Numerical methods for option pricing.

This thesis aims to introduce some fundamental concepts underlying option valuation theory including implementation of computational tools. In many cases analytical solution for option pricing does not exist, thus the following numerical methods are used: binomial trees, Monte Carlo simulations and finite difference methods. First, an algorithm based on Hull and Wilmott is written for every method. Then these algorithms are improved in different ways. For the binomial tree both speed and memory usage is significantly improved by using only one vector instead of a whole price storing matrix. Computational time in Monte Carlo simulations is reduced by implementing a parallel algorithm (in C) which is capable of improving speed by a factor which equals the number of processors used. Furthermore, MatLab code for Monte Carlo was made faster by vectorizing simulation process. Finally, obtained option values are compared to those obtained with popular finite difference methods, and it is discussed which of the algorithms is more appropriate for which purpose.

Un método de diferencias finitas generalizadas para simular la actividad eléctrica de un tejido cardiaco

Una evolución del método de diferencias finitas ha sido el desarrollo del método de diferencias finitas generalizadas (MDFG) que se puede aplicar a mallas irregulares o nubes de puntos. En este método se emplea una expansión en serie de Taylor junto con una aproximación por mínimos cuadrados móviles (MCM). De ese modo, las fórmulas explícitas de diferencias para nubes irregulares de puntos se pueden obtener fácilmente usando el método de Cholesky. El MDFG-MCM es un método sin malla que emplea únicamente puntos. Una contribución de esta Tesis es la aplicación del MDFG-MCM al caso de la modelización de problemas anisótropos elípticos de conductividad eléctrica incluyendo el caso de tejidos reales cuando la dirección de las fibras no es fija, sino que varía a lo largo del tejido. En esta Tesis también se muestra la extensión del método de diferencias finitas generalizadas a la solución explícita de ecuaciones parabólicas anisótropas. El método explícito incluye la formulación de un límite de estabilidad para el caso de nubes irregulares de nodos que es fácilmente calculable. Además se presenta una nueva solución analítica para una ecuación parabólica anisótropa y el MDFG-MCM explícito se aplica al caso de problemas parabólicos anisótropos de conductividad eléctrica. La evidente dificultad de realizar mediciones directas en electrocardiología ha motivado un gran interés en la simulación numérica de modelos cardiacos. La contribución más importante de esta Tesis es la aplicación de un esquema explícito con el MDFG-MCM al caso de la modelización monodominio de problemas de conductividad eléctrica. En esta Tesis presentamos un algoritmo altamente eficiente, exacto y condicionalmente estable para resolver el modelo monodominio, que describe la actividad eléctrica del corazón. El modelo consiste en una ecuación en derivadas parciales parabólica anisótropa (EDP) que está acoplada con un sistema de ecuaciones diferenciales ordinarias (EDOs) que describen las reacciones electroquímicas en las células cardiacas. El sistema resultante es difícil de resolver numéricamente debido a su complejidad. Proponemos un método basado en una separación de operadores y un método sin malla para resolver la EDP junto a un método de Runge-Kutta para resolver el sistema de EDOs de la membrana y las corrientes iónicas. ABSTRACT An evolution of the method of finite differences has been the development of generalized finite difference (GFD) method that can be applied to irregular grids or clouds of points. In this method a Taylor series expansion is used together with a moving least squares (MLS) approximation. Then, the explicit difference formulae for irregular clouds of points can be easily obtained using a simple Cholesky method. The MLS-GFD is a mesh-free method using only points. A contribution of this Thesis is the application of the MLS-GFDM to the case of modelling elliptic anisotropic electrical conductivity problems including the case of real tissues when the fiber direction is not fixed, but varies throughout the tissue. In this Thesis the extension of the generalized finite difference method to the explicit solution of parabolic anisotropic equations is also given. The explicit method includes a stability limit formulated for the case of irregular clouds of nodes that can be easily calculated. Also a new analytical solution for homogeneous parabolic anisotropic equation has been presented and an explicit MLS- GFDM has been applied to the case of parabolic anisotropic electrical conductivity problems. The obvious difficulty of performing direct measurements in electrocardiology has motivated wide interest in the numerical simulation of cardiac models. The main contribution of this Thesis is the application of an explicit scheme based in the MLS-GFDM to the case of modelling monodomain electrical conductivity problems using operator splitting including the case of anisotropic real tissues. In this Thesis we present a highly efficient, accurate and conditionally stable algorithm to solve a monodomain model, which describes the electrical activity in the heart. The model consists of a parabolic anisotropic partial differential equation (PDE), which is coupled to systems of ordinary differential equations (ODEs) describing electrochemical reactions in the cardiac cells. The resulting system is challenging to solve numerically, because of its complexity. We propose a method based on operator splitting and a meshless method for solving the PDE together with a Runge-Kutta method for solving the system of ODE’s for the membrane and ionic currents.

