these results very differently in each type of array. In a hard chain the dissipative forces slow down the pulse while raising the temperature speeds it up. In a soft chain the opposite occurs: the dissipative forces actually speed up the pulse, while raising the temperature slows it down. In a harmonic chain neither dissipation nor temperature changes affect the pulse speed. These and other results are explained on the basis of the frequency vs energy relations in the various arrays

Non-Linear Journal Bearing Model for Analysis of Superharmonic Vibrations of Rotor Systems

A rotating machine usually consists of a rotor and bearings that supports it. The nonidealities in these components may excite vibration of the rotating system. The uncontrolled vibrations may lead to excessive wearing of the components of the rotating machine or reduce the process quality. Vibrations may be harmful even when amplitudes are seemingly low, as is usually the case in superharmonic vibration that takes place below the first critical speed of the rotating machine. Superharmonic vibration is excited when the rotational velocity of the machine is a fraction of the natural frequency of the system. In such a situation, a part of the machine’s rotational energy is transformed into vibration energy. The amount of vibration energy should be minimised in the design of rotating machines. The superharmonic vibration phenomena can be studied by analysing the coupled rotor-bearing system employing a multibody simulation approach. This research is focused on the modelling of hydrodynamic journal bearings and rotorbearing systems supported by journal bearings. In particular, the non-idealities affecting the rotor-bearing system and their effect on the superharmonic vibration of the rotating system are analysed. A comparison of computationally efficient journal bearing models is carried out in order to validate one model for further development. The selected bearing model is improved in order to take the waviness of the shaft journal into account. The improved model is implemented and analyzed in a multibody simulation code. A rotor-bearing system that consists of a flexible tube roll, two journal bearings and a supporting structure is analysed employing the multibody simulation technique. The modelled non-idealities are the shell thickness variation in the tube roll and the waviness of the shaft journal in the bearing assembly. Both modelled non-idealities may cause subharmonic resonance in the system. In multibody simulation, the coupled effect of the non-idealities can be captured in the analysis. Additionally one non-ideality is presented that does not excite the vibrations itself but affects the response of the rotorbearing system, namely the waviness of the bearing bushing which is the non-rotating part of the bearing system. The modelled system is verified with measurements performed on a test rig. In the measurements the waviness of bearing bushing was not measured and therefore it’s affect on the response was not verified. In conclusion, the selected modelling approach is an appropriate method when analysing the response of the rotor-bearing system. When comparing the simulated results to the measured ones, the overall agreement between the results is concluded to be good.

On non-ideal and non-linear portal frame dynamics analysis using bogoliubov averaging method

We apply the Bogoliubov Averaging Method to the study of the vibrations of an elastic foundation, forced by a Non-ideal energy source. The considered model consists of a portal plane frame with quadratic nonlinearities, with internal resonance 1:2, supporting a direct current motor with limited power. The non-ideal excitation is in primary resonance in the order of one-half with the second mode frequency. The results of the averaging method, plotted in time evolution curve and phase diagrams are compared to those obtained by numerically integrating of the original differential equations. The presence of the saturation phenomenon is verified by analytical procedures.

Structural Characterization and Non-linear Optical Properties of Metal Complexes of Some Donor-Acceptor Substituted N-salicylidene-N' -aroylhydrazine Ligands

The present work deals with the complexation of Schiff bases of aroylhydrazines with various transition metal ions. The hydrazone systems selected for study have long 7I:-delocalized chain in the ligand molecule itself, which get intensified due to metal-to-ligand or ligand-to-metal charge transfer excitations upon coordination. Complexation with metal ions like copper, nickel, cobalt, manganese, iron, zinc and cadmium are tried. Various spectral techniques are employed for characterization. The structures of some complexes have been well established by single crystal X-ray diffraction studies. The nonIinaer optical studies of the ligands and complexes synthesized have been studied by hyper-Rayleigh scattering technique.The work is presented in seven chapters and the last one deals with summary and conclusion. One of the hydrazone system selected for study proved that it could give rise to polymeric metal complexes. Some of the copper, nickel, zinc and cadmium complexes showed non-linear optical activity. The NLO studies of manganese and iron showed negative result, may be due to the inversion centre of symmetry within the molecular lattice.

A stable one-step-ahead predictive control of non-linear systems

In this paper stability of one-step ahead predictive controllers based on non-linear models is established. It is shown that, under conditions which can be fulfilled by most industrial plants, the closed-loop system is robustly stable in the presence of plant uncertainties and input–output constraints. There is no requirement that the plant should be open-loop stable and the analysis is valid for general forms of non-linear system representation including the case out when the problem is constraint-free. The effectiveness of controllers designed according to the algorithm analyzed in this paper is demonstrated on a recognized benchmark problem and on a simulation of a continuous-stirred tank reactor (CSTR). In both examples a radial basis function neural network is employed as the non-linear system model.

