Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

A coupled SPH-DEM model for micro-scale structural deformations of plant cells during drying

A single plant cell was modeled with smoothed particle hydrodynamics (SPH) and a discrete element method (DEM) to study the basic micromechanics that govern the cellular structural deformations during drying. This two-dimensional particle-based model consists of two components: a cell fluid model and a cell wall model. The cell fluid was approximated to a highly viscous Newtonian fluid and modeled with SPH. The cell wall was treated as a stiff semi-permeable solid membrane with visco-elastic properties and modeled as a neo-Hookean solid material using a DEM. Compared to existing meshfree particle-based plant cell models, we have specifically introduced cell wall–fluid attraction forces and cell wall bending stiffness effects to address the critical shrinkage characteristics of the plant cells during drying. Also, a moisture domain-based novel approach was used to simulate drying mechanisms within the particle scheme. The model performance was found to be mainly influenced by the particle resolution, initial gap between the outermost fluid particles and wall particles and number of particles in the SPH influence domain. A higher order smoothing kernel was used with adaptive smoothing length to improve the stability and accuracy of the model. Cell deformations at different states of cell dryness were qualitatively and quantitatively compared with microscopic experimental findings on apple cells and a fairly good agreement was observed with some exceptions. The wall–fluid attraction forces and cell wall bending stiffness were found to be significantly improving the model predictions. A detailed sensitivity analysis was also done to further investigate the influence of wall–fluid attraction forces, cell wall bending stiffness, cell wall stiffness and the particle resolution. This novel meshfree based modeling approach is highly applicable for cellular level deformation studies of plant food materials during drying, which characterize large deformations.

Finite element modeling of carbon fibre reinforced polymer (CFRP) strengthened steel tubes under axial impact

Steel hollow sections used in structures such as bridges, buildings and space structures involve different strengthening techniques according to their structural purpose and shape of the structural member. One such technique is external bonding of CFRP sheets to steel tubes. The performance of CFRP strengthening for steel structures has been proven under static loading while limited studies have been conducted on their behaviour under impact loading. In this study, a comprehensive numerical investigation is carried out to evaluate the response of CFRP strengthened steel tubes under dynamic axial impact loading. Impact force, axial deformation impact velocities are studied. The results of the numerical investigations are validated by experimental results. Based on the developed finite element (FE) model several output parameters are discussed. The results show that CFRP wrapping is an effective strengthening technique to increase the axial dynamic load bearing capacity by increasing the stiffness of the steel tube.

Numerical modeling of railway track supporting system using finite–infinite and thin layer elements

The present contribution deals with the numerical modelling of railway track-supporting systems-using coupled finite-infinite elements-to represent the near and distant field stress distribution, and also employing a thin layer interface element to account for the interfacial behaviour between sleepers and ballast. To simulate the relative debonding, slipping and crushing at the contact area between sleepers and ballast, a modified Mohr-Coulomb criterion was adopted. Further more an attempt was made to consider the elasto plastic materials’ non-linearity of the railway track supporting media by employing different constitutive models to represent steel, concrete and other supporting materials. It is seen that during an incremental-iterative mode of load application, the yielding initially started from the edge of the sleepers and then flowed vertically downwards and spread towards the centre of the railway supporting system.

Influence of structural sealant joints on the blast performance of laminated glass panels

This paper investigates the influence of structural sealant joints on the blast performance of laminated glass (LG) panels, using a comprehensive numerical procedure. A parametric study was carried out by varying the width, thickness and the Young’s modulus (E) of the structural silicone sealant joints and the behavior of the LG panel was studied under two different blast loads. Results show that these parameters influence the blast response of LG panels, especially under the higher blast load. Sealant joints that are thicker, have smaller widths and lower E values increase the flexibility at the supports and hence increase the energy absorption of the LG panel while reducing the support reactions. Results also confirmed that sealant joints designed according to current standards perform well under blast loads. Modeling techniques presented in this paper could be used to complement and supplement the guidance in existing design standards. The new information generated in this paper will contribute towards safer and more economical designs of entire facade systems including window glazing, frames and supporting structures.