Simulación numérica de un problema de contaminación atmosférica

La ecuación en derivadas parciales de advección difusión con reacción química es la base de los modelos de dispersión de contaminantes en la atmósfera, y los diferentes métodos numéricos empleados para su resolución han sido objeto de amplios estudios a lo largo de su desarrollo. En esta Tesis se presenta la implementación de un nuevo método conservativo para la resolución de la parte advectiva de la ecuación en derivadas parciales que modela la dispersión de contaminantes dentro del modelo mesoescalar de transporte químico CHIMERE. Este método está basado en una técnica de volúmenes finitos junto con una interpolación racional. La ventaja de este método es la conservación exacta de la masa transportada debido al empleo de la ley de conservación de masas. Para ello emplea una formulación de flujo basado en el cálculo de la integral ponderada dentro de cada celda definida para la discretización del espacio en el método de volúmenes finitos. Los resultados numéricos obtenidos en las simulaciones realizadas (implementando el modelo conservativo para la advección en el modelo CHIMERE) se han comparado con los datos observados de concentración de contaminantes registrados en la red de estaciones de seguimiento y medición distribuidas por la Península Ibérica. Los datos estadísticos de medición del error, la media normalizada y la media absoluta normalizada del error, presentan valores que están dentro de los rangos propuestos por la EPA para considerar el modelo preciso. Además, se introduce un nuevo método para resolver la parte advectivadifusiva de la ecuación en derivadas parciales que modeliza la dispersión de contaminantes en la atmósfera. Se ha empleado un método de diferencias finitas de alto orden para resolver la parte difusiva de la ecuación de transporte de contaminantes junto con el método racional conservativo para la parte advectiva en una y dos dimensiones. Los resultados obtenidos de la aplicación del método a diferentes situaciones incluyendo casos académicos y reales han sido comparados con la solución analítica de la ecuación de advección-difusión, demostrando que el nuevo método proporciona un resultado preciso para aproximar la solución. Por último, se ha desarrollado un modelo completo que contempla los fenómenos advectivo y difusivo con reacción química, usando los métodos anteriores junto con una técnica de diferenciación regresiva (BDF2). Esta técnica consiste en un método implícito multipaso de diferenciación regresiva de segundo orden, que nos permite resolver los problemas rígidos típicos de la química atmosférica, modelizados a través de sistemas de ecuaciones diferenciales ordinarias. Este método hace uso de la técnica iterativa Gauss- Seidel para obtener la solución de la parte implícita de la fórmula BDF2. El empleo de la técnica de Gauss-Seidel en lugar de otras técnicas comúnmente empleadas, como la iteración por el método de Newton, nos proporciona rapidez de cálculo y bajo consumo de memoria, ideal para obtener modelos operativos para la resolución de la cinética química atmosférica. ABSTRACT Extensive research has been performed to solve the atmospheric chemicaladvection- diffusion equation and different numerical methods have been proposed. This Thesis presents the implementation of an exactly conservative method for the advection equation in the European scale Eulerian chemistry transport model CHIMERE based on a rational interpolation and a finite volume algorithm. The advantage of the method is that the cell-integrated average is predicted via a flux formulation, thus the mass is exactly conserved. Numerical results are compared with a set of observation registered at some monitoring sites in Spain. The mean normalized bias and the mean normalized absolute error present values that are inside the range to consider an accurate model performance. In addition, it has been introduced a new method to solve the advectiondiffusion equation. It is based on a high-order accurate finite difference method to solve de diffusion equation together with a rational interpolation and a finite volume to solve the advection equation in one dimension and two dimensions. Numerical results obtained from solving several problems include academic and real atmospheric problems have been compared with the analytical solution of the advection-diffusion equation, showing that the new method give an efficient algorithm for solving such problems. Finally, a complete model has been developed to solve the atmospheric chemical-advection-diffusion equation, adding the conservative method for the advection equation, the high-order finite difference method for the diffusion equation and a second-order backward differentiation formula (BDF2) to solve the atmospheric chemical kinetics. The BDF2 is an implicit, second order multistep backward differentiation formula used to solve the stiff systems of ordinary differential equations (ODEs) from atmospheric chemistry. The Gauss-Seidel iteration is used for approximately solving the implicitly defined BDF solution, giving a faster tool than the more commonly used iterative modified Newton technique. This method implies low start-up costs and a low memory demand due to the use of Gauss-Seidel iteration.

