Semi-Lagrange time integration for PDE models of asian options

Semi-Lagrange time integration is used with the finite difference method to provide accurate stable prices for Asian options, with or without early exercise. These are combined with coordinate transformations for computational efficiency and compared with published results

A hybrid Laplace transform/finite difference boundary element method for diffusion problems

The solution process for diffusion problems usually involves the time development separately from the space solution. A finite difference algorithm in time requires a sequential time development in which all previous values must be determined prior to the current value. The Stehfest Laplace transform algorithm, however, allows time solutions without the knowledge of prior values. It is of interest to be able to develop a time-domain decomposition suitable for implementation in a parallel environment. One such possibility is to use the Laplace transform to develop coarse-grained solutions which act as the initial values for a set of fine-grained solutions. The independence of the Laplace transform solutions means that we do indeed have a time-domain decomposition process. Any suitable time solver can be used for the fine-grained solution. To illustrate the technique we shall use an Euler solver in time together with the dual reciprocity boundary element method for the space solution

Time-dependent modelling and experimental validation of the metal/flux interface in a continuous casting mould

A finite volume computer model of the continuous casting process for steel flat products has been developed. In this first stage, the model concentrates on the hydrodynamic aspects of the process and in particular the dynamic behavior of the metal/slag interface. The model was validated against experimental measurements obtained in a water model apparatus.

Ultra-wideband cognitive interrogator network for indoor location tracking - part 1: system architecture and network performance analysis

We explore the potential application of cognitive interrogator network (CIN) in remote monitoring of mobile subjects in domestic environments, where the ultra-wideband radio frequency identification (UWB-RFID) technique is considered for accurate source localization. We first present the CIN architecture in which the central base station (BS) continuously and intelligently customizes the illumination modes of the distributed transceivers in response to the systempsilas changing knowledge of the channel conditions and subject movements. Subsequently, the analytical results of the locating probability and time-of-arrival (TOA) estimation uncertainty for a large-scale CIN with randomly distributed interrogators are derived based upon the implemented cognitive intelligences. Finally, numerical examples are used to demonstrate the key effects of the proposed cognitions on the system performance

Particle Image Velocimetry Investigation of a finite amplitude pressure wave

Particle image velocimetry is used to study the motion of gas within a duct subject to the passage of a finite amplitude pressure wave. The wave is representative of the pressure waves found in the exhaust systems of internal combustion engines. Gas particles are accelerated from stationary to 150 m/s and then back to stationary in 8 ms. It is demonstrated that gas particles at the head of the wave travel at the same velocity across the duct cross section at a given point in time. Towards the tail of the wave viscous effects are plainly evident causing the flow profile to tend towards parabolic. However, the instantaneous mean particle velocity across the section is shown to match well with the velocity calculated from a corresponding measured pressure history using 1D gas dynamic theory. The measured pressure history at a point in the duct was acquired using a high speed pressure transducer of the type typically used for engine research in intake and exhaust systems. It is demonstrated that these are unable to follow the rapid changes in pressure accurately and that they are prone to resonate under certain circumstances.

A discrete time-dependent method for metastable atoms and molecules in intense fields

The full-dimensional time-dependent Schrodinger equation for the electronic dynamics of single-electron systems in intense external fields is solved directly using a discrete method. Our approach combines the finite-difference and Lagrange mesh methods. The method is applied to calculate the quasienergies and ionization probabilities of atomic and molecular systems in intense static and dynamic electric fields. The gauge invariance and accuracy of the method is established. Applications to multiphoton ionization of positronium, the hydrogen atom and the hydrogen molecular ion are presented. At very high laser intensity, above the saturation threshold, we extend the method using a scaling technique to estimate the quasienergies of metastable states of the hydrogen molecular ion. The results are in good agreement with recent experiments. (C) 2004 American Institute of Physics.

Design Methodology for Real-Time FPGA-Based Sound Synthesis

Explicit finite difference (FD) schemes can realise highly realistic physical models of musical instruments but are computationally complex. A design methodology is presented for the creation of FPGA-based micro-architectures for FD schemes which can be applied to a range of applications with varying computational requirements, excitation and output patterns and boundary conditions. It has been applied to membrane and plate-based sound producing models, resulting in faster than real-time performance on a Xilinx XC2VP50 device which is 10 to 35 times faster than general purpose and DSP processors. The models have developed in such a way to allow a wide range of interaction (by a musician) thereby leading to the possibility of creating a highly realistic digital musical instrument.

Target Detection and Tracking With Heterogeneous Sensors

We present a multimodal detection and tracking algorithm for sensors composed of a camera mounted between two microphones. Target localization is performed on color-based change detection in the video modality and on time difference of arrival (TDOA) estimation between the two microphones in the audio modality. The TDOA is computed by multiband generalized cross correlation (GCC) analysis. The estimated directions of arrival are then postprocessed using a Riccati Kalman filter. The visual and audio estimates are finally integrated, at the likelihood level, into a particle filter (PF) that uses a zero-order motion model, and a weighted probabilistic data association (WPDA) scheme. We demonstrate that the Kalman filtering (KF) improves the accuracy of the audio source localization and that the WPDA helps to enhance the tracking performance of sensor fusion in reverberant scenarios. The combination of multiband GCC, KF, and WPDA within the particle filtering framework improves the performance of the algorithm in noisy scenarios. We also show how the proposed audiovisual tracker summarizes the observed scene by generating metadata that can be transmitted to other network nodes instead of transmitting the raw images and can be used for very low bit rate communication. Moreover, the generated metadata can also be used to detect and monitor events of interest.