Mathematical modeling for improved greenhouse gas balances, agro-ecosystems, and policy development: Lessons from the Australian experience

If the land sector is to make significant contributions to mitigating anthropogenic greenhouse gas (GHG) emissions in coming decades, it must do so while concurrently expanding production of food and fiber. In our view, mathematical modeling will be required to provide scientific guidance to meet this challenge. In order to be useful in GHG mitigation policy measures, models must simultaneously meet scientific, software engineering, and human capacity requirements. They can be used to understand GHG fluxes, to evaluate proposed GHG mitigation actions, and to predict and monitor the effects of specific actions; the latter applications require a change in mindset that has parallels with the shift from research modeling to decision support. We compare and contrast 6 agro-ecosystem models (FullCAM, DayCent, DNDC, APSIM, WNMM, and AgMod), chosen because they are used in Australian agriculture and forestry. Underlying structural similarities in the representations of carbon flows though plants and soils in these models are complemented by a diverse range of emphases and approaches to the subprocesses within the agro-ecosystem. None of these agro-ecosystem models handles all land sector GHG fluxes, and considerable model-based uncertainty exists for soil C fluxes and enteric methane emissions. The models also show diverse approaches to the initialisation of model simulations, software implementation, distribution, licensing, and software quality assurance; each of these will differentially affect their usefulness for policy-driven GHG mitigation prediction and monitoring. Specific requirements imposed on the use of models by Australian mitigation policy settings are discussed, and areas for further scientific development of agro-ecosystem models for use in GHG mitigation policy are proposed.

Inverse Sensitivity Analysis of Singular Solutions of FRF matrix in Structural System Identification

The problem of structural damage detection based on measured frequency response functions of the structure in its damaged and undamaged states is considered. A novel procedure that is based on inverse sensitivity of the singular solutions of the system FRF matrix is proposed. The treatment of possibly ill-conditioned set of equations via regularization scheme and questions on spatial incompleteness of measurements are considered. The application of the method in dealing with systems with repeated natural frequencies and (or) packets of closely spaced modes is demonstrated. The relationship between the proposed method and the methods based on inverse sensitivity of eigensolutions and frequency response functions is noted. The numerical examples on a 5-degree of freedom system, a one span free-free beam and a spatially periodic multi-span beam demonstrate the efficacy of the proposed method and its superior performance vis-a-vis methods based on inverse eigensensitivity.

Molecule Modeling of Human Pentameric alpha(7) Neuronal Nicotinic Acetylcholine Receptor and Its Interaction with its Agonist and Competitive Antagonist

The nicotinic Acetylcholine Receptor (nAChR) is the major class of neurotransmitter receptors that is involved in many neurodegenerative conditions such as schizophrenia, Alzheimer's and Parkinson's diseases. The N-terminal region or Ligand Binding Domain (LBD) of nAChR is located at pre- and post-synaptic nervous system, which mediates synaptic transmission. nAChR acts as the drug target for agonist and competitive antagonist molecules that modulate signal transmission at the nerve terminals. Based on Acetylcholine Binding Protein (AChBP) from Lymnea stagnalis as the structural template, the homology modeling approach was carried out to build three dimensional model of the N-terminal region of human alpha(7)nAChR. This theoretical model is an assembly of five alpha(7) subunits with 5 fold axis symmetry, constituting a channel, with the binding picket present at the interface region of the subunits. alpha-netlrotoxin is a potent nAChR competitive antagonist that readily blocks the channel resulting in paralysis. The molecular interaction of alpha-Bungarotoxin, a long chain alpha-neurotoxin from (Bungarus multicinctus) and human alpha(7)nAChR seas studied. Agonists such as acetylcholine, nicotine, which are used in it diverse array of biological activities, such as enhancements of cognitive performances, were also docked with the theoretical model of human alpha(7)nAChR. These docked complexes were analyzed further for identifying the crucial residues involved i interaction. These results provide the details of interaction of agonists and competitive antagonists with three dimensional model of the N-terminal region of human alpha(7)nAChR and thereby point to the design of novel lead compounds.