Inverse kinematics of a humanoid robot with non-spherical hip: a hybrid algorithm approach

This paper describes an approach to solve the inverse kinematics problem of humanoid robots whose construction shows a small but non negligible offset at the hip which prevents any purely analytical solution to be developed. Knowing that a purely numerical solution is not feasible due to variable efficiency problems, the proposed one first neglects the offset presence in order to obtain an approximate “solution” by means of an analytical algorithm based on screw theory, and then uses it as the initial condition of a numerical refining procedure based on the Levenberg‐Marquardt algorithm. In this way, few iterations are needed for any specified attitude, making it possible to implement the algorithm for real‐time applications. As a way to show the algorithm’s implementation, one case of study is considered throughout the paper, represented by the SILO2 humanoid robot.

Simulación numérica computacional de fenómenos dinámicos

En este proyecto se trata la simulación numérica de un fenómeno dinámico, basado en el comportamiento de una onda transmitida a lo largo de una cuerda elástica de un instrumento musical, cuyos extremos se encuentran anclados. El fenómeno físico, se desarrolla utilizando una ecuación en derivadas parciales hiperbólicas con variables espacial y temporal, acompañada por unas condiciones de contorno tipo Dirichlet en los extremos y por más condiciones iniciales que dan comienzo al proceso. Posteriormente se han generado algoritmos para el método numérico empleado (Diferencias finitas centrales y progresivas) y la programación del problema aproximado con su consistencia, estabilidad y convergencia, obteniéndose unos resultados acordes con la solución analítica del problema matemático. La programación y salida de resultados se ha realizado con Visual Studio 8.0. y la programación de objetos con Visual Basic .Net In this project the topic is the numerical simulation of a dynamic phenomenon, based on the behavior of a transmitted wave along an elastic string of a musical instrument, whose ends are anchored. The physical phenomenon is developed using a hyperbolic partial differential equation with spatial and temporal variables, accompanied by a Dirichlet boundary conditions at the ends and more initial conditions that start the process. Subsequently generated algorithms for the numerical method used (central and forward finite differences) and the programming of the approximate problem with consistency, stability and convergence, yielding results in line with the analytical solution of the mathematical problem. Programming and output results has been made with Visual Studio 8.0. and object programming with Visual Basic. Net

La estabilidad del frente de excavación de un túnel en terrenos heterogéneos o con un criterio de rotura no-lineal

El frente de un túnel puede colapsar si la presión aplicada sobre el es inferior a un valor limite denominado presión “critica” o “de colapso”. En este trabajo se desarrolla y presenta un mecanismo de rotura rotacional generado punto a punto para el cálculo de la presión de colapso del frente de túneles excavados en terrenos estratificados o en materiales que siguen un criterio de rotura nolineal. La solución propuesta es una solución de contorno superior en el marco del Análisis Límite y supone una generalización del mecanismo de rotura mas reciente existente en la bibliografía. La presencia de un terreno estratificado o con un criterio de rotura no-lineal implica una variabilidad espacial de las propiedades resistentes. Debido a esto, se generaliza el mecanismo desarrollado por Mollon et al. (2011b) para suelos, de tal forma que se puedan considerar valores locales del ángulo de rozamiento y de la cohesión. Además, la estratificación del terreno permite una rotura parcial del frente, por lo que se implementa esta posibilidad en el mecanismo, siendo la primera solución que emplea un mecanismo de rotura que se ajusta a la estratigrafía del terreno. Por otro lado, la presencia de un material con un criterio de rotura no-lineal exige introducir en el modelo, como variable de estudio, el estado tensional en el frente, el cual se somete al mismo proceso de optimización que las variables geométricas del mecanismo. Se emplea un modelo numérico 3D para validar las predicciones del mecanismo de Análisis Limite, demostrando que proporciona, con un esfuerzo computacional significativamente reducido, buenas predicciones de la presión critica, del tipo de rotura (global o parcial) en terrenos estratificados y de la geometría de fallo. El mecanismo validado se utiliza para realizar diferentes estudios paramétricos sobre la influencia de la estratigrafía en la presión de colapso. Igualmente, se emplea para elaborar cuadros de diseño de la presión de colapso para túneles ejecutados con tuneladora en macizos rocosos de mala calidad y para analizar la influencia en la estabilidad del frente del método constructivo. Asimismo, se lleva a cabo un estudio de fiabilidad de la estabilidad del frente de un túnel excavado en un macizo rocoso altamente fracturado. A partir de el se analiza como afectan las diferentes hipótesis acerca de los tipos de distribución y de las estructuras de correlación a los resultados de fiabilidad. Se investiga también la sensibilidad de los índices de fiabilidad a los cambios en las variables aleatorias, identificando las mas relevantes para el diseño. Por ultimo, se lleva a cabo un estudio experimental mediante un modelo de laboratorio a escala reducida. El modelo representa medio túnel, lo cual permite registrar el movimiento del material mediante una técnica de correlación de imágenes fotográficas. El ensayo se realiza con una arena seca y se controla por deformaciones mediante un pistón que simula el frente. Los resultados obtenidos se comparan con las estimaciones de la solución de Análisis Límite, obteniéndose un ajuste razonable, de acuerdo a la literatura, tanto en la geometría de rotura como en la presión de colapso. A tunnel face may collapse if the applied support pressure is lower than a limit value called the ‘critical’ or ‘collapse’ pressure. In this work, an advanced rotational failure mechanism generated ‘‘point-by-point” is developed to compute the collapse pressure for tunnel faces in layered (or stratified) grounds or in materials that follow a non-linear failure criterion. The proposed solution is an upper bound solution in the framework of limit analysis which extends the most advanced face failure mechanism in the literature. The excavation of the tunnel in a layered ground or in materials with a non-linear failure criterion may lead to a spatial variability of the strength properties. Because of this, the rotational mechanism recently proposed by Mollon et al. (2011b) for Mohr-Coulomb soils is generalized so that it can consider local values of the friction angle and of the cohesion. For layered soils, the mechanism needs to be extended to consider the possibility for partial collapse. The proposed methodology is the first solution with a partial collapse mechanism that can fit to the stratification. Similarly, the use of a nonlinear failure criterion introduces the need to introduce new parameters in the optimization problem to consider the distribution of normal stresses along the failure surface. A 3D numerical model is employed to validate the predictions of the limit analysis mechanism, demonstrating that it provides, with a significantly reduced computational effort, good predictions of critical pressure, of the type of collapse (global or partial) in layered soils, and of its geometry. The mechanism is then employed to conduct parametric studies of the influence of several geometrical and mechanical parameters on face stability of tunnels in layered soils. Similarly, the methodology has been further employed to develop simple design charts that provide the face collapse pressure of tunnels driven by TBM in low quality rock masses and to study the influence of the construction method. Finally, a reliability analysis of the stability of a tunnel face driven in a highly fractured rock mass is performed. The objective is to analyze how different assumptions about distributions types and correlation structures affect the reliability results. In addition, the sensitivity of the reliability index to changes in the random variables is studied, identifying the most relevant variables for engineering design. Finally, an experimental study is carried out using a small-scale laboratory model. The problem is modeled in half, cutting through the tunnel axis vertically, so that displacements of soil particles can be recorded by a digital image correlation technique. The tests were performed with dry sand and displacements are controlled by a piston that supports the soil. The results of the model are compared with the predictions of the Limit Analysis mechanism. A reasonable agreement, according to literature, is obtained between the shapes of the failure surfaces and between the collapse pressures observed in the model tests and computed with the analytical solution.

