916 resultados para Options (Finance) -- Mathematical models


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A branch and bound algorithm is proposed to solve the H2-norm model reduction problem for continuous-time linear systems, with conditions assuring convergence to the global optimum in finite time. The lower and upper bounds used in the optimization procedure are obtained through Linear Matrix Inequalities formulations. Examples illustrate the results.

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This paper describes an innovative approach to develop the understanding about the relevance of mathematics to computer science. The mathematical subjects are introduced through an application-to-model scheme that lead computer science students to a better understanding of why they have to learn math and learn it effectively. Our approach consists of a single one semester course, taught at the first semester of the program, where the students are initially exposed to some typical computer applications. When they recognize the applications' complexity, the instructor gives the mathematical models supporting such applications, even before a formal introduction to the model in a math course. We applied this approach at Unesp (Brazil) and the results include a large reduction in the rate of students that abandon the college and better students in the final years of our program.

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A study was developed in order to build a function M invariant in time, by means of Hamiltonian's formulation, taking into account the equation associated to the problem, showing that starting from this function the equation of motion of the system with the contour conditions for non-conservative considered problems can be obtained. The Hamiltonian method is extended for these kind of systems in order to validate for non-potential operators through variational approach.

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The problem of dynamic camera calibration considering moving objects in close range environments using straight lines as references is addressed. A mathematical model for the correspondence of a straight line in the object and image spaces is discussed. This model is based on the equivalence between the vector normal to the interpretation plane in the image space and the vector normal to the rotated interpretation plane in the object space. In order to solve the dynamic camera calibration, Kalman Filtering is applied; an iterative process based on the recursive property of the Kalman Filter is defined, using the sequentially estimated camera orientation parameters to feedback the feature extraction process in the image. For the dynamic case, e.g. an image sequence of a moving object, a state prediction and a covariance matrix for the next instant is obtained using the available estimates and the system model. Filtered state estimates can be computed from these predicted estimates using the Kalman Filtering approach and based on the system model parameters with good quality, for each instant of an image sequence. The proposed approach was tested with simulated and real data. Experiments with real data were carried out in a controlled environment, considering a sequence of images of a moving cube in a linear trajectory over a flat surface.

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Substitution of fuzzy logic control in an electrical system normally controlled by proportional-integral frequency was studied and analyzed. A linear model of an electrical system, the concepts which govern the theory of fuzzy logic, and the application of this theory to systems control, are briefly presented. The methodology of fuzzy logic was then applied to develop a model for an electrical energy system. The results of the simulation demonstrated that fuzzy logic control eliminated the area frequency error and permitted that only the area experiencing an increase in charge responds to this variation. Based on the results, it is concluded that control based on fuzzy logic is simple, is easy to maintain, is of low cost, and can be used to substitute traditional velocity controllers.

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In recent years, many researchers in the field of biomedical sciences have made successful use of mathematical models to study, in a quantitative way, a multitude of phenomena such as those found in disease dynamics, control of physiological systems, optimization of drug therapy, economics of the preventive medicine and many other applications. The availability of good dynamic models have been providing means for simulation and design of novel control strategies in the context of biological events. This work concerns a particular model related to HIV infection dynamics which is used to allow a comparative evaluation of schemes for treatment of AIDS patients. The mathematical model adopted in this work was proposed by Nowak & Bangham, 1996 and describes the dynamics of viral concentration in terms of interaction with CD4 cells and the cytotoxic T lymphocytes, which are responsible for the defense of the organism. Two conceptually distinct techniques for drug therapy are analyzed: Open Loop Treatment, where a priori fixed dosage is prescribed and Closed Loop Treatment, where the doses are adjusted according to results obtained by laboratory analysis. Simulation results show that the Closed Loop Scheme can achieve improved quality of the treatment in terms of reduction in the viral load and quantity of administered drugs, but with the inconvenience related to the necessity of frequent and periodic laboratory analysis.

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Unsteady flow of oil and refrigerant gas through radial clearance in rolling piston compressors has been modeled as a heterogeneous mixture, where the properties are determined from the species conservation transport equation coupled with momentum and energy equations. Time variations of pressure, tangential velocity of the rolling piston and radial clearance due to pump setting have been included in the mixture flow model. Those variables have been obtained by modeling the compression process, rolling piston dynamics and by using geometric characteristics of the pump, respectively. An important conclusion concerning this work is the large variation of refrigerant concentration in the oil-filled radial clearance during the compression cycle. That is particularly true for large values of mass flow rates, and for those cases the flow mixture cannot be considered as having uniform concentration. In presence of low mass flow rates homogeneous flow prevail and the mixture tend to have a uniform concentration. In general, it was observed that for calculating the refrigerant mass flow rate using the difference in refrigerant concentration between compression and suction chambers, a time average value for the gas concentration should be used at the clearance inlet.

