## Bericht

### Filtern

#### Fachbereich / Organisatorische Einheit

#### Erscheinungsjahr

- 2011 (18) (entfernen)

#### Dokumenttyp

- Bericht (18) (entfernen)

#### Schlagworte

- (dynamic) network flows (1)
- American options (1)
- Compiler (1)
- Dynamic Network Flows (1)
- Energie (1)
- FPTAS (1)
- FlowLoc (1)
- Green’s function (1)
- Heston model (1)
- Methode der Fundamentallösungen (1)

- The Multi Terminal q-FlowLoc Problem: A Heuristic (2011)
- In this paper the multi terminal q-FlowLoc problem (q-MT-FlowLoc) is introduced. FlowLoc problems combine two well-known modeling tools: (dynamic) network flows and locational analysis. Since the q-MT-FlowLoc problem is NP-hard we give a mixed integer programming formulation and propose a heuristic which obtains a feasible solution by calculating a maximum flow in a special graph H. If this flow is also a minimum cost flow, various versions of the heuristic can be obtained by the use of different cost functions. The quality of this solutions is compared.

- Separate Translation of Synchronous Programs to Guarded Actions (2011)
- This report gives an overview of the separate translation of synchronous imperative programs to synchronous guarded actions. In particular, we consider problems to be solved for separate compilation that stem from preemption statements and local variable declarations. We explain how we solved these problems and sketch our solutions implemented in the our Averest framework to implement a compiler that allows a separate compilation of imperative synchronous programs with local variables and unrestricted preemption statements. The focus of the report is the big picture of our entire design flow.

- Reliable and Restricted Quickest Path Problems (2011)
- In a dynamic network, the quickest path problem asks for a path minimizing the time needed to send a given amount of flow from source to sink along this path. In practical settings, for example in evacuation or transportation planning, the reliability of network arcs depends on the specific scenario of interest. In this circumstance, the question of finding a quickest path among all those having at least a desired path reliability arises. In this article, this reliable quickest path problem is solved by transforming it to the restricted quickest path problem. In the latter, each arc is associated a nonnegative cost value and the goal is to find a quickest path among those not exceeding a predefined budget with respect to the overall (additive) cost value. For both, the restricted and reliable quickest path problem, pseudopolynomial exact algorithms and fully polynomial-time approximation schemes are proposed.

- Quantification of the effectiveness of a safety function in passenger vehicles on the basis of real-world accident data (2011)
- 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.

- Pricing American options in the Heston model: a close look on incorporating correlation (2011)
- 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.

- Power to the People – Das Stromnetz der Zukunft (2011)
- Das Smart Grid, „intelligentes Stromnetz“, ist eines der Themen, welche von der Politik und natürlich auch der Stromwirtschaft immer wieder in den Vordergrund gestellt werden. Das Potential der erneuerbaren Energien reicht aus, um Deutschland und Europa zuverlässig mit Strom zu versorgen. Der Umbau der Stromnetze ist dabei von zentraler Bedeutung und bedarf einer Anstrengung der gesamten Gesellschaft. Leider kommt dabei der Stromkunde zu kurz — die Bedürfnisse von Stromkunden werden weitgehend ignoriert und der Datenschutz wird oft ausser acht gelassen. Aber auch kleinere Stadtwerke haben mit dieser Entwicklung Probleme: Aufgrund politischer Vorgaben müssen sie zum Beispiel Smart Meter einführen, obwohl ihnen dadurch Kosten entstehen, die sie nicht direkt auf den Kunden umlegen können. Die Bereitschaft der Kunden, für ein Smart Grid mehr Geld zu bezahlen, ist wohl kaum vorhanden. Gleichzeitig ist es aber notwendig, die bestehenden Stromnetze zu flexibilisieren und auf einen weiter steigenden Anteil von erneuerbaren Energiequellen vorzubereiten

- PF- MPC: Particle Filter-Model Predictive Control (2011)
- 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.

- On convergence of a discrete problem describing transport processes in the pressing section of a paper machine including dynamic capillary effects: one-dimensional case (2011)
- 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.

- Multibody dynamics simulation of geometrically exact Cosserat rods (2011)
- 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.

- Modeling profit sharing in combinatorial exchanges by network flows (2011)
- 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].