Influencia de la configuración geométrica de placas prefabricadas para forjados en las tensiones originadas por la transferencia del pretensado en elementos realizados con armaduras pretesas ancladas por adherencia

Las piezas pretensadas de hormigón presentan zonas muy solicitadas correspondientes a la zona de transferencia. En muchos casos se ha detectado figuración en tales zonas cuyo origen está ligado a la transferencia de la fuerza de pretensado, pudiendo llegar a causar el rechazo de la pieza. En el caso de las piezas prefabricadas con armaduras pretesas adherentes, no siempre es posible disponer armado transversal para controlar esta fisuración, ya sea por el proceso constructivo, ya sea por disponer en general de secciones transversales muy optimizadas. Recientemente se desarrolló una nueva tipología de piezas de hormigón prefabricado para forjados unidireccionales pretensadas con armadura activa pretesa y sin armadura transversal. La tipología se asimila a una sección en PI invertida, con alas de gran envergadura en comparación con el ancho de nervio, y armadura activa distribuida en las alas. Este diseño parece propenso a la aparición de fisuración en el momento de la transferencia del pretensado. Así, se han producido fallos de carácter frágil: colapso de piezas ya colocadas en obra, separándose la losa inferior de los nervios y cayendo sobre el piso. Las herramientas de análisis usuales han resultado inútiles al aplicarse a la investigación de esta patología. Para afrontar el estudio de los problemas detectados en la tipología, se ha analizado el fenómeno de las tensiones de tracción en la zona de transferencia, usualmente denominadas exfoliación y estallido, así como los métodos de análisis aplicables a elementos pretesos sin armadura transversal. En algunas ocasiones se trata del resultado de trabajos desarrollados para piezas postesadas, o para calcular cuantías de armadura transversal, adaptados a posteriori. También existen métodos desarrollados específicamente para piezas pretesas sin armadura transversal. Junto a los factores considerados en los métodos existentes se han localizado otros, no tenidos en cuenta habitualmente, pero que pueden ser determinantes en piezas no convencionales, como son: la existencia de pretensado superior e inferior, la falta de simetría de la sección transversal, el ancho variable de las piezas, una relación entre el ancho del ala y el espesor de los nervios elevada, la distribución transversal del pretensado en relación al ancho variable. Además, la mayoría de los métodos se han basado en simplificaciones bidimensionales. Para tener en cuenta la influencia de estos factores, se han modelizado piezas en las que varían tanto la geometría de la sección transversal y la cuantía de pretensado, como la ley de adherencia o la distribución de armadura activa en la sección. Estos modelos se han analizado mediante el método de elementos finitos, efectuándose u análisis elástico lineal tridimensional. En general, los métodos existentes no han predicho adecuadamente las tensiones obtenidas mediante elementos finitos. Sobre los resultados obtenidos por elementos finitos se ha desarrollado un ajuste experimental, que presentan un alto grado de correlación y de significación, así como una reducida dispersión y error relativo. En consecuencia, se propone un método de obtención de la tensión máxima de exfoliación, consistente en varias ecuaciones, que tienen en cuenta las peculiaridades de la configuración de las piezas citadas y permiten considerar cualquier ley de adherencia, manteniendo la coherencia con la longitud de transmisión. Las ecuaciones se emplean para la obtención de la tensión máxima de exfoliación en piezas de la tipología estudiada cuya armadura activa se sitúe fuera del núcleo central de la sección transversal. Respecto al estallido, se propone una modificación de los métodos existentes que, comparado con los resultados del análisis por elementos finitos, mejora el valor medio y la dispersión a valores admisibles y del lado de la seguridad. El método considera la geometría de la sección y la distribución del pretensado en la