有限矩对数稳定过程下期权定价的柳树方法

有限矩对数稳定(FMLS)模型是Levy过程的重要类型,基于FMLS的期权定价以偏微分方程方法最为流行,但涉及分数阶微分算子导致其数值计算效率不高.柳树(WT)结构是期权定价的一种新型显示算法,具有快速高效、适用范围广等特点.本文讨论FMLS期权定价的WT方法:首先在时间和资产对数价格离散的柳树结构上,转移概率转化为特征函数的逆变换;然后采用修正的中矩形积分公式计算逆变换.修正的数值积分公式有效地解决了积分核的高频振荡问题,同时被证明具有二阶收敛性.数值算例验证了在FMLS过程下应用柳树期权定价方法的有效性、稳定性和精确度.

基于零阶统计量的韧性归一化自适应时间延迟估计

依据零阶统计量理论,给出对数矩过程、对数宽平稳及对数各态遍历的定义,提出一种韧性的归一化自适应时间延迟估计方法(简称NZOSTDE)。该算法用FIR滤波器对两个含有脉冲噪声的观测信号建模,利用不存在有限方差的脉冲信号经过对数变换后其各阶矩的存在性和几何功率的概念,在对数域基于最小均方误差(LMS)准则归一化自适应得到FIR滤波器的系数,该系数最大值对应的序号就是时间延迟的估计值。本文提出的新算法克服了基于分数低阶统计量(FLOS)算法的局限性。计算机仿真实验表明,NZOSTDE算法在强脉冲噪声环境下比归一化最小平均p范数时间延迟估计方法(简称NLMPTDE)算法更具有韧性。

双态平方噪声驱动系统的平均首通时间

本文应用边界过程的几率分析方法,讨论了双态平方噪声系统的平均首通时间(MFPT),通过对双态马尔可夫过程和双态矩过程的MFPT计算,获得一些有意义的结论。

The MAP/PH(PH/PH)/1 Discrete-time Queuing System with Repairable Server

In this paper, we discuss a discrete time repairable queuing system with Markovian arrival process, where lifetime of server, service time and repair time of server are all discrete phase type random variables. Using the theory of matrix geometric solution, we give the steady state distribution of queue length and waiting time. In addition, the stable availability of the system is also provided.

Efficient Interconnect Network Model for Linear Circuit Reduction

A new interconnect network model for linear netw ork reduction is presented.In this new model,the ports of the interconnect network are classified into two groups:active and passive ports.After the classification,some proprieties of the interconnect network are found to be redundant and pruned before reduction.For common interconnect networks,the scale of reduced models is smaller than 50% of the scale of previous works.

Measurement of Forces and Torques during Non-Homogeneous Material Drilling Operation

The purpose of this study is to measure the forces and torques produced in the drilling process of a non-homogenous material （bone）. An automated 5 DoF CataLyst-5 robot is used during the drilling process and it is integrated to a 6 DoF force-torque sensor. A force-torque controller which is built in the Matlab Simulink environment is employed to control the drilling process of the bone. Different feed rate is used during the experimental process of the bone drilling operation. The sensor is calibrated to measure the tri-axial direction of the resultant forces and torques. The profiles of the forces and torques obtained are non-linear due to the diversity of the bone density. The profiles generated also indicated fluctuation in the interface layers of the bone.

Regular Quasi Cyclic Low Density Parity Check Codes with Girth 8 from Elementary Number Theory

This paper is concerned with (3,n) and (4,n) regular quasi-cyclic Low Density Parity Check (LDPC) code constructions from elementary number theory.Given the column weight,we determine the shift values of the circulant permutation matrices via arithmetic analysis.The proposed constructions of quasi-cyclic LDPC codes achieve the following main advantages simultaneously:1) our methods are constructive in the sense that we avoid any searching process;2) our methods ensure no four or six cycles in the bipartite graphs corresponding to the LDPC codes;3) our methods are direct constructions of quasi-cyclic LDPC codes which do not use any other quasi-cyclic LDPC codes of small length like component codes or any other algorithms/cyclic codes like building block;4)the computations of the parameters involved are based on elementary number theory,thus very simple and fast.Simulation results show that the constructed regular codes of high rates perform almost 1.25 dB above Shannon limit and have no error floor down to the bit-error rate of 10-6.

Applying Analytical Derivative and Sparse Matrix Techniques to Large-Scale Process Optimization Problems

The performance of analytical derivative and sparse matrix techniques applied to a traditional dense sequential quadratic programming (SQP) is studied, and the strategy utilizing those techniques is also presented.Computational results on two typical chemical optimization problems demonstrate significant enhancement in efficiency, which shows this strategy is promising and suitable for large-scale process optimization problems.

Immobilization of Papain in Biosflica Matrix and Its Catalytic Property

A novel method was developed for papain immobilization through a biomimetic silicification process induced by papain. By incubating papain in a silica precursor solution, the papain-silica composite formed rapidly and oanain was encansulated. The encansulation efficiency and the recovery activity were 82.60% and 83.09%, re-spectively. Compared with enzymes and biomolecules immobilized in biosilica matrix in the presence of additaonal silica-precipitating species, this papaln encapsulation process, a biomimetic approach, realized high encapsulation efficiency by its autosilification activity under mild conditions （near-neutral pH and ambient temperature）. Fur-thermore, the encapsulated papain exhibits enhanced thermal, pH, recycling and storage stabilities. Kinetic analysis showed that the biomimetic silica matrix did not significantly hinder the mass transport of substrate or the release of product.

Modeling and analysis of wet clutch engagement characteristics

A mathematical model was developed to analyze the characteristics of the wet clutch during engagement. The lubricant squeeze action was simulated with Patir and Cheng average flow model in which the permeability of friction material is taken into account, and the asperity load is calculated according to the Greenwood and Tripp approach. In this model, effects of friction material permeability, applied load and driving velocity on the engagement characteristics of the wet clutch were studied. The results show that friction material with high permeability reduces the film thickness rapidly and increases the torque peak; the applied load increases the asperity contact pressure and the friction torque, and reduces the engagement time; the driving velocity mainly increases the engagement time. The theoretical torque and relative velocity curves agree qualitatively with the experimental ones, which verifies the wet clutch engagement model.

Cross-sectional distortion behaviors of thin-walled rectangular tube in rotary-draw bending process

The cross-sectional distortion usually appears during rotary-draw bending process of thin-walled rectangular tube with small bending radius.To study the cross-sectional distortion of the tube,a three-dimensional finite-element model of the process was developed based on ABAQUS/Explicit code and its reliability was validated by experiment.Then,the cross-sectional distortion behaviors of the tube were investigated.The results show that a zone of larger circumferential stress appears on the tube when bending angle reaches 30°.And in the larger circumferential stress zone,the sagging phenomenon is produced obviously.The maximum cross-sectional distortion is located in the larger circumferential stress zone and the angle between the plane of maximum cross-sectional distortion and the bending reference plane is about 50°.The position of the maximum cross-sectional distortion keeps almost unchanged with the variation of the clearances between dies and tube.

Calculation of Decay μ→eγ in R_ζ Gauge in a Model of Electroweak-Scale Right-Handed Neutrinos

The lepton flavor violating process μ - eγ has been previously studied in a model of electroweak-scale right-handed neutrinos. In that work the decay amplitude was computed in unitarity gauge, augmented by some technical considerations that correct the leading term thus obtained. This complication arises because the mixing matrices appearing in the weak charged currents are not unitary in the model. In this paper, we recalculate the amplitude in Re gauge. The cancellation of the ξ dependence in the final result serves as a useful check to both the obtained amplitude and the technical points made in the previous work.

High-Gain Approach Based Full-Order Observers for Linear Systems with Unknown Inputs

In this paper, a full-order observer which can be fully decoupled from the unknown inputs as the conventional full-order observer does is designed by using auxiliary outputs, but the requirement of the matching condition is removed. The procedure of calculating the parameter matrices of the full-order observer is also presented. Compared with the existing auxiliary outputs based sliding-mode observers, the designed observer has a simpler design procedure, which is systematic and does not involve solving linear matrix inequalities. The simulation results show that the proposed method is effective.

