An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is...An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is used as the pricing measure to evaluate European call options by a Monte Carlo simulation method. The proposed method is a purely data driven valuation method without any distributional assumption about the price process of underlying asset. The performance of the proposed method is compared with the canonical valuation method and the historical volatility-based Black-Scholes method in an artificial Black-Scholes world. The simulation results show that the proposed method has merits, and is valuable to financial engineering.展开更多
The fight-bank slope of the Dagangshan hydropower station located in Southwest China is a highly unloaded rock slope. Moreover, large-scale natural faults were detected in the slope body; some excavation-induced unloa...The fight-bank slope of the Dagangshan hydropower station located in Southwest China is a highly unloaded rock slope. Moreover, large-scale natural faults were detected in the slope body; some excavation-induced unloading fractures were discovered at elevations between lo75m and 1146m. Because of poor tectonic stability, the excavation work was suspended in September 2009, and six large- scale anti-shear galleries were employed to replace the weak zone in the slope body to reinforce the fight- bank slope. In this study, based on microseismic- monitoring technology and a numerical-simulation method, the stabilities of the slope with and without the reinforcement are analysed. An in-situ microseismic-monitofing system is used to obtain quantitative information about the damage location, extent, energy, and magnitude of the rocks. Thus, any potential sliding block in the fight-bank slope can be identified. By incorporating the numerical results along with the microseismic-monitoring data, the stress concentration is found to largely occur aroundthe anti-shear galleries, and the seismic deformation near the anti-shear galleries is apparent, particularly at elevations of 121o, 118o, 115o, and 112om. To understand the interaction mechanism between the anti-shear gallery and the surrounding rock, a 2D simulation of the potential damage process occurring in an anti-shear gallery is performed. The numerical simulation helps in obtaining additional information about the stress distribution and failure-induced stress re-distribution in the vicinity of the anti-shear galleries that cannot be directly observed in the field. Finally, the potential sliding surface of the right-bank slope is numerically obtained, which generally agrees with the spatial distribution of the in-situ monitored microseismic events. The safety factor of the slope reinforced with the anti-shear gallery increases by approximately 36.2%. Both the numerical results and microseismic data show that the anti-shear galleries have a good reinforcement effect.展开更多
The sixth-order accurate phase error flux-corrected transport numerical algorithm is introduced, and used to simulate Kelvin-Helmholtz instability. Linear growth rates of the simulation agree with the linear theories ...The sixth-order accurate phase error flux-corrected transport numerical algorithm is introduced, and used to simulate Kelvin-Helmholtz instability. Linear growth rates of the simulation agree with the linear theories of Kelvin Helmholtz instability. It indicates the validity and accuracy of this simulation method. The method also has good capturing ability of the instability interface deformation.展开更多
The speed of a ship sailing in waves always slows down due to the decrease in efficiency of the propeller. So it is necessary and essential to analyze the unsteady hydrodynamic performance of propeller in waves. This ...The speed of a ship sailing in waves always slows down due to the decrease in efficiency of the propeller. So it is necessary and essential to analyze the unsteady hydrodynamic performance of propeller in waves. This paper is based on the numerical simulation and experimental research of hydrodynamics performance when the propeller is under wave conditions. Open-water propeller performance in calm water is calculated by commercial codes and the results are compared to experimental values to evaluate the accuracy of the numerical simulation method. The first-order Volume of Fluid(VOF) wave method in STAR CCM+ is utilized to simulate the three-dimensional numerical wave. According to the above prerequisite, the numerical calculation of hydrodynamic performance of the propeller under wave conditions is conducted, and the results reveal that both thrust and torque of the propeller under wave conditions reveal intense unsteady behavior. With the periodic variation of waves, ventilation, and even an effluent phenomenon appears on the propeller. Calculation results indicate, when ventilation or effluent appears, the numerical calculation model can capture the dynamic characteristics of the propeller accurately, thus providing a significant theory foundation forfurther studying the hydrodynamic performance of a propeller in waves.展开更多
