855 resultados para uncertain volatility


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Using the Hybrid method (FE + SEA) it is possible to estimate the frequency response of an uncertain structure. The current work develops the Hybrid method to allow for time domain analysis of the shock response of a structure. Problems to be overcome when taking Hybrid method results into the time domain are a) the Hybrid method frequency response has no phase information, and b) the Hybrid method frequency response is smoothed in frequency and shows no modal peaks. In this paper the first problem has been overcome, using minimum phase reconstruction. Explanation of minimum phase reconstruction and its limitations are described, and application to shock problems described. © 2009 IOP Publishing Ltd.

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The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with the control function possibly decomposed into an unknown deterministic component and a known zero-mean stochastic component. The extra freedom provided by the stochastic dimension in defining cost functionals is explored, demonstrating the scope for controlling statistical aspects of the system response. One-shot stochastic finite element methods are used to find approximate solutions to control problems. It is shown that applying the stochastic collocation finite element method to the formulated problem leads to a coupling between stochastic collocation points when a deterministic optimal control is considered or when moments are included in the cost functional, thereby forgoing the primary advantage of the collocation method over the stochastic Galerkin method for the considered problem. The application of the presented methods is demonstrated through a number of numerical examples. The presented framework is sufficiently general to also consider a class of inverse problems, and numerical examples of this type are also presented. © 2011 Elsevier B.V.

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A method is presented to predict the transient response of a structure at the driving point following an impact or a shock loading. The displacement and the contact force are calculated solving the discrete convolution between the impulse response and the contact force itself, expressed in terms of a nonlinear Hertzian contact stiffness. Application of random point process theory allows the calculation of the impulse response function from knowledge of the modal density and the geometric characteristics of the structure only. The theory is applied to a wide range of structures and results are experimentally verified for the case of a rigid object hitting a beam, a plate, a thin and a thick cylinder and for the impact between two cylinders. The modal density of the flexural modes for a thick slender cylinder is derived analytically. Good agreement is found between experimental, simulated and published results, showing the reliability of the method for a wide range of situations including impacts and pyroshock applications. © 2013 Elsevier Ltd. All rights reserved.

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The active suppression of structural vibration is normally achieved by either feedforward or feedback control. In the absence of a suitable reference signal feedforward control cannot be employed and feedback control is the only viable approach. Conventional feedback control algorithms (e.g. LQR and LQG) are designed on the basis of a mathematical model of the system and ideally the performance of the system should be robust against uncertainties in this model. The aim of this paper is to numerically investigate the robustness of LQR and LQG algorithms by designing the controller for a nominal system, and then assessing (via Monte Carlo simulation) the effects of uncertainties in the system. The ultimate concern is with the control of high frequency vibrations, where the short wavelength of the structural deformation induces a high sensitivity to imperfection. It is found that standard algorithms such as LQR and LQG are generally unfeasible for this case. This leads to a consideration of design strategies for the robust active control of high frequency vibrations. The system chosen for the numerical simulation concerns two coupled plates, which are randomized by the addition of point masses at random locations.

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The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to over-fitting. To address these problems we introduce GP-Vol, a novel non-parametric model for time-changing variances based on Gaussian Processes. This new model can capture highly flexible functional relationships for the variances. Furthermore, we introduce a new online algorithm for fast inference in GP-Vol. This method is much faster than current offline inference procedures and it avoids overfitting problems by following a fully Bayesian approach. Experiments with financial data show that GP-Vol performs significantly better than current standard alternatives.

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We report a high molar extinction coefficient heteroleptic polypyridyl ruthenium sensitizer, featuring an electron-rich 3,4-ethylenedioxythiophene unit in its ancillary ligand. A nanocrystalline titania film stained with this sensitizer shows an improved optical absorption, which is highly desirable for practical dye-sensitized solar cells with a thin photoactive layer, facilitating the efficient charge collection.

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The sliding mode approach and the multi-step control strategy are exploited to propose a stabilizing controller for uncertain nonholonomic dynamic systems with bounded inputs. This controller can stabilize the system to an arbitrarily small neighborhood about its equilibrium in a finite time .Its application to a nonholonomic wheeled mobile robot is described. Simulation result shows that the proposed controller is effective