Browsing by Subject "Difference equations"

Now showing 1 - 8 of 8

Open Access
Application of signal-processing techniques to dipole excitations in the finite-difference time-domain method
(Taylor & Francis, 2002) Oğuz, U.; Gürel, Levent
The applications of discrete-time signal-processing techniques, such as windowing and filtering for the purpose of implementing accurate excitation schemes in the finite-difference time-domain (FDTD) method are demonstrated. The effects of smoothing windows of various lengths and digital lowpass filters of various bandwidths and characteristics are investigated on finite-source excitations of the FDTD computational domain. Both single-frequency sinusoidal signals and multifrequency arbitrary signals are considered.
Open Access
Decentralized control and periodic feedback
(IEEE, 1994) Khargonekar P. P.; Özgüler, A. B.
The decentralized stabilization problem for linear, discretetime, periodically time-varying plants using periodic controllers is considered. The main tool used is the technique of lifting a periodic system to a time-invariant one via extensions of the input and output spaces. It is shown that a periodically time-varying system of fundamental period N can be stabilized by a decentralized periodic controller if and only if: 1) the system is stabilizable and detectable, and 2) the N-lifting of each complementary subsystem of identically zero input-output map is free of unstable input-output decoupling zeros. In the special case of N = 1, this yields and clarifies all the major existing results on decentralized stabilization of time-invariant plants by periodically time-varying controllers. © 1994 IEEE
Open Access
Kesirli fourier dönüşümünün zaman bölgesinde sonlu farklar yöntemine uygulanması
(IEEE, 2010-04) Sayın, I.; Arıkan F.; Arıkan, Orhan
Bilgisayarların hız ve belleklerinin gelişmesi ile birlikte elektromanyetik problemlerin çözümünde saysal yöntemler sıkça kullanılmaya başlanmış ve bu konuda çok sayda araştırma yapılmıştır. Saysal Elektromanyetik yöntemleri genel olarak zaman ve frekans tabanlı yöntemler olarak sınıflandırılabilir. Zaman tabanlı yöntemler geçici tepkilerin ve geniş bantlı problemlerin incelenmesinde kullanışlı olurken, frekans tabanlı yöntemler durağan hal tepkilerin ve dar bantlı problemlerin incelenmesinde en iyi çözümü vermektedir. Her iki yaklaşımın da avantajlarını ön plana çıkarabilecek bir yöntem geliştirilebileceği düşünülmektedir. Uzayda ve/veya zamanda Kesirli Fourier Dönüşümü uygulanarak bazı durumlarda hesaplama karmaşıklığı azaltılabilir. Kesirli Fourier Dönüşümü, sürekli Fourier Dönüşümünün genelleştirilmiş halidir. Son yıllarda bu konu üzerinde çeşitli çalışmalar yapılmakta ve uygulama alanları genişlemektedir. Genel olarak, sinyal işleme ve gürültü süzme gibi alanlarda kullanılmaktadır. Bu çalmada Kesirli Fourier Dönüşümü, ilk kez Maxwell denklemlerine zaman bölgesinde uygulanmış ve elde edilen diferansiyel denklemler sonlu farklar yaklaşımı ile ayrık hale getirilmiştir. Elde edilen ayrık sonlu fark denklemlerinin çözümü için öneriler sunulmuştur.
Open Access
Matrix-geometric solutions of M/G/1-type Markov chains: A unifying generalized state-space approach
(1998) Akar, N.; Oǧuz, N.C.; Sohraby, K.
In this paper, we present an algorithmic approach to find the stationary probability distribution of M/G/1-type Markov chains which arise frequently in performance analysis of computer and communication networ ks. The approach unifies finite- and infinite-level Markov chains of this type through a generalized state-space representation for the probability generating function of the stationary solution. When the underlying probability generating matrices are rational, the solution vector for level k, x k, is shown to be in the matrix-geometric form x k+1 = gF k H, k ≥ 0, for the infinite-level case, whereas it takes the modified form x k+1 = g 1F 1 kH 1 + g 2F 2 K-k-1 H 2, 0 ≤ k < K, for the finite-level case. The matrix parameters in the above two expressions can be obtained by decomposing the generalized system into forward and backward subsystems, or, equivalently, by finding bases for certain generalized invariant subspaces of a regular pencil λE - A. We note that the computation of such bases can efficiently be carried out using advanced numerical linear algebra techniques including matrix-sign function iterations with quadratic convergence rates or ordered generalized Schur decomposition. The simplicity of the matrix-geometric form of the solution allows one to obtain various performance measures of interest easily, e.g., overflow probabilities and the moments of the level distribution, which is a significant advantage over conventional recursive methods.