Building vulnerability evaluation is important in the risk assessment on earthquake and flood hazards. But for landslide hazard, it is also a very important part for the people in buildings. Most discussions or resear...Building vulnerability evaluation is important in the risk assessment on earthquake and flood hazards. But for landslide hazard, it is also a very important part for the people in buildings. Most discussions or researches about building vulnerability are for landslide failure, few for landslide in deformation phase. For this objective, this paper discussed about building vulnerability evaluation using Zhaoshuling landslide as an example Zhaoshuling landslide named located in the Three Gorges Reservoir Area, China. After a field survey on the geological condition of landslide, detailed field investigation on the buildings' location and structure is carried out. To get landslide surface deformation, numerical simulation method is used under the combining condition of water fluctuation and rainfall. Then building deformation and probable damage degree is analyzed according to landslide surface deformation and the relative theory in mining. Based on the national standard building damage classification system, the vulnerability of all the buildings on the landslide is semi-quantitatively evaluated.展开更多
This paper contributes to depict the current pattern of applications of digital 3D models for professional research and practice, and for broader dissemination of cultural heritage. Passing from a general review to th...This paper contributes to depict the current pattern of applications of digital 3D models for professional research and practice, and for broader dissemination of cultural heritage. Passing from a general review to the illustration of the background project, named MUSINT, the authors underline the objectives. The present case study primarily aims to share information about valuable archaeological collections which have little visibility. To enhance the project's contents, which include a whole set of different artifacts, the authors have reproduced high resolution, faithful and measurable digital models on one side, and on the other, lower resolution and geometrically simplified models are yet completed and very close to reality. The former are meant to implement a scholars' archive for further scientific activity. The latter to provide content for virtual exhibitions on the Web or on stand-alone interfaces situated in the actual physical museum spaces. The data acquisition and post-processing methods which have been tested and chosen are here briefly described. Hence, the authors then give an account of the most recurrent problematic issues of the established work-flow and how they should be solved. Touched instances are the delicate placing of the artifacts, which must be digitized, in relation to the triangulation-based laser scanner's functionality, the refining operations in order to build a coherent single polygon mesh, the most effective ways to deal with unavoidable missing parts or defected textures in the generated model and so on.展开更多
A new model identification method of hydraulic flight simulator adopting improved panicle swarm optimization (PSO) and wavelet analysis is proposed for achieving higher identification precision. Input-output data of...A new model identification method of hydraulic flight simulator adopting improved panicle swarm optimization (PSO) and wavelet analysis is proposed for achieving higher identification precision. Input-output data of hydraulic flight simulator were decomposed by wavelet muhiresolution to get the information of different frequency bands. The reconstructed input-output data were used to build the model of hydraulic flight simulator with improved particle swarm optimization with mutation (IPSOM) to avoid the premature convergence of traditional optimization techniques effectively. Simulation results show that the proposed method is more precise than traditional system identification methods in operating frequency bands because of the consideration of design index of control system for identification.展开更多
In order to study the failure process of an anchorage structure and the evolution law of the body's defor- mation field, anchor push-out tests were carried out based on digital speckle correlation methods (DSCM). T...In order to study the failure process of an anchorage structure and the evolution law of the body's defor- mation field, anchor push-out tests were carried out based on digital speckle correlation methods (DSCM). The stress distribution of the anchorage interface was investigated using the particle flow numerical simulation method. The results indicate that there are three stages in the deformation and fail- ure process of an anchorage structure: elastic bonding stage, a de-bonding stage and a failure stage. The stress distribution in the interface controls the stability of the structure. In the elastic bonding stage, the shear stress peak point of the interface is close to the loading end, and the displacement field gradually develops into a "V" shape, in the de-bonding stage, there is a shear stress plateau in the center of the anchorage section, and shear strain localization begins to form in the deformation field. In the failure stage, the bonding of the interface fails rapidly and the shear stress peak point moves to the anchorage free end. The anchorage structure moves integrally along the macro-cracl~ The de-bonding stage is a research focus in the deformation and failure process of an anchorage structure, and plays an important guiding role in roadway support design and prediction of the stability of the surrounding rock.展开更多
