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Dilip Madan and I worked on stochastic process models with stationary independent increments for the movement of log-prices at the University of Sydney in the period 1980-1990, and completed the 1990 paper [21] while respectively at the University of Maryland and the University of Virginia. The (symmetric) Variance- Gamma (VG) distribution for log-price increments and the VG stochastic process first appear in an Econometrics Discussion Paper in 1985 and two journal papers of 1987. The theme of the pre-1990 papers is estimation of parameters of log-price increment distributions that have real simple closed-form characteristic function, using this characteristic function directly on simulated data and Sydney Stock Exchange data. The present paper reviews the evolution of this theme, leading to the definitive theoretical study of the symmetric VG process in the 1990 paper. [ABSTRACT FROM AUTHOR]

This paper studies the coupled vehicle-pedestrian delay problem, taking into account the interactions between vehicles and pedestrians. In a previous paper, we found that for a large pedestrian arrival probability, coupled inefficient oscillations of pedestrian and vehicle flows emerge when pedestrians cross the street with a small time gap to approaching cars (aggressive pedestrians), while both pedestrians and vehicles benefit, when they keep some overcritical time gap (careful pedestrians). In this paper, we take into account the fact that the crossing time of a pedestrian group increases with its size. Our simulations show that when the crossing time of the pedestrian group is considered, the situation of careful pedestrians changes qualitatively. While vehicle and pedestrian flows for a low vehicle flow rate and small pedestrian arrival probability are efficient, oscillations occur when the vehicle flow rate and/or the pedestrian arrival probability increase. We propose a variable speed limit implemented by a LED display to avoid the inefficiency of vehicle and pedestrian flows for careful pedestrians. [ABSTRACT FROM AUTHOR]

The Variance-Gamma (VG) process was introduced by Dilip B. Madan and Eugene Seneta as a model for asset returns in a paper that appeared in 1990, and subsequently used for option pricing in a 1991 paper by Dilip and Frank Milne. This paper serves as a tutorial overview of VG and Monte Carlo, including three methods for sequential simulation of the process, two bridge sampling methods, variance reduction via importance sampling, and estimation of the Greeks. [ABSTRACT FROM AUTHOR]

Using vehicle trajectories for a motorway collected from a helicopter, and a newly developed approach to parameter identification, this paper provides new empirical evidence of multi-anticipative car-following by estimating the driver-specific parameters of the different multi-anticipative car-following models. We investigate the nature of the multi-leader stimuli, providing insight into the number of vehicles ahead to which drivers react and the kind of stimuli drivers respond to. The paper also shows that there is large inter-driver variability in multi-leader driving behavior. The implications of our research findings for microscopic modeling are discussed as well. [ABSTRACT FROM AUTHOR]

Insights into pedestrian behavior, and tools to predict this behavior, are essential in the planning and design of public pedestrian facilities, such as transfer stations, shopping malls, and airports. Both macroscopic features of pedestrian flows and microscopic walking behavior underlying these features are important. This paper discusses findings from an experiment with crossing pedestrian flows, and in particular the free speed distribution of the participating pedestrians. Available free speed estimation methods developed for car traffic appear to be not suited for pedestrian traffic. This paper presents a dedicated adaptation of a method used for car traffic, with satisfactory results in pedestrian crossing flows. [ABSTRACT FROM AUTHOR]

The goals of the paper are as follows: (i) review some qualitative properties of oil and gas prices in the last 15 years; (ii) propose some mathematical elements towards a definition of mean reversion that would not be reduced to the form of the drift in a stochastic differential equation; (iii) conduct econometric tests in order to conclude whether mean reversion still exists in the energy commodity price behavior. Regarding the third point, a clear "break" in the properties of oil and natural gas prices and volatility can be exhibited in the period 2000-2001. [ABSTRACT FROM AUTHOR]

Most financial asset-pricing models assume frictionless competitive markets that imply the absence of arbitrage opportunities. Given the absence of ar-bitrage opportunities and complete asset markets, there exists a unique martingale measure that implies martingale pricing formulae and replicating asset portfolios. In incomplete markets, or markets with transaction costs, these results must be modified to admit nonunique measures and the possibility of imperfectly replicating portfolios. Similar di3culties arise in markets with taxation. Some theoretical research has argued that some taxation functions will imply arbitrage opportunities and the nonexistence of a competitive asset economy. In this paper we construct a multiperiod, discrete time/state general equilibrium model of asset markets with transaction costs and taxes. The transaction cost technology and the tax system are quite general, so that we can include most discrete time/state models with transaction costs and taxation. We show that a competitive equilibrium exists. Our results require careful modeling of the government budget constraints to rule out tax arbi-trage possibilities. [ABSTRACT FROM AUTHOR]

