The credit risk(+) model with general sector correlations

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

On the order of the fractional Laplacian in determining the spatio-temporal evolution of a space-fractional model of cardiac electrophysiology

Space-fractional operators have been used with success in a variety of practical applications to describe transport processes in media characterised by spatial connectivity properties and high structural heterogeneity altering the classical laws of diffusion. This study provides a systematic investigation of the spatio-temporal effects of a space-fractional model in cardiac electrophysiology. We consider a simplified model of electrical pulse propagation through cardiac tissue, namely the monodomain formulation of the Beeler-Reuter cell model on insulated tissue fibres, and obtain a space-fractional modification of the model by using the spectral definition of the one-dimensional continuous fractional Laplacian. The spectral decomposition of the fractional operator allows us to develop an efficient numerical method for the space-fractional problem. Particular attention is paid to the role played by the fractional operator in determining the solution behaviour and to the identification of crucial differences between the non-fractional and the fractional cases. We find a positive linear dependence of the depolarization peak height and a power law decay of notch and dome peak amplitudes for decreasing orders of the fractional operator. Furthermore, we establish a quadratic relationship in conduction velocity, and quantify the increasingly wider action potential foot and more pronounced dispersion of action potential duration, as the fractional order is decreased. A discussion of the physiological interpretation of the presented findings is made.

Net radiation dynamics: performance of 20 daily net radiation models as related to model structure and intricacy in two climates.

We compared daily net radiation (Rn) estimates from 19 methods with the ASCE-EWRI Rn estimates in two climates: Clay Center, Nebraska (sub-humid) and Davis, California (semi-arid) for the calendar year. The performances of all 20 methods, including the ASCE-EWRI Rn method, were then evaluated against Rn data measured over a non-stressed maize canopy during two growing seasons in 2005 and 2006 at Clay Center. Methods differ in terms of inputs, structure, and equation intricacy. Most methods differ in estimating the cloudiness factor, emissivity (e), and calculating net longwave radiation (Rnl). All methods use albedo (a) of 0.23 for a reference grass/alfalfa surface. When comparing the performance of all 20 Rn methods with measured Rn, we hypothesized that the a values for grass/alfalfa and non-stressed maize canopy were similar enough to only cause minor differences in Rn and grass- and alfalfa-reference evapotranspiration (ETo and ETr) estimates. The measured seasonal average a for the maize canopy was 0.19 in both years. Using a = 0.19 instead of a = 0.23 resulted in 6% overestimation of Rn. Using a = 0.19 instead of a = 0.23 for ETo and ETr estimations, the 6% difference in Rn translated to only 4% and 3% differences in ETo and ETr, respectively, supporting the validity of our hypothesis. Most methods had good correlations with the ASCE-EWRI Rn (r2 > 0.95). The root mean square difference (RMSD) was less than 2 MJ m-2 d-1 between 12 methods and the ASCE-EWRI Rn at Clay Center and between 14 methods and the ASCE-EWRI Rn at Davis. The performance of some methods showed variations between the two climates. In general, r2 values were higher for the semi-arid climate than for the sub-humid climate. Methods that use dynamic e as a function of mean air temperature performed better in both climates than those that calculate e using actual vapor pressure. The ASCE-EWRI-estimated Rn values had one of the best agreements with the measured Rn (r2 = 0.93, RMSD = 1.44 MJ m-2 d-1), and estimates were within 7% of the measured Rn. The Rn estimates from six methods, including the ASCE-EWRI, were not significantly different from measured Rn. Most methods underestimated measured Rn by 6% to 23%. Some of the differences between measured and estimated Rn were attributed to the poor estimation of Rnl. We conducted sensitivity analyses to evaluate the effect of Rnl on Rn, ETo, and ETr. The Rnl effect on Rn was linear and strong, but its effect on ETo and ETr was subsidiary. Results suggest that the Rn data measured over green vegetation (e.g., irrigated maize canopy) can be an alternative Rn data source for ET estimations when measured Rn data over the reference surface are not available. In the absence of measured Rn, another alternative would be using one of the Rn models that we analyzed when all the input variables are not available to solve the ASCE-EWRI Rn equation. Our results can be used to provide practical information on which method to select based on data availability for reliable estimates of daily Rn in climates similar to Clay Center and Davis.

Self-tuning control of a class of multivariable non-linear systems

Self-tuning is applied to the minimum variance control of non-linear multivariable systems which can be characterized by a ' multivariable Hammerstein model '. It is also shown that such systems are not amenable to self-tuning control if control costing is to be included in the performance criterion.