Shapes are important clues for the identification of ancient ceramics.In this study,digital extraction methods of shape characterization were discussed,using samples of flared mouthed porcelain bowls produced in Jingd...Shapes are important clues for the identification of ancient ceramics.In this study,digital extraction methods of shape characterization were discussed,using samples of flared mouthed porcelain bowls produced in Jingdezhen Hutian Kiln from the Five Dynasties to the Song and Yuan period.By employing the techniques of image enhancement,edge detection and curve fitting of Matlab,the method using digital shape characterization has advanced accuracy and effectiveness of traditional identification which is based on visual and tactual inspections.Together with the increasingly applied compositional data analysis and thermoluminescence dating technique,the method will further improve and upgrade the scientific identification system for ancient ceramics.展开更多
Lean premixed combustion,which allows for reducing the production of thermal NOx,is prone to combustion instabilities.There is an extensive research to develop a reduced physical model,which allows-without time-consum...Lean premixed combustion,which allows for reducing the production of thermal NOx,is prone to combustion instabilities.There is an extensive research to develop a reduced physical model,which allows-without time-consuming measurements-to calculate the resonance characteristics of a combustion system consisting of Helmholtz resonator type components (burner plenum,combustion chamber).For the formulation of this model numerical investigations by means of compressible Large Eddy Simulation (LES) were carried out.In these investigations the flow in the combustion chamber is isotherm,non-reacting and excited with a sinusoidal mass flow rate.Firstly a combustion chamber as a single resonator subsequently a coupled system of a burner plenum and a combustion chamber were investigated.In this paper the results of additional investigations of the single resonator are presented.The flow in the combustion chamber was investigated without excitation at the inlet.It was detected,that the mass flow rate at the outlet cross section is pulsating once the flow in the chamber is turbulent.The fast Fourier transform of the signal showed that the dominant mode is at the resonance frequency of the combustion chamber.This result sheds light on a very important source of self-excited combustion instabilities.Furthermore the LES can provide not only the damping ratio for the analytical model but the eigenfrequency of the resonator also.展开更多
A GPS IF signal computer simulation method is proposed in this article. The carrier Doppler frequency and the total propagation and delay time can be modeled or calculated with the input GPS satellite ephemeris file. ...A GPS IF signal computer simulation method is proposed in this article. The carrier Doppler frequency and the total propagation and delay time can be modeled or calculated with the input GPS satellite ephemeris file. The simulated GPS IF signal outputs to a text file for post-processing and analysis. The simulation signal spectrum is compared with the received real GPS IF signal spectrum, and the correctness of the simulation result is verified.展开更多
The quasi-steady methods based on mixing models have been widely applied to flow computations of turbomachinery multi- stages in aerospace engineering. Meanwhile, the unsteady numerical simulation has also been used d...The quasi-steady methods based on mixing models have been widely applied to flow computations of turbomachinery multi- stages in aerospace engineering. Meanwhile, the unsteady numerical simulation has also been used due to its ability in obtaining time-dependent flow solutions. In the paper, two different mixing treatments and the corresponding flux balanced ones are presented to exchange the flow solutions on the interfaces between adjacent blade rows. The four mixing treatments are then used for flow computations of a subsonic 1.5-stage axial turbine and a quasi-l.5-stage transonic compressor rotor. The results are compared with those by unsteady numerical method, which is implemented by using the sliding mesh technique. The effects of the quasi-steady and unsteady computation methods on the conservation of flow solutions across the interfaces are presented and addressed. Furthermore, the influence of mixing treatments on shock wave and flow separation of the transonic compressor rotor is presented in detail. All the results demonstrate that the flux balanced mixing treatments can be used for multi-stage flow computations with improved performance on interface conservation, even in the complex flows.展开更多
基金Funded by the Natural Science Foundation of China under Grant No.10571065.
文摘An alternative option pricing method is proposed based on a random walk market model. The minimal entropy martingale measure which adopts no arbitrage opportunity in the market, is deduced for this market model and is used as the pricing measure to evaluate European call options by a Monte Carlo simulation method. The proposed method is a purely data driven valuation method without any distributional assumption about the price process of underlying asset. The performance of the proposed method is compared with the canonical valuation method and the historical volatility-based Black-Scholes method in an artificial Black-Scholes world. The simulation results show that the proposed method has merits, and is valuable to financial engineering.
基金jointly supported by grants from the National Key Research and Development Program(Grant No.2016YFC0801607,2016YFC0801602)the National Natural Science Foundation of China(Grant No.51279024)the National Basic Research Program of China(Grant No.2014CB047103)
文摘The fight-bank slope of the Dagangshan hydropower station located in Southwest China is a highly unloaded rock slope. Moreover, large-scale natural faults were detected in the slope body; some excavation-induced unloading fractures were discovered at elevations between lo75m and 1146m. Because of poor tectonic stability, the excavation work was suspended in September 2009, and six large- scale anti-shear galleries were employed to replace the weak zone in the slope body to reinforce the fight- bank slope. In this study, based on microseismic- monitoring technology and a numerical-simulation method, the stabilities of the slope with and without the reinforcement are analysed. An in-situ microseismic-monitofing system is used to obtain quantitative information about the damage location, extent, energy, and magnitude of the rocks. Thus, any potential sliding block in the fight-bank slope can be identified. By incorporating the numerical results along with the microseismic-monitoring data, the stress concentration is found to largely occur aroundthe anti-shear galleries, and the seismic deformation near the anti-shear galleries is apparent, particularly at elevations of 121o, 118o, 115o, and 112om. To understand the interaction mechanism between the anti-shear gallery and the surrounding rock, a 2D simulation of the potential damage process occurring in an anti-shear gallery is performed. The numerical simulation helps in obtaining additional information about the stress distribution and failure-induced stress re-distribution in the vicinity of the anti-shear galleries that cannot be directly observed in the field. Finally, the potential sliding surface of the right-bank slope is numerically obtained, which generally agrees with the spatial distribution of the in-situ monitored microseismic events. The safety factor of the slope reinforced with the anti-shear gallery increases by approximately 36.2%. Both the numerical results and microseismic data show that the anti-shear galleries have a good reinforcement effect.
基金supported by the National Basic Research Program(973 Program)under Grant No.2007CB815100the Research Fund for the Doctoral Program of Higher Education of China under Grant No.20070290008
文摘The sixth-order accurate phase error flux-corrected transport numerical algorithm is introduced, and used to simulate Kelvin-Helmholtz instability. Linear growth rates of the simulation agree with the linear theories of Kelvin Helmholtz instability. It indicates the validity and accuracy of this simulation method. The method also has good capturing ability of the instability interface deformation.
基金Supported by the National Natural Science Foundation of China (51379043, 41176074, 51209048, 51409063), High Tech Ship Research Project of Ministry of Industry and Technology (G014613002), and the Support Plan for Youth Backbone Teachers of Harbin Engineering University (HEUCFQ 1408)
文摘The speed of a ship sailing in waves always slows down due to the decrease in efficiency of the propeller. So it is necessary and essential to analyze the unsteady hydrodynamic performance of propeller in waves. This paper is based on the numerical simulation and experimental research of hydrodynamics performance when the propeller is under wave conditions. Open-water propeller performance in calm water is calculated by commercial codes and the results are compared to experimental values to evaluate the accuracy of the numerical simulation method. The first-order Volume of Fluid(VOF) wave method in STAR CCM+ is utilized to simulate the three-dimensional numerical wave. According to the above prerequisite, the numerical calculation of hydrodynamic performance of the propeller under wave conditions is conducted, and the results reveal that both thrust and torque of the propeller under wave conditions reveal intense unsteady behavior. With the periodic variation of waves, ventilation, and even an effluent phenomenon appears on the propeller. Calculation results indicate, when ventilation or effluent appears, the numerical calculation model can capture the dynamic characteristics of the propeller accurately, thus providing a significant theory foundation forfurther studying the hydrodynamic performance of a propeller in waves.
基金supported by the Research Foundation for Outstanding Young Teachers, China University of Geosciences (Wuhan)National Natural Science Foundation of China (No. 40872176/D0214)
文摘Building vulnerability evaluation is important in the risk assessment on earthquake and flood hazards. But for landslide hazard, it is also a very important part for the people in buildings. Most discussions or researches about building vulnerability are for landslide failure, few for landslide in deformation phase. For this objective, this paper discussed about building vulnerability evaluation using Zhaoshuling landslide as an example Zhaoshuling landslide named located in the Three Gorges Reservoir Area, China. After a field survey on the geological condition of landslide, detailed field investigation on the buildings' location and structure is carried out. To get landslide surface deformation, numerical simulation method is used under the combining condition of water fluctuation and rainfall. Then building deformation and probable damage degree is analyzed according to landslide surface deformation and the relative theory in mining. Based on the national standard building damage classification system, the vulnerability of all the buildings on the landslide is semi-quantitatively evaluated.
文摘This paper contributes to depict the current pattern of applications of digital 3D models for professional research and practice, and for broader dissemination of cultural heritage. Passing from a general review to the illustration of the background project, named MUSINT, the authors underline the objectives. The present case study primarily aims to share information about valuable archaeological collections which have little visibility. To enhance the project's contents, which include a whole set of different artifacts, the authors have reproduced high resolution, faithful and measurable digital models on one side, and on the other, lower resolution and geometrically simplified models are yet completed and very close to reality. The former are meant to implement a scholars' archive for further scientific activity. The latter to provide content for virtual exhibitions on the Web or on stand-alone interfaces situated in the actual physical museum spaces. The data acquisition and post-processing methods which have been tested and chosen are here briefly described. Hence, the authors then give an account of the most recurrent problematic issues of the established work-flow and how they should be solved. Touched instances are the delicate placing of the artifacts, which must be digitized, in relation to the triangulation-based laser scanner's functionality, the refining operations in order to build a coherent single polygon mesh, the most effective ways to deal with unavoidable missing parts or defected textures in the generated model and so on.
基金Sponsored by the National 985 Project Foundation of China
文摘A new model identification method of hydraulic flight simulator adopting improved panicle swarm optimization (PSO) and wavelet analysis is proposed for achieving higher identification precision. Input-output data of hydraulic flight simulator were decomposed by wavelet muhiresolution to get the information of different frequency bands. The reconstructed input-output data were used to build the model of hydraulic flight simulator with improved particle swarm optimization with mutation (IPSOM) to avoid the premature convergence of traditional optimization techniques effectively. Simulation results show that the proposed method is more precise than traditional system identification methods in operating frequency bands because of the consideration of design index of control system for identification.
基金financially supported by the National Key Basic Research Program of China (No.2010CB226805)the National Natural Science Foundation of China (Nos.51474136 and 51474013)+1 种基金the Opening Project Fund of State Key Laboratory of Mining Disaster Prevention and Control Co-founded by Shandong Province and the Ministry of Science and Technology (No.MDPC2013KF06)the Research Award Fund for the Excellent Youth of Shandong University of Science and Technology (No.2011KYJQ106)
文摘In order to study the failure process of an anchorage structure and the evolution law of the body's defor- mation field, anchor push-out tests were carried out based on digital speckle correlation methods (DSCM). The stress distribution of the anchorage interface was investigated using the particle flow numerical simulation method. The results indicate that there are three stages in the deformation and fail- ure process of an anchorage structure: elastic bonding stage, a de-bonding stage and a failure stage. The stress distribution in the interface controls the stability of the structure. In the elastic bonding stage, the shear stress peak point of the interface is close to the loading end, and the displacement field gradually develops into a "V" shape, in the de-bonding stage, there is a shear stress plateau in the center of the anchorage section, and shear strain localization begins to form in the deformation field. In the failure stage, the bonding of the interface fails rapidly and the shear stress peak point moves to the anchorage free end. The anchorage structure moves integrally along the macro-cracl~ The de-bonding stage is a research focus in the deformation and failure process of an anchorage structure, and plays an important guiding role in roadway support design and prediction of the stability of the surrounding rock.
