An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models

We analyse the Bouchouev integral equation for the deterministic volatility function in the Black–Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically that the most complex term in the equation may often be safely ignored for the purposes of numerical calculations. We present a selection of numerical examples indicating the range of time values for which we would expect the equation to be valid.     

Coupled heat and moisture transfer in multi-layer building materials

A dynamic mathematical model for simulating the coupled heat and moisture migration through multi-layer porous building materials was proposed. Vapor content and temperature were chosen as the principal driving potentials. The discretization of the governing equations was done by the finite difference approach. A new experimental set-up was also developed in this study. The evolution of transient temperature and moisture distributions inside specimens were measured. The method for determining the temperature gradient coefficient was also presented. The moisture diffusion coefficient, temperature gradient coefficient, sorption–desorption isotherms were experimentally evaluated for some building materials (sandstone and lime-cement mortar). The model was validated by comparing with the experimental data with good agreement. Another advantage of the method lies in the fact that the required transport properties for predicting the non-isothermal moisture flow only contain the vapor diffusion coefficient and temperature gradient coefficient. They are relatively simple, and can be easily determined.     

A Stable Model-Based Fuzzy Predictive Control Based on Fuzzy Dynamic Programming

A stable model based fuzzy predictive controller based on fuzzy dynamic programming is introduced. The objective of the fuzzy predictive controller is to drive the state of the system to a terminal region where a local stabilizing controller is invoked, leading to a dual mode strategy. The prediction horizon is fixed and specified. The stability of the controlled system is studied using the value function as a Lyapunov function. Guaranteed stability is obtained under conditions on the terminal region, the local control law and the membership functions of fuzzy goal and constraints therein. The solution procedure is based on dynamic programming with branch and bound.     

Direct adaptive neural network controller for a class of nonlinear systems based on fuzzy estimator of the control error

A new approach of direct adaptive control of single input single output nonlinear systems in affine form using single-hidden layer neural network (NN) is introduced. In contrast to the algorithms in the literature, the weights adaptation laws are based on the control error and not on the tracking error or its filtered version. Since the control error is being expressed in terms of the NN controller, hence its weights updating laws are obtained via back-propagation concept. A fuzzy inference system (FIS) with heuristically defined rules is introduced to provide an estimate of this error based on the past history of the system behaviour. The stability of the closed loop is studied using Lyapunov theory. A fixed structure is then proposed for the FIS and the design parameters reduce to the parameters of the NN. The method is reproducible and does not require any pre-training of the network weights.     

Development of feasibility approaches for studying the behavior of passive cooling systems in buildings

This study is a contribution to European projects Pascool/Joule II and Altener/Sink that deals with feasibility of passive cooling systems in Europe. The first aim of this work was to define a design methodology to evaluate natural cooling potential according to the climatic quantification criteria of the site, the cooling system performance, and comfort criteria defined by the couple of temperature and relative humidity set points. A simplified approach, based on climatic potential criteria as theoretical cooling potential index, the available potential index, the cooling need index, and the natural cooling normalized capacity, was developed. It was applied to 105 European sites for different types of evaporative cooling systems (direct and indirect), and for various temperature and relative humidity set points. During the second stage, a refined approach taking into account building characteristics and the cooling system performance, was developed. This method is based on the integration of numerical models of passive cooling systems in a thermal building software in order to consider interaction phenomena between cooling system and building. Application of this approach to one building has been done in order to assess energy consumption gain achieved by using passive cooling systems. These two complementary approaches provide helpful information dealing with the feasibility of a passive cooling technique based on comfort and energy saving criteria. They could be used by architects and building designers as helpful decision making tools during the different stages of building design.     

