Value at risk and inventory control

The purposes of this paper are two-fold. On the one hand, we shall provide a decision analysis justification for the Value at Risk (VaR) approach based on ex-post, disappointment decision making arguments. We shall show that the VaR approach is justified by a disappointment criterion. In other words, the asymmetric valuation between ex-ante expected returns above an appropriate target return and the expected returns below that same target level, provide an explanation for the VaR criterion when it is used as a tool for VaR efficiency design. Second, this paper provides applications to inventory management based on VaR risk exposure. Although the mathematical problems arising from an application of the VaR approach, tuned to current practice in financial risk management, are difficult to solve analytically, solutions can be found by application of standard computational and simulation techniques. A number of cases are solved and formulated to demonstrate the paper's applicability.     

Experimental flow study over a blunt-nosed axisymmetric body at incidence

The flowfield over a blunt-nosed cylinder was examined experimentally at a low subsonic speed for Re=1.88×10⁵ and angles of attack up to 40°. Velocity measurements were carried out (employing a seven-hole Pitot tube) as well as wall static pressure and wall shear-stress measurements. Surface flow visualization was applied using liquid crystals and a mixture of oil–TiO₂. For all the examined cases no flow asymmetries were found. For high angles of attack (20° and above) a separation “bubble” appears at the leeside of the nose area (streamwise flow separation). The basic feature of the circumferential pressure distribution at the after body area for these angles of attack is a plateau close to the suction peak and a fast recovery next to it. One streamwise vortex on each side of the symmetry plane is formed as well as a separation bubble about 90° far from this plane, where the cross-flow primary separation line is located. Each cross-flow primary separation line starts at the leeside nose area and moves towards the windward side along the cylindrical after body. The space between the two primary separation lines close to the wall is characterized by high flow fluctuations on the leeside, compared to the low fluctuations of the windward side.     

Analysis of end point vibrations of a two-link manipulator by integrated CAD/CAE procedures

In this work, the effect of flexibility on the trajectory of a planar two-link manipulator is studied using integrated computer-aided design/analysis (CAD/CAE) procedures. The solid models and finite element models of the parts of the manipulator are created by using the CAD/CAE software I-DEAS. The assembly is defined, and knowing the payload and the end point trajectory, the velocities and accelerations of the parts, joint forces and driving torques are calculated using the rigid body dynamics. All the time dependent nodal forces acting on the parts including distributed gravity and inertia forces are created in files with the I-DEAS program file format. The finite element vibration analysis of the parts is performed by I-DEAS. The end point vibrations and the deviations from the rigid-body trajectory are analyzed for different types of end point acceleration curves. A circular trajectory is considered as an example. It is observed that the precision of the manipulator can be increased by testing different end point acceleration curves without changing the trajectory and the duration of the end point work. The procedure explained in this work can be used for this purpose successfully.     

一种改进的自适应模糊阈值图象分割方法

自适应模糊阈值图象分割方法的关键和困难在于隶属函数窗宽的自动调整和阈值搜索范围的确定.依靠图象灰度的统计特性初步确定阈值搜索范围，提出了一种改进方法，进而得到隶属函数的窗宽.实验表明这种方法避免了确定图象灰度直方图峰位置的困难，对较低亮度图象分割效果良好.     

A note on the necessary conditions for the algebraic Riccati equation

We derive some useful and easily computable necessary conditionsfor the existence of a positive semi-definite solution to thealgebraic Ricatti equation (ARE). A motivating example is givento highlight the usefulness of the conditions for controllerand observer designs for nonlinear systems. Further, an upperbound on the trace of the solution to the ARE is also derived.     

Laser writing techniques for photomask fabrication using a femtosecond laser

Photomasks are the backbone of microfabrication industries. Currently they are fabricated by a lithographic process, which is very expensive and time consuming since it is a multi-step process. These issues can be addressed by fabricating photomasks by direct femtosecond laser writing, which is a single-step process and comparatively cheaper and faster than lithography. In this paper we discuss our investigations on the effect of two types of laser writing techniques, namely front- and rear-side laser writing, with regard to the feature size and the edge quality of a feature. It is proved conclusively that for the patterning of masks, front-side laser writing is a better technique than rear-side laser writing with regard to smaller feature size and better edge quality. Moreover the energy required for front-side laser writing is considerably lower than that for rear-side laser writing. Received: 22 May 2001 / Accepted: 14 September 2001 / Published online: 17 October 2001     

Development of high-speed video cameras for Dynamic PIV

The most promising next generation Image Velocimtry (IV) is the high-speed Dynamic PIV. It requires the development of innovative high-speed video camera sensors. We started by specifying the required performance of these new sensors, for measurements in air and water flows. These criteria founded on the most recent developments in PIV algorithms and incorporate results from a large questionnaire survey of users of high-speed video cameras in Japan. The results suggest that the followings are required: (1) frame rate of 1,000,000 fps, (2) pixel count of 1,000,000 pixels, (3) frame storage capacity of 100–200 frames for tracing a single event and 10,000 frames for turbulent measurements, (4) gray levels of 4–8 bits for PTV; 12 bits for observation. Finally, we reviewed the state of the art of high-speed video-image sensors. Currently the standard parallel-readout sensors can operate at 1 Kfps with a pixel count of approximately 1 Kpixels. The In-situ Storage Image Sensor (ISIS) developed by the authors has recently achieved frame rates of 1 Mfps.     

Stiffness of spherical bonded rubber bush mountings

Exact closed-form expressions are derived for the torsional stiffnesses of spherical rubber bush mountings in the two principal modes of angular deformation, based upon the classical theory of elasticity. Agreement is found, as limiting cases, with the known results for the torsional stiffness and shear stiffness of an elastomer pad of circular cross-section.     

The Pearson system of utility functions

This paper describes a parametric family of utility functions for decision analysis. The parameterization embeds the HARA class in a four-parameter representation for the risk aversion function. The resulting utility functions can have only four shapes: concave, convex, S-shaped, and reverse S-shaped. This makes the family suited for both expected utility and prospect theory. The paper also describes an alternative technique to estimate the four parameters from elicited utilities, which is simpler than standard fitting by minimization of the mean quadratic error.     

Two-fluid and population balance models for subcooled boiling flow

Population balance equations combined with a three-dimensional two-fluid model are employed to predict subcooled boiling flow at low pressure in a vertical annular channel. The MUSIG (MUltiple-SIze-Group) model implemented in the computer code CFX4.4 is further developed to accommodate the wall nucleation at the heated wall and condensation in the subcooled boiling regime. Comparison of model predictions against local measurements is made for the void fraction, bubble Sauter mean diameter and gas and liquid velocities covering a range of different mass and heat fluxes and inlet subcooling temperatures. Additional comparison using empirical relationships for the active nucelation site density and local bubble diameter is also investigated. Good agreement is achieved with the local radial void fraction, bubble Sauter diameter and liquid velocity profiles against measurements. However, significant weakness of the model is evidenced in the prediction of the vapour velocity. Work is in progress to circumvent the deficiency through the consideration of additional momentum equations or developing an algebraic slip model to account for bubble separation.