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In this paper a three dimensional stochastic model for the lay-down of fibers on a moving conveyor belt in the production process of nonwoven materials is derived. The model is based on stochastic diferential equations describing the resulting position of the fiber on the belt under the influence of turbulent air ows. The model presented here is an extension of an existing surrogate model, see [6, 3].

In this work, we analyze two important and simple models of short rates, namely Vasicek and CIR models. The models are described and then the sensitivity of the models with respect to changes in the parameters are studied. Finally, we give the results for the estimation of the model parameters by using two different ways.

We propose a constraint-based approach for the two-dimensional rectangular packing problem with orthogonal orientations. This problem is to arrange a set of rectangles that can be rotated by 90 degrees into a rectangle of minimal size such that no two rectangles overlap. It arises in the placement of electronic devices during the layout of 2.5D System-in-Package integrated electronic systems. Moffitt et al. [8] solve the packing without orientations with a branch and bound approach and use constraint propagation. We generalize their propagation techniques to allow orientations. Our approach is compared to a mixed-integer program and we provide results that outperform it.

The direction splitting approach proposed earlier in [6], aiming at the efficient solution of Navier-Stokes equations, is extended and adopted here to solve the Navier-Stokes-Brinkman equations describing incompressible flows in plain and in porous media. The resulting pressure equation is a perturbation of the
incompressibility constrained using a direction-wise factorized operator as proposed in [6]. We prove that this approach is unconditionally stable for the unsteady Navier-Stokes-Brinkman problem. We also provide numerical illustrations of the method's accuracy and efficiency.

A theory of discrete Cosserat rods is formulated in the language of discrete Lagrangian mechanics. By exploiting Kirchho's kinetic analogy, the potential energy density of a rod is a function on the tangent bundle of the conguration manifold and thus formally corresponds to the Lagrangian function of a dynamical system. The equilibrium equations are derived from a variational principle using a formulation that involves null{space matrices. In this formulation, no Lagrange multipliers are necessary to enforce orthonormality of the directors. Noether's theorem relates rst integrals of the equilibrium equations to Lie group actions on the conguration bundle, so{called symmetries. The symmetries relevant for rod mechanics are frame{indierence, isotropy and uniformity. We show that a completely analogous and self{contained theory of discrete rods can be formulated in which the arc{length is a discrete variable ab initio. In this formulation, the potential energy density is dened directly on pairs of points along the arc{length of the rod, in analogy to Veselov's discrete reformulation of Lagrangian mechanics. A discrete version of Noether's theorem then identies exact rst integrals of the discrete equilibrium equations. These exact conservation properties confer the discrete solutions accuracy and robustness, as demonstrated by selected examples of application. Copyright c 2010 John Wiley & Sons, Ltd.

For the last decade, optimization of beam orientations in intensitymodulated radiation therapy (IMRT) has been shown to be successful in improving the treatment plan. Unfortunately, the quality of a set of beam orientations depends heavily on its corresponding beam intensity proles. Usually, a stochastic selector is used for optimizing beam orientation, and then a single objective inverse treatment planning algorithm is used for the optimization of beam intensity proles. The overall time needed to solve the inverse planning for every random selection of beam orientations becomes excessive. Recently, considerable improvement has been made in optimizing beam intensity proles by using multiple objective inverse treatment planning. Such an approach results in a variety of beam intensity proles for every selection of beam orientations, making the dependence between beam orientations and its intensity proles less important. We take advantage of this property to present a dynamic algorithm for beam orientation in IMRT which is based on multicriteria inverse planning. The algorithm approximates beam intensity proles iteratively instead of doing it for every selection of beam orientation, saving a considerable amount of calculation time. Every iteration goes from an N-beam plan to a plan with N + 1 beams. Beam selection criteria are based on a score function that minimizes the deviation from the prescribed dose, in addition to a reject-accept criterion. To illustrate the eciency of the algorithm it has been applied to an articial example where optimality is trivial and to three real clinical cases: a prostate carcinoma, a tumor in the head and neck region and a paraspinal tumor. In comparison to the standard equally spaced beam plans, improvements are reported in all of the three clinical examples, even, in some cases with a fewer number of beams.

Territory design and districting may be viewed as the problem of grouping small geographic areas into larger geographic clusters called territories in such a way that the latter are acceptable according to relevant planning criteria. The availability of GIS on computers and the growing interest in Geo-Marketing leads to an increasing importance of this area. Despite the wide range of applications for territory design problems, when taking a closer look at the models proposed in the literature, a lot of similarities can be noticed. Indeed, the models are many times very similar and can often be, more or less directly, carried over to other applications. Therefore, our aim is to provide a generic application-independent model and present efficient solution techniques. We introduce a basic model that covers aspects common to most applications. Moreover, we present a method for solving the general model which is based on ideas from the field of computational geometry. Theoretical as well as computational results underlining the efficiency of the new approach will be given. Finally, we show how to extend the model and solution algorithm to make it applicable for a broader range of applications and how to integrate the presented techniques into a GIS.

Abstract. An efficient approach to the numerical upscaling of thermal conductivities of fibrous media, e.g. insulation materials, is considered. First, standard cell problems for a second order elliptic equation are formulated for a proper piece of random fibrous structure, following homogenization theory. Next, a graph formed by the fibers is considered, and a second order elliptic equation with suitable boundary conditions is solved on this graph only. Replacing the boundary value problem for the full cell with an auxiliary problem with special boundary conditions on a connected subdomain of highly conductive material is justified in a previous work of the authors. A discretization on the graph is presented here, and error estimates are provided. The efficient implementation of the algorithm is discussed. A number of numerical experiments is presented in order to illustrate the performance of the proposed method.

In the literature, there are at least two equivalent two-factor Gaussian models for the instantaneous short rate. These are the original two-factor Hull White model (see [3]) and the G2++ one by Brigo and Mercurio (see [1]). Both these models first specify a time homogeneous two-factor short rate dynamics and then by adding a deterministic shift function '(·) fit exactly the initial term structure of interest rates. However, the obtained results are rather clumsy and not intuitive which means that a special care has to be taken for their correct numerical implementation.

A Lattice Boltzmann Method for immiscible multiphase flow simulations using the Level Set Method
(2008)

We consider the lattice Boltzmann method for immiscible multiphase flow simulations. Classical lattice Boltzmann methods for this problem, e.g. the colour gradient method or the free energy approach, can only be applied when density and viscosity ratios are small. Moreover, they use additional fields defined on the whole domain to describe the different phases and model phase separation by special interactions at each node. In contrast, our approach simulates the flow using a single field and separates the fluid phases by a free moving interface. The scheme is based on the lattice Boltzmann method and uses the level set method to compute the evolution of the interface. To couple the fluid phases, we develop new boundary conditions which realise the macroscopic jump conditions at the interface and incorporate surface tension in the lattice Boltzmann framework. Various simulations are presented to validate the numerical scheme, e.g. two-phase channel flows, the Young-Laplace law for a bubble and viscous fingering in a Hele-Shaw cell. The results show that the method is feasible over a wide range of density and viscosity differences.

We present the application of a meshfree method for simulations of interaction between fluids and flexible structures. As a flexible structure we consider a sheet of paper. In a two-dimensional framework this sheet can be modeled as curve by the dynamical Kirchhoff-Love theory. The external forces taken into account are gravitation and the pressure difference between upper and lower surface of the sheet. This pressure difference is computed using the Finite Pointset Method (FPM) for the incompressible Navier-Stokes equations. FPM is a meshfree, Lagrangian particle method. The dynamics of the sheet are computed by a finite difference method. We show the suitability of the meshfree method for simulations of fluid-structure interaction in several applications.

In this article, we consider the problem of planning inspections and other tasks within a software development (SD) project with respect to the objectives quality (no. of defects), project duration, and costs. Based on a discrete-event simulation model of SD processes comprising the phases coding, inspection, test, and rework, we present a simplified formulation of the problem as a multiobjective optimization problem. For solving the problem (i.e. finding an approximation of the efficient set) we develop a multiobjective evolutionary algorithm. Details of the algorithm are discussed as well as results of its application to sample problems.

The level-set method has been recently introduced in the field of shape optimization, enabling a smooth representation of the boundaries on a fixed mesh and therefore leading to fast numerical algorithms. However, most of these algorithms use a Hamilton-Jacobi equation to connect the evolution of the level-set function with the deformation of the contours, and consequently they cannot create any new holes in the domain (at least in 2D). In this work, we propose an evolution equation for the level-set function based on a generalization of the concept of topological gradient. This results in a new algorithm allowing for all kinds of topology changes.

This paper disscuses the minimal area rectangular packing problem of how to pack a set of specified, non-overlapping rectangels into a rectangular container of minimal area. We investigate different mathematical programming approaches of this and introduce a novel approach based on non-linear optimization and the \\\"tunneling effect\\\" achieved by a relaxation of the non-overlapping constraints.

The problem discussed in this paper is motivated by the new recycling directiveWEEE of the EC. The core of this law is, that each company which sells electrical or electronic equipment in a European country has the obligation to recollect and recycle an amount of returned items which is proportional to its market share. To assign collection stations to companies, in Germany for one product type a territory design approach is planned. However, in contrast to classical territory design, the territories should be geographically as dispersed as possible to avoid that a company, resp. its logistics provider responsible for the recollection, gains a monopoly in some region. First, we identify an appropriate measure for the dispersion of a territory. Afterwards, we present a first mathematical programming model for this new problem as well as a solution method based on the GRASP methodology. Extensive computational results illustrate the suitability of the model and assess the effectiveness of the heuristic.

This work presents the dynamic capillary pressure model (Hassanizadeh, Gray, 1990, 1993a) adapted for the needs of paper manufacturing process simulations. The dynamic capillary pressure-saturation relation is included in a one-dimensional simulation model for the pressing section of a paper machine. The one-dimensional model is derived from a two-dimensional model by averaging with respect to the vertical direction. Then, the model is discretized by the finite volume method and solved by Newton’s method. The numerical experiments are carried out for parameters typical for the paper layer. The dynamic capillary pressure-saturation relation shows significant influence on the distribution of water pressure. The behaviour of the solution agrees with laboratory experiments (Beck, 1983).

We present a parsimonious multi-asset Heston model. All single-asset submodels follow the well-known Heston dynamics and their parameters are typically calibrated on implied market volatilities. We focus on the calibration of the correlation structure between the single-asset marginals in the absence of sucient liquid cross-asset option price data. The presented model is parsimonious in the sense that d(d􀀀1)=2 asset-asset cross-correlations are required for a d-asset Heston model. In order to calibrate the model, we present two general setups corresponding to relevant practical situations: (1) when the empirical cross-asset correlations in the risk neutral world are given by the user and we need to calibrate the correlations between the driving Brownian motions or (2) when they have to be estimated from the historical time series. The theoretical background, including the ergodicity of the multidimensional CIR process, for the proposed estimators is also studied.

A number of water flow problems in porous media are modelled by Richards’ equation [1]. There exist a lot of different applications of this model. We are concerned with the simulation of the pressing section of a paper machine. This part of the industrial process provides the dewatering of the paper layer by the use of clothings, i.e. press felts, which absorb the water during pressing [2]. A system of nips are formed in the simplest case by rolls, which increase sheet dryness by pressing against each other (see Figure 1). A lot of theoretical studies were done for Richards’ equation (see [3], [4] and references therein). Most articles consider the case of x-independent coefficients. This simplifies the system considerably since, after Kirchhoff’s transformation of the problem, the elliptic operator becomes linear. In our case this condition is not satisfied and we have to consider nonlinear operator of second order. Moreover, all these articles are concerned with the nonstationary problem, while we are interested in the stationary case. Due to complexity of the physical process our problem has a specific feature. An additional convective term appears in our model because the porous media moves with the constant velocity through the pressing rolls. This term is zero in immobile porous media. We are not aware of papers, which deal with such kind of modified steady Richards’ problem. The goal of this paper is to obtain the stability results, to show the existence of a solution to the discrete problem, to prove the convergence of the approximate solution to the weak solution of the modified steady Richards’ equation, which describes the transport processes in the pressing section. In Section 2 we present the model which we consider. In Section 3 a numerical scheme obtained by the finite volume method is given. The main part of this paper is theoretical studies, which are given in Section 4. Section 5 presents a numerical experiment. The conclusion of this work is given in Section 6.

The modelling of hedge funds poses a difficult problem since the available reported data sets are often small and incomplete. We propose a switching regression model for hedge funds, in which the coefficients are able to switch between different regimes. The coefficients are governed by a Markov chain in discrete time. The different states of the Markov chain represent different states of the economy, which influence the performance of the independent variables. Hedge fund indices are chosen as regressors. The parameter estimation for the switching parameter as well as for the switching error term is done through a filtering technique for hidden Markov models developed by Elliott (1994). Recursive parameter estimates are calculated through a filter-based EM-algorithm, which uses the hidden information of the underlying Markov chain. Our switching regression model is applied on hedge fund series and hedge fund indices from the HFR database.