Open Access
Numerical modeling of electromagnetic scattering by perfectly conducting surfaces of revolution
(IEEE, 2008-06-07) Nechitaylo, S.; Sukharevsky, I.; Altıntaş, Ayhan; Sukharevsky, O.
The integro-differential equation (IDE) of a three-dimensional (3-D) electromagnetic excitation problem of unclosed surfaces is numerically treated by means of the novel direct solver. © 2008 IEEE.
Open Access
On the classification of Darboux integrable chains
(American Institute of Physics, 2008) Habibullin, I.; Zheltukhina, N.; Pekcan, A.
We study differential-difference equation (d/dx) t (n+1,x) =f (t (n,x),t (n+1,x), (d/dx) t (n,x)) with unknown t (n,x) depending on continuous and discrete variables x and n. Equation of such kind is called Darboux integrable, if there exist two functions F and I of a finite number of arguments x, { t (n+k,x) } k=-∞ ∞, {(dk /d xk) t (n,x) } k=1 ∞, such that Dx F=0 and DI=I, where D x is the operator of total differentiation with respect to x and D is the shift operator: Dp (n) =p (n+1). Reformulation of Darboux integrability in terms of finiteness of two characteristic Lie algebras gives an effective tool for classification of integrable equations. The complete list of Darboux integrable equations is given in the case when the function f is of the special form f (u,v,w) =w+g (u,v). © 2009 American Institute of Physics.
Open Access
Optimal exercise collar type and multiple type perpetual American stock options in discrete time with linear programming
(2014) Kara, Emre
An American option is an option that entitles the holder to buy or sell an asset at a pre-determined price at any time within the period of the option contract. A perpetual American option does not have an expiration date. In this study, we solve the optimal stopping problem of a perpetual American stock option from optimization point of view using linear programming duality under the assumption that underlying’s price follows a discrete time and discrete state Markov process. We formulate the problem with an infinite dimensional linear program and obtain an optimal stopping strategy showing the set of stock-prices for which the option should be exercised. We show that the optimal strategy is to exercise the option when the stock price hits a special critical value. We consider the problem under the following stock price movement scenario: We use a Markov chain model with absorption at zero, where at each step the stock price moves up by ∆x with probability p, and moves down by ∆x with probability q and does not change with probability 1 − (p + q). We examine two special type of exotic options. In the first case, we propose a closed form formula when the option is collar type. In the second case we study multiple type options, that are written on multiple assets, and explore the exercise region for different multiple type options.
Open Access
Pricing and optimal exercise of perpetual American options with linear programming
(2010) Bozkaya, Efe Burak
An American option is the right but not the obligation to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option differs from a plain American option in that it does not expire. In this study, we solve the optimal stopping problem of a perpetual American option with methods from the linear programming literature. Under the assumption that the underlying’s price follows a discrete time and discrete state Markov process, we formulate the problem with an infinite dimensional linear program using the excessive and majorant properties of the value function. This formulation allows us to solve complementary slackness conditions efficiently, revealing an optimal stopping strategy which highlights the set of stock-prices for which the option should be exercised. Under two different stock-price movement scenarios (simple and geometric random walks), we show that the optimal strategy is to exercise the option when the stock-price hits a special critical value. The analysis also reveals that such a critical value exists only for some special cases under the geometric random walk, dependent on a combination of state-transition probabilities and the economic discount factor. We further demonstrate that the method is useful for determining the optimal stopping time for combinations of plain vanilla options, by solving the same problem for spread and strangle positions under simple random walks.