Structural basis for the function of anti-idiotypic antibody in immune memory

We had earlier proposed a hypothesis to explain the mechanism of perpetuation of immunological memory based on the operation of idiotypic network in the complete absence of antigen. Experimental evidences were provided for memory maintenance through anti-idiotypic antibody (Ab2) carrying the internal image of the antigen. In the present work, we describe a structural basis for such memory perpetuation by molecular modeling and structural analysis studies. A three-dimensional model of Ab2 was generated and the structure of the antigenic site on the hemagglutinin protein H of Rinderpest virus was modeled using the structural template of hemagglutinin protein of Measles virus. Our results show that a large portion of heavy chain containing the CDR regions of Ab2 resembles the domain of the hemagglutinin housing the epitope regions. The similarity demonstrates that an internal image of the H antigen is formed in Ab2, which provides a structural basis for functional mimicry demonstrated earlier. This work brings out the importance of the structural similarity between a domain of hemagglutinin protein to that of its corresponding Ab2. It provides evidence that Ab2 is indeed capable of functioning as surrogate antigen and provides support to earlier proposed relay hypothesis which has provided a mechanism for the maintenance of immunological memory.

Structural basis for the function of anti-idiotypic antibody in immune memory

We had earlier proposed a hypothesis to explain the mechanism of perpetuation of immunological memory based on the operation of idiotypic network in the complete absence of antigen. Experimental evidences were provided for memory maintenance through anti-idiotypic antibody (Ab(2)) carrying the internal image of the antigen. In the present work, we describe a structural basis for such memory perpetuation by molecular modeling and structural analysis studies. A three-dimensional model of Ab(2) was generated and the structure of the antigenic site on the hemagglutinin protein H of Rinderpest virus was modeled using the structural template of hemagglutinin protein of Measles virus. Our results show that a large portion of heavy chain containing the CDR regions of Ab(2) resembles the domain of the hemagglutinin housing the epitope regions. The similarity demonstrates that an internal image of the H antigen is formed in Ab(2), which provides a structural basis for functional mimicry demonstrated earlier. This work brings out the importance of the structural similarity between a domain of hemagglutinin protein to that of its corresponding Ab(2). It provides evidence that Ab(2) is indeed capable of functioning as surrogate antigen and provides support to earlier proposed relay hypothesis which has provided a mechanism for the maintenance of immunological memory.

Structural Basis of Drug Resistance by Genetic Variants of HIV Type 1 Clade C Protease from India

Using computer modeling of three-dimensional structures and structural information available on the crystal structures of HIV-1 protease, we investigated the structural effects of mutations, in treatment-naive and treatment-exposed individuals from India and postulated mechanisms of resistance in clade C variants. A large number of models (14) have been generated by computational mutation of the available crystal structures of drug bound proteases. Localized energy minimization was carried out in and around the sites of mutation in order to optimize the geometry of interactions present. Most of the mutations result in structural differences at the flap that favors the semiopen state of the enzyme. Some of the mutations were also found to confer resistance by affecting the geometry of the active site. The E35D mutation affects the flap structure in clade B strains and E35N and E35K mutation, seen in our modeled strains, have a more profound effect. Common polymorphisms at positions 36 and 63 in clade C also affected flap structure. Apart from a few other residues Gln-58, Asn-83, Asn-88, and Gln-92 and their interactions are important for the transition from the closed to the open state. Development of protease inhibitors by structure-based design requires investigation of mechanisms operative for clade C to improve the efficacy of therapy.

Relations between chronic regulatory focus and future time perspective: Results of a cross-lagged structural equation model

Future time perspective - the way individuals perceive their remaining time in life - importantly influences socio-emotional goals and motivational outcomes. Recently, researchers have called for studies that investigate relationships between personality and future time perspective. Using a cross-lagged panel design, this study investigated effects of chronic regulatory focus dimensions (promotion and prevention orientation) on future time perspective dimensions (focus on opportunities and limitations). Survey data were collected two times, separated by a 3. month time lag, from 85 participants. Results of structural equation modeling showed that promotion orientation had a positive lagged effect on focus on opportunities, and prevention orientation had a positive lagged effect on focus on limitations.

