969 resultados para eigenfunction stochastic volatility models
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In this paper, the method of Galerkin and the Askey-Wiener scheme are used to obtain approximate solutions to the stochastic displacement response of Kirchhoff plates with uncertain parameters. Theoretical and numerical results are presented. The Lax-Milgram lemma is used to express the conditions for existence and uniqueness of the solution. Uncertainties in plate and foundation stiffness are modeled by respecting these conditions, hence using Legendre polynomials indexed in uniform random variables. The space of approximate solutions is built using results of density between the space of continuous functions and Sobolev spaces. Approximate Galerkin solutions are compared with results of Monte Carlo simulation, in terms of first and second order moments and in terms of histograms of the displacement response. Numerical results for two example problems show very fast convergence to the exact solution, at excellent accuracies. The Askey-Wiener Galerkin scheme developed herein is able to reproduce the histogram of the displacement response. The scheme is shown to be a theoretically sound and efficient method for the solution of stochastic problems in engineering. (C) 2009 Elsevier Ltd. All rights reserved.
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This paper presents an accurate and efficient solution for the random transverse and angular displacement fields of uncertain Timoshenko beams. Approximate, numerical solutions are obtained using the Galerkin method and chaos polynomials. The Chaos-Galerkin scheme is constructed by respecting the theoretical conditions for existence and uniqueness of the solution. Numerical results show fast convergence to the exact solution, at excellent accuracies. The developed Chaos-Galerkin scheme accurately approximates the complete cumulative distribution function of the displacement responses. The Chaos-Galerkin scheme developed herein is a theoretically sound and efficient method for the solution of stochastic problems in engineering. (C) 2011 Elsevier Ltd. All rights reserved.
Resumo:
The selection criteria for Euler-Bernoulli or Timoshenko beam theories are generally given by means of some deterministic rule involving beam dimensions. The Euler-Bernoulli beam theory is used to model the behavior of flexure-dominated (or ""long"") beams. The Timoshenko theory applies for shear-dominated (or ""short"") beams. In the mid-length range, both theories should be equivalent, and some agreement between them would be expected. Indeed, it is shown in the paper that, for some mid-length beams, the deterministic displacement responses for the two theories agrees very well. However, the article points out that the behavior of the two beam models is radically different in terms of uncertainty propagation. In the paper, some beam parameters are modeled as parameterized stochastic processes. The two formulations are implemented and solved via a Monte Carlo-Galerkin scheme. It is shown that, for uncertain elasticity modulus, propagation of uncertainty to the displacement response is much larger for Timoshenko beams than for Euler-Bernoulli beams. On the other hand, propagation of the uncertainty for random beam height is much larger for Euler beam displacements. Hence, any reliability or risk analysis becomes completely dependent on the beam theory employed. The authors believe this is not widely acknowledged by the structural safety or stochastic mechanics communities. (C) 2010 Elsevier Ltd. All rights reserved.
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In this paper, the Askey-Wiener scheme and the Galerkin method are used to obtain approximate solutions to stochastic beam bending on Winkler foundation. The study addresses Euler-Bernoulli beams with uncertainty in the bending stiffness modulus and in the stiffness of the foundation. Uncertainties are represented by parameterized stochastic processes. The random behavior of beam response is modeled using the Askey-Wiener scheme. One contribution of the paper is a sketch of proof of existence and uniqueness of the solution to problems involving fourth order operators applied to random fields. From the approximate Galerkin solution, expected value and variance of beam displacement responses are derived, and compared with corresponding estimates obtained via Monte Carlo simulation. Results show very fast convergence and excellent accuracies in comparison to Monte Carlo simulation. The Askey-Wiener Galerkin scheme presented herein is shown to be a theoretically solid and numerically efficient method for the solution of stochastic problems in engineering.
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The objective of this paper is to provide and verify simplified models that predict the longitudinal stresses that develop in C-section purlins in uplift. The paper begins with the simple case of flexural stress: where the force has to be applied at the shear center, or the section braced in both flanges. Restrictions on load application point and restraint of the flanges are removed until arriving at the more complex problem of bending when movement of the tension flange alone is restricted, as commonly found in purlin-sheeting systems. Winter`s model for predicting the longitudinal stresses developed due to direct torsion is reviewed, verified, and then extended to cover the case of a bending member with tension flange restraint. The developed longitudinal stresses from flexure and restrained torsion are used to assess the elastic stability behavior of typical purlin-sheeting systems. Finally, strength predictions of typical C-section purlins are provided for existing AISI methods and a newly proposed extension to the direct strength method that employs the predicted longitudinal stress distributions within the strength prediction. (C) 2009 Elsevier Ltd. All rights reserved.
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This communication proposes a simple way to introduce fibers into finite element modelling. This is a promising formulation to deal with fiber-reinforced composites by the finite element method (FEM), as it allows the consideration of short or long fibers placed arbitrarily inside a continuum domain (matrix). The most important feature of the formulation is that no additional degree of freedom is introduced into the pre-existent finite element numerical system to consider any distribution of fiber inclusions. In other words, the size of the system of equations used to solve a non-reinforced medium is the same as the one used to solve the reinforced counterpart. Another important characteristic is the reduced work required by the user to introduce fibers, avoiding `rebar` elements, node-by-node geometrical definitions or even complex mesh generation. An additional characteristic of the technique is the possibility of representing unbounded stresses at the end of fibers using a finite number of degrees of freedom. Further studies are required for non-linear applications in which localization may occur. Along the text the linear formulation is presented and the bounded connection between fibers and continuum is considered. Four examples are presented, including non-linear analysis, to validate and show the capabilities of the formulation. Copyright (c) 2007 John Wiley & Sons, Ltd.
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In the last decades, the air traffic system has been changing to adapt itself to new social demands, mainly the safe growth of worldwide traffic capacity. Those changes are ruled by the Communication, Navigation, Surveillance/Air Traffic Management (CNS/ATM) paradigm, based on digital communication technologies (mainly satellites) as a way of improving communication, surveillance, navigation and air traffic management services. However, CNS/ATM poses new challenges and needs, mainly related to the safety assessment process. In face of these new challenges, and considering the main characteristics of the CNS/ATM, a methodology is proposed at this work by combining ""absolute"" and ""relative"" safety assessment methods adopted by the International Civil Aviation Organization (ICAO) in ICAO Doc.9689 [14], using Fluid Stochastic Petri Nets (FSPN) as the modeling formalism, and compares the safety metrics estimated from the simulation of both the proposed (in analysis) and the legacy system models. To demonstrate its usefulness, the proposed methodology was applied to the ""Automatic Dependent Surveillance-Broadcasting"" (ADS-B) based air traffic control system. As conclusions, the proposed methodology assured to assess CNS/ATM system safety properties, in which FSPN formalism provides important modeling capabilities, and discrete event simulation allowing the estimation of the desired safety metric. (C) 2011 Elsevier Ltd. All rights reserved.
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This work deals with the determination of crack openings in 2D reinforced concrete structures using the Finite Element Method with a smeared rotating crack model or an embedded crack model In the smeared crack model, the strong discontinuity associated with the crack is spread throughout the finite element As is well known, the continuity of the displacement field assumed for these models is incompatible with the actual discontinuity However, this type of model has been used extensively due to the relative computational simplicity it provides by treating cracks in a continuum framework, as well as the reportedly good predictions of reinforced concrete members` structural behavior On the other hand, by enriching the displacement field within each finite element crossed by the crack path, the embedded crack model is able to describe the effects of actual discontinuities (cracks) This paper presents a comparative study of the abilities of these 2D models in predicting the mechanical behavior of reinforced concrete structures Structural responses are compared with experimental results from the literature, including crack patterns, crack openings and rebar stresses predicted by both models
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This paper presents both the theoretical and the experimental approaches of the development of a mathematical model to be used in multi-variable control system designs of an active suspension for a sport utility vehicle (SUV), in this case a light pickup truck. A complete seven-degree-of-freedom model is successfully quickly identified, with very satisfactory results in simulations and in real experiments conducted with the pickup truth. The novelty of the proposed methodology is the use of commercial software in the early stages of the identification to speed up the process and to minimize the need for a large number of costly experiments. The paper also presents major contributions to the identification of uncertainties in vehicle suspension models and in the development of identification methods using the sequential quadratic programming, where an innovation regarding the calculation of the objective function is proposed and implemented. Results from simulations of and practical experiments with the real SUV are presented, analysed, and compared, showing the potential of the method.
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Mechanical blocking of the columnar front during the columnar to equiaxed transition (CET) is studied by quantitatively comparing the CET positions obtained with one stochastic model and two deterministic models for the unidirectional solidification of an Al-7 (wt pct) Si alloy. One of the deterministic models is based on the solutal blocking of the columnar front, whereas the other model is based on the mechanical blocking. The solutal-blocking model and the mechanical-blocking model with the traditional blocking fraction of 0.49 give columnar zones larger than those predicted with the stochastic model. When a blocking fraction of 0.2 is adopted, however, the agreement is very good for a range of nucleation undercoolings and number density of equiaxed grains. Therefore, changing the mechanical-blocking fraction in deterministic models from 0.49 to 0.2 seems to model more accurately the mechanical-blocking process that can lead to the CET.
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This paper addresses the non-preemptive single machine scheduling problem to minimize total tardiness. We are interested in the online version of this problem, where orders arrive at the system at random times. Jobs have to be scheduled without knowledge of what jobs will come afterwards. The processing times and the due dates become known when the order is placed. The order release date occurs only at the beginning of periodic intervals. A customized approximate dynamic programming method is introduced for this problem. The authors also present numerical experiments that assess the reliability of the new approach and show that it performs better than a myopic policy.
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We derive an easy-to-compute approximate bound for the range of step-sizes for which the constant-modulus algorithm (CMA) will remain stable if initialized close to a minimum of the CM cost function. Our model highlights the influence, of the signal constellation used in the transmission system: for smaller variation in the modulus of the transmitted symbols, the algorithm will be more robust, and the steady-state misadjustment will be smaller. The theoretical results are validated through several simulations, for long and short filters and channels.
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The ideal conditions for the operation of tandem cold mills are connected to a set of references generated by models and used by dynamic regulators. Aiming at the optimization of the friction and yield stress coefficients an adaptation algorithm is proposed in this paper. Experimental results obtained from an industrial cold rolling mill are presented. (C) 2008 Elsevier B.V. All rights reserved.
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In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.
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This letter addresses the optimization and complexity reduction of switch-reconfigured antennas. A new optimization technique based on graph models is investigated. This technique is used to minimize the redundancy in a reconfigurable antenna structure and reduce its complexity. A graph modeling rule for switch-reconfigured antennas is proposed, and examples are presented.