952 resultados para Hyperbolic smoothing


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Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively. Essentially, it is an on-line or "forward only" implementation of a forward filtering backward smoothing SMC algorithm proposed by Doucet, Godsill and Andrieu (2000). Compared to the standard \emph{path space} SMC estimator whose asymptotic variance increases quadratically with time even under favorable mixing assumptions, the non asymptotic variance of the proposed SMC estimator only increases linearly with time. We show how this allows us to perform recursive parameter estimation using an SMC implementation of an on-line version of the Expectation-Maximization algorithm which does not suffer from the particle path degeneracy problem.

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We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce stochastic hyperbolic preferences as in Harris and Laibson (2013) and find closed-form solutions for Merton's optimal consumption and portfolio selection problem in continuous time. We find that the portfolio rule remains identical to the time-consistent solution with power utility and no borrowing constraints. However,the marginal propensity to consume out of wealth is unambiguously greater than the time-consistent, exponential case and,importantly, it is also more responsive to changes in risk. These results suggest that hyperbolic discounting with sophisticated agents offers promise for contributing to explaining important aspects of asset market data.

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The effects of complex boundary conditions on flows are represented by a volume force in the immersed boundary methods. The problem with this representation is that the volume force exhibits non-physical oscillations in moving boundary simulations. A smoothing technique for discrete delta functions has been developed in this paper to suppress the non-physical oscillations in the volume forces. We have found that the non-physical oscillations are mainly due to the fact that the derivatives of the regular discrete delta functions do not satisfy certain moment conditions. It has been shown that the smoothed discrete delta functions constructed in this paper have one-order higher derivative than the regular ones. Moreover, not only the smoothed discrete delta functions satisfy the first two discrete moment conditions, but also their derivatives satisfy one-order higher moment condition than the regular ones. The smoothed discrete delta functions are tested by three test cases: a one-dimensional heat equation with a moving singular force, a two-dimensional flow past an oscillating cylinder, and the vortex-induced vibration of a cylinder. The numerical examples in these cases demonstrate that the smoothed discrete delta functions can effectively suppress the non-physical oscillations in the volume forces and improve the accuracy of the immersed boundary method with direct forcing in moving boundary simulations.