基金supported by the National Natural Science Foundation of China (Grant Nos. 50962008,51162017)the Ministry of Education of China in Humanities and Social Sciences Research (Grant No.10YJC780013)
文摘Shapes are important clues for the identification of ancient ceramics.In this study,digital extraction methods of shape characterization were discussed,using samples of flared mouthed porcelain bowls produced in Jingdezhen Hutian Kiln from the Five Dynasties to the Song and Yuan period.By employing the techniques of image enhancement,edge detection and curve fitting of Matlab,the method using digital shape characterization has advanced accuracy and effectiveness of traditional identification which is based on visual and tactual inspections.Together with the increasingly applied compositional data analysis and thermoluminescence dating technique,the method will further improve and upgrade the scientific identification system for ancient ceramics.
文摘Lean premixed combustion,which allows for reducing the production of thermal NOx,is prone to combustion instabilities.There is an extensive research to develop a reduced physical model,which allows-without time-consuming measurements-to calculate the resonance characteristics of a combustion system consisting of Helmholtz resonator type components (burner plenum,combustion chamber).For the formulation of this model numerical investigations by means of compressible Large Eddy Simulation (LES) were carried out.In these investigations the flow in the combustion chamber is isotherm,non-reacting and excited with a sinusoidal mass flow rate.Firstly a combustion chamber as a single resonator subsequently a coupled system of a burner plenum and a combustion chamber were investigated.In this paper the results of additional investigations of the single resonator are presented.The flow in the combustion chamber was investigated without excitation at the inlet.It was detected,that the mass flow rate at the outlet cross section is pulsating once the flow in the chamber is turbulent.The fast Fourier transform of the signal showed that the dominant mode is at the resonance frequency of the combustion chamber.This result sheds light on a very important source of self-excited combustion instabilities.Furthermore the LES can provide not only the damping ratio for the analytical model but the eigenfrequency of the resonator also.
基金Supported by the Research Fund (2008-2009) of State Key Laboratory of Information Engineering in Surveying, Mapping and Remote Sensingthe Na-tional 863 Program of China (No2008AA12Z308)
文摘A GPS IF signal computer simulation method is proposed in this article. The carrier Doppler frequency and the total propagation and delay time can be modeled or calculated with the input GPS satellite ephemeris file. The simulated GPS IF signal outputs to a text file for post-processing and analysis. The simulation signal spectrum is compared with the received real GPS IF signal spectrum, and the correctness of the simulation result is verified.
基金supported by the National Natural Science Foundation of China(Grant Nos.51376009&51676003)
文摘The quasi-steady methods based on mixing models have been widely applied to flow computations of turbomachinery multi- stages in aerospace engineering. Meanwhile, the unsteady numerical simulation has also been used due to its ability in obtaining time-dependent flow solutions. In the paper, two different mixing treatments and the corresponding flux balanced ones are presented to exchange the flow solutions on the interfaces between adjacent blade rows. The four mixing treatments are then used for flow computations of a subsonic 1.5-stage axial turbine and a quasi-l.5-stage transonic compressor rotor. The results are compared with those by unsteady numerical method, which is implemented by using the sliding mesh technique. The effects of the quasi-steady and unsteady computation methods on the conservation of flow solutions across the interfaces are presented and addressed. Furthermore, the influence of mixing treatments on shock wave and flow separation of the transonic compressor rotor is presented in detail. All the results demonstrate that the flux balanced mixing treatments can be used for multi-stage flow computations with improved performance on interface conservation, even in the complex flows.