Begell House Inc.
Journal of Automation and Information Sciences
JAI(S)
1064-2315
46
10
2014
Mathematical Modeling of Consolidation Dynamics on the Basis of Fractional-Differential Approach
1-10
10.1615/JAutomatInfScien.v46.i10.10
Vladimir M.
Bulavatskiy
V. M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev, Ukraine
Iurii G.
Kryvonos
V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev, Ukraine
abnormal dynamics
consolidation process
deformed medium
partially saturated geoporous medium
fractional-differential models
pure water
salt solution
analytical solutions
one-dimensional nonstationary boundary-value problems
geometrically varied domains
For description of abnormal dynamics of consolidation process in deformed partially saturated geoporous medium the new (fractional-difference) mathematical models are introduced. According to cases of saturation of geoporous medium with pure water or salt solution analytical solutions were obtained within the framework of these mathematical models of one-dimensional nonstationary boundary-value problems of fractional-differential dynamics of consolidation process in finite by geometrical variation domain.
Forecasting the Volatility of Financial Processes with Conditional Variance Models
11-19
10.1615/JAutomatInfScien.v46.i10.20
Petr I.
Bidyuk
Institute for Applied System Analysis of National Technical University of Ukraine "Igor Sikorsky Kiev Polytechnic Institute", Kiev
Natalya V.
Kuznetsova
Institute for Applied System Analysis of National Technical University of Ukraine "Igor Sikorsky Kiev Polytechnic Institute", Kiev
volatility of financial processes
conditional variance models
forecasting
prediction function construction
models of stochastic volatility.
Three structures of the dynamics models of a conditional variance, that are used for computing short-term predictions on training and test samples, have been estimated. Estimation of the model parameters is made on the basis of the Monte Carlo method for Markov chains. To calculate the estimates of volatility forecasts the prediction function has been obtained on the basis of constructed models. The estimates of the volatility forecasts, calculated on the basis of model of stochastic volatility and E-GARCH models, show similar results, which confirms the correctness of the approach as a whole.
Nonstationary Model of Solar Spicule
20-29
10.1615/JAutomatInfScien.v46.i10.30
Yuriy P.
Ladikov-Royev
Institute of Space Research of National Academy of Sciences of Ukraine and State Space Agency of Ukraine, Kiev, Ukraine
Alexey A.
Loginov
Institute of Space Research of National Academy of Sciences of Ukraine and National Space Agency of Ukraine, Ukraine
Oleg K.
Cheremnykh
Institute of Space Research of National Academy of Sciences of Ukraine and State Space Agency of Ukraine, Kiev, Ukraine
nonstationary spicule
mathematical model
spicule behavior
different scenarios
qualitative agreement.
Model of nonstationary spicule has been proposed. Different scenarios of spicule behavior were discovered and analyzed within the framework of the model. It is noted that these scenarios qualitatively agree with observed behavior of spicules.
On Stochastic Optimal Control of Discrete-time Risk Processes
30-44
10.1615/JAutomatInfScien.v46.i10.40
Bogdan V.
Norkin
V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev, Ukraine
dividend policy of an insurance company
discrete-time risk processes
stochastic optimal control
method of risk penalty functions
dynamic programming generalization.
The two-criteria problem of stochastic optimal control of the dividend policy of an insurance company with the profitability and risk indicators is studied. The evolution of the company's capital is modeled by a stochastic risk process in discrete time with subtraction of dividends. The average total discounted dividends are used as a measure of profitability, and the loan capital necessary to prevent the ruin, as well as the probability of achieving a negative value of the equity, are used as an indicator of risk. The problem is reduced to the one-criterion one using the penalty functions of risk. To find the optimal controls the method of dynamic programming is justified. The Bellman optimality equation is solved by the successive approximations method, which in this case has an exponential rate of the uniform convergence.
To Approaches for Solving Transportation Problem with Fuzzy Resources
45-57
10.1615/JAutomatInfScien.v46.i10.50
Evgeniy V.
Ivokhin
Kiev National Taras Shevchenko
University, Kiev
Barraq Subhi Kaml
Almodars
Kiev National Taras Shevchenko University
determination of optimal solutions
fuzzy transportation problem
resources
fuzzy triangular numbers
example
generalization of technique
constraints
definite and fuzzy transportation problems.
Ways for determination of optimal solution of fuzzy transportation problem, resources of which are given in the form of fuzzy triangular numbers, are considered. Usage of these methods by the example of real transportation problem is shown. Generalization of technique for solving of fuzzy transportation problem with considering importance of constraints is examined. We propose technique for transformation of system of constraints on solving of definite and fuzzy transportation problems and general problems of linear programming.
Splitting Methods Parallel Algorithms for Problems of Pollution Transport in Atmosphere
58-71
10.1615/JAutomatInfScien.v46.i10.60
Anatoliy V.
Gladky
V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev
Tatyana Yu.
Blagoveshchenskaya
V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev
Vsevolod A.
Bohaienko
V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine, Kiev
pollutant transport in the atmosphere
mathematical models
multi-dimensional convection-diffusion equations
splitting methods parallel algorithms
The problem of mathematical modeling of the spread of contamination from point sources in the air has been considered. An approach that uses the idea of splitting and organization of computation with explicit difference schemes of a traveling wave has been proposed for the numerical solution of multi-dimensional convection-diffusion equations. Problems of construction of splitting difference schemes, approximation and stability by the initial data have been investigated. Parallel algorithms for GPU and cluster systems have been proposed.
An Approach to Adaptive Control Process of Seeding Based on the Identification of Grain Flow
72-81
10.1615/JAutomatInfScien.v46.i10.70
Yuriy M.
Parhomenko
Kirovohrad National Technical University
adaptive control process of seeding
proportionality coefficient
grain flow density distribution
seeding unit
grain crops seeding
It is shown that grain seeder can ensure uniform grain seeding in the presence of excitatory factors only due to the automatic control of the seeding process. It is proved that the influence of these factors can be reduced to the proportionality coefficient between the distribution of the grain flow density and the working length of seeding unit coil which continuously changes during seeder operation. We propose a method for this parameter identification that makes basis for approach to creating the adaptive control system of grain crops seeding.