losa inferior. Finalmente, se ofrecen estrategias de diseño para piezas de la tipología o semejantes. End zones of prestressed concrete members are highly stressed. Cracking have often appeared at end zone, and its beginning is related to prestress release. Some members become rejected because of these cracks. Sometimes it is not possible having transverse reinforcement in order to control cracking, when referring to pretensioned precast members. The reason may be the construction process or highly optimized crosssections. A new typology of precast concrete members designed for one-way composite floors was recently developed. The members, without transverse reinforcement, are prestressed with pretensioned wires or strands. This typology is similar to an inverted TT slab, with a large flange related to the web thickness and prestressing reinforcement spread across the flange. This design is highly susceptible to appear cracking at prestress release. Therefore, brittle failures have been reported: fail of slabs laid in place on a construction site, resulting in the separation of the flange from the webs,, and the subsequent fall on the lower floor. Usual analytical methods have been useless to study the failure. End zone tensile stresses have been analysed to study the detected typology problems. These tensile stresses are usually called spalling and bursting (also called splitting in the U.S.). Analysis methods applicable to pretensioned members without transverse reinforcement have been analysed too. Some methods were originally developed for postensioned concrete or for obtaining the amount of transverse reinforcement. In addition, there are methods developed specifically for pretensioned members without transverse reinforcement. Some factors, frequently ignored, have been found, such as lower and upper prestress, lack of symmetry in the cross section, variable width, a high ratio between flange width and web thickness or prestressing reinforcement location related to variable width. They can play a decisive role in non-conventional members. In addition, most methods are based on 2D simplifications. Finite Element modelling has been conducted in order to consider the influence of these factors. A linear 3D approach has been used. The modelled members vary according to cross section geometry, bond behaviour, or prestressing reinforcement location. In general, the obtained tensile stresses don’t agree with existing methods. An experimental adjustment has been conducted on the obtained results, with a high correlation ratio and significance level as well as a low dispersion and relative error. Therefore, a method to obtain the maximum spalling stress is proposed. The proposal consists on some equations that consider the special features of the typology and bond behaviour. Consistency between transmission length and bond behaviour is considered too. The equations are used to calculate maximum spalling stress for the studied typology members whose prestressing reinforcement is located out of the core of the cross section. In relation to bursting, a modification of existing methods is proposed. Compared to finite element results, the proposal improves mean value and dispersion, whose ranges are considered acceptable and secure. The method takes into account cross section geometry and location of prestressing reinforcement across the lower flange. Finally, strategies to design members of this typology or similar are proposed.

Stability of liquid bridges between an elliptical and a circular supporting disk

A numerical method has been developed to determine the stability limits for liquid bridges held between noncircular supporting disks and the application to a configuration with a circular and an elliptical disk subjected to axial acceleration has been made. The numerical method led to results very different from the available analytical solution which has been revisited and a better approximation has been obtained. It has been found that just retaining one more term in the asymptotic analysis the solution reproduces the real behavior of the configuration and the numerical results.

