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#### Faculty / Organisational entity

The thesis is concerned with the modelling of ionospheric current systems and induced magnetic fields in a multiscale framework. Scaling functions and wavelets are used to realize a multiscale analysis of the function spaces under consideration and to establish a multiscale regularization procedure for the inversion of the considered operator equation. First of all a general multiscale concept for vectorial operator equations between two separable Hilbert spaces is developed in terms of vector kernel functions. The equivalence to the canonical tensorial ansatz is proven and the theory is transferred to the case of multiscale regularization of vectorial inverse problems. As a first application, a special multiresolution analysis of the space of square-integrable vector fields on the sphere, e.g. the Earth’s magnetic field measured on a spherical satellite’s orbit, is presented. By this, a multiscale separation of spherical vector-valued functions with respect to their sources can be established. The vector field is split up into a part induced by sources inside the sphere, a part which is due to sources outside the sphere and a part which is generated by sources on the sphere, i.e. currents crossing the sphere. The multiscale technqiue is tested on a magnetic field data set of the satellite CHAMP and it is shown that crustal field determination can be improved by previously applying our method. In order to reconstruct ionspheric current systems from magnetic field data, an inversion of the Biot-Savart’s law in terms of multiscale regularization is defined. The corresponding operator is formulated and the singular values are calculated. Based on the konwledge of the singular system a regularzation technique in terms of certain product kernels and correponding convolutions can be formed. The method is tested on different simulations and on real magnetic field data of the satellite CHAMP and the proposed satellite mission SWARM.

In this paper, the reflection and refraction of a plane wave at an interface between .two half-spaces composed of triclinic crystalline material is considered. It is shown that due to incidence of a plane wave three types of waves namely quasi-P (qP), quasi-SV (qSV) and quasi-SH (qSH) will be generated governed by the propagation condition involving the acoustic tensor. A simple procedure has been presented for the calculation of all the three phase velocities of the quasi waves. It has been considered that the direction of particle motion is neither parallel nor perpendicular to the direction of propagation. Relations are established between directions of motion and propagation, respectively. The expressions for reflection and refraction coefficients of qP, qSV and qSH waves are obtained. Numerical results of reflection and refraction coefficients are presented for different types of anisotropic media and for different types of incident waves. Graphical representation have been made for incident qP waves and for incident qSV and qSH waves numerical data are presented in two tables.

UML and SDL are languages for the development of software systems that have different origins, and have evolved separately for many years. Recently, it can be observed that OMG and ITU, the standardisation bodies responsible for UML and SDL, respectively, are making efforts to harmonise these languages. So far, harmonisation takes place mainly on a conceptual level, by extending and aligning the set of language concepts. In this paper, we argue that harmonisation of languages can be approached both from a syntactic and semantic perspective. We show how a common syntactical basis can be derived from the analysis of the UML meta-model
and the SDL abstract grammar. For this purpose, conceptually sound and well-founded mappings from meta-models to abstract grammars and vice versa are defined and applied. On the semantic level, a comparison between corresponding language constructs is performed.

The goal of this thesis is a physically motivated and thermodynamically consistent formulation of higher gradient inelastic material behavior. Thereby, the influence of the material microstructure is incorporated. Next to theoretical aspects, the thesis is complemented with the algorithmic treatment and numerical implementation of the derived model. Hereby, two major inelastic effects will be addressed: on the one hand elasto-plastic processes and on the other hand damage mechanisms, which will both be modeled within a continuum mechanics framework.

In first part of this work, summaries of traditional Multiphase Flow Model and more recent Multiphase Mixture Model are presented. Attention is being paid to attempts include various heterogeneous aspects into models. In second part, MMM based differential model for two-phase immiscible flow in porous media is considered. A numerical scheme based on the sequential solution procedure and control volume based finite difference schemes for the pressure and saturation-conservation equations is developed. A computer simulator is built, which exploits object-oriented programming techniques. Numerical result for several test problems are reported.

We construct and study two surface measures on the space C([0,1],M) of paths in a compact Riemannian manifold M embedded into the Euclidean space R^n. The first one is induced by conditioning the usual Wiener measure on C([0,T],R^n) to the event that the Brownian particle does not leave the tubular epsilon-neighborhood of M up to time T, and passing to the limit. The second one is defined as the limit of the laws of reflected Brownian motions with reflection on the boundaries of the tubular epsilon-neighborhoods of M. We prove that the both surface measures exist and compare them with the Wiener measure W_M on C([0,T],M). We show that the first one is equivalent to W_M and compute the corresponding density explicitly in terms of the scalar curvature and the mean curvature vector of M. Further, we show that the second surface measure coincides with W_M. Finally, we study the limit behavior of the both surface measures as T tends to infinity.

The thesis deals with the subgradient optimization methods which are serving to solve nonsmooth optimization problems. We are particularly concerned with solving large-scale integer programming problems using the methodology of Lagrangian relaxation and dualization. The goal is to employ the subgradient optimization techniques to solve large-scale optimization problems that originated from radiation therapy planning problem. In the thesis, different kinds of zigzagging phenomena which hamper the speed of the subgradient procedures have been investigated and identified. Moreover, we have established a new procedure which can completely eliminate the zigzagging phenomena of subgradient methods. Procedures used to construct both primal and dual solutions within the subgradient schemes have been also described. We applied the subgradient optimization methods to solve the problem of minimizing total treatment time of radiation therapy. The problem is NP-hard and thus far there exists no method for solving the problem to optimality. We present a new, efficient, and fast algorithm which combines exact and heuristic procedures to solve the problem.