Platelet endothelial cell adhesion molecule 1 (PECAM-1) and its interactions with glycosaminoglycans: 1. Molecular modeling studies

Platelet endothelial cell adhesion molecule 1 (PECAM-1) has many functions, including its roles in leukocyte extravasation as part of the inflammatory response and in the maintenance of vascular integrity through its contribution to endothelial cell−cell adhesion. PECAM-1 has been shown to mediate cell−cell adhesion through homophilic binding events that involve interactions between domain 1 of PECAM-1 molecules on adjacent cells. However, various heterophilic ligands of PECAM-1 have also been proposed. The possible interaction of PECAM-1 with glycosaminoglycans (GAGs) is the focus of this study. The three-dimensional structure of the extracellular immunoglobulin (Ig) domains of PECAM-1 were constructed using homology modeling and threading methods. Potential heparin/heparan sulfate-binding sites were predicted on the basis of their amino acid consensus sequences and a comparison with known structures of sulfate-binding proteins. Heparin and other GAG fragments have been docked to investigate the structural determinants of their protein-binding specificity and selectivity. The modeling has predicted two regions in PECAM-1 that appear to bind heparin oligosaccharides. A high-affinity binding site was located in Ig domains 2 and 3, and evidence for a low-affinity site in Ig domains 5 and 6 was obtained. These GAG-binding regions were distinct from regions involved in PECAM-1 homophilic interactions.

Modeling of magnetostrictive materials and structures

The constitutive model for a magnetostrictive material and its effect on the structural response is presented in this article. The example of magnetostrictive material considered is the TERFENOL-D. As like the piezoelectric material, this material has two constitutive laws, one of which is the sensing law and the other is the actuation law, both of which are highly coupled and non-linear. For the purpose of analysis, the constitutive laws can be characterized as coupled or uncoupled and linear or non linear. Coupled model is studied without assuming any explicit direct relationship with magnetic field. In the linear coupled model, which is assumed to preserve the magnetic flux line continuity, the elastic modulus, the permeability and magneto-elastic constant are assumed as constant. In the nonlinear-coupled model, the nonlinearity is decoupled and solved separately for the magnetic domain and the mechanical domain using two nonlinear curves, namely the stress vs. strain curve and the magnetic flux density vs. magnetic field curve. This is performed by two different methods. In the first, the magnetic flux density is computed iteratively, while in the second, the artificial neural network is used, where in the trained network will give the necessary strain and magnetic flux density for a given magnetic field and stress level. The effect of nonlinearity is demonstrated on a simple magnetostrictive rod.

Self-regularized pseudo time-marching schemes for structural system identification with static measurements

We explore the application of pseudo time marching schemes, involving either deterministic integration or stochastic filtering, to solve the inverse problem of parameter identification of large dimensional structural systems from partial and noisy measurements of strictly static response. Solutions of such non-linear inverse problems could provide useful local stiffness variations and do not have to confront modeling uncertainties in damping, an important, yet inadequately understood, aspect in dynamic system identification problems. The usual method of least-square solution is through a regularized Gauss-Newton method (GNM) whose results are known to be sensitively dependent on the regularization parameter and data noise intensity. Finite time,recursive integration of the pseudo-dynamical GNM (PD-GNM) update equation addresses the major numerical difficulty associated with the near-zero singular values of the linearized operator and gives results that are not sensitive to the time step of integration. Therefore, we also propose a pseudo-dynamic stochastic filtering approach for the same problem using a parsimonious representation of states and specifically solve the linearized filtering equations through a pseudo-dynamic ensemble Kalman filter (PD-EnKF). For multiple sets of measurements involving various load cases, we expedite the speed of thePD-EnKF by proposing an inner iteration within every time step. Results using the pseudo-dynamic strategy obtained through PD-EnKF and recursive integration are compared with those from the conventional GNM, which prove that the PD-EnKF is the best performer showing little sensitivity to process noise covariance and yielding reconstructions with less artifacts even when the ensemble size is small.