Depth Averaged Models for Fast Landslide Propagation: Mathematical, Rheological and Numerical Aspects

This paper presents an overview of depth averaged modelling of fast catastrophic landslides where coupling of solid skeleton and pore fluid (air and water) is important. The first goal is to show how Biot-Zienkiewicz models can be applied to develop depth integrated, coupled models. The second objective of the paper is to consider a link which can be established between rheological and constitutive models. Perzyna´s viscoplasticity can be considered a general framework within which rheological models such as Bingham and cohesive frictional fluids can be derived. Among the several alternative numerical models, we will focus here on SPH which has not been widely applied by engineers to model landslide propagation. We propose an improvement, based on combining Finite Difference meshes associated to SPH nodes to describe pore pressure evolution inside the landslide mass. We devote a Section to analyze the performance of the models, considering three sets of tests and examples which allows to assess the model performance and limitations: (i) Problems having an analytical solution, (ii) Small scale laboratory tests, and (iii) Real cases for which we have had access to reliable information

Contribución al análisis cinemático y dinámico de manipuladores paralelos

El documento presentado contiene una aproximación a algunos de los diversos problemas actuales existentes en el campo de la robótica paralela. Primeramente se hace una propuesta para el cálculo de los parámetros estructurales de los robots paralelos, mediante el desarrollo de una metodología que combina las herramientas del estudio de mecanismos con el álgebra lineal; en una segunda sección se propone la solución del problema geométrico directo a partir de la definición de ecuaciones de restricción y su respectiva solución usando métodos numéricos, así como la solución para el problema geométrico inverso; en la tercera parte se aborda el problema dinámico tanto directo como inverso y su solución a partir de una metodología basada en el método de Kane o de trabajos virtuales. Para las propuestas metodológicas expuestas se han desarrollado ejemplos de aplicación tanto teóricos como prácticos (simulaciones y pruebas físicas), donde se demuestra su alcance y desempeño, mediante su utilización en múltiples configuraciones para manipuladores paralelos, entre los que se destacan la plataforma Stewart Gough, y el 3-RRR. Todo con el objetivo de extender su aplicación en futuros trabajos de investigación en el área. ABSTRACT The document presented below provides an approach to some of the many current problems existing in the field of parallel robotics. First is maked a proposal for calculating the structural parameters of the parallel robots, through developing a methodology that combines tools to study mechanisms with the linear algebra; a second section contains a direct geometrical problem solution from the definition of constraint equations and their respective solution using numerical methods, as well as the solution to the inverse geometric problem; in the third part, both, direct and inverse dynamic problem and its solution based on methodology Kane or the method of virtual work are propossed. For each of the exposed methodological proposals they were developed examples of both theoretical and practical application (simulations and physical tests), where its scope and performance is demonstrated by its use in multiple configurations for parallel manipulators, among which stand out the platform Stewart Gough, and 3-RRR. All with the goal of extending its application in future research in the area.

Systematic derivation of partition functions for ligand binding to two-dimensional lattices

The Ising problem consists in finding the analytical solution of the partition function of a lattice once the interaction geometry among its elements is specified. No general analytical solution is available for this problem, except for the one-dimensional case. Using site-specific thermodynamics, it is shown that the partition function for ligand binding to a two-dimensional lattice can be obtained from those of one-dimensional lattices with known solution. The complexity of the lattice is reduced recursively by application of a contact transformation that involves a relatively small number of steps. The transformation implemented in a computer code solves the partition function of the lattice by operating on the connectivity matrix of the graph associated with it. This provides a powerful new approach to the Ising problem, and enables a systematic analysis of two-dimensional lattices that model many biologically relevant phenomena. Application of this approach to finite two-dimensional lattices with positive cooperativity indicates that the binding capacity per site diverges as Na (N = number of sites in the lattice) and experiences a phase-transition-like discontinuity in the thermodynamic limit N → ∞. The zeroes of the partition function tend to distribute on a slightly distorted unit circle in complex plane and approach the positive real axis already for a 5×5 square lattice. When the lattice has negative cooperativity, its properties mimic those of a system composed of two classes of independent sites with the apparent population of low-affinity binding sites increasing with the size of the lattice, thereby accounting for a phenomenon encountered in many ligand-receptor interactions.