The main two problems of continuous-time financial mathematics are option pricing and portfolio optimization. In this thesis, various new aspects of these major topics of financial mathematics will be discussed. In all our considerations we will assume the standard diffusion type setting for securitiy prices which is today well-know under the term "Black-Scholes model". This setting and the basic results of option pricing and portfolio optimization are surveyed in the first chapter. The next three chapters deal with generalizations of the standard portfolio problem, also know as "Merton's problem". Here, we will always use the stochastic control approach as introduced in the seminal papers by Merton (1969, 1971, 1990). One such problem is the very realistic setting of an investor who is faced with fixed monetary streams. More precisely, in addition to maximizing the utility from final wealth via choosing an investment strategy, the investor also has to fulfill certain consumption needs. Also the opposite situation, an additional income stream can now be taken into account in our portfolio optimization problem. We consider various examples and solve them on one hand via classical stochastic control methods and on the other hand by our new separation theorem. This together with some numerical examples forms Chapter 2. Chapter 3 is mainly concerned with the portfolio problem if the investor has different lending and borrowing rates. We give explicit solutions (where possible) and numerical methods to calculate the optimal strategy in the cases of log utility and HARA utility for three different modelling approaches of the dependence of the borrowing rate on the fraction of wealth financed by a credit. The further generalization of the standard Merton problem in Chapter 4 consists in considering simultaneously the possibilities for continuous and discrete consumption. In our general approach there is a possibility for assigning the different consumption times different weights which is a generalization of the usual way of making them comparable via discounting. Chapter 5 deals with the special case of pricing basket options. Here, the main problem is not path-dependence but the multi-dimensionality which makes it impossible to give usuefull analytical representations of the option price. We review the literature and compare six different numerical methods in a systematic way. Thereby we also look at the influence of various parameters such as strike, correlation, forwards or volatilities on the erformance of the different numerical methods. The problem of pricing Asian options on average spot with average strike is the topic of Chapter 6. We here apply the bivariate normal distribution to obtain an approximate option price. This method proves to be very reliable and e±cient for the valuation of different variants of Asian options on average spot with average strike.

SST (satellite-to-satellite tracking) and SGG (satellite gravity gradiometry) provide data that allows the determination of the first and second order radial derivative of the earth's gravitational potential on the satellite orbit, respectively. The modeling of the gravitational potential from such data is an exponentially ill-posed problem that demands regularization. In this paper, we present the numerical studies of an approach, investigated in [24] and [25], that reconstructs the potential with spline smoothing. In this case, spline smoothing is not just an approximation procedure but it solves the underlying compact operator equation of the SST-problem and the SGG-problem. The numerical studies in this paper are performed for a simplified geometrical scenario with simulated data, but the approach is designed to handle first or second order radial derivative data on a real satellite orbit.

In this paper we consider set covering problems with a coefficient matrix almost having the consecutive ones property, i.e., in many rows of the coefficient matrix, the ones appear consecutively. If this property holds for all rows it is well known that the set covering problem can be solved efficiently. For our case of almost consecutive ones we present a reformulation exploiting the consecutive ones structure to develop bounds and a branching scheme. Our approach has been tested on real-world data as well as on theoretical problem instances.

Semiparametric estimation of conditional quantiles for time series, with applications in finance
(2003)

The estimation of conditional quantiles has become an increasingly important issue in insurance and financial risk management. The stylized facts of financial time series data has rendered direct applications of extreme value theory methodologies, in the estimation of extreme conditional quantiles, inappropriate. On the other hand, quantile regression based procedures work well in nonextreme parts of a given data but breaks down in extreme probability levels. In order to solve this problem, we combine nonparametric regressions for time series and extreme value theory approaches in the estimation of extreme conditional quantiles for financial time series. To do so, a class of time series models that is similar to nonparametric AR-(G)ARCH models but which does not depend on distributional and moments assumptions, is introduced. We discuss estimation procedures for the nonextreme levels using the models and consider the estimates obtained by inverting conditional distribution estimators and by direct estimation using Koenker-Basset (1978) version for kernels. Under some regularity conditions, the asymptotic normality and uniform convergence, with rates, of the conditional quantile estimator for strong mixing time series, are established. We study the estimation of scale function in the introduced models using similar procedures and show that under some regularity conditions, the scale estimate is weakly consistent and asymptotically normal. The application of introduced models in the estimation of extreme conditional quantiles is achieved by augmenting them with methods in extreme value theory. It is shown that the overal extreme conditional quantiles estimator is consistent. A Monte Carlo study is carried out to illustrate the good performance of the estimates and real data are used to demonstrate the estimation of Value-at-Risk and conditional expected shortfall in financial risk management and their multiperiod predictions discussed.

In this thesis the combinatorial framework of toric geometry is extended to equivariant sheaves over toric varieties. The central questions are how to extract combinatorial information from the so developed description and whether equivariant sheaves can, like toric varieties, be considered as purely combinatorial objects. The thesis consists of three main parts. In the first part, by systematically extending the framework of toric geometry, a formalism is developed for describing equivariant sheaves by certain configurations of vector spaces. In the second part, homological properties of a certain class of equivariant sheaves are investigated, namely that of reflexive equivariant sheaves. Several kinds of resolutions for these sheaves are constructed which depend only on the configuration of their associated vector spaces. Thus a partially positive answer to the question of combinatorial representability is given. As a particular result, a new way for computing minimal resolutions for Z^n - graded modules over polynomial rings is obtained. In the third part a complete classification of the simplest nontrivial sheaves, equivariant vector bundles of rank two over smooth toric surfaces, is given. A combinatorial characterization is given and parameter spaces (moduli spaces) are constructed which depend only on this characterization. In appendices a outlook on equivariant sheaves and the relation of Chern classes to their combinatorial classification is given, particularly focussing on the case of the projective plane. A classification of equivariant vector bundles of rank three over the projective plane is given.

The inverse problem of recovering the Earth's density distribution from satellite data of the first or second derivative of the gravitational potential at orbit height is discussed. This problem is exponentially ill-posed. In this paper a multiscale regularization technique using scaling functions and wavelets constructed for the corresponding integro-differential equations is introduced and its numerical applications are discussed. In the numerical part the second radial derivative of the gravitational potential at 200 km orbit height is calculated on a point grid out of the NASA/GSFC/NIMA Earth Geopotential Model (EGM96). Those simulated derived data out of SGG satellite measurements are taken for convolutions with the introduced scaling functions yielding a multiresolution analysis of harmonic density variations in the Earth's crust.

As the sustained trend towards integrating more and more functionality into systems on a chip can be observed in all fields, their economic realization is a challenge for the chip making industry. This is, however, barely possible today, as the ability to design and verify such complex systems could not keep up with the rapid technological development. Owing to this productivity gap, a design methodology, mainly using pre designed and pre verifying blocks, is mandatory. The availability of such blocks, meeting the highest possible quality standards, is decisive for its success. Cost-effective, this can only be achieved by formal verification on the block-level, namely by checking properties, ranging over finite intervals of time. As this verification approach is based on constructing and solving Boolean equivalence problems, it allows for using backtrack search procedures, such as SAT. Recent improvements of the latter are responsible for its high capacity. Still, the verification of some classes of hardware designs, enjoying regular substructures or complex arithmetic data paths, is difficult and often intractable. For regular designs, this is mainly due to individual treatment of symmetrical parts of the search space by backtrack search procedures used. One approach to tackle these deficiencies, is to exploit the regular structure for problem reduction on the register transfer level (RTL). This work describes a new approach for property checking on the RTL, preserving the problem inherent structure for subsequent reduction. The reduction is based on eliminating symmetrical parts from bitvector functions, and hence, from the search space. Several approaches for symmetry reduction in search problems, based on invariance of a function under permutation of variables, have been previously proposed. Unfortunately, our investigations did not reveal this kind of symmetry in relevant cases. Instead, we propose a reduction based on symmetrical values, as we encounter them much more frequently in our industrial examples. Let \(f\) be a Boolean function. The values \(0\) and \(1\) are symmetrical values for a variable \(x\) in \(f\) iff there is a variable permutation \(\pi\) of the variables of \(f\), fixing \(x\), such that \(f|_{x=0} = \pi(f|_{x=1})\). Then the question whether \(f=1\) holds is independent from this variable, and it can be removed. By iterative application of this approach to all variables of \(f\), they are either all removed, leaving \(f=1\) or \(f=0\) trivially, or there is a variable \(x'\) with no such \(\pi\). The latter leads to the conclusion that \(f=1\) does not hold, as we found a counter-example either with \(x'=0\), or \(x'=1\). Extending this basic idea to vectors of variables, allows to elevate it to the RTL. There, self similarities in the function representation, resulting from the regular structure preserved, can be exploited, and as a consequence, symmetrical bitvector values can be found syntactically. In particular, bitvector term-rewriting techniques, isomorphism procedures for specially manipulated term graphs, and combinations thereof, are proposed. This approach dramatically reduces the computational effort needed for functional verification on the block-level and, in particular, for the important problem class of regular designs. It allows the verification of industrial designs previously intractable. The main contributions of this work are in providing a framework for dealing with bitvector functions algebraically, a concise description of bounded model checking on the register transfer level, as well as new reduction techniques and new approaches for finding and exploiting symmetrical values in bitvector functions.

A hub location problem consists of locating p hubs in a network in order to collect and consolidate flow between node pairs. This thesis deals with the uncapacitated single allocation p-hub center problem (USApHCP) as a special type of hub location problem with min max objective function. Using the so-called radius formulation of the problem, the dimension of the polyhedron of USApHCP is derived. The formulation constraints are investigated to find out which of these define facets. Then, three new classes of facet-defining inequalities are derived. Finally, efficient procedures to separate facets in a branch-and-cut algorithm are proposed. The polyhedral analysis of USApHCP is based on a tight relation to the uncapacitated facility location problem (UFL). Hence, many results stated in this thesis also hold for UFL.

A new stability preserving model reduction algorithm for discrete linear SISO-systems based on their impulse response is proposed. Similar to the Padé approximation, an equation system for the Markov parameters involving the Hankel matrix is considered, that here however is chosen to be of very high dimension. Although this equation system therefore in general cannot be solved exactly, it is proved that the approximate solution, computed via the Moore-Penrose inverse, gives rise to a stability preserving reduction scheme, a property that cannot be guaranteed for the Padé approach. Furthermore, the proposed algorithm is compared to another stability preserving reduction approach, namely the balanced truncation method, showing comparable performance of the reduced systems. The balanced truncation method however starts from a state space description of the systems and in general is expected to be more computational demanding.

Industrial analog circuits are usually designed using numerical simulation tools. To obtain a deeper circuit understanding, symbolic analysis techniques can additionally be applied. Approximation methods which reduce the complexity of symbolic expressions are needed in order to handle industrial-sized problems. This paper will give an overview to the field of symbolic analog circuit analysis. Starting with a motivation, the state-of-the-art simplification algorithms for linear as well as for nonlinear circuits are presented. The basic ideas behind the different techniques are described, whereas the technical details can be found in the cited references. Finally, the application of linear and nonlinear symbolic analysis will be shown on two example circuits.

We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility.

We study a possiblity to use the structure of the regularization error for a posteriori choice of the regularization parameter. As a result, a rather general form of a selection criterion is proposed, and its relation to the heuristical quasi-optimality principle of Tikhonov and Glasko (1964), and to an adaptation scheme proposed in a statistical context by Lepskii (1990), is discussed. The advantages of the proposed criterion are illustrated by using such examples as self-regularization of the trapezoidal rule for noisy Abel-type integral equations, Lavrentiev regularization for non-linear ill-posed problems and an inverse problem of the two-dimensional profile reconstruction.

This paper concerns numerical simulation of flow through oil filters. Oil filters consist of filter housing (filter box), and a porous filtering medium, which completely separates the inlet from the outlet. We discuss mathematical models, describing coupled flows in the pure liquid subregions and in the porous filter media, as well as interface conditions between them. Further, we reformulate the problem in fictitious regions method manner, and discuss peculiarities of the numerical algorithm in solving the coupled system. Next, we show numerical results, validating the model and the algorithm. Finally, we present results from simulation of 3-D oil flow through a real car filter.

On a Multigrid Adaptive Refinement Solver for Saturated Non-Newtonian Flow in Porous Media A multigrid adaptive refinement algorithm for non-Newtonian flow in porous media is presented. The saturated flow of a non-Newtonian fluid is described by the continuity equation and the generalized Darcy law. The resulting second order nonlinear elliptic equation is discretized by a finite volume method on a cell-centered grid. A nonlinear full-multigrid, full-approximation-storage algorithm is implemented. As a smoother, a single grid solver based on Picard linearization and Gauss-Seidel relaxation is used. Further, a local refinement multigrid algorithm on a composite grid is developed. A residual based error indicator is used in the adaptive refinement criterion. A special implementation approach is used, which allows us to perform unstructured local refinement in conjunction with the finite volume discretization. Several results from numerical experiments are presented in order to examine the performance of the solver.

The present thesis deals with coupled steady state laminar flows of isothermal incompressible viscous Newtonian fluids in plain and in porous media. The flow in the pure fluid region is usually described by the (Navier-)Stokes system of equations. The most popular models for the flow in the porous media are those suggested by Darcy and by Brinkman. Interface conditions, proposed in the mathematical literature for coupling Darcy and Navier-Stokes equations, are shortly reviewed in the thesis. The coupling of Navier-Stokes and Brinkman equations in the literature is based on the so called continuous stress tensor interface conditions. One of the main tasks of this thesis is to investigate another type of interface conditions, namely, the recently suggested stress tensor jump interface conditions. The mathematical models based on these interface conditions were not carefully investigated from the mathematical point of view, and also their validity was a subject of discussions. The considerations within this thesis are a step toward better understanding of these interface conditions. Several aspects of the numerical simulations of such coupled flows are considered: -the choice of proper interface conditions between the plain and porous media -analysis of the well-posedness of the arising systems of partial differential equations; -developing numerical algorithm for the stress tensor jump interface conditions, coupling Navier-Stokes equations in the pure liquid media with the Navier-Stokes-Brinkman equations in the porous media; -validation of the macroscale mathematical models on the base of a comparison with the results from a direct numerical simulation of model representative problems, allowing for grid resolution of the pore level geometry; -developing software and performing numerical simulation of 3-D industrial flows, namely of oil flows through car filters.

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t-1. We discuss an estimate which we get by inverting a kernel estimate of the conditional distribution function, and prove its asymptotic normality and uniform strong consistency. We illustrate the good performance of the estimate for light and heavy-tailed distributions of the innovations with a small simulation study.

The following three papers present recent developments in multiscale gravitational field modeling by the use of CHAMP or CHAMP-related data. Part A - The Model SWITCH-03: Observed orbit perturbations of the near-Earth orbiting satellite CHAMP are analyzed to recover the long-wavelength features of the Earth's gravitational potential. More precisely, by tracking the low-flying satellite CHAMP by the high-flying satellites of the Global Positioning System (GPS) a kinematic orbit of CHAMP is obtainable from GPS tracking observations, i.e. the ephemeris in cartesian coordinates in an Earth-fixed coordinate frame (WGS84) becomes available. In this study we are concerned with two tasks: First we present new methods for preprocessing, modelling and analyzing the emerging tracking data. Then, in a first step we demonstrate the strength of our approach by applying it to simulated CHAMP orbit data. In a second step we present results obtained by operating on a data set derived from real CHAMP data. The modelling is mainly based on a connection between non-bandlimited spherical splines and least square adjustment techniques to take into account the non-sphericity of the trajectory. Furthermore, harmonic regularization wavelets for solving the underlying Satellite-to-Satellite Tracking (SST) problem are used within the framework of multiscale recovery of the Earth's gravitational potential leading to SWITCH-03 (Spline and Wavelet Inverse Tikhonov regularized CHamp data). Further it is shown how regularization parameters can be adapted adequately to a specific region improving a globally resolved model. Finally we give a comparison of the developed model to the EGM96 model, the model UCPH2002_02_0.5 from the University of Copenhagen and the GFZ models EIGEN-1s and EIGEN-2. Part B - Multiscale Solutions from CHAMP: CHAMP orbits and accelerometer data are used to recover the long- to medium- wavelength features of the Earth's gravitational potential. In this study we are concerned with analyzing preprocessed data in a framework of multiscale recovery of the Earth's gravitational potential, allowing both global and regional solutions. The energy conservation approach has been used to convert orbits and accelerometer data into in-situ potential. Our modelling is spacewise, based on (1) non-bandlimited least square adjustment splines to take into account the true (non-spherical) shape of the trajectory (2) harmonic regularization wavelets for solving the underlying inverse problem of downward continuation. Furthermore we can show that by adapting regularization parameters to specific regions local solutions can improve considerably on global ones. We apply this concept to kinematic CHAMP orbits, and, for test purposes, to dynamic orbits. Finally we compare our recovered model to the EGM96 model, and the GFZ models EIGEN-2 and EIGEN-GRACE01s. Part C - Multiscale Modeling from EIGEN-1S, EIGEN-2, EIGEN-GRACE01S, UCPH2002_0.5, EGM96: Spherical wavelets have been developed by the Geomathematics Group Kaiserslautern for several years and have been successfully applied to georelevant problems. Wavelets can be considered as consecutive band-pass filters and allow local approximations. The wavelet transform can also be applied to spherical harmonic models of the Earth's gravitational field like the most up-to-date EIGEN-1S, EIGEN-2, EIGEN-GRACE01S, UCPH2002_0.5, and the well-known EGM96. Thereby, wavelet coefficients arise and these shall be made available to other interested groups. These wavelet coefficients allow the reconstruction of the wavelet approximations. Different types of wavelets are considered: bandlimited wavelets (here: Shannon and Cubic Polynomial (CP)) as well as non-bandlimited ones (in our case: Abel-Poisson). For these types wavelet coefficients are computed and wavelet variances are given. The data format of the wavelet coefficients is also included.

A new class of locally supported radial basis functions on the (unit) sphere is introduced by forming an infinite number of convolutions of ''isotropic finite elements''. The resulting up functions show useful properties: They are locally supported and are infinitely often differentiable. The main properties of these kernels are studied in detail. In particular, the development of a multiresolution analysis within the reference space of square--integrable functions over the sphere is given. Altogether, the paper presents a mathematically significant and numerically efficient introduction to multiscale approximation by locally supported radial basis functions on the sphere.

A non-linear multigrid solver for incompressible Navier-Stokes equations, exploiting finite volume discretization of the equations, is extended by adaptive local refinement. The multigrid is the outer iterative cycle, while the SIMPLE algorithm is used as a smoothing procedure. Error indicators are used to define the refinement subdomain. A special implementation approach is used, which allows to perform unstructured local refinement in conjunction with the finite volume discretization. The multigrid - adaptive local refinement algorithm is tested on 2D Poisson equation and further is applied to a lid-driven flows in a cavity (2D and 3D case), comparing the results with bench-mark data. The software design principles of the solver are also discussed.

The question of how to model dependence structures between financial assets was revolutionized since the last decade when the copula concept was introduced in financial research. Even though the concept of splitting marginal behavior and dependence structure (described by a copula) of multidimensional distributions already goes back to Sklar (1955) and Hoeffding (1940), there were very little empirical efforts done to check out the potentials of this approach. The aim of this thesis is to figure out the possibilities of copulas for modelling, estimating and validating purposes. Therefore we extend the class of Archimedean Copulas via a transformation rule to new classes and come up with an explicit suggestion covering the Frank and Gumbel family. We introduce a copula based mapping rule leading to joint independence and as results of this mapping we present an easy method of multidimensional chi²-testing and a new estimate for high dimensional parametric distributions functions. Different ways of estimating the tail dependence coefficient, describing the asymptotic probability of joint extremes, are compared and improved. The limitations of elliptical distributions are carried out and a generalized form of them, preserving their applicability, is developed. We state a method to split a (generalized) elliptical distribution into its radial and angular part. This leads to a positive definite robust estimate of the dispersion matrix (here only given as a theoretical outlook). The impact of our findings is stated by modelling and testing the return distributions of stock- and currency portfolios furthermore of oil related commodities- and LME metal baskets. In addition we show the crash stability of real estate based firms and the existence of nonlinear dependence in between the yield curve.

The central theme in this thesis concerns the development of enhanced methods and algorithms for appraising market and credit risks and their application within the context of standard and more advanced market models. Generally, methods and algorithms for analysing market risk of complex portfolios involve detailed knowledge of option sensitivities, the so-called "Greeks". Based on an analysis of symmetries in financial market models, relations between option sensitivities are obtained, which can be used for the efficient valuation of the Greeks. Mainly, the relations are derived within the Black Scholes model, however, some relations are also valid for more general models, for instance the Heston model. Portfolios are usually influenced by lots of underlyings, so it is necessary to characterise the dependencies of these basic instruments. It is usual to describe such dependencies by correlation matrices. However, estimations of correlation matrices in practice are disturbed by statistical noise and usually have the problem of rank deficiency due to missing data. A fast algorithm is presented which performs a generalized Cholesky decomposition of a perturbed correlation matrix. In contrast to the standard Cholesky algorithm, an advantage of the generalized method is that it works for semi-positive, rank deficient matrices as well. Moreover, it gives an approximative decomposition when the input matrix is indefinite. A comparison with known algorithms with similar features is performed and it turns out, that the new algorithm can be recommended in situations where computation time is the critical issue. The determination of a profit and loss distribution by Fourier inversion of its characteristic function is a powerful tool, but it can break down when the characteristic function is not integrable. In this thesis, methods for Fourier inversion of non-integrable characteristic functions are studied. In this respect, two theorems are obtained which are based on a suitable approximation of the unknown distribution with known density and characteristic function. Further it will be shown, that straightforward Fast Fourier inversion works, when the according density lives on a bounded interval. The above techniques are of crucial importance to determine the profit and loss distribution (P&L) of large portfolios efficiently. The so-called Delta Gamma normal approach has become industrial standard for the estimation of market risk. It is shown, that the performance of the Delta Gamma normal approach can be improved substantially by application of the developed methods. The same optimization procedure also applies to the Delta Gamma Student model. A standard tool for computing the P&L distribution of a loan portfolio is the CreditRisk+ model. Basically, the CreditRisk+ distribution is a discrete distribution which can be computed from its probability generating function. For this a numerically stable method is presented and as an alternative, a new algorithm based on Fourier inversion is proposed. Finally, an extension of the CreditRisk+ model to market risk is developed, which distribution can be obtained efficiently by the presented Fourier inversion methods as well.

