Rhapsody in fractional

This paper studies several topics related with the concept of “fractional” that are not directly related with Fractional Calculus, but can help the reader in pursuit new research directions. We introduce the concept of non-integer positional number systems, fractional sums, fractional powers of a square matrix, tolerant computing and FracSets, negative probabilities, fractional delay discrete-time linear systems, and fractional Fourier transform.

Modified Discrete PSO to Increase the Delivered Energy Probability in Distribution energy Systems

This paper proposes a PSO based approach to increase the probability of delivering power to any load point by identifying new investments in distribution energy systems. The statistical failure and repair data of distribution components is the main basis of the proposed methodology that uses a fuzzyprobabilistic modeling for the components outage parameters. The fuzzy membership functions of the outage parameters of each component are based on statistical records. A Modified Discrete PSO optimization model is developed in order to identify the adequate investments in distribution energy system components which allow increasing the probability of delivering power to any customer in the distribution system at the minimum possible cost for the system operator. To illustrate the application of the proposed methodology, the paper includes a case study that considers a 180 bus distribution network.

Application of Continuous Wavelet Transform to the Analysis of the Modulus of the Fractional Fourier Transform Bands for Resolving Two Component Mixture

In this paper, the fractional Fourier transform (FrFT) is applied to the spectral bands of two component mixture containing oxfendazole and oxyclozanide to provide the multicomponent quantitative prediction of the related substances. With this aim in mind, the modulus of FrFT spectral bands are processed by the continuous Mexican Hat family of wavelets, being denoted by MEXH-CWT-MOFrFT. Four modulus sets are obtained for the parameter a of the FrFT going from 0.6 up to 0.9 in order to compare their effects upon the spectral and quantitative resolutions. Four linear regression plots for each substance were obtained by measuring the MEXH-CWT-MOFrFT amplitudes in the application of the MEXH family to the modulus of the FrFT. This new combined powerful tool is validated by analyzing the artificial samples of the related drugs, and it is applied to the quality control of the commercial veterinary samples.

Discrete fractional order system vibrations

A theory of free vibrations of discrete fractional order (FO) systems with a finite number of degrees of freedom (dof) is developed. A FO system with a finite number of dof is defined by means of three matrices: mass inertia, system rigidity and FO elements. By adopting a matrix formulation, a mathematical description of FO discrete system free vibrations is determined in the form of coupled fractional order differential equations (FODE). The corresponding solutions in analytical form, for the special case of the matrix of FO properties elements, are determined and expressed as a polynomial series along time. For the eigen characteristic numbers, the system eigen main coordinates and the independent eigen FO modes are determined. A generalized function of visoelastic creep FO dissipation of energy and generalized forces of system with no ideal visoelastic creep FO dissipation of energy for generalized coordinates are formulated. Extended Lagrange FODE of second kind, for FO system dynamics, are also introduced. Two examples of FO chain systems are analyzed and the corresponding eigen characteristic numbers determined. It is shown that the oscillatory phenomena of a FO mechanical chain have analogies to electrical FO circuits. A FO electrical resistor is introduced and its constitutive voltage–current is formulated. Also a function of thermal energy FO dissipation of a FO electrical relation is discussed.

Probabilistic Stereo Egomotion Transform

In this paper we propose a novel fully probabilistic solution to the stereo egomotion estimation problem. We extend the notion of probabilistic correspondence to the stereo case which allow us to compute the whole 6D motion information in a probabilistic way. We compare the developed approach against other known state-of-the-art methods for stereo egomotion estimation, and the obtained results compare favorably both for the linear and angular velocities estimation.

Dynamic delta hedging of autocallables under a discrete rebalancing context

This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.

On the pricing of bivariate options in the presence of a discrete dividend payment

A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper

The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend

This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.

Analytical modelling of bacterial migration and accumulation with rate-limited sorption in discrete fractures

An analytical model for bacterial accumulation in a discrete fractllre has been developed. The transport and accumlllation processes incorporate into the model include advection, dispersion, rate-limited adsorption, rate-limited desorption, irreversible adsorption, attachment, detachment, growth and first order decay botl1 in sorbed and aqueous phases. An analytical solution in Laplace space is derived and nlln1erically inverted. The model is implemented in the code BIOFRAC vvhich is written in Fortran 99. The model is derived for two phases, Phase I, where adsorption-desorption are dominant, and Phase II, where attachment-detachment are dominant. Phase I ends yvhen enollgh bacteria to fully cover the substratllm have accllillulated. The model for Phase I vvas verified by comparing to the Ogata-Banks solution and the model for Phase II was verified by comparing to a nonHomogenous version of the Ogata-Banks solution. After verification, a sensitiv"ity analysis on the inpllt parameters was performed. The sensitivity analysis was condllcted by varying one inpllt parameter vvhile all others were fixed and observing the impact on the shape of the clirve describing bacterial concentration verSllS time. Increasing fracture apertllre allovvs more transport and thus more accllffilliation, "Vvhich diminishes the dllration of Phase I. The larger the bacteria size, the faster the sllbstratum will be covered. Increasing adsorption rate, was observed to increase the dllration of Phase I. Contrary to the aSSllmption ofllniform biofilm thickness, the accllffilliation starts frOll1 the inlet, and the bacterial concentration in aqlleous phase moving towards the olitiet declines, sloyving the accumulation at the outlet. Increasing the desorption rate, redllces the dliration of Phase I, speeding IIp the accllmlilation. It was also observed that Phase II is of longer duration than Phase I. Increasing the attachment rate lengthens the accliffililation period. High rates of detachment speeds up the transport. The grovvth and decay rates have no significant effect on transport, althollgh increases the concentrations in both aqueous and sorbed phases are observed. Irreversible adsorption can stop accllillulation completely if the vallIes are high.

A composite discrete traction vector.

Tesis (Maestría en Ciencias con Orientación en Ingeniería Estructural) UANL, 2013.

A Representation Theorem for Domains with Discrete and Continuous Variables.

This paper proves a new representation theorem for domains with both discrete and continuous variables. The result generalizes Debreu's well-known representation theorem on connected domains. A strengthening of the standard continuity axiom is used in order to guarantee the existence of a representation. A generalization of the main theorem and an application of the more general result are also presented.

Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions.

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such tests (under nonparametric assumptions) by using permutational versions of the tests jointly with the method of Monte Carlo tests properly adjusted to deal with discrete distributions. We also propose a combined test procedure, whose level is again perfectly controlled through the Monte Carlo test technique and has better power properties than the individual tests that are combined. Finally, in a simulation experiment, we show that the technique suggested provides perfect control of test size and that the new tests proposed can yield sizeable power improvements.

Aumann-Shapley Pricing : A Reconsideration of the Discrete Case

We reconsider the following cost-sharing problem: agent i = 1,...,n demands a quantity xi of good i; the corresponding total cost C(x1,...,xn) must be shared among the n agents. The Aumann-Shapley prices (p1,...,pn) are given by the Shapley value of the game where each unit of each good is regarded as a distinct player. The Aumann-Shapley cost-sharing method assigns the cost share pixi to agent i. When goods come in indivisible units, we show that this method is characterized by the two standard axioms of Additivity and Dummy, and the property of No Merging or Splitting: agents never find it profitable to split or merge their demands.

The dynamics of sustained reentry in a loop model with discrete gap junction resistance

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal.