In this paper we consider a CHARME Model, a class of generalized mixture of nonlinear nonparametric AR-ARCH time series. We apply the theory of Markov models to derive asymptotic stability of this model. Indeed, the goal is to provide some sets of conditions under which our model is geometric ergodic and therefore satisfies some mixing conditions. This result can be considered as the basis toward an asymptotic theory for our model.
We consider a generalized mixture of nonlinear AR models, a hidden Markov model for which the autoregressive functions are single layer feedforward neural networks. The non trivial problem of identifiability, which is usually postulated for hidden Markov models, is addressed here.
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 sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not require the specification of the innovation law. We prove consistency of those estimates and illustrate their good performance for light- and heavy-tailed distributions of the innovations with a small simulation study. As an economic application, we use the estimates for calculating the value at risk of some stock price series.
While in classical scheduling theory the locations of machines are assumed to be fixed we will show how to tackle location and scheduling problems simultaneously. Obviously, this integrated approach enhances the modeling power of scheduling for various real-life problems. In this paper, we present in an exemplary way theory and a solution algorithm for a specific type of a scheduling and a rather general, planar location problem, respectively. More general results and a report on numerical tests will be presented in a subsequent paper.
This paper deals with the problem of determining the sea surface topography from geostrophic flow of ocean currents on local domains of the spherical Earth. In mathematical context the problem amounts to the solution of a spherical differential equation relating the surface curl gradient of a scalar field (sea surface topography) to a surface divergence-free vector field(geostrophic ocean flow). At first, a continuous solution theory is presented in the framework of an integral formula involving Green’s function of the spherical Beltrami operator. Different criteria derived from spherical vector analysis are given to investigate uniqueness. Second, for practical applications Green’s function is replaced by a regularized counterpart. The solution is obtained by a convolution of the flow field with a scaled version of the regularized Green function. Calculating locally without boundary correction would lead to errors near the boundary. To avoid these Gibbs phenomenona we additionally consider the boundary integral of the corresponding region on the sphere which occurs in the integral formula of the solution. For reasons of simplicity we discuss a spherical cap first, that means we consider a continuously differentiable (regular) boundary curve. In a second step we concentrate on a more complicated domain with a non continuously differentiable boundary curve, namely a rectangular region. It will turn out that the boundary integral provides a major part for stabilizing and reconstructing the approximation of the solution in our multiscale procedure.
The lattice Boltzmann method (LBM) is a numerical solver for the Navier-Stokes equations, based on an underlying molecular dynamic model. Recently, it has been extended towardsthe simulation of complex fluids. We use the asymptotic expansion technique to investigate the standard scheme, the initialization problem and possible developments towards moving boundary and fluid-structure interaction problems. At the same time, it will be shown how the mathematical analysis can be used to understand and improve the algorithm. First of all, we elaborate the tool "asymptotic analysis", proposing a general formulation of the technique and explaining the methods and the strategy we use for the investigation. A first standard application to the LBM is described, which leads to the approximation of the Navier-Stokes solution starting from the lattice Boltzmann equation. As next, we extend the analysis to investigate origin and dynamics of initial layers. A class of initialization algorithms to generate accurate initial values within the LB framework is described in detail. Starting from existing routines, we will be able to improve the schemes in term of efficiency and accuracy. Then we study the features of a simple moving boundary LBM. In particular, we concentrate on the initialization of new fluid nodes created by the variations of the computational fluid domain. An overview of existing possible choices is presented. Performing a careful analysis of the problem we propose a modified algorithm, which produces satisfactory results. Finally, to set up an LBM for fluid structure interaction, efficient routines to evaluate forces are required. We describe the Momentum Exchange algorithm (MEA). Precise accuracy estimates are derived, and the analysis leads to the construction of an improved method to evaluate the interface stresses. In conclusion, we test the defined code and validate the results of the analysis on several simple benchmarks. From the theoretical point of view, in the thesis we have developed a general formulation of the asymptotic expansion, which is expected to offer a more flexible tool in the investigation of numerical methods. The main practical contribution offered by this work is the detailed analysis of the numerical method. It allows to understand and improve the algorithms, and construct new routines, which can be considered as starting points for future researches.
In this paper we construct spline functions based on a reproducing kernel Hilbert space to interpolate/approximate the velocity field of earthquake waves inside the Earth based on traveltime data for an inhomogeneous grid of sources (hypocenters) and receivers (seismic stations). Theoretical aspects including error estimates and convergence results as well as numerical results are demonstrated.
Given an undirected, connected network G = (V,E) with weights on the edges, the cut basis problem is asking for a maximal number of linear independent cuts such that the sum of the cut weights is minimized. Surprisingly, this problem has not attained as much attention as its graph theoretic counterpart, the cycle basis problem. We consider two versions of the problem, the unconstrained and the fundamental cut basis problem. For the unconstrained case, where the cuts in the basis can be of an arbitrary kind, the problem can be written as a multiterminal network flow problem and is thus solvable in strongly polynomial time. The complexity of this algorithm improves the complexity of the best algorithms for the cycle basis problem, such that it is preferable for cycle basis problems in planar graphs. In contrast, the fundamental cut basis problem, where all cuts in the basis are obtained by deleting an edge, each, from a spanning tree T is shown to be NP-hard. We present heuristics, integer programming formulations and summarize first experiences with numerical tests.
In contrast to p-hub problems with a summation objective (p-hub median), minmax hub problems (p-hub center) have not attained much attention in the literature. In this paper, we give a polyhedral analysis of the uncapacitated single allocation p-hub center problem (USApHCP). The analysis will be based on a radius formulation which currently yields the most efficient solution procedures. We show which of the valid inequalities in this formulation are facet-defining and present non-elementary classes of facets, for which we propose separation problems. A major part in our argumentation will be the close connection between polytopes of the USApHCP and the uncapacitated p-facility location (pUFL). Hence, the new classes of facets can also be used to improve pUFL formulations.
In this dissertation we present analysis of macroscopic models for slow dense granular flow. Models are derived from plasticity theory with yield condition and flow rule. Corner stone equations are conservation of mass and conservation of momentum with special constitutive law. Such models are considered in the class of generalised Newtonian fluids, where viscosity depends on the pressure and modulo of the strain-rate tensor. We showed the hyperbolic nature for the evolutionary model in 1D and ill-posed behaviour for 2D and 3D. The steady state equations are always hyperbolic. In the 2D problem we derived a prototype nonlinear backward parabolic equation for the velocity and the similar equation for the shear-rate. Analysis of derived PDE showed the finite blow up time. Blow up time depends on the initial condition. Full 2D and antiplane 3D model were investigated numerically with finite element method. For 2D model we showed the presence of boundary layers. Antiplane 3D model was investigated with the Runge Kutta Discontinuous Galerkin method with mesh addoption. Numerical results confirmed that such a numerical method can be a good choice for the simulations of the slow dense granular flow.