This paper deals with the handling of deformable linear objects (DLOs), such as hoses, wires, or leaf springs. It investigates usable features for the vision-based detection of a changing contact situation between a DLO and a rigid polyhedral obstacle and a classification of such contact state transitions. The result is a complete classification of contact state transitions and of the most significant features for each class. This knowledge enables reliable detection of changes in the DLO contact situation, facilitating implementation of sensor-based manipulation skills for all possible contact changes.

In this paper we consider the location of stops along the edges of an already existing public transportation network, as introduced in [SHLW02]. This can be the introduction of bus stops along some given bus routes, or of railway stations along the tracks in a railway network. The goal is to achieve a maximal covering of given demand points with a minimal number of stops. This bicriterial problem is in general NP-hard. We present a nite dominating set yielding an IP-formulation as a bicriterial set covering problem. We use this formulation to observe that along one single straight line the bicriterial stop location problem can be solved in polynomial time and present an e cient solution approach for this case. It can be used as the basis of an algorithm tackling real-world instances.

Linear Optimization is an important area from applied mathematics. A lot of practical problems can be modelled and solved with this technique. This publication shall help to introduce this topic to pupils. The process of modelling, the reduction of problems to their significant attributes shall be described. The linear programms will be solved by using the simplex method. Many examples illustrate the topic.

We present new algorithms and provide an overall framework for the interaction of the classically separate steps of logic synthesis and physical layout in the design of VLSI circuits. Due to the continuous development of smaller sized fabrication processes and the subsequent domination of interconnect delays, the traditional separation of logical and physical design results in increasingly inaccurate cost functions and aggravates the design closure problem. Consequently, the interaction of physical and logical domains has become one of the greatest challenges in the design of VLSI circuits. To address this challenge, we propose different solutions for the control and datapath logic of a design, and show how to combine them to reach design closure.

In this paper we focus on the strategic design of supply chain networks. We propose a mathematical modeling framework that captures many practical aspects of network design problems simultaneously but which have not received adequate attention in the literature. The aspects considered include: dynamic planning horizon, generic supply chain network structure, external supply of materials, inventory opportunities for goods, distribution of commodities, facility configuration, availability of capital for investments, and storage limitations. Moreover, network configuration decisions concerning the gradual relocation of facilities over the planning horizon are considered. To cope with fluctuating demands, capacity expansion and reduction scenarios are also analyzed as well as modular capacity shifts. The relation of the proposed modeling framework with existing models is discussed. For problems of reasonable size we report on our computational experience with standard mathematical programming software. In particular, useful insights on the impact of various factors on network design decisions are provided.

In this paper, we present a novel multicriteria decision support system (MCDSS), called knowCube, consisting of components for knowledge organization, generation, and navigation. Knowledge organization rests upon a database for managing qualitative and quantitative criteria, together with add-on information. Knowledge generation serves filling the database via e.g. identification, optimization, classification or simulation. For “finding needles in haycocks”, the knowledge navigation component supports graphical database retrieval and interactive, goal-oriented problem solving. Navigation “helpers” are, for instance, cascading criteria aggregations, modifiable metrics, ergonomic interfaces, and customizable visualizations. Examples from real-life projects, e.g. in industrial engineering and in the life sciences, illustrate the application of our MCDSS.

Radiation therapy planning is always a tight rope walk between dangerous insufficient dose in the target volume and life threatening overdosing of organs at risk. Finding ideal balances between these inherently contradictory goals challenges dosimetrists and physicians in their daily practice. Today’s planning systems are typically based on a single evaluation function that measures the quality of a radiation treatment plan. Unfortunately, such a one dimensional approach cannot satisfactorily map the different backgrounds of physicians and the patient dependent necessities. So, too often a time consuming iteration process between evaluation of dose distribution and redefinition of the evaluation function is needed. In this paper we propose a generic multi-criteria approach based on Pareto’s solution concept. For each entity of interest - target volume or organ at risk a structure dependent evaluation function is defined measuring deviations from ideal doses that are calculated from statistical functions. A reasonable bunch of clinically meaningful Pareto optimal solutions are stored in a data base, which can be interactively searched by physicians. The system guarantees dynamical planning as well as the discussion of tradeoffs between different entities. Mathematically, we model the upcoming inverse problem as a multi-criteria linear programming problem. Because of the large scale nature of the problem it is not possible to solve the problem in a 3D-setting without adaptive reduction by appropriate approximation schemes. Our approach is twofold: First, the discretization of the continuous problem is based on an adaptive hierarchical clustering process which is used for a local refinement of constraints during the optimization procedure. Second, the set of Pareto optimal solutions is approximated by an adaptive grid of representatives that are found by a hybrid process of calculating extreme compromises and interpolation methods.

We propose several algorithms for efficient Testing of logical Implication in the case of ground objects. Because the problem of Testing a set of propositional formulas for (un)satisfiability is \(NP\)-complete there's strong evidence that there exist examples for which every algorithm which solves the problem of testing for (un)satisfiability has a runtime that is exponential in the length of the input. So will have our algorithms. We will therefore point out classes of logic programs for which our algorithms have a lower runtime. At the end of this paper we will give an outline of an algorithm for theory refinement which is based on the algorithms described above.

Hyperquasivarieties
(2003)

We define a class of topological spaces (LCNT-spaces) which come together with a nuclear Frechet algebra. Like the algebra of smooth functions on a manifold, this algebra carries the differential structure of the object. We compute the Hochschild homology of this object and show that it is isomorphic to the space of differential forms. This is a generalization of a result obtained by Alain Connes in the framework of smooth manifolds.

We present two heuristic methods for solving the Discrete Ordered Median Problem (DOMP), for which no such approaches have been developed so far. The DOMP generalizes classical discrete facility location problems, such as the p-median, p-center and Uncapacitated Facility Location problems. The first procedure proposed in this paper is based on a genetic algorithm developed by Moreno Vega [MV96] for p-median and p-center problems. Additionally, a second heuristic approach based on the Variable Neighborhood Search metaheuristic (VNS) proposed by Hansen & Mladenovic [HM97] for the p-median problem is described. An extensive numerical study is presented to show the efficiency of both heuristics and compare them.

In recent years a considerable attention was paid to an investigation of finite orders relative to different properties of their isotone functions [2,3]. Strict order relations are defined as strict asymmetric and transitive binary relations. Some algebraic properties of strict orders were already studied in [6]. For the class K of so-called 2-series strict orders we describe the partially ordered set EndK of endomorphism monoids, ordered by inclusion. It is obtained that EndK possesses a least element and in most cases defines a Boolean algebra. Moreover, every 2-series strict order is determined by its n-ary isotone functions for some natural number n.

Extensions of Shallow Water Equations The subject of the thesis of Michael Hilden is the simulation of floods in urban areas. In case of strong rain events, water can flow out of the overloaded sewer system onto the street and damage the connected houses. The dependable simulation of water flow out of a manhole ("manhole") and over a curb ("curb") is crucial for the assessment of the flood risks. The incompressible 3D-Navier-Stokes Equations (3D-NSE) describe the free surface flow of water accurately, but require expensive computations. Therefore, the less CPU-intensive (factor ca.1/100) Shallow Water Equations (SWE) are usually applied in hydrology. They can be derived from 3D-NSE under the assumption of a hydrostatic pressure distribution via depth-integration and are applied successfully in particular to simulations of river flow processes. The SWE-computations of the flow problems "manhole" and "curb" differ to the 3D-NSE results. Thus, SWE need to be extended appropriately to give reliable forecasts for flood risks in urban areas within reduced computational efforts. These extensions are developed based on physical considerations not considered in the classical SWE. In one extension, a vortex layer on the ground is separated from the main flow representing its new bottom. In a further extension, the hydrostatic pressure distribution is corrected by additional terms due to approximations of vertical velocities and their interaction with the flow. These extensions increase the quality of the SWE results for these flow problems up to the quality level of the NSE results within a moderate increase of the CPU efforts.

The Discrete Ordered Median Problem (DOMP) generalizes classical discrete location problems, such as the N-median, N-center and Uncapacitated Facility Location problems. It was introduced by Nickel [16], who formulated it as both a nonlinear and a linear integer program. We propose an alternative integer linear programming formulation for the DOMP, discuss relationships between both integer linear programming formulations, and show how properties of optimal solutions can be used to strengthen these formulations. Moreover, we present a specific branch and bound procedure to solve the DOMP more efficiently. We test the integer linear programming formulations and this branch and bound method computationally on randomly generated test problems.

In this paper we discuss an earliest arrival flow problem of a network having arc travel times and capacities that vary with time over a finite time horizon T. We also consider the possibility to wait (or park) at a node before departingon outgoing arc. This waiting is bounded by the value of maximum waiting time and the node capacity which also vary with time.

The thesis discusses discrete-time dynamic flows over a finite time horizon T. These flows take time, called travel time, to pass an arc of the network. Travel times, as well as other network attributes, such as, costs, arc and node capacities, and supply at the source node, can be constant or time-dependent. Here we review results on discrete-time dynamic flow problems (DTDNFP) with constant attributes and develop new algorithms to solve several DTDNFPs with time-dependent attributes. Several dynamic network flow problems are discussed: maximum dynamic flow, earliest arrival flow, and quickest flow problems. We generalize the hybrid capacity scaling and shortest augmenting path algorithmic of the static network flow problem to consider the time dependency of the network attributes. The result is used to solve the maximum dynamic flow problem with time-dependent travel times and capacities. We also develop a new algorithm to solve earliest arrival flow problems with the same assumptions on the network attributes. The possibility to wait (or park) at a node before departing on outgoing arc is also taken into account. We prove that the complexity of new algorithm is reduced when infinite waiting is considered. We also report the computational analysis of this algorithm. The results are then used to solve quickest flow problems. Additionally, we discuss time-dependent bicriteria shortest path problems. Here we generalize the classical shortest path problems in two ways. We consider two - in general contradicting - objective functions and introduce a time dependency of the cost which is caused by a travel time on each arc. These problems have several interesting practical applications, but have not attained much attention in the literature. Here we develop two new algorithms in which one of them requires weaker assumptions as in previous research on the subject. Numerical tests show the superiority of the new algorithms. We then apply dynamic network flow models and their associated solution algorithms to determine lower bounds of the evacuation time, evacuation routes, and maximum capacities of inhabited areas with respect to safety requirements. As a macroscopic approach, our dynamic network flow models are mainly used to produce good lower bounds for the evacuation time and do not consider any individual behavior during the emergency situation. These bounds can be used to analyze existing buildings or help in the design phase of planning a building.

The objective of the present article is to give an overview of an application of Fuzzy Logic in Regulation Thermography, a method of medical diagnosis support. An introduction to this method of the complementary medical science based on temperature measurements – so-called thermograms – is provided. The process of modelling the physician’s thermogram evaluation rules using the calculus of Fuzzy Logic is explained.

Objective: In some surgical specialties, e.g. orthopedics, robots are already used in the operating room for bony milling work. Oto- and otoneurosurgery may also greatly benefit by robotic enhanced precision. Study Design: Experimental study on robotic milling on oak wood and human temporal bone specimen. Methods: A standard industrial robot with a 6 degrees-of-freedom serial kinematics was used with force feedback to proportionally control the robot speed. Different milling modes and characteristic path parameters were evaluated to generate milling paths based on CAD geometry data of a cochlear implant and an implantable hearing system. Results: The best suited strategy proofed to be the spiral horizontal milling mode with the burr held perpendicularly to the temporal bone surface. In order to avoid high grooves, the distance in between paths should equal half the radius of the cutting burr head. Due to the vibration of the robot’s own motors, a rather high oscillation of the standard deviation of forces was encountered. This oscillation dropped drastically to nearly 0 N, when the burr head reached contact with the dura mater due to its damping characteristics. The cutting burr could be moved a long time on the dura without damaging it, because of its rather blunt head. The robot moved the burr very smoothly according to the encountered resistances. Conclusion: This is the first development of an functioning robotic milling procedure for otoneurosurgery with force-based speed control. It is planned to implement ultrasound-based local navigation and to perform robotic mastoidectomy.

Clusters bridge the gap between single atoms or molecules and the condensed phase and it is the challenge of cluster science to obtain a deeper understanding of the molecular foundation of the observed cluster specific properties/reactivities and their dependence on size. The electronic structure of hydrated magnesium monocations [Mg,nH2O]+, n<20, exhibits a strong cluster size dependency. With increasing number of H2O ligands the SOMO evolves from a quasi-valence state (n=3-5), in which the singly occupied molecular orbital (SOMO) is not yet detached from the metal atom and has distinct sp-hybrid character, to a contact ion pair state. For larger clusters (n=17,19) these ion pair states are best described as solvent separated ion pair states, which are formed by a hydrated dication and a hydrated electron. With growing cluster size the SOMO moves away from the magnesium ion to the cluster surface, where it is localized through mutual attractive interactions between the electron density and dangling H-atoms of H2O ligands forming "molecular tweezers" HO-H (e-) H-OH. In case of the hydrated aluminum monocations [Al,nH2O]+,n=20, different isomers of the formal stoichiometry [Al,20H2O]+ were investigated by using gradient-corrected DFT (BLYP) and three different basic structures for [Al,20H2O]+ were identified: (a) [AlI(H2O)20]+ with a threefold coordinated AlI; (b) [HAlIII(OH)(H2O)19]+ with a fourfold coordinated AlIII; (c) [HAlIII(OH)(H2O)19]+ with a fivefold coordinated AlIII. In ground state [AlI(H2O)20]+ (a) which contains aluminum in oxidation state +1 the 3s2 valence electrons remain located at the aluminium monocation. Different than for open shell magnesium monocations no electron transfer into the hydration shell is observed for closed shell AlI. However, clusters of type (a) are high energy isomers (DE»+190 kJ mol-1) and the activation barrier for reaction into cluster type (b) or (c) is only approximately 14 kJ mol-1. The performed ab initio calculations reveal that unlike in [Mg,nH2O]+, n=7-17, for which H atom eliminiation is found to be the result of an intracluster redoxreaction, in [Al,nH2O]+,n=20, H2 is formed in an intracluster acid-base reaction. In [Mg,nH2O]+, n>17, the magnesium dication was found to coexist with a hydrated electron in larger cluster sizes. This proves that intermolecular electron delocalization - previously almost exclusively studied in (H2O)n- and (NH3)n- clusters - can also be an important issue for water clusters doped with an open shell metal cation or a metal anion. Structures and stabilities of hydrated magnesium water cluster anions with the formal stoichiometry [Mg,nH2O]-, n=1-11, were investigated by application of various correlated ab initio methods (MP2, CCSD, CCSD(T)). Metal cations surely have high relevance in numerous biological processes, and as most biological processes take place in aqueous solution hydrated metal ions will be involved. However, in biological systems solvent molecules (i.e. water) compete with different solvated chelate ligands for coordination sites at the metal ion and the solvent and chelate ligands are in mutual interactions with each other and the metal ion. These interactions were investigated for the hydration of ZnII/carnosine complexes by application of FT-ICR-MS, gas-phase H/D exchange experiments and supporting ab initio calculations. In the last chapter of this work the Free Electron Laser IR Multi Photon Dissocition (FEL-IR-MPD) spectra of mass selected cationic niobium acetonitrile complexes with the formal stoichiometry [Nb,nCH3CN]+, n=4-5, in the spectral range 780 – 2500 cm-1 are reported. In case of n=4 the recorded vibrational bands are close to those of the free CH3CN molecule and the experimental spectra do not contain any evident indication of a potential reaction beyond complex formation. By comparison with B3LYP calculated IR absorption spectra the recorded spectra are assigned to high spin (quintet, S=2), planar [NbI(NCCH3)4]+. In [Nb,nCH3CN]+, n=5, new vibrational bands shifted away from those of the acetonitrile monomer are observed between 1300 – 1550 cm-1. These bands are evidence of a chemical modification due to an intramolecular reaction. Screening on the basis of B3LYP calculated IR absorption spectra allow for an assignment of the recorded spectra to the metallacyclic species [NbIII(NCCH3)3(N=C(CH3)C(CH3)=N)]+ (triplet, S=1), which has formed in a internal reductive nitrile coupling reaction from [NbI(NCCH3)5]+. Calculated reaction coordinates explain the experimentally observed differences in reactivity between ground state [NbI(NCCH3)4]+ and [NbI(NCCH3)5]+. The reductive nitrile coupling reaction is exothermic and accessible (Ea=49 kJ mol-1) only in [NbI(NCCH3)5]+, whereas in [NbI(NCCH3)4]+ the reaction is found to be endothermic and retarded by significantly higher activation barriers (Ea>116 kJ mol-1).