## 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)

- 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.

- 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.

- Geometric characterization of particles in 3d with an application to technical cleanliness (2011)
- 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.

- Invariant input loads for full vehicle multibody system simulation (2011)
- 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.

- An online approach to detecting changes in nonlinear autoregressive models (2011)
- In this paper we develop monitoring schemes for detecting structural changes in nonlinear autoregressive models. We approximate the regression function by a single layer feedforward neural network. We show that CUSUM-type tests based on cumulative sums of estimated residuals, that have been intensively studied for linear regression in both an offline as well as online setting, can be extended to this model. The proposed monitoring schemes reject (asymptotically) the null hypothesis only with a given probability but will detect a large class of alternatives with probability one. In order to construct these sequential size tests the limit distribution under the null hypothesis is obtained.

- Mathematical aspects of stress field simulations in deep geothermal reservoirs (2011)
- This report gives an insight into basics of stress field simulations for geothermal reservoirs. The quasistatic equations of poroelasticity are deduced from constitutive equations, balance of mass and balance of momentum. Existence and uniqueness of a weak solution is shown. In order of to find an approximate solution numerically, usage of the so–called method of fundamental solutions is a promising way. The idea of this method as well as a sketch of how convergence may be proven are given.

- A one-dimensional model of the pressing section of a paper machine including dynamic capillary effects (2011)
- 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).

- 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].

- 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.

- 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.