Neurofuzzy control using Kalman filtering state feedback with coloured noise for unknown non-linear processes

This paper presents a controller design scheme for a priori unknown non-linear dynamical processes that are identified via an operating point neurofuzzy system from process data. Based on a neurofuzzy design and model construction algorithm (NeuDec) for a non-linear dynamical process, a neurofuzzy state-space model of controllable form is initially constructed. The control scheme based on closed-loop pole assignment is then utilized to ensure the time invariance and linearization of the state equations so that the system stability can be guaranteed under some mild assumptions, even in the presence of modelling error. The proposed approach requires a known state vector for the application of pole assignment state feedback. For this purpose, a generalized Kalman filtering algorithm with coloured noise is developed on the basis of the neurofuzzy state-space model to obtain an optimal state vector estimation. The derived controller is applied in typical output tracking problems by minimizing the tracking error. Simulation examples are included to demonstrate the operation and effectiveness of the new approach.

Composite control of non-linear singularly perturbed systems: meeting a design objective

Using the integral manifold approach, a composite control—the sum of a fast control and a slow control—is derived for a particular class of non-linear singularly perturbed systems. The fast control is designed completely at the outset, thus ensuring the stability of the fast transients of the system and, furthermore, the existence of the integral manifold. A new method is then presented which simplifies the derivation of a slow control such that the singularly perturbed system meets a preselected design objective to within some specified order of accuracy. Though this approach is, by its very nature, ad hoc, the underlying procedure is easily extended to more general classes of singularly perturbed systems by way of three examples.

Optimal control of a class of discrete–continuous non-linear systems — decomposition and hierarchical structure

A technique is derived for solving a non-linear optimal control problem by iterating on a sequence of simplified problems in linear quadratic form. The technique is designed to achieve the correct solution of the original non-linear optimal control problem in spite of these simplifications. A mixed approach with a discrete performance index and continuous state variable system description is used as the basis of the design, and it is shown how the global problem can be decomposed into local sub-system problems and a co-ordinator within a hierarchical framework. An analysis of the optimality and convergence properties of the algorithm is presented and the effectiveness of the technique is demonstrated using a simulation example with a non-separable performance index.

Linear-wavelet models for non-linear identification applied to a pressure plant

A nonlinear regression structure comprising a wavelet network and a linear term is proposed for system identification. The theoretical foundation of the approach is laid by proving that radial wavelets are orthogonal to linear functions. A constructive procedure for building such models is described and the approach is tested with experimental data.

Approximation of non-autonomous dynamic systems by continuous time recurrent neural networks

This work provides a framework for the approximation of a dynamic system of the form x˙=f(x)+g(x)u by dynamic recurrent neural network. This extends previous work in which approximate realisation of autonomous dynamic systems was proven. Given certain conditions, the first p output neural units of a dynamic n-dimensional neural model approximate at a desired proximity a p-dimensional dynamic system with n>p. The neural architecture studied is then successfully implemented in a nonlinear multivariable system identification case study.

Efficient non-linear data assimilation in geophysical fluid dynamics

New ways of combining observations with numerical models are discussed in which the size of the state space can be very large, and the model can be highly nonlinear. Also the observations of the system can be related to the model variables in highly nonlinear ways, making this data-assimilation (or inverse) problem highly nonlinear. First we discuss the connection between data assimilation and inverse problems, including regularization. We explore the choice of proposal density in a Particle Filter and show how the ’curse of dimensionality’ might be beaten. In the standard Particle Filter ensembles of model runs are propagated forward in time until observations are encountered, rendering it a pure Monte-Carlo method. In large-dimensional systems this is very inefficient and very large numbers of model runs are needed to solve the data-assimilation problem realistically. In our approach we steer all model runs towards the observations resulting in a much more efficient method. By further ’ensuring almost equal weight’ we avoid performing model runs that are useless in the end. Results are shown for the 40 and 1000 dimensional Lorenz 1995 model.

Enhanced second order non-linear optical properties of silica sol-gel thin films through photo-induced poling

Sol-gel derived inorganic materials are of interest as hosts for non-linear optically active guest molecules and they offer particular advantages in the field of non-linear optics. Orientationally ordered glasses have been prepared using a sol-gel system based on tetramethoxysilane, methyltrimethoxysilane and a non-linear optical chromophore Disperse Red 1. The novel technique of photo-induced poling was used to generate enhanced levels of polar order. The level of enhancement is strongly dependent on the extent of gelation and an optimum preparation time of ∼100 h led to an enhancement factor of ∼5. Films prepared in this manner exhibited a high stability of the polar order.

Composite control of non-linear singularly perturbed systems: a geometric approach

Using a geometric approach, a composite control—the sum of a slow control and a fast control—is derived for a general class of non-linear singularly perturbed systems. A new and simpler method of composite control design is proposed whereby the fast control is completely designed at the outset. The slow control is then free to be chosen such that the slow integral manifold of the original system approximates a desired design manifold to within any specified order of ε accuracy.

Composite control of non-linear singularly perturbed systems: a geometric approach

Using a geometric approach, a composite control—the sum of a slow control and a fast control—is derived for a general class of non-linear singularly perturbed systems. A new and simpler method of composite control design is proposed whereby the fast control is completely designed at the outset. The slow control is then free to be chosen such that the slow integral manifold of the original system approximates a desired design manifold to within any specified order of ε accuracy.