Efficient transfer of genetic material into mammalian cells using Starburst polyamidoamine dendrimers.

Starburst polyamidoamine dendrimers are a new class of synthetic polymers with unique structural and physical characteristics. These polymers were investigated for the ability to bind DNA and enhance DNA transfer and expression in a variety of mammalian cell lines. Twenty different types of polyamidoamine dendrimers were synthesized, and the polymer structure was confirmed using well-defined analytical techniques. The efficiency of plasmid DNA transfection using dendrimers was examined using two reporter gene systems: firefly luciferase and bacterial beta-galactosidase. The transfections were performed using various dendrimers, and levels of expression of the reporter protein were determined. Highly efficient transfection of a broad range of eukaryotic cells and cell lines was achieved with minimal cytotoxicity using the DNA/dendrimer complexes. However, the ability to transfect cells was restricted to certain types of dendrimers and in some situations required the presence of additional compounds, such as DEAE-dextran, that appeared to alter the nature of the complex. A few cell lines demonstrated enhanced transfection with the addition of chloroquine, indicating endosomal localization of the complexes. The capability of a dendrimer to transfect cells appeared to depend on the size, shape, and number of primary amino groups on the surface of the polymer. However, the specific dendrimer most efficient in achieving transfection varied between different types of cells. These studies demonstrate that Starburst dendrimers can transfect a wide variety of cell types in vitro and offer an efficient method for producing permanently transfected cell lines.

Integração da equação de movimento através da Transformada de Fourier com o uso de ponderadores de ordem elevada

Baseando-se em um sistema com um grau de liberdade, é apresentada neste trabalho a equação de movimento, bem como a sua resolução através das Transformadas de Fourier e da Transformada Rápida de Fourier (FFT). Através da análise da forma como são feitas as integrações nas transformadas, foram estudados e aplicados os ponderadores de Newton-Cotes na resolução da equação de movimento, de forma a aumentar substancialmente a precisão dos resultados em comparação com a forma convencional da Transformada de Fourier.

Uma formulação por média-variância multi-período para o erro de rastreamento em carteiras de investimento.

Neste trabalho, deriva-se uma política de escolha ótima baseada na análise de média-variância para o Erro de Rastreamento no cenário Multi-período - ERM -. Referindo-se ao ERM como a diferença entre o capital acumulado pela carteira escolhida e o acumulado pela carteira de um benchmark. Assim, foi aplicada a metodologia abordada por Li-Ng em [24] para a solução analítica, obtendo-se dessa maneira uma generalização do caso uniperíodo introduzido por Roll em [38]. Em seguida, selecionou-se um portfólio do mercado de ações brasileiro baseado no fator de orrelação, e adotou-se como benchmark o índice da bolsa de valores do estado de São Paulo IBOVESPA, além da taxa básica de juros SELIC como ativo de renda fixa. Dois casos foram abordados: carteira composta somente de ativos de risco, caso I, e carteira com um ativo sem risco indexado à SELIC - e ativos do caso I (caso II).

Parameters of the Earths orbit for the last 5 Million years in 1 kyr resolution

New values for the astronomical parameters of the Earth's orbit and rotation (eccentricity, obliquity and precession) are proposed for paleoclimatic research related to the Late Miocene, the Pliocene and the Quaternary. They have been obtained from a numerical solution of the Lagrangian system of the planetary point masses and from an analytical solution of the Poisson equations of the Earth-Moon system. The analytical expansion developed in this paper allows the direct determination of the main frequencies with their phase and amplitude. Numerical and analytical comparisons with the former astronomical solution BER78 are performed so that the accuracy and the interval of time over which the new solution is valid can be estimated. The corresponding insolation values have also been computed and compared to the former ones. This analysis leads to the conclusion that the new values are expected to be reliable over the last 5 Ma in the time domain and at least over the last 10 Ma in the frequency domain.