Embodied coefficient of energy carriers and its calculation method

To quantify the energy consumption in the process of production, transportation and processing of energy carriers, the life cycle of building energy used can be divided into two phases： on-site phase and embodied phase. As for the embodied phase, with the data in existing statistic yearbook, the consumption items of energy production and transportation were investigated. And based on the life cycle theory, an embodied coefficient of energy carriers was proposed to quantify the embodied energy consumption. Moreover, a calculation method for the embodied coefficient of energy carriers was deduced using Leontief inverse matrix based on the existing data sources. With relevant data of 2005-2007 in China, the embodied coefficients in 2005-2007 were obtained, in which the values for natural gas and thermal power are around 1.3 and 3. l, respectively; while they are 1.03-1.08 for other selected energy carriers. In addition, it is also found that the consumption in the production and processing accounts for more than 75%.

The Convergence of the Abstract Evolutionary Algorithm Based on a Special Selection Mechanism

There has been a growing interest in mathematical models to character the evolutionary algorithms. The best-known one of such models is the axiomatic model colled the abstract evolutionary algorithm. In this paper, we first introduce the definitions of the abhstract selection and evolution operators, and that of the abstract evolutionary algorithm, which describes the evolution as an abstract stochastic process composed of these two fundamental abstract operators. In particular, a kind of abstract evolutionary algorithms based on a special selection mechansim is discussed. According to the sorting for the state space, the properties of the single step transition matrix for the algorithm are anaylzed. In the end, we prove that the limit probability distribution of the Markov chains exists. The present work provides a big step toward the establishment of a unified theory of evolutionary computation.

Quantum Transport Theory for Fusion Plasmas

Fundamental quantum transport equation for impact-ionization processes in fusion plasmas is formulated in the actor-spectator description. The density-matrix formulism is adopted to treat both coherent and incoherent effects in a unified fashion. Quantum electrodynamic effects are also considered for high-temperature scenarios. Electron-impact ionization of uranium ion U91＋ and proton-impact ionization of hydrogen are given as examples.

Moment-Rotation Characteristics for Flexible Beam-to-Column Steel Joint Exposed to Fire

Analytical models used to describe behaviour of steel frame loadbearing structures in fully developed fire usually do not allow for reduced joint stiffness due to increased member temperature. Joints previously designed as nominally rigid tend to become flexible in fire situation, with degree of flexibility increasing during fire development. Reliable analysis of this phenomenon and its influence on the redistribution of internal forces result in the need for developing appropriate characteristics, describing relationship between bending moment applied to the joint and joint rotation. Characteristics of such type, specified for fire conditions, depend on steel temperature, in the current work, the authors propose a practical approach to develop such characteristics, based on the knowledge of analogous characteristic prepared for persistent design situation. The developed technique does not require to generalize the classical component method to the case of fire, which may be difficult in practical situations. The proposed computational algorithm has been tested on an example of a typical beam-to-column joint.

A Pole Assignment Design Method of Process Control System for Tubular Heat Exchanger

This Paper has first studied the simplified model of tubular heat exchanger which is widely used in the industry and other field.On the basis of reference 2,a new pole assignment design method of pro-cess control system with derivative control action is found.For the above system,the method and the for-mation which calculate the feedback matrix K and gain matrix L is given,and the simulation of the system is made.

SOLVABILITY AND CONTROL DESIGN FOR SYNCHRONIZATION OF BOOLEAN NETWORKS

This paper addresses the synchronization problem of Boolean networks.Based on the matrix expression of logic,solvability conditions and design procedures of the synchronization of Boolean networks with outputs are given for both open-loop and feedback control.Necessary and sufficient conditions on open-loop control are proposed first with a constructive design procedure.Then sufficient condition for the feedback control case is obtained,and corresponding design procedure is proposed with the help of algorithms to solve logic matrix equations.Numerical examples are also provided to illustrate the proposed control design.

RESEARCH ON CONSTRUCTING SYNTHETIC MATRIX IN AHP

This paper presents a new method for constructing synthetic matrix which is obtained by extending the given judgement matrices in the Analytic Hierarchy Process (AHP). The consistency relationship among the given matrices and their synthetic matrix is studied. The method can be used to deal with situations where the number of the given alternatives is larger than nine, and needs less pairwise comparisons than any others. Thus it will aid in the design of the AHP, which will reduce the information overload of decision maker, a major drawback of the original AHP algorithm. Finally, a numerical example is given to show the feasibility and effectiveness of the method.