## Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report)

### Filtern

#### Erscheinungsjahr

- 2011 (11) (entfernen)

#### Schlagworte

- American options (1)
- Energie (1)
- Heston model (1)
- Monte Carlo methods (1)
- Shapley Value (1)
- Stromnetz (1)
- Stromverbrauch (1)
- VCG payment scheme (1)
- Winner Determination Problem (WDP) (1)
- calls (1)

210

This work presents a proof of convergence of a discrete solution to a continuous one. At first, the continuous problem is stated as a system
of equations which describe filtration process in the pressing section of a
paper machine. Two flow regimes appear in the modeling of this problem.
The model for the saturated flow is presented by the Darcy’s law and the mass conservation. The second regime is described by the Richards approach together with a dynamic capillary pressure model. The finite
volume method is used to approximate the system of PDEs. Then the existence of a discrete solution to proposed finite difference scheme is proven.
Compactness of the set of all discrete solutions for different mesh sizes is
proven. The main Theorem shows that the discrete solution converges
to the solution of continuous problem. At the end we present numerical
studies for the rate of convergence.

209

In this paper, we present a viscoelastic rod model that is suitable for fast and accurate dynamic simulations. It is based on Cosserat’s geometrically exact theory of rods and is able to represent extension, shearing (‘stiff’ dof), bending and torsion (‘soft’ dof). For inner dissipation, a consistent damping potential proposed by Antman is chosen. We parametrise the rotational dof by unit quaternions and directly use the quaternionic evolution differential equation for the discretisation of the Cosserat rod curvature. The discrete version of our rod model is obtained via a finite difference discretisation on a staggered grid. After an index reduction from three to zero, the right-hand side function f and the Jacobian \(\partial f/\partial(q, v, t)\) of the dynamical system \(\dot{q} = v, \dot{v} = f(q, v, t)\) is free of higher algebraic (e. g. root) or transcendental (e. g. trigonometric or exponential) functions and therefore cheap to evaluate. A comparison with Abaqus finite element results demonstrates the correct mechanical behavior of our discrete rod model. For the time integration of the system, we use well established stiff solvers like RADAU5 or DASPK. As our model yields computational times within milliseconds, it is suitable for interactive applications in ‘virtual reality’ as well as for multibody dynamics simulation.

208

Input loads are essential for the numerical simulation of vehicle multibody system
(MBS)- models. Such load data is called invariant, if it is independent of the specific system under consideration. A digital road profile, e.g., can be used to excite MBS models of different
vehicle variants. However, quantities efficiently obtained by measurement such as wheel forces
are typically not invariant in this sense. This leads to the general task to derive invariant loads
on the basis of measurable, but system-dependent quantities. We present an approach to derive
input data for full-vehicle simulation that can be used to simulate different variants of a vehicle
MBS model. An important ingredient of this input data is a virtual road profile computed by optimal control methods.

207

Continuously improving imaging technologies allow to capture the complex spatial
geometry of particles. Consequently, methods to characterize their three
dimensional shapes must become more sophisticated, too. Our contribution to
the geometric analysis of particles based on 3d image data is to unambiguously
generalize size and shape descriptors used in 2d particle analysis to the spatial
setting.
While being defined and meaningful for arbitrary particles, the characteristics
were actually selected motivated by the application to technical cleanliness. Residual
dirt particles can seriously harm mechanical components in vehicles, machines,
or medical instruments. 3d geometric characterization based on micro-computed
tomography allows to detect dangerous particles reliably and with
high throughput. It thus enables intervention within the production line. Analogously
to the commonly agreed standards for the two dimensional case, we
show how to classify 3d particles as granules, chips and fibers on the basis of
the chosen characteristics. The application to 3d image data of dirt particles is
demonstrated.

206

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).

205

In this paper we study the possibilities of sharing profit in combinatorial procurement auctions and exchanges. Bundles of heterogeneous items are offered by the sellers, and the buyers can then place bundle bids on sets of these items. That way, both sellers and buyers can express synergies between items and avoid the well-known risk of exposure (see, e.g., [3]). The reassignment of items to participants is known as the Winner Determination Problem (WDP). We propose solving the WDP by using a Set Covering formulation, because profits are potentially higher than with the usual Set Partitioning formulation, and subsidies are unnecessary. The achieved benefit is then to be distributed amongst the participants of the auction, a process which is known as profit sharing. The literature on profit sharing provides various desirable criteria. We focus on three main properties we would like to guarantee: Budget balance, meaning that no more money is distributed than profit was generated, individual rationality, which guarantees to each player that participation does not lead to a loss, and the core property, which provides every subcoalition with enough money to keep them from separating. We characterize all profit sharing schemes that satisfy these three conditions by a monetary flow network and state necessary conditions on the solution of the WDP for the existence of such a profit sharing. Finally, we establish a connection to the famous VCG payment scheme [2, 8, 19], and the Shapley Value [17].

204

We introduce a refined tree method to compute option prices using the stochastic volatility model of Heston. In a first step, we model the stock and variance process as two separate trees and with transition probabilities obtained by matching tree moments up to order two against the Heston model ones. The correlation between the driving Brownian motions in the Heston model is then incorporated by the node-wise adjustment of the probabilities. This adjustment, leaving the marginals fixed, optimizes the match between tree and model correlation. In some nodes, we are even able to further match moments of higher order. Numerically this gives convergence orders faster than 1/N, where N is the number of dis- cretization steps. Accuracy of our method is checked for European option prices against a semi closed-form, and our prices for both European and American options are compared to alternative approaches.

203

In this paper we deal with dierent statistical modeling of real world accident data in order to quantify the eectiveness of a safety function or a safety conguration (meaning a specic combination of safety functions) in vehicles. It is shown that the eectiveness can be estimated along the so-called relative risk, even if the eectiveness does depend on a confounding variable which may be categorical or continuous. For doing so a concrete statistical modeling is not necessary, that is the resulting estimate is of nonparametric nature. In a second step the quite usual and from a statistical point of view classical logistic regression modeling is investigated. Main emphasis has been laid on the understanding of the model and the interpretation of the occurring parameters. It is shown that the eectiveness of the safety function also can be detected via such a logistic approach and that relevant confounding variables can and should be taken into account. The interpretation of the parameters related to the confounder and the quantication of the in uence of the confounder is shown to be rather problematic. All the theoretical results are illuminated by numerical data examples.

202

This report describes the calibration and completion of the volatility cube in the SABR model. The description is based on a project done for Assenagon GmbH in Munich. However, we use fictitious market data which resembles realistic market data. The problem posed by our client is formulated in section 1. Here we also motivate why this is a relevant problem. The SABR model is briefly reviewed in section 2. Section 3 discusses the calibration and completion of the volatility cube. An example is presented in section 4. We conclude by suggesting possible future research in section 5.

201

In this article, a new model predictive control approach to nonlinear stochastic systems will be presented. The new approach is based on particle filters, which are usually used for estimating states or parameters. Here, two particle filters will be combined, the first one giving an estimate for the actual state based on the actual output of the system; the second one gives an estimate of a control input for the system. This is basically done by adopting the basic model predictive control strategies for the second particle filter. Later in this paper, this new approach is applied to a CSTR (continuous stirred-tank reactor) example and to the inverted pendulum.