Iterative methods for solving a square system of nonlinear equations g(x) = 0 often require that the sum of squares residual γ (x) ≡ ½∥g(x)∥2 be reduced at each step. Since the gradient of γ depends on the Jacobian ∇g, this stabilization strategy is not easily implemented if only approximations Bk to ∇g are available. Therefore most quasi-Newton algorithms either include special updating steps or reset Bk to a divided difference estimate of ∇g whenever no satisfactory progress is made. Here the need for such back-up devices is avoided by a derivative-free line search in the range of g. Assuming that the Bk are generated from an rbitