No (557)
Yes (308)
Used filters
(2)
Number of found documents:
865
Published from
to
The Application of the Ground-based InSAR technique for the deformation monitoring of concrete hydropower dam Orlík on Vltava river
Talich, Milan; Glöckner, M.; Böhm, Ondřej; Antoš, Filip; Soukup, Lubomír; Havrlant, Jan; Šolc, Jakub
2014 - English
GB InSAR technique plays an increasingly important role in determining the deformation of dams. The paper describes the use of GB InSAR technique for monitoring deformations of the Czech largest concrete dam Orlík on the Vltava river. After analyzing one month-long continuous measurement of the dam were detected non-linear movements. The relation between acting water level and resulting deformations were investigated in detail. The results confirm that GB InSAR technique is very suitable for monitoring deformations of this type of constructions. At the same time, the results may serve as a valuable source of data and information for further analysis in area of stability and for early warning systems.
Keywords:
GB InSAR; deformation monitoring; deformation analysis; Orlík
Fulltext is available at external website.
The Application of the Ground-based InSAR technique for the deformation monitoring of concrete hydropower dam Orlík on Vltava river
GB InSAR technique plays an increasingly important role in determining the deformation of dams. The paper describes the use of GB InSAR technique for monitoring deformations of the Czech largest ...
On the pricing of illiquid options with Black-Scholes formula
Tichý, Tomáš; Kopa, Miloš; Vitali, S.
2014 - English
Detecting the fair, ie. no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and the price can be very sensitive to the changes of underlying factors (especially ATM options). From the other point of view, ATM vanilla options are often traded and liquid, while deep ITM and OTM options are mostly illiquid and it is difficult to estimate the model parameters. Another issue is how to obtain the market assumptions about riskless rate relevant for the option maturity and the future expected dividends. In this paper we focus on a particular problem of extracting parameters to value options on dividend paying stocks via BS model using real data from German option market.
Keywords:
BS formula; German option market; illiquid option; implied parameters option valuation
Fulltext is available at external website.
On the pricing of illiquid options with Black-Scholes formula
Detecting the fair, ie. no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and ...
Extending Horizon of Finite Control Set MPC of PMSM Drive with Input LC Filter using LQ Lookahead
Šmídl, Václav; Janouš, Š.; Peroutka, Z.
2014 - English
Finite control set model predictive control (FS-MPC) has been shown to be a very effective approach to control of PMSM drives. FS-MPC is a very flexible tool since it can evaluate an arbitrary loss function. However, design of the appropriate loss function for the problem can be a challenge especially when the design input is visible only on the long horizon. An example where this problem becomes apparent is the main propulsion drive of a traction vehicle fed from a dc catenary. Specifically, the catenary voltage is subject to short circuits, fast changes, harmonics and other disturbances which can vary in very wide range. Therefore, the drive is equipped with the trolley-wire input LC filter. The filter is almost undamped by design in order to achieve maximum efficiency and the control strategy needs to secure active damping of the filter to guarantee the drive stability. While it is possible to introduce active damping terms to the loss function, it is hard to predict its properties.
Keywords:
finite control set MPC; active damping; PMSM drive
Fulltext is available at external website.
Extending Horizon of Finite Control Set MPC of PMSM Drive with Input LC Filter using LQ Lookahead
Finite control set model predictive control (FS-MPC) has been shown to be a very effective approach to control of PMSM drives. FS-MPC is a very flexible tool since it can evaluate an arbitrary loss ...
On Sparsity in Bayesian Blind Source Separation for Dynamic Medical Imaging
Tichý, Ondřej
2014 - English
Dynamic medical imaging is concerned with acquisition and analysis of a sequence of images of the same region of a body during time. In nuclear medicine, each pixel of an image is the sum of particles coming from an applied radioactive tracer from the body in a specific time-interval. Hence, each observed image is a superposition of an unknown number of underlaying organ images. The aim of blind source separation is to separate the images of biologic organs and related time-activity curves from the sequence of images.
Keywords:
blind source separation; dynamic medical imaging; sparsity constraint
Fulltext is available at external website.
On Sparsity in Bayesian Blind Source Separation for Dynamic Medical Imaging
Dynamic medical imaging is concerned with acquisition and analysis of a sequence of images of the same region of a body during time. In nuclear medicine, each pixel of an image is the sum of particles ...
Optical properties of historical paint pigments under near infrared (NIR) radiation
Blažek, Jan; Zitová, Barbara; Tichý, T.; Vašutová, V.
2014 - English
The knowledge of paint pigments' optical characteristics enables the selection of an appropriate imaging methodology for non-invasice artwork investigation. i. e. optimising the visibility of preparatory layers using conventional photographic cameras modified for data acquisition in the near infrared wavelength range. This contribution deals with the limits of this simple method in the analysis of selected common pigments used in prepared canvas mock-ups with typical structure including ground layer and underdrawings of various compositions.
Keywords:
transmittance; reflectance; non-invasive data acquisition; pigments and organic dyes
Fulltext is available at external website.
Optical properties of historical paint pigments under near infrared (NIR) radiation
The knowledge of paint pigments' optical characteristics enables the selection of an appropriate imaging methodology for non-invasice artwork investigation. i. e. optimising the visibility of ...
Možnosti přesného určování deformací a průhybů stavebních konstrukcí metodou pozemní radarové interferometrie
Talich, Milan
2014 - Czech
K bezkontaktnímu určování deformací a průhybů stavebních konstrukcí s přesností až 0,01 mm v reálném čase lze v praxi využít i principů pozemní radarové interferometrie. Současně je možné taktéž v reálném čase zachytit i kmitání sledovaného objektu s frekvencí až 50 Hz. Deformace či průhyby lze určovat najednou na více místech objektu, například v případě mostní konstrukce na bodech rozmístěných na mostovce ve vzdálenostech po jednom či více metrech. To umožňuje získat jak celkovou tak i podrobnou informaci o chování konstrukce při jejím dynamickém zatížení. Kromě nezbytné teorie jsou uváděny i praktické příklady z praxe. The contactless determination of deformations and deflections of structures with accuracy up to 0.01 mm in real time can also be used in practice the technology of ground based radar interferometry. It is also possible in real time to capture oscillations of the object with a frequency up to 100 Hz. Deformations can be determine simultaneously in multiple places of the object, for example a bridge structure at points distributed on the bridge deck at intervals of one or more meters. This allows to obtain both overall and detailed information about the behavior of the structure during the dynamic loading. In addition to the necessary principles are given practical examples.
Keywords:
ground radar interferometry; deformation monitoring; deflection of structures
Fulltext is available at external website.
Možnosti přesného určování deformací a průhybů stavebních konstrukcí metodou pozemní radarové interferometrie
K bezkontaktnímu určování deformací a průhybů stavebních konstrukcí s přesností až 0,01 mm v reálném čase lze v praxi využít i principů pozemní radarové interferometrie. Současně je možné taktéž v ...
Markov Equilibrium between High Frequency Traders
Šmíd, Martin
2014 - English
We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously and to maximize their discounted consumption while keeping the probability of near-bankruptcy states at a prescribed level. The latency times, ie., the delays between the order submissions and the corresponding order books' changes, are taken into account. We show that the process describing the market is Markov given the largest among information sets of the agents.
Keywords:
limit order market; Markov property; optimal trading
Fulltext is available at external website.
Markov Equilibrium between High Frequency Traders
We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously ...
Approximating Probability Densities by Mixtures of Gaussian Dependence Trees
Grim, Jiří
2014 - English
Considering the probabilistic approach to practical problems we are increasingly confronted with the need to estimate unknown multivariate probability density functions from large high-dimensional databases produced by electronic devices. The underlying densities are usually strongly multimodal and therefore mixtures of unimodal density functions suggest themselves as a suitable approximation tool. In this respect the product mixture models are preferable because they can be efficiently estimated from data by means of EM algorithm and have some advantageous properties. However, in some cases the simplicity of product components could appear too restrictive and a natural idea is to use a more complex mixture of dependence-tree densities. The dependence tree densities can explicitly describe the statistical relationships between pairs of variables at the level of individual components and therefore the approximation power of the resulting mixture may essentially increase.
Keywords:
Multivariate statistics; Mixtures of dependence trees; EM algorithm; Pattern recognition; Medical image analysis
Fulltext is available at external website.
Approximating Probability Densities by Mixtures of Gaussian Dependence Trees
Considering the probabilistic approach to practical problems we are increasingly confronted with the need to estimate unknown multivariate probability density functions from large high-dimensional ...
A note on the use of copulas in chance-constrained programming
Houda, Michal
2014 - English
In this paper we are concentrated on a problem of linear chanceconstrained programming where the constraint matrix is considered random with a known distribution of the matrix rows. The rows are not considered to be independent; instead, we make use of the copula notion to describe the dependence of the matrix rows. In particular, the distribution of the rows is driven by so-called Archimedean class of copulas. We provide a review of very basic properties of Archimedean copulas and describe how they can be used to transform the stochastic programming problem into a deterministic problem of second-order cone programming. Also the question of convexity of the problem is explored and importance of the selected class of copulas is commented. At the end of the paper, we provide a simple example to illustrate the concept used.
Keywords:
chance-constrained optimization; Archimedean copulas; convexity; second-order cone programming
Fulltext is available at external website.
A note on the use of copulas in chance-constrained programming
In this paper we are concentrated on a problem of linear chanceconstrained programming where the constraint matrix is considered random with a known distribution of the matrix rows. The rows are not ...
Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach
Branda, Martin
2014 - English
We focus on efficiency of assets and portfolios available to investors on financial markets. We employ diversification consistent DEA-risk models with CVaR deviations as the inputs and expected rate of return as the output. Moreover, we allow short selling and take into account margin requirements. Our model is then employed in an empirical study where selected assets from US stock market are investigated. The sample approximation technique is used to deal with the multivariate skew-normal distribution of random returns.
Keywords:
Financial efficiency; data envelopment analysis; margin requirements; CVaR deviation; short sales
Fulltext is available at external website.
Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach
We focus on efficiency of assets and portfolios available to investors on financial markets. We employ diversification consistent DEA-risk models with CVaR deviations as the inputs and expected rate ...
NRGL provides central access to information on grey literature produced in the Czech Republic in the fields of science, research and education. You can find more information about grey literature and NRGL at service web
Send your suggestions and comments to nusl@techlib.cz
Provider
Other bases