Experimental investigation on the production of biogas from waste food

The production of biogas has been a substantial target to be utilized globally, especially in the agricultural sector. Most organic waste that is being produced from other forms of renewable energy systems is mainly used to reduce greenhouse emission (GHG), which as well reduces the daily consumption of fossil fuels. Anaerobic Digestion (AD) has been studied widely in recent years where its implementation in the industry has seen a mitigating impact on greenhouse gases. Unrestricted discharge of the big amount of waste food (WF) has become the main effect of severe environmental pollution worldwide. Among the various treatment methods, anaerobic digestion (AD) of waste food allows its valorization and the biogas produced can be used as biofuel enhancing the gas supply. In this study, a mechanical pre-treatment with Hollander beater has been applied to break down the particle size of waste food in the way to increase feedstock specific surface areas in other to enhance biogas production. Following, the pre-treatment of waste food during 30 min beating time, the biogas yield achieved a value of about 610.33 ml/gTS. Accordingly, a response surface methodology (RSM) can be used to critically evaluate the effects of process parameter (beating time and temperature) to the output response (biogas production). Pre-treated waste food by Hollander beater at beating time of 30 min enhances biogas production by 80%. An optimum biogas yield was achieved with pre-treatment of waste food at a beating time of 30 min.     

Global weak solutions to a spatio-temporal fractional Landau–Lifshitz–Bloch equation

The present paper deals with global existence of weak solutions of a time-space fractional Landau–Lifshitz–Bloch equation involving the weak Caputo derivative and a fractional Laplacian. We use Faedo–Galerkin method with some commutator estimates in order to prove global existence of weak solutions for the model. The uniqueness is also discussed in a special one dimensional case.     

Progressive collapse of cold-formed steel framed structures

This study investigated the possibility of progressive collapse of a cold-formed steel framed structure. Five different analysis cases were considered, exterior wall column removal specified in General Services Administration (GSA) guidelines and Department of Defense (DoD) guidelines, corner wall column removal specified in GSA and DoD guidelines, and analysis by Successive Removal. The results showed that the removal of corner wall columns appeared to cause progressive collapse of a portion of the second and third floor of the end bay directly associated with the column removal, and not the entire building.     

Modelling and simulation of Proton Exchange Membrane fuel cell with serpentine bipolar plate using MATLAB

This report presents experimental results derived from a Proton Exchange Membrane fuel cell with a serpentine flow plate design. The investigation seeks to explore the effects of some parameters like cell operational temperature, humidification and atmospheric pressure on the general performance and efficiency of PEM fuel cell using MATLAB. A number of codes were written to generate the polarization curve for a single stack and five (5) cell stack fuel cell at various operating conditions. Detailed information of hydrogen and oxygen consumption and the effect they have on the fuel cell performance were critically analysed. The investigation concluded that the open circuit voltage generated was less than the theoretical voltage predicted in the literature. It was also noticed that an increase in current or current density reduced the voltage derived from the fuel cell stack. The experiment also clearly confirmed that when more current is being drawn from the fuel cell, more water will also be generated at the cathode section of the cell hence the need for an effective water management to improve the performance of the fuel cell. Other parameters like the stack efficiency and power density were also analysed using the experimental results obtained.     

Development and validation of a coupled heat and mass transfer model for green roofs

This paper describes a dynamic model of transient heat and mass transfer across a green roof component. The thermal behavior of the green roof layers is modeled and coupled to the water balance in the substrate that is determined accounting for evapotranspiration. The water balance variations over time directly impact the physical properties of the substrate and the evapotranspiration intensity. This thermal and hydric model incorporates wind speed effects within the foliage through a new calculation of the resistance to heat and mass transfer within the leaf canopy. The developed model is validated with experimental data from a one-tenth-scale green roof located at the University of La Rochelle. A comparison between the numerical and the experimental results demonstrates the accuracy of the model for predicting the substrate temperature and water content variations. The heat and mass transfer mechanisms through green roofs are analyzed and explained using the modeled energy balances, and parametric studies of green roof behavior are presented. A surface temperature difference of up to 25 °C was found among green roofs with a dry growing medium or a saturated growing medium. Furthermore, the thermal inertia effects, which are usually simplified or neglected, are taken into account and shown to affect the temperature and flux results. This study highlights the importance of a coupled evapotranspiration process model for the accurate assessment of the passive cooling effect of green roofs.