Theoretical study of a 16-µm CO2 downstream-mixing gasdynamic laser: A two-dimensional approach

A 16-µm CO2-N2 downstream-mixing gasdynamic laser, where a cold CO2 stream is mixed with a vibrationally excited N2 stream at the exit of the nozzle, is studied theoretically. The flow field is analyzed using a two-dimensional, unsteady, laminar and viscous flow model including appropriate finite-rate vibrational kinetic equations. The analysis showed that local small-signal gain up to 21.75 m−1 can be obtained for a N2 reservoir temperature of 2000 K and a velocity ratio of 1:1 between the CO2 and N2 mixing streams. Applied Physics Letters is copyrighted by The American Institute of Physics.

Prediction of breeding values for average fruit weight in mango using a multivariate individual mixed model

Mango is an important horticultural fruit crop and breeding is a key strategy to improve ongoing sustainability. Knowledge of breeding values of potential parents is important for maximising progress from breeding. This study successfully employed a mixed linear model methods incorporating a pedigree to predict breeding values for average fruit weight from highly unbalanced data for genotypes planted over three field trials and assessed over several harvest seasons. Average fruit weight was found to be under strong additive genetic control. There was high correlation between hybrids propagated as seedlings and hybrids propagated as scions grafted onto rootstocks. Estimates of additive genetic correlation among trials ranged from 0.69 to 0.88 with correlations among harvest seasons within trials greater than 0.96. These results suggest that progress from selection for broad adaptation can be achieved, particularly as no repeatable environmental factor that could be used to predict G x E could be identified. Predicted breeding values for 35 known cultivars are presented for use in ongoing breeding programs.

Identification of a class of non-linear systems

This paper considers the on-line identification of a non-linear system in terms of a Hammerstein model, with a zero-memory non-linear gain followed by a linear system. The linear part is represented by a Laguerre expansion of its impulse response and the non-linear part by a polynomial. The identification procedure involves determination of the coefficients of the Laguerre expansion of correlation functions and an iterative adjustment of the parameters of the non-linear gain by gradient methods. The method is applicable to situations involving a wide class of input signals. Even in the presence of additive correlated noise, satisfactory performance is achieved with the variance of the error converging to a value close to the variance of the noise. Digital computer simulation establishes the practicability of the scheme in different situations.

The nonequilibrium region of a mixing layer

Experiments were conducted in the nonequilibrium region of a free mixing layer with unequal freestream velocities. Four velocity ratios U(1)/U(2) of 0.32, 0.46, 0.74, and 0.96 were used in this investigation. The growth of the shear layer as well as the velocity adjustment in the near wake were examined. There was reasonable agreement between the measured mean velocity profiles and those computed using the K-epsilon turbulence model. Some periodic turbulence velocity fluctuations were observed in the mixing layer, but their frequency remained the same along the flow.

Noncommutative Quantum Field Theories and UV/IR Mixing

Our present-day understanding of fundamental constituents of matter and their interactions is based on the Standard Model of particle physics, which relies on quantum gauge field theories. On the other hand, the large scale dynamical behaviour of spacetime is understood via the general theory of relativity of Einstein. The merging of these two complementary aspects of nature, quantum and gravity, is one of the greatest goals of modern fundamental physics, the achievement of which would help us understand the short-distance structure of spacetime, thus shedding light on the events in the singular states of general relativity, such as black holes and the Big Bang, where our current models of nature break down. The formulation of quantum field theories in noncommutative spacetime is an attempt to realize the idea of nonlocality at short distances, which our present understanding of these different aspects of Nature suggests, and consequently to find testable hints of the underlying quantum behaviour of spacetime. The formulation of noncommutative theories encounters various unprecedented problems, which derive from their peculiar inherent nonlocality. Arguably the most serious of these is the so-called UV/IR mixing, which makes the derivation of observable predictions especially hard by causing new tedious divergencies, to which our previous well-developed renormalization methods for quantum field theories do not apply. In the thesis I review the basic mathematical concepts of noncommutative spacetime, different formulations of quantum field theories in the context, and the theoretical understanding of UV/IR mixing. In particular, I put forward new results to be published, which show that also the theory of quantum electrodynamics in noncommutative spacetime defined via Seiberg-Witten map suffers from UV/IR mixing. Finally, I review some of the most promising ways to overcome the problem. The final solution remains a challenge for the future.

