A contractive method for computing the stationary solution of the euler equation

A contractive method for computing stationary solutions of intertemporal equilibrium models is provide. The method is is implemented using a contraction mapping derived from the first-order conditions. The deterministic dynamic programming problem is used to illustrate the method. Some numerical examples are performed.

Optimal provision of implicit and explicit incentives in asset management contracts

This paper investigates the importance of the fiow of funds as an implicit incetive provided by investors to portfolio managers in a two-period relationship. We show that the fiow of funds is a powerful incentive in an asset management contract. We build a binomial moral hazard model to explain the main trade-ofIs in the relationship between fiow, fees and performance. The main assumption is that efIort depend" on the combination of implicit and explicit incentives while the probability distrioutioll function of returns depends on efIort. In the case of full commitment, the investor's relevant trade-ofI is to give up expected return in the second period vis-à-vis to induce efIort in the first período The more concerned the investor is with today's payoff. the more willing he will be to give up expected return in the following periods. That is. in the second period, the investor penalizes observed low returns by withdrawing resources from non-performing portfolio managers. Besides, he pays performance fee when the observed excess return is positive. When commitment is not a plausible hypothesis, we consider that the investor also learns some symmetríc and imperfect information about the ability of the manager to generate positive excess returno In this case, observed returns reveal ability as well as efIort choices exerted by the portfolio manager. We show that implicit incentives can explain the fiow-performance relationship and, conversely, endogenous expected return determines incentives provision and define their optimal leveIs. We provide a numerical solution in Matlab that characterize these results.

On the construction of explicit exponential based schemes for Stiff SDEs

Trabalho apresentado Numerical Solution of Differential and Differential-Algebraic Equations (NUMDIFF-14), Halle, 7-11 Sep 2015

Comparison of methodologies for degree-day estimation using numerical methods

O desenvolvimento de projetos relacionados ao desempenho de diversas culturas tem recebido aperfeiçoamento cada vez maior, incorporado a modelos matemáticos sendo indispensável à utilização de equações cada vez mais consistentes que possibilitem previsão e maior aproximação do comportamento real, diminuindo o erro na obtenção das estimativas. Entre as operações unitárias que demandam maior estudo estão aquelas relacionadas com o crescimento da cultura, caracterizadas pela temperatura ideal para o acréscimo de matéria seca. Pelo amplo uso dos métodos matemáticos na representação, análise e obtenção de estimativas de graus-dia, juntamente com a grande importância que a cultura da cana-de-açúcar tem para a economia brasileira, foi realizada uma avaliação dos modelos matemáticos comumente usados e dos métodos numéricos de integração na estimativa da disponibilidade de graus-dia para essa cultura, na região de Botucatu, Estado de São Paulo. Os modelos de integração, com discretização de 6 em 6 h, apresentaram resultados satisfatórios na estimativa de graus-dia. As metodologias tradicionais apresentaram desempenhos satisfatórios quanto à estimativa de grausdia com base na curva de temperatura horária para cada dia e para os agrupamentos de três, sete, 15 e 30 dias. Pelo método numérico de integração, a região de Botucatu, Estado de São Paulo, apresentou disponibilidade térmica anual média de 1.070,6 GD para a cultura da cana-de-açúcar.

Numerical simulation of drop impact and jet buckling problems using the eXtended Pom-Pom model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A fully adaptive multiresolution scheme for shock computations

The scheme is based on Ami Harten's ideas (Harten, 1994), the main tools coming from wavelet theory, in the framework of multiresolution analysis for cell averages. But instead of evolving cell averages on the finest uniform level, we propose to evolve just the cell averages on the grid determined by the significant wavelet coefficients. Typically, there are few cells in each time step, big cells on smooth regions, and smaller ones close to irregularities of the solution. For the numerical flux, we use a simple uniform central finite difference scheme, adapted to the size of each cell. If any of the required neighboring cell averages is not present, it is interpolated from coarser scales. But we switch to ENO scheme in the finest part of the grids. To show the feasibility and efficiency of the method, it is applied to a system arising in polymer-flooding of an oil reservoir. In terms of CPU time and memory requirements, it outperforms Harten's multiresolution algorithm.The proposed method applies to systems of conservation laws in 1Dpartial derivative(t)u(x, t) + partial derivative(x)f(u(x, t)) = 0, u(x, t) is an element of R-m. (1)In the spirit of finite volume methods, we shall consider the explicit schemeupsilon(mu)(n+1) = upsilon(mu)(n) - Deltat/hmu ((f) over bar (mu) - (f) over bar (mu)-) = [Dupsilon(n)](mu), (2)where mu is a point of an irregular grid Gamma, mu(-) is the left neighbor of A in Gamma, upsilon(mu)(n) approximate to 1/mu-mu(-) integral(mu-)(mu) u(x, t(n))dx are approximated cell averages of the solution, (f) over bar (mu) = (f) over bar (mu)(upsilon(n)) are the numerical fluxes, and D is the numerical evolution operator of the scheme.According to the definition of (f) over bar (mu), several schemes of this type have been proposed and successfully applied (LeVeque, 1990). Godunov, Lax-Wendroff, and ENO are some of the popular names. Godunov scheme resolves well the shocks, but accuracy (of first order) is poor in smooth regions. Lax-Wendroff is of second order, but produces dangerous oscillations close to shocks. ENO schemes are good alternatives, with high order and without serious oscillations. But the price is high computational cost.Ami Harten proposed in (Harten, 1994) a simple strategy to save expensive ENO flux calculations. The basic tools come from multiresolution analysis for cell averages on uniform grids, and the principle is that wavelet coefficients can be used for the characterization of local smoothness.. Typically, only few wavelet coefficients are significant. At the finest level, they indicate discontinuity points, where ENO numerical fluxes are computed exactly. Elsewhere, cheaper fluxes can be safely used, or just interpolated from coarser scales. Different applications of this principle have been explored by several authors, see for example (G-Muller and Muller, 1998).Our scheme also uses Ami Harten's ideas. But instead of evolving the cell averages on the finest uniform level, we propose to evolve the cell averages on sparse grids associated with the significant wavelet coefficients. This means that the total number of cells is small, with big cells in smooth regions and smaller ones close to irregularities. This task requires improved new tools, which are described next.