This paper reviews and extends the mathematical finance literature on bubbles in complete markets. We provide a new characterization theorem for bubbles under the standard no-arbitrage framework, showing that bubbles can be of three types. Type 1 bubbles are uniformly integrable martingales, and these can exist with an infinite lifetime. Type 2 bubbles are nonuniformly integrable martingales, and these can exist for a finite, but unbounded, lifetime. Last, Type 3 bubbles are strict local martingales, and these can exist for a finite lifetime only. When one adds a no-dominance assumption (from Merton [24]), only Type 1 bubbles remain. In addition, under Merton's no-dominance hypothesis, put-call parity holds and there are no bubbles in standard call and put options. Our analysis implies that if one believes asset price bubbles exist and are an important economic phenomena, then asset markets must be incomplete. [ABSTRACT FROM AUTHOR]

The paper analyses traffic flow data collected in the Lefortovo tunnel (Moscow) in 2004/05. First, it shows the presence of cooperative traffic dynamics in this tunnel and, second, studies the phase portrait of the vehicle ensemble in the velocity-density plane. In particular, the regions of regular and stochastic dynamics are found and the presence of dynamical traps is demonstrated. [ABSTRACT FROM AUTHOR]

Detection, identification and tracking of multiple moving targets have important applications in transportation and vehicle control areas. In this paper we present our approach to detect, recognize and track the vehicles within the detection region of a moving probe vehicle, based on the data collected by multiple sensors, including LIDAR and GPS. This paper develops a methodology to group the LIDAR measurements into targets, classify the targets as vehicles or fixed objects, and track the vehicular targets within lanes using a Kalman-filter. One important feature of this approach is that we track all of the observations in world coordinates, allowing us to average over many samples and ideally many runs to differentiate between the fixed objects (road boundaries) and moving objects (vehicles). [ABSTRACT FROM AUTHOR]

This paper shows that including the effects of lane-changing activity in kinematic wave theory reveals the physical mechanisms and reproduces the main empirical features that motivated Kerner's three-phase theory. This is shown using a hybrid representation of traffic flow where lane-changing vehicles are treated as discrete particles with realistic accelerations embedded in a continuous multilane kinematic wave stream. We show that this parsimonious four-parameter model reproduces the three phases identified by Kerner, including phase transitions and jam formation. We conclude that synchronized flow and wide-moving jams differ only in their lane-changing spatiotemporal patterns, but obey the same conservation laws and boundary conditions. Freeway segments with one, two and three junctions are analyzed. [ABSTRACT FROM AUTHOR]

The multi-phase signal control method is one of the important measures to enhance intersection capacities and alleviate urban traffic problems. This paper employs the stopping-line-method to study the capacity model of cross multi-phase signalized intersections and analyses the relevant change of the intersection capacity and cycle length. It studies the intersection capacity in detail under two normal situations, one with one straight lane and one left-turn lane, and the other with two straight lanes and one left-turn lane. Finally, a practical intersection is chosen and its phase design is improved by the method proposed in the paper. [ABSTRACT FROM AUTHOR]

Agent-based and cellular automata models have been widely used in an efficient and effective way for studying granular traffic, but rarely considering the combined effect and interactions of pedestrians and vehicles in urban networks. So from this point of view an attempt has been made to develop a virtual urban environment which considers both vehicular and pedestrian traffic and the interactions arising from their behavior. This paper presents details of the model we have developed. For vehicular traffic a cellular automata model, combining and appropriately modifying (e.g. to account for the pedestrian movement) BML, NaSch and ChSch models, is considered. Pedestrian traffic is simulated using simple behavioral rules combined with an agent-based approach. Different constraints affecting the mobility of the whole system are considered, which can be seen and even changed by the user in the simulated environment. The model belongs to the microscopic category where pedestrians/vehicles behave in their environment by making a sequence of decisions. The interactions among vehicles and pedestrians are also incorporated which signifies various effects, ranging from accident risk of pedestrians to the generation of traffic jams. NetLogo which is a multi-agent based modeling language is used as the programming platform for the simulation. [ABSTRACT FROM AUTHOR]

This paper is concerned with a fluidodynamic model for traffic flow. More precisely, we consider a single conservation law, deduced from the conservation of the number of cars, defined on a road network that is a collection of roads with junctions. The evolution problem is underdetermined at junctions, hence we choose to have some fixed rules for the distribution of traffic plus an optimization criteria for the flux. We prove existence of solutions to the Cauchy problem and we show that the Lipschitz continuous dependence by initial data does not hold. Our method is based on wave front tracking approach, see [4]. [ABSTRACT FROM AUTHOR]

This paper discusses the validity of first-order traffic flow theory to describe two-dimensional pedestrian flow operations in case of an oversaturated bottleneck upstream of which a large high-density region has formed. Pedestrians passing the same cross-section inside of the congested region appear to encounter different flow conditions. In the lateral center, high densities and low speeds are observed. However, on the boundary of the congested region, pedestrians may walk in nearly free flow conditions. Visualising pedestrian flow data in the flow-density plane results in a large scatter of points having similar flows (bottleneck capacity), but different densities. Observations on congestion of pedestrian traffic over the total width of the cross-section are found to belong to a set of different fundamental diagrams instead of a single one. This has consequences for the estimation of the fundamental diagram describing pedestrian traffic. [ABSTRACT FROM AUTHOR]

This paper deals with the numerical approximation of the solutions of a macroscopic model for the description of the flow of pedestrians. Solutions of the associated Riemann problem are known to be possibly nonclassical in the sense that the underlying discontinuities may well violate Oleinik inequalities, which makes their numerical approximation very sensitive. This study proposes to apply the Transport-Equilibrium strategy proposed in [2] for computing nonclassical solutions of scalar conservation laws to this framework. Numerical evidences are proposed. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to describe the main problems concerning the design of assembly lines. It is composed of the following steps: (1) input data preparation (2) elaboration of the logical layout of the line, which consists in the distribution of operations among stations along the line and an assignment of resources to the different stations and (3) finally the mapping phase, allowing to check the results with a commercial simulation package. This work presents a new method to tackle the hybrid assembly lines dealing with multiple objective. The goal is to minimize the total cost of the line by integrating design (congestion, machine cost,...) and operation issues (cycle time, precedence constraints, availability,...). After an overview of the current work in this area, this paper presents, in detail, a very promising approach to solve multiple objective problems: a multiple objective grouping genetic algorithm (a grouping genetic algorithm hybridized with the multi-criteria decision-aid method PROMETHEE II). An approach to deal with user’s preferences in design problems is also introduced. The essential concepts adopted by the method are described. An application of the proposed method to an industrial case study is presented. [ABSTRACT FROM AUTHOR]

Nonlinear optimisation and a pig growth model are combined with the traditional use of linear programming to maximise gross margin per pig place per year for the pig producer. Emphasis in this paper is on description of the problem and analysis of the objective function. [ABSTRACT FROM AUTHOR]

The paper is concerned with general optimal control problems (OCP) which are characterized by a nonsmooth ordinary state differential equation. More precisely, we assume that the right-hand side of the state equation is piecewise smooth and that the switching points, which separate these pieces, are determined as roots of a state- and control dependent (smooth) switching function. For this kind of optimal control problems necessary conditions are developed. Special attention is payed to the situation that the switching function vanishes identically along a nontrivial subarc. Such subarcs, which are called singular state subarcs, are investigated with respect to the necessary conditions and to the junction conditions. In extension to earlier results, cf. [5], in this paper the case of a zero-order switching function is considered. [ABSTRACT FROM AUTHOR]

Multiple Recursive Generators (MRGs) have become the most popular random number generators recently. They compute the next value iteratively from the previous k values using a k-th order recurrence equation which, in turn, corresponds to a k-th degree primitive polynomial under a prime modulus p. In general, when k and p are large, checking if a k-th degree polynomial is primitive under a prime modulus p is known to be a hard problem. A common approach is to check the conditions given in Alanen and Knuth [1964] and Knuth [1998]. However, as mentioned in Deng [2004], this approach has two obvious problems: (a) it requires the complete factorization of pk - 1, which can be difficult; (b) it does not provide any early exit strategy for non-primitive polynomials. To avoid (a), one can consider a prime order k and prime modulus p such that (pk - 1)/(p - 1) is also a prime number as considered in L'Ecuyer [1999] and Deng [2004]. To avoid (b), one can use a more efficient iterative irreducibility test proposed in Deng [2004]. In this paper, we survey several leading probabilistic and deterministic methods for the problems of primality testing and irreducibility testing. To test primality of a large number, it is known that probabilistic methods are much faster than deterministic methods. On the other hand, a probabilistic algorithm in fact has a very tiny probability of, say, 10-200 to commit a false positive error in the test result. Moreover, even when such an unlikely event had happened, for a speci.c choice of k and p, it can be argued that such an error has a negligible e.ect on the successful search of a primitive polynomial. We perform a computer search for large-order DX generators proposed in Deng and Xu [2003] and present many such generators in the paper for ready implementation. An extensive empirical study shows that these large-order DX generators have passed the stringent Crush battery of the TestU01 package. [ABSTRACT FROM AUTHOR]

In this paper, new natural element approximations are proposed, in order to address issues associated with incompressibility as well as to increase the accuracy in the Natural Element Method (NEM). The NEM exhibits attractive features such as interpolant shape functions or auto-adaptive domain of influence, which alleviates some of the most common difficulties in meshless methods. Nevertheless, the shape functions can only reproduce linear polynomials, and in contrast to moving least squares methods, it is not easy to define interpolations with arbitrary approximation consistency. In order to treat mechanical models involving incompressible media in the framework of mixed formulations, the associated functional approximations must satisfy the well known inf-sup, or LBB condition. The first proposed approach constructs richer NEM approximation schemes by means of bubbles associated with the topological entities of the underlying Delaunay tessellation, allowing to pass the LBB and to remove pressure oscillations in the incompressible limit. Despite of its simplicity, this approach does not construct approximation with higher order consistency. The second part of the paper deals with a discussion on the construction of second-order accurate NEM approximations. For this purpose, two techniques are investigated : (a) the enrichment in the MLS framework of the bubbles with higher-order polynomials and (b) the use of a new Hermite-NEM formulation. [ABSTRACT FROM AUTHOR]

In this paper we present the application of the meshfree method of finite spheres to the solution of thin and thick plates composed of isotropic as well as functionally graded materials. For the solution of such problems it is observed that using Gaussian and adaptive quadrature schemes are computationally inefficient. In this paper a new technique, presented in [26, 21], in which the integration points and weights are generated using genetic algorithms and stored in a lookup table using normalized coordinates as part of an offline preprocessing step, is shown to provide significant reduction of computational time without sacrificing accuracy. [ABSTRACT FROM AUTHOR]

In this paper we give an introduction to modelling the natural gas value chain including production, transportation, processing, contracts, and markets. The presentation gives insight in the complexity of planning in the natural gas supply chain and how optimization can help decision makers in a natural gas company coordinate the different activities. We present an integrated view from the perspective of an upstream company. The paper starts with decribing how to model natural gas transportation and storage, and at the end we present a stochastic portfolio optimization model for the natural gas value chain in a liberalized market. [ABSTRACT FROM AUTHOR]

The paper has two main themes: The first theme is to give the reader an introduction to modern methods for systems of conservation laws. To this end, we start by introducing two classical schemes, the Lax-Friedrichs scheme and the Lax-Wendroff scheme. Using a simple example, we show how these two schemes fail to give accurate approximations to solutions containing discontinuities. We then introduce a general class of semi-discrete finite-volume schemes that are designed to produce accurate resolution of both smooth and nonsmooth parts of the solution. Using this special class we wish to introduce the reader to the basic principles used to design modern high-resolution schemes. As examples of systems of conservation laws, we consider the shallow-water equations for water waves and the Euler equations for the dynamics of an ideal gas. The second theme in the paper is how programmable graphics processor units (GPUs or graphics cards) can be used to efficiently compute numerical solutions of these systems. In contrast to instruction driven micro-processors (CPUs), GPUs subscribe to the data-stream-based computing paradigm and have been optimised for high throughput of large data streams. Most modern numerical methods for hyperbolic conservation laws are explicit schemes defined over a grid, in which the unknowns at each grid point or in each grid cell can be updated independently of the others. Therefore such methods are particularly attractive for implementation using data-stream-based processing. [ABSTRACT FROM AUTHOR]

Using graphics hardware for general-purpose computations (GPGPU) has for selected applications shown a performance increase of more than one order of magnitude compared to traditional CPU implementations. The intent of this paper is to give an introduction to the use of graphics hardware as a computational resource. Understanding the architecture of graphics hardware is essential to comprehend GPGPU-programming. This paper first addresses the fixed functionality graphics pipeline, and then explains the architecture and programming model of programmable graphics hardware. As the CPU is instruction driven, while a graphics processing unit (GPU) is data stream driven, a good CPU algorithm is not necessarily well suited for GPU implementation. We will illustrate this with some commonly used GPU algorithms. The paper winds up with examples of GPGPU-research at SINTEF within simulation, visualization, image processing, and geometry processing. [ABSTRACT FROM AUTHOR]

We review the Lévy-driven interest rate theory that has been developed in recent years. The intimate relations between the various approaches, as well as the differences, are outlined. The main purpose of this paper is to elaborate on calibration in the real world as well as in the risk-neutral setting. [ABSTRACT FROM AUTHOR]

To prove their formulae for the moments of the characteristic polynomial of the generic matrix of U(N), Keating and Snaith [8] (see also Keating [7]) use Selberg's integrals as a ‘black box.' In this note, we point out some identities in law which are equivalent to the expressions of Selberg's integrals and which involve beta, gamma, and normal variables. However, this is a mere probabilistic translation of Selberg's results, and does not provide an independent proof of them. An outcome of some of these translations is that certain logarithms of (Vandermonde) random discriminants are self-decomposable, which hinges on the self-decomposability of the logarithms of the beta (a, b) (2a +b = ≥ 1) and gamma (a > 0) variables. Such self-decomposability properties have been of interest in some joint papers with D. Madan. [ABSTRACT FROM AUTHOR]

This paper provides a brief tutorial on the notions of a zero volatility (ZV) spread and an option adjusted spread (OAS), as applied to fixed income securities. Using the standard definitions, it is shown that the zero volatility spread measures the percentage of a security's spread due to any embedded options and any mispricings. The mispricings could be due to either market or model error. In contrast, the OAS only measures the percentage of the security's spread due to mis-pricings. Refinements and alternative measures of a bond's embedded optionality and mispricings are also provided. [ABSTRACT FROM AUTHOR]

A number of remarkable properties of gamma processes are gathered in this paper, including realisation of their bridges, absolute continuity relationships, realisation of a gamma process as an inverse local time, and the effect of a gamma process as a time change. Some of them are put in perspective with their Brownian counterparts. [ABSTRACT FROM AUTHOR]

In a recent paper (Phys. Rev. E 72, 035102 (2005)) we have proposed a stochastic optimal velocity model which includes two exactly solvable stochastic models. It can be regarded as a stochastic version of the optimal velocity model. We find that the model shows striking metastability (i.e. long-lived metastable states, dynamical phase transition, and sharp spontaneous metastability breaking) as well as solvability. In this work, we present additional explanations of the solvability and metastability, which are helpful in understanding the traffic dynamics of the model. [ABSTRACT FROM AUTHOR]

Recent empirical observations at freeway merge bottlenecks have revealed (i) a drop in the bottleneck discharge rate when queues form upstream, (ii) an increase in lane-changing maneuvers simultaneous with this "capacity drop", and (iii) a reversal of the drop when the ramp is metered. This paper shows that a simple vehicle lane-changing theory, which has been shown to explain related phenomena at lane-drops and moving bottlenecks, also explains the new phenomena at merges. In this theory, lane-changing vehicles are modeled as discrete particles endowed with realistic accelerations, and are embedded in a multilane stream where each lane obeys the kinematic wave model. This theory is parsimonious: only one of its four parameters has to be calibrated by running the model. Our simulations show that the theory predicts surprisingly well the cumulative flows at all locations, the vehicle trip times, the number of lane-changing maneuvers, the capacity drop, its recovery upon metering, and the distribution of these measures across lanes and over time. Applications are discussed. [ABSTRACT FROM AUTHOR]

Traffic breakdowns are described by a balance equation that models the dynamics of jam formation by the following two contributions. There are discharge rate depending on the length of the congestion and an adhesion rate mainly depending on the traffic volume of the considered road section. With this balance equation it is feasible to calculate the dynamics of traffic pattern formation especially the first passage time for a transition from free flow condition to congested traffic including the influence of the parameters affecting the discharge and adhesion rates. As a simple approximation we consider constant attachment rate as well as constant detachment rate. Starting with the probability density and furtheron with the cumulative probability for breakdowns the change in the incident duration distribution is calculated and qualitatively given. The paper concludes with recommendations for a comprehensive operation improvement and provides necessary steps for a long lasting stabilization of traffic for a given vehicular flow time series pattern. [ABSTRACT FROM AUTHOR]

The problems of traffic flow forecasting on complex traffic networks are still almost not explored. However these problems are very actual for scientists as well as for traffic engineers. In this paper we consider problems of stability of particle (car) flows on networks. The definitions of critical, stable and unstable flow states on networks are obtained as properties of solutions of nonlinear differential equations on graphs. For networks with different geometry the necessary and sufficient conditions of flow stability on networks are found. The perspective problems of exploration of qualitative properties of flows on networks are formulated. [ABSTRACT FROM AUTHOR]

In this article, we show two examples for the application of pedestrian flow simulation and analysis: the World Youth Day 2005 (WYD) in Cologne and the (non-emergency) egress from a football stadium. Various circumstances are specific for religious events. The persons might perform rituals and therefore the patterns of movement or gathering are governed by rules that go beyond simple necessity or comfort. Furthermore, the persons are usually very much attracted by the (idealistic) aim of their pilgrimage. The final service at the WYD in Cologne, celebrated by the Pope, was the major event during the WYD. The paper is divided into three parts: The first section is concerned with the World Youth Day and the second with the egress from a football stadium. The final section summarizes the results, provides recommendations and concludes with the most important implications for the field of crowd dynamics simulation. [ABSTRACT FROM AUTHOR]

Unlike traditional programming languages such as Fortran and C, a computer algebra language such as Maple allows one to compute not only with numbers, but also with symbols, formulas, equations, and so on. Using a computer algebra system (CAS), symbolic computation can be done on the computer, replacing the traditional pen-and-paper approach with the keyboard/mouse and computer display. By entering short, simple, transparent commands on the computer keyboard (which will be referred to as the "classic" approach), or by selecting mathematical symbols from a palette with the mouse, the CAS user can quickly and accurately generate symbolic input and output on the computer screen. Mathematical operations such as differentiation, integration, and series expansion of functions can be done analytically on the computer. [ABSTRACT FROM AUTHOR]

In radiation therapy new delivery techniques have been recently developed. Especially the multileaf collimator (MLC) has provided better facilities to deliver the dose for a cancer patient. The MLC based techniques allow the construction of 3-dimensional and conformal dose distributions. The succesful use of MLC delivery method requires the global optimization of the treatment plan. The paper gives one potential approach to optimize the treatment plan applying the so called multiple static MLC technique. For numerical optimization, the LGO global optimization software system is used. For the comparison of the numerical results, simulated annealing algorithm was used. [ABSTRACT FROM AUTHOR]

The progress made in past years in large-scale optimization algorithms led to a general interest in the possibility of applying mathematical optimization to real Water Resources Systems (WRS). As it is well known, this kind of problem typically generates computationally expensive models involving a large number of variables and constraints. Planning aspects can be represented by linear optimization models by introducing simplifications and approximations, even if linear assumptions are not strictly adherent to real WRS. In order to reach a more adequate level of adherence to the physical system more detailed models are resolved by taking into account non-linearity in objective function and constraints. An expansion technique interacting between primal and dual mathematical optimization models is proposed. This kind of approach is very useful to formulate trade-off between the dimension of water works, the reliability of the system and the prediction of short falls severity in demands. Moreover, the necessity to introduce system-vulnerability leads to solve a quadratic programming model taking into account additional non-linear costs due to the requirement of well operating during periods of drought. An adequate approach for the planning and maintenance optimization of pipes networks for water supply distribution, would consider the non-linear relations between head-loss in each pipe, its diameter, length and hydraulic property. Standard non-linear optimization procedures frequently identify only local optima for this kind of problem. In recent years, a number of papers have demonstrated that optimization techniques, based on meta-heuristic algorithms, are particularly promising for solving problems related to water distribution systems. This new methodology may be considered as a useful alternative to traditional approaches, based on trial-and-error or mathematical programming methods. Some applications, results and perspectives are presented for the different approaches. [ABSTRACT FROM AUTHOR]

To help solve difficult global optimization problems such as those arising in molecular chemistry, smoothing the objective function has been used with some efficacy. In this paper we propose a new approach to smoothing. First, we propose a simple algebraic way to smooth the Lennard-Jones and the electrostatic energy functions. These two terms are the main contributors to the energy function in many molecular models. The smoothing scheme is much cheaper than the classic spatial averaging smoothing technique. In computational tests on the proteins polyalanine with up to 58 amino acids and metenkephalin, smoothing is very successful in finding the lowest energy structures. The largest case of polyalanine is particularly significant because the lowest energy structures that are found include ones that exhibit interesting tertiary as opposed to just secondary structure. [ABSTRACT FROM AUTHOR]

Microscopic simulation models predict different forms of self-organization in pedestrian flows, such as the dynamic formation of lanes in bi-directional pedestrian flows. The experimental research presented in this paper provides more insight into these dynamic phenomena as well as exposing other forms of self-organization, i.e. in case of over-saturated bottlenecks or crossing pedestrian flows. The resulting structures resemble states occurring in granular matter and solids, including their imperfections (so-called vacancies). Groups of pedestrians that are homogeneous in terms of desired walking speeds and direction appear to form structures consisting of overlapping layers. This basic pattern forms the basis of other more complex patterns emerging in multi-directional pedestrian flow: in a bi-directional pedestrian flow, dynamic lanes are formed which can be described by the layer structure. Diagonal patterns can be identified in crossing pedestrian flows. This paper both describes these structures and the conditions under which they emerge, as well as the implications for theory and modeling of pedestrian flows. [ABSTRACT FROM AUTHOR]

This paper discusses basic findings on crowd movement and their application to simulation models. This includes empirical and experimental results concerning group behavior, pedestrian motion, and emergency egress. Next to a literature review, we will present own empirical investigations on walking speed distribution and the dependency of walking speed on group size. The second part of the paper relates these findings to modelling and simulation of crowd movement. This comprises the representation of behavior, calibration and verification and the connection to many particle systems. Finally, we will present an extension of the current microscopic theory (basically underlying all the "individual" models used for real world applications). This includes route-choice behavior and links microscopic and macroscopic behavior. [ABSTRACT FROM AUTHOR]

The present situation in transport policy is that many authorities have a responsibility for a part of the transport system and that each authority has its own goals and priorities. Central steering is only on main policy goals. Public transport and municipal, regional, provincial and national road authorities have their own policies, targets and instruments. The interaction between different policies themselves exists indirectly, but policies are ‘granular'. In this paper the granular transport policies are described as a game with many players. Integrated traffic control and traffic assignment problem are studied for a situation with two road authorities. The road authorities try to optimize their own objectives and the same is done by the travelers. This leads to a two-level three-player, multi-stage optimization problem with complete information. Game theory gives a suitable framework to analyze the problem and to find solutions for different situations, e.g. no cooperation, cooperation between the two authorities and a system optimum where all actors cooperate to minimize the total costs for all travellers. In this paper two approached are used: an analytical one and an approach based on a simulation and assignment framework. Both approaches are described and used to study a simple example, for which the results are given and discussed. The results show that separate or integrated anticipatory control gives better results than iterative reacting to the current situation. If one road authority takes the lead and anticipates the reactions of both the road users and the other road authority a sub-optimum is reached. The model calculations give evidence that cooperation of road authorities improves the utilization of the infrastructure and that a global optimization does not necessarily give a worse situation for one road authority. [ABSTRACT FROM AUTHOR]

The object of the paper is to analyze intersection modeling in the context of macroscopic traffic flow models. The paper begins with a brief review of classical boundary conditions of the Dubois-LeFloch and the Bardos-Nédélec-LeRoux type, and their relation to the concepts of local traffic supply and demand. It will be shown that the local traffic supply and demand concept extends and simplifies these classical approaches. The resulting constraints on phenomenological intersection models will be discussed. Several examples of intersection models are deduced. Some of these recapture earlier models; others are specifically designed for congested traffic conditions and take into account the bounds on car acceleration. The last part of the paper is devoted to network modeling and to applications to network traffic management. [ABSTRACT FROM AUTHOR]

This paper is an analysis of the various scales at which traffic flow can be represented, from vehicular to continuum flow models, with various time and space resolutions. The paper first investigates the question of scales and scale separation in traffic flow, both in modelling and measurement, using analogy with other disciplines. It then evaluates the representation of vehicles heterogeneities at various scales. It concludes on the interest of developing multiscale modeling. [ABSTRACT FROM AUTHOR]

Knowledge mining emerged as a rapidly growing interdisciplinary field that merges together databases, statistics, machine learning and related areas in order to extract valuable information and knowledge in large volumes of data. In this paper we present the key finding of the results achieved during the NEMIS Conference on “Knowledge Mining”. [ABSTRACT FROM AUTHOR]

Future robotic manipulators mounted on small satellites are expected to perform important tasks in space, like servicing other satellites or automating extravehicular activities on a space station. In a free-floating space manipulator, the motion of the manipulator affects the carrier satellite's position and attitude. Spin-stabilization improves the system performance, but further complicates the dynamics. The combination of satellite and multi-link manipulator is modeled as a rigid multi-body system. A Maximum Principle based approach is used to calculate optimal reference trajectories with high precision. To convert the optimal control problem into a nonlinear multi-point boundary value problem, complicated adjoint differential equations have to be formulated and the full apparatus of optimal control theory has to be applied. For that, an accurate and efficient access to first- and higher-order derivatives is crucial. The special modeling approach described in this paper allows it to generate all the derivative information in a structured and efficient way. Nonlinear state and control constraints are treated without simplification by transforming them into linear equations; they do not have to be calculated analytically. By these means, the modeling of the complete optimal control problem and the accompanying boundary value problem is automated to a great extent. The fast numerical solution is by the advanced multiple shooting method JANUS. [ABSTRACT FROM AUTHOR]

In the light of information security it is highly desirable to avoid a "single point of failure" because this would be an attractive target for attackers. Cryptographic protocols for distributed computations are important techniques in pursuing this goal. An essential module in this context is the secure multiparty multiplication of two polynomially shared values over ℤq with a public prime number q. The multiplication protocol of Gennaro, Rabin and Rabin (1998) is considered as the best protocol for this purpose. It requires a complexity of O(n2k log n+nk2) bit operations per player, where k is the bit size of the prime q and n is the number of players. The present paper reduces this complexity to O(n2k +nk2) with unaltered communication and round complexities. This improvement is possible by a loan from the field of numerical analysis, namely by the use of Newton's classical interpolation formula. The distributed version of the famous probabilistic primality test of Miller and Rabin is built of several modules, which depend on distributed multiplications. Applications of the new method to these modules is studied and its importance for distributed signatures is outlined. [ABSTRACT FROM AUTHOR]

In this paper key aspects and several methods for modeling, simulation, optimization and control of the locomotion of humanoid robots and humans are discussed. Similarities and differences between walking and running of humanoid robots and humans are outlined. They represent several, different steps towards the ultimate goals of understanding and predicting human motion by validated simulation models and of developing humanoid robots with human like performance in walking and running. Numerical and experimental results are presented for model-based optimal control as well as for hardware-in-the-loop optimization of humanoid robot walking and for forward dynamics simulation and optimization of a human kicking motion. [ABSTRACT FROM AUTHOR]

This paper deals with shape memory alloys (SMA) as temperature controlled actuators in mechatronic applications. The mathematical model consists of a coupled system of partial differential and differential-algebraic equations where continuum equations describe the evolution of deformation and temperature while rigid body equations and control laws define the interaction with the mechatronic device. Both modeling and numerical issues will be addressed. In particular, by applying the method of lines with finite elements, the overall problem is reduced to a differential-algebraic system in time that is shown to be of index two. Simulation results for a robotics application illustrate the approach. [ABSTRACT FROM AUTHOR]

In this paper we compare an intrusive with an non-intrusive method for computing Polynomial Chaos expansions. The main disadvantage of the nonintrusive method, the high number of function evaluations, is eliminated by a special Adaptive Gauss-Quadrature method. A detailed efficiency and accuracy analysis is performed for the new algorithm. The Polynomial Chaos expansion is applied to a practical problem in the field of stochastic Finite Elements. [ABSTRACT FROM AUTHOR]