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The atomic tunneling between two tunnel-coupled Bose-Einstein condensates (BECs) in a double-well time-dependent trap was studied. For the slowly varying trap, synchronization of oscillations of the trap with oscillations of the relative population was predicted. Using the Melnikov approach, the appearance of the chaotic oscillations in the tunneling phenomena between the condensates was confirmed.

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This paper analyzes the thermal storage characteristics of aluminum plates in furnaces during their heating for lamination under two sources of heat: an electrical resistance bank and a combustion process carried out with natural gas. The set of equations to model the furnace under operation with electrical energy, for air as the fluid, is presented. This supports the theoretical analysis for the system under operation with natural gas combustion products. A numerical procedure, using the software ANSYS, is applied to determine the convection heat transfer coefficients for heating by the air flow. Temperatures measured in a plate inside a real furnace are used as parameters to determine these coefficients. Then convection and radiation heat transfer coefficients are determined for the natural gas combustion products. Results are compared, indicating a possible gain of 5.5 h in relation to a 19.5 h period of conventional electrical heating per plate.

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The transient process of solidification of laminar liquid flow (water) submitted to super-cooling was investigated both theoretically and experimentally. In this study an alternative analytical formulation and numerical approach were adopted resulting in the unsteady model with temperature dependent thermophysical properties in the solid region. The proposed model is based upon the fundamental equations of energy balance in the solid and liquid regions as well as across the solidification front. The basic equations and the associated boundary and initial conditions were made dimensionless by using the Landau transformation to immobilize the moving front and render the problem to a fixed plane type problem. A laminar velocity profile is admitted in the liquid domain and the resulting equations were discretized using the finite difference approach. The numerical predictions obtained were compared with the available results based on other models and concepts such as Neumann analytical model, the apparent thermal capacity model due to Bonacina and the conventional fixed grid energy model due to Goodrich. To obtain further comparisons and more validation of the model and the numerical solution, an experimental rig was constructed and instrumented permitting very well controlled experimental measurements. The numerical predictions were compared with the experimental results and the agreement was found satisfactory.

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A nonthermal quantum mechanical statistical fragmentation model based on tunneling of particles through potential barriers is studied in compact two- and three-dimensional systems. It is shown that this fragmentation dynamics gives origin to several static and dynamic scaling relations. The critical exponents are found and compared with those obtained in classical statistical models of fragmentation of general interest, in particular with thermal fragmentation involving classical processes over potential barriers. Besides its general theoretical interest, the fragmentation dynamics discussed here is complementary to classical fragmentation dynamics of interest in chemical kinetics and can be useful in the study of a number of other dynamic processes such as nuclear fragmentation. ©2000 The American Physical Society.

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The application of agricultural fertilizers using variable rates along the field can be made through fertility maps previously elaborated or through real-time sensors. In most of the cases applies maps previously elaborated. These maps are identified from analyzes done in soil samples collected regularly (a sample for each field cell) or irregularly along the field. At the moment, mathematical interpolation methods such as nearest neighbor, local average, weighted inverse distance, contouring and kriging are used for predicting the variables involved with elaboration of fertility maps. However, some of these methods present deficiencies that can generate different fertility maps for a same data set. Moreover, such methods can generate inprecise maps to be used in precision farming. In this paper, artificial neural networks have been applied for elaboration and identification of precise fertility maps which can reduce the production costs and environmental impacts.

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The iterative quadratic maximum likelihood IQML and the method of direction estimation MODE are well known high resolution direction-of-arrival DOA estimation methods. Their solutions lead to an optimization problem with constraints. The usual linear constraint presents a poor performance for certain DOA values. This work proposes a new linear constraint applicable to both DOA methods and compare their performance with two others: unit norm and usual linear constraint. It is shown that the proposed alternative performs better than others constraints. The resulting computational complexity is also investigated.

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Cold-formed steel shapes have been widely employed in steel construction, where they frequently offer a lower cost solution than do traditional laminated shapes. A classic application of cold-formed steel shapes is purlins in the roof panel of industrial buildings, connected to the roof panel by means of screws. The combined effect of these two elements has been the subject of investigations in some countries. Design criteria were included in the AISI Code in 1991 and 1996. This paper presents and discusses the results obtained from bending tests carried out on shapes commonly used in Brazil, i.e., the channel and the simple lipped channel, Tests were carried out on double shapes with 4.5 and 6.0 meter spans, which were subjected to concentrated loads and braced against each other on the supports and at intermediary points in three different load situations. The panel shape was also analyzed experimentally, simulating the action of wind by means of a vacuum box designed specifically for this purpose. The test results were then compared to those obtained through the theoretical analysis, enabling us to extract important information upon which to base proposed design criteria for the new Brazilian code.

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