Sharif Digital Repository

Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo algorithm for calculating VaR and ES based on Gaussian Mixture Models is introduced. Gaussian Mixture Models are able to cluster input data with respect to market's conditions and therefore no correlation matrices are needed for risk computation. Sampling from each cluster with respect to their weights and then calculating the volatility-adjusted stock returns leads to possible scenarios for prices of assets. Our results on a sample of US stocks show that... 

In this paper, we analyze the effect of applying leaky bucket as a well known traffic shaper on data users in a variable spreading gain CDMA (VSG-CDMA) uplink wireless cellular network. To this end, we model the effect of leaky bucket mechanism on a typical data user, with a closed product form queueing network. Each node in this queueing network corresponds to a specific processing gain or equivalently transmission rate and power. By solving such a queueing network we obtain the steady state probability with which a typical data user will exist at each node. By aggregating the effects of all data users we compute the mean and variance of interference and obtain the throughput and average... 

In this paper, we propose data traffic shaping via leaky bucket in order to reduce outage probability and enhance capacity of voice users for uplink variable spreading gain codedivision multiple-access (VSG-CDMA) cellular networks. In order to analyze the effect of leaky bucket mechanism, we employ a closed Jackson queueing network with arbitrary service time distributions to model different states of a typical traffic-shaped data user. By solving the concerned queueing network, we obtain the steady state probability with which a typical data user exist at each state. By aggregating the effects of all data and voice users we obtain mean and variance of interference and compute the outage... 

Vapor pressure and liquid density of 20 pure alcohols were correlated using an artificial neural network (ANN) system and statistical associating fluid theory (SAFT) equation of state. The SAFT equation has five adjustable parameters as temperature-independent segment diameter, square-well energy, number of segment per chain, association energy and association volume. These parameters can be obtained by a non-linear regression method using the experimental vapor pressure and liquid density data. In continue, the vapor pressure and liquid densities of pure alcohols were estimated by using an artificial neural network (ANN) system. In the neural network system, it is assumed that thermodynamic... 

Modified perovskite-type oxides were synthesized through co-precipitation and conventional citrate methods. The synthesized perovskite materials had the nominal compositions of LaCoO3, LaCo0.8Cu0.2O3, La0.8Sr0.2Co0.8Cu0.2O 3, and La0.8M0.2FeO3 (where M = Ce and Sr). The catalytic activity of the perovskite samples (for low-temperature CO oxidation) was measured using a quartz reactor with an inlet gas mixture containing 97% N2, 1% O2, and 2% CO. The prepared perovskite samples were characterized by SEM, nitrogen adsorption (BET), XRF, and XRD analyses. The perovskite catalysts showed good structural and chemical stability up to 600 °C and high activity for the catalytic CO oxidation... 

A novel intelligent semi-active control system for an eleven degrees of freedom passenger car's suspension system using magnetorheological (MR) damper with neuro-fuzzy (NF) control strategy to enhance desired suspension performance is proposed. In comparison with earlier studies, an improvement in problem modeling is made. The proposed method consists of two parts: a fuzzy control strategy to establish an efficient controller to improve ride comfort and road handling (RCH) and an inverse mapping model to estimate the force needed for a semi-active damper. The fuzzy logic rules are extracted based on Sugeno inference engine. The inverse mapping model is based on an artificial neural network... 

Using CNG as an additive for gasoline is a proper choice due to higher octane number of CNG enriched gasoline with respect to that of gasoline. As a result, it is possible to use gasoline with lower octane number in the engine. This would also mean the increase of compression ratio in SI engines resulting in higher performance and lower gasoline consumption. Over the years, the use of simulation codes to model the thermodynamic cycle of an internal combustion engine have developed tools for more efficient engine designs and fuel combustion. In this study, a thermodynamic cycle simulation of a conventional four-stroke spark-ignition engine has been developed. The model is used to study the... 

With the declining energy resources and increase of pollutant emissions, a great deal of efforts has been focused on the development of alternatives for fossil fuels. One of the promising alternative fuels to gasoline in the internal combustion engine is natural gas [1-5]. The application of natural gas in current internal combustion engines is realistic due to its many benefits. The higher thermal efficiency due to the higher octane value and lower exhaust emissions including CO2 as a result of the lower carbon to hydrogen ratio of the fuel are the two important feature of using CNG as an alternative fuel. It is well known that computer simulation codes are valuable economically as a cost... 

Gaining insight into possible vibratory responses of dynamical systems around their stable equilibria is an essential step, which must be taken before their design and application. The results of such a study can significantly help prevent instability in closed-loop stabilized systems by avoiding the excitation of the system in the neighborhood of its resonance. This paper investigates nonlinear oscillations of a rotary inverted pendulum (RIP) with a full-state feedback controller. Lagrange’s equations are employed to derive an accurate 2-DoF mathematical model, whose parameter values are extracted by both the measurement and 3D modeling of the real system components. Although the governing... 

A suction-controlled ring device has been developed to continuously measure the coefficient of lateral soil pressure in deformable unsaturated soil samples from the at-rest to the active condition under application of increasing vertical pressure and controlled matric suction. The device incorporates a thin aluminum specimen ring equipped with horizontal strain gages for recording the lateral soil strains. In addition, a sensor recording water volume changes is utilized to continuously monitor the degree of saturation of the soil sample during tests. The matric suction within the soil texture is controlled using the axis translation technique. In order to verify the performance of the ring... 