Active vibration suppression of non-linear beams using optimal dynamic inversion

Euler–Bernoulli beams are distributed parameter systems that are governed by a non-linear partial differential equation (PDE) of motion. This paper presents a vibration control approach for such beams that directly utilizes the non-linear PDE of motion, and hence, it is free from approximation errors (such as model reduction, linearization etc.). Two state feedback controllers are presented based on a newly developed optimal dynamic inversion technique which leads to closed-form solutions for the control variable. In one formulation a continuous controller structure is assumed in the spatial domain, whereas in the other approach it is assumed that the control force is applied through a finite number of discrete actuators located at predefined discrete locations in the spatial domain. An implicit finite difference technique with unconditional stability has been used to solve the PDE with control actions. Numerical simulation studies show that the beam vibration can effectively be decreased using either of the two formulations.

Study of linear and nonlinear optical properties of dendrimers using density matrix renormalization group method

We have used the density matrix renormalization group (DMRG) method to study the linear and nonlinear optical responses of first generation nitrogen based dendrimers with donor acceptor groups. We have employed Pariser–Parr–Pople Hamiltonian to model the interacting pi electrons in these systems. Within the DMRG method we have used an innovative scheme to target excited states with large transition dipole to the ground state. This method reproduces exact optical gaps and polarization in systems where exact diagonalization of the Hamiltonian is possible. We have used a correction vector method which tacitly takes into account the contribution of all excited states, to obtain the ground state polarizibility, first hyperpolarizibility, and two photon absorption cross sections. We find that the lowest optical excitations as well as the lowest excited triplet states are localized. It is interesting to note that the first hyperpolarizibility saturates more rapidly with system size compared to linear polarizibility unlike that of linear polyenes.

Determination of the optically equivalent model in three-dimensional photoelasticity

Any stressed photoelastic medium can be reduced to an optically equivalent model consisting of a linear retarder, with retardation 1 and principal axis at azimuth 1, and a pure rotator of power 2. The paper describes two simple methods to determine these quantities experimentally. Further, a method is described to overcome the problem of rotational effects in scattered-light investigations. This new method makes use of the experimentally determined characteristic parameters

On linear order and computation : The expressiveness of interactive computations on linear orders and computations indexed by ordinals

We solve the Dynamic Ehrenfeucht-Fra\"iss\'e Game on linear orders for both players, yielding a normal form for quantifier-rank equivalence classes of linear orders in first-order logic, infinitary logic, and generalized-infinitary logics with linearly ordered clocks. We show that Scott Sentences can be manipulated quickly, classified into local information, and consistency can be decided effectively in the length of the Scott Sentence. We describe a finite set of linked automata moving continuously on a linear order. Running them on ordinals, we compute the ordinal truth predicate and compute truth in the constructible universe of set-theory. Among the corollaries are a study of semi-models as efficient database of both model-theoretic and formulaic information, and a new proof of the atomicity of the Boolean algebra of sentences consistent with the theory of linear order -- i.e., that the finitely axiomatized theories of linear order are dense.

On a generalized dynamic model of bi-state social interaction processes

A non-linear model, construed as a generalized version of the models put forth earlier for the study of bi-state social interaction processes, is proposed in this study. The feasibility of deriving the dynamics of such processes is demonstrated by establishing equivalence between the non-linear model and a higher order linear model.

An improved simulation model to predict pre-harvest aflatoxin risk in maize

Aflatoxin is a potent carcinogen produced by Aspergillus flavus, which frequently contaminates maize (Zea mays L.) in the field between 40° north and 40° south latitudes. A mechanistic model to predict risk of pre-harvest contamination could assist in management of this very harmful mycotoxin. In this study we describe an aflatoxin risk prediction model which is integrated with the Agricultural Production Systems Simulator (APSIM) modelling framework. The model computes a temperature function for A. flavus growth and aflatoxin production using a set of three cardinal temperatures determined in the laboratory using culture medium and intact grains. These cardinal temperatures were 11.5 °C as base, 32.5 °C as optimum and 42.5 °C as maximum. The model used a low (≤0.2) crop water supply to demand ratio—an index of drought during the grain filling stage to simulate maize crop's susceptibility to A. flavus growth and aflatoxin production. When this low threshold of the index was reached the model converted the temperature function into an aflatoxin risk index (ARI) to represent the risk of aflatoxin contamination. The model was applied to simulate ARI for two commercial maize hybrids, H513 and H614D, grown in five multi-location field trials in Kenya using site specific agronomy, weather and soil parameters. The observed mean aflatoxin contamination in these trials varied from <1 to 7143 ppb. ARI simulated by the model explained 99% of the variation (p ≤ 0.001) in a linear relationship with the mean observed aflatoxin contamination. The strong relationship between ARI and aflatoxin contamination suggests that the model could be applied to map risk prone areas and to monitor in-season risk for genotypes and soils parameterized for APSIM.