Amplitude banded RLS approach to time variant channel equalization

This paper proposes a non-linear adaptive algorithm, the amplitude banded RLS (ABRLS) algorithm, as an adaptation procedure for time variant channel equalizers. In the ABRLS algorithm, a coefficient matrix is updated based on the amplitude level of the received sequence. To enhance the capability of tracking for the ABRLS algorithm, a parallel adaptation scheme is utilized which involves the structures of decision feedback equalizer (DFE). Computer simulations demonstrate that the novel ABRLS based equalizer provides a significant improvement relative to the conventional RLS DFE on a rapidly time variant communication channel.

Convergence and tracking analysis of a variable normalised LMF (XE-NLMF) algorithm

The least-mean-fourth (LMF) algorithm is known for its fast convergence and lower steady state error, especially in sub-Gaussian noise environments. Recent work on normalised versions of the LMF algorithm has further enhanced its stability and performance in both Gaussian and sub-Gaussian noise environments. For example, the recently developed normalised LMF (XE-NLMF) algorithm is normalised by the mixed signal and error powers, and weighted by a fixed mixed-power parameter. Unfortunately, this algorithm depends on the selection of this mixing parameter. In this work, a time-varying mixed-power parameter technique is introduced to overcome this dependency. A convergence analysis, transient analysis, and steady-state behaviour of the proposed algorithm are derived and verified through simulations. An enhancement in performance is obtained through the use of this technique in two different scenarios. Moreover, the tracking analysis of the proposed algorithm is carried out in the presence of two sources of nonstationarities: (1) carrier frequency offset between transmitter and receiver and (2) random variations in the environment. Close agreement between analysis and simulation results is obtained. The results show that, unlike in the stationary case, the steady-state excess mean-square error is not a monotonically increasing function of the step size. (c) 2007 Elsevier B.V. All rights reserved.

Power-Combining Class-E Amplifier With Finite Choke

A recently introduced power-combining scheme for a Class-E amplifier is, for the first time, experimentally validated in this paper. A small value choke of 2.2 nH was used to substitute for the massive dc-feed inductance required in the classic Class-E circuit. The power-combining amplifier presented, which operates from a 3.2-V dc supply voltage, is shown to be able to deliver a 24-dBm output power and a 9.5-dB gain, with 64% drain efficiency and 57% power-added efficiency at 2.4 GHz. The power amplifier exhibits a 350-MHz bandwidth within which a drain efficiency that is better than 60% and an output power that is higher than 22 dBm were measured. In addition, by adopting three-harmonic termination strategy, excellent second-and third-harmonic suppression levels of 50 and 46 dBc, respectively, were obtained. The complete design cycle from analysis through fabrication to characterization is explained. © 2010 IEEE.

A finite element solution scheme for an elastic–viscoplastic soil model

A Newton–Raphson solution scheme with a stress point algorithm is presented for the implementation of an elastic–viscoplastic soilmodel in a finite element program. Viscoplastic strain rates are calculated using the stress and volumetric states of the soil. Sub-incrementsof time are defined for each iterative calculation of elastic–viscoplastic stress changes so that their sum adds up to the time incrementfor the load step. This carefully defined ‘iterative time’ ensures that the correct amount of viscoplastic straining is accumulated overthe applied load step. The algorithms and assumptions required to implement the solution scheme are provided. Verification of the solutionscheme is achieved by using it to analyze typical boundary value problems.

Wildlife tracking data management: a new vision

To date, the processing of wildlife location data has relied on a diversity of software and file formats. Data management and the following spatial and statistical analyses were undertaken in multiple steps, involving many time-consuming importing/exporting phases. Recent technological advancements in tracking systems have made large, continuous, high-frequency datasets of wildlife behavioral data available, such as those derived from the global positioning system (GPS) and other animal-attached sensor devices. These data can be further complemented by a wide range of other information about the animals’ environment. Management of these large and diverse datasets for modelling animal behaviour and ecology can prove challenging, slowing down analysis and increasing the probability of mistakes in data handling. We address these issues by critically evaluating the requirements for good management of GPS data for wildlife biology. We highlight that dedicated data management tools and expertise are needed. We explore current research in wildlife data management. We suggest a general direction of development, based on a modular software architecture with a spatial database at its core, where interoperability, data model design and integration with remote-sensing data sources play an important role in successful GPS data handling.

Passive intermodulation in finite lengths of printed microstrip lines

This paper addresses the theoretical aspects of passive intermodulation (PIM) generation in printed transmission lines. In order to elucidate the mechanisms of PIM generation, a new model of the transmission line length with distributed nonlinearity is proposed. The developed model has been validated by the near-field measurements of PIM product distributions along the microstrip lines. The contributions of nonlinear mixing, power dissipation, and load matching to PIM products have been analyzed in detail. The obtained results reveal the fundamental properties of PIM generation in finite lengths of printed lines with distributed non-linearity and identify possible means for PIM mitigation. It was shown for the first time that the reverse PIM products in a matched transmission line with distributed nonlinearity are generated due to nonlinear scattering. © 2008 IEEE.

PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION

The consideration of the limit theory in which T is fixed and N is allowed to go to infinity improves the finite-sample properties of the tests and avoids the imposition of the relative rates at which T and N go to infinity.