The Class-E power amplifier has been widely studied and formulated in the literature. Although the majority of reported inductive coupling wireless power transfer (WPT) systems use a class-E power amplifier for driving the primary coil, still there is a lack of a comprehensive study on class-E circuit dedicated to WPT, providing a set of closed form design equations for proper class-E operation. This paper presents the required design equations needed to design a 'true' class-E circuit for WPT applications. Equations for the series-tuned secondary coil WPT system are presented, as well as two different design procedures for the parallel-tuned secondary coil. The derived equations have been... 

We introduce a new smooth, non-toxic, biocompatible method for cross-linking of gum tragacanth (GT), a polysaccharide of natural origin, in order to serve as a new supporting matrix for immobilization systems. The modified gum is used as a matrix for the catalysis of the conversion of benzyl penicillin to 6-aminopenicillanic acid (6-APA) by means of Escherichia coli ATCC11105 with penicillin G acylase (PGA) activity. The results show that GT beads can not only serve as a proper matrix for immobilization, but show enhanced hydrolysis rate and stability compared to other immobilization systems used for this reaction. This signifies the potential of GT as a biocompatible matrix for... 

Pole Side Impact Tes is one out of three crash tests described by Euro NCAP standard for star rating of a vehicle and is required for assessing the Adult Occupant Protection. In this paper the goal is to determine the crashworthiness of side doors and B pillar in a Pole Side Impact Test based on Euro New Car Assessment Program (Euro-NCAP) using computer and simulation method. In this matter, a vehicle model has been prepared and meshed using Hypermesh and CATIA. The velocity of 29 km/h has been assigned to the vehicle which was on top of a cart while the pole has been assigned as a rigid static object based on Euro NCAP requirements specifically. Results show that different amounts of energy... 

To assess a car under the Euro New Car Assessment Program (Euro-NCAP), Adult Occupant Protection is one out of three parameters which need to be calculated with a weight factor of 50% while the other parameters, Child Occupant Protection and Pedestrian Occupant Protection, have a weight factor of 20%. The Pole Side Impact Test, beside two other tests, Side and Front Impact, is also required to calculate the Adult Occupant Protection. It shows how important the Pole Side Impact Test is and what an effective role it has in the car rating assessment. In this paper, the objective is to evaluate the effect of thickness on the energy absorbed by the side doors and the B pillar and its... 

In Euro NCAP standard, adult protection is one of the most important rating scores with 50% weight factor while child protection and pedestrian protection are accounted into consideration with 20% weight factor. For adult protection testing, three tests are required to perform: (1) side impact, (2) pole impact, (3) front impact. In the side impact test, dummy's head, chest, shoulder, thorax, ribs, abdomen, pelvic and femur must be studied to evaluate the rating score. Crashworthiness of a car during side impact can describe the score rated for that car. In this paper the goal is to determine the crashworthiness of side doors and B-pillar in side impact crash est by simulation using LS DYNA... 

In side impact test which is one out of three tests of Euro NCAP standard, front and rear doors and B pillar are most absorbance parts among vehicle body parts. Passengers are highly in danger while side crash, because of the distance between passenger's head and vehicle body. In this paper effect of material and thickness of doors and B-pillar and their absorbed energy during crash and improvement of its crashworthiness with respect to light weight design are studied using LS DYNA solver. The objective of this paper is to propose a material for doors and B-pillar with a specified thickness to achieve maximum absorbed energy and minimum weight. The shape of the doors and B-pillar remains... 

In this study, the influence of CO2 and CH4 on the performance and selectivity of Co-Ru/Al2O3 catalyst is investigated by injection of these gases (0-20 vol.% of feed) to the feed stream. The effect of temperature and feed flow rate are also inspected. The results show that low amounts of CO2 in the feed stream do not change the catalyst activity, but increasing the amount of CO2 (more than 10 vol.%), causes the CO conversion to decrease and the selectivity of heavy components to increase. Methane acts as an inert gas and does not affect the catalyst performance. Increasing feed flow rate has a negative effect on both CO conversion and heavy component selectivity. By raising the temperature,... 

In this paper, we present a nano-quantum photonic approach for the calculation of normal dispersion phenomena in organic crystals such as N-(4-nitrophenyl)-L-prolinol(NPP). We assume that a laser beam consists of a flow of energetic particles that interact with the distorted π-electron system. We approximate the distorted π-electron cloud by an ellipse to simplify calculations. By the precise analysis of photon interaction with the π-electron system of benzene ring in the NPP crystal, we obtain the refractive index in any wavelength by Monte Carlo simulation. The maximum error between our simulation results and the measurement data is 0.058, which is agreeable. © 2007 IOP Publishing Ltd  

In this present study, Tungsten Inert Gas (TIG) welding and powder filled cored wires with nitrogen shielding gas were utilized to produce TiC and TiN surface composite coatings on the titanium (Ti) sheet substrate. The TIG procedure was done at same welding parameters for all of prepared samples. Phase analysis and microstructures were done by X-ray Diffraction (XRD), Energy-Dispersive X-ray Spectroscopy (EDS), Optical Microscopy (OM) and Scanning Electron Microscopy (SEM). The obtained results from XRD and EDS demonstrated that the presence of crystalline phases of TiC, TiN and Ti. SEM and OM exhibited formation of the spherical and dendritic TiC particles in a martensitic matrix and also,...