A modified Primal-Dual Logarithmic-Barrier Method for solving the Optimal Power Flow problem with discrete and continuous control variables

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

Predictor-Corrector Primal-Dual Interior Point Method for Solving Economic Dispatch Problems: A Postoptimization Analysis

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

The strut-and-tie models in reinforced concrete structures analysed by a numerical technique

Os modelos de bielas e tirantes são procedimentos de análise apropriados para projetar elementos de concreto armado em casos de regiões onde há alterações geométricas ou concentrações de tensões, denominadas regiões D. Trata-se de bons modelos de representação da estrutura para avaliar melhor o seu comportamento estrutural e seu mecanismo resistente. O presente artigo aplica a técnica da otimização topológica para identificar o fluxo de tensões nas estruturas, definindo a configuração dos membros de bielas e tirantes, e quantifica seus valores para dimensionamento. Utilizam-se o método ESO, e uma variante desse, o SESO (Smoothing ESO) com o método dos elementos finitos em elasticidade plana. A filosofia do SESO baseia-se na observação de que se o elemento não for necessário à estrutura, sua contribuição de rigidez vai diminuindo progressivamente. Isto é, sua remoção é atenuada nos valores da matriz constitutiva, como se este estivesse em processo de danificação. Para validar a presente formulação, apresentam-se alguns exemplos numéricos onde se comparam suas respostas com as advindas de trabalhos científicos pioneiros sobre o assunto.

Determination of the numerical parameters of a continuous damage model for the structural analysis of clay brick masonry

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

A mixture theory based method for three-dimensional modeling of reinforce concrete members with embedded crack finite elements

The paper presents a methodology to model three-dimensional reinforced concrete members by means of embedded discontinuity elements based on the Continuum Strong Discontinuous Approach (CSDA). Mixture theory concepts are used to model reinforced concrete as a 31) composite material constituted of concrete with long fibers (rebars) bundles oriented in different directions embedded in it. The effects of the rebars are modeled by phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bond-slip and dowel action. The paper presents the constitutive models assumed for the components and the compatibility conditions chosen to constitute the composite. Numerical analyses of existing experimental reinforced concrete members are presented, illustrating the applicability of the proposed methodology.

Numerical simulation of magnetic field enhanced plasma immersion ion implantation

The behavior of plasma and sheath characteristics under the action of an applied magnetic field is important in many applications including plasma probes and material processing. Plasma immersion ion implantation (PIII) has been developed as a fast and efficient surface modification technique of complex shaped three-dimensional objects. The PIII process relies on the acceleration of ions across a high-voltage plasma sheath that develops around the target. Recent studies have shown that the sheath dynamics is significantly affected by an external magnetic field. In this work we describe a two-dimensional computer simulation of magnetic field enhanced plasma immersion implantation system. Negative bias voltage is applied to a cylindrical target located on the axis of a grounded cylindrical vacuum chamber filled with uniform nitrogen plasma. An axial magnetic field is created by a solenoid installed inside the cylindrical target. The computer code employs the Monte Carlo method for collision of electrons and neutrals in the plasma and a particle-in-cell (PIC) algorithm for simulating the movement of charged particles in the electromagnetic field. Secondary electron emission from the target subjected to ion bombardment is also included. It is found that a high-density plasma region is formed around the cylindrical target due to the intense background gas ionization by the magnetized electrons drifting in the crossed ExB fields. An increase of implantation current density in front of high density plasma region is observed. (C) 2007 Elsevier B.V. All rights reserved.

Short Lyapunov time: a method for identifying confined chaos

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Interior point method for long-term generation scheduling of large-scale hydrothermal systems

This paper presents an interior point method for the long-term generation scheduling of large-scale hydrothermal systems. The problem is formulated as a nonlinear programming one due to the nonlinear representation of hydropower production and thermal fuel cost functions. Sparsity exploitation techniques and an heuristic procedure for computing the interior point method search directions have been developed. Numerical tests in case studies with systems of different dimensions and inflow scenarios have been carried out in order to evaluate the proposed method. Three systems were tested, with the largest being the Brazilian hydropower system with 74 hydro plants distributed in several cascades. Results show that the proposed method is an efficient and robust tool for solving the long-term generation scheduling problem.

NUMERICAL SIMULATION of THE BEHAVIOR of THE BEHAVIOR of REINFORCED CONCRETE BEAMS and COLUMNS BY FEM CAASTEM 2000 PROGRAM

The objective of this paper is the numerical study of the behavior of reinforced concrete beams and columns by non-linear numerical simulations. The numerical analysis is based on the finite element method implemented in CASTEM 2000. This program uses the constitutive elastoplastic perfect model for the steel, the Drucker-Prager model for the concrete and the Newton-Raphson for the solution of non-linear systems. This work concentrates on the determination of equilibrium curves to the beams and force-strain curves to the columns. The numeric responses are confronted with experimental results found in the literature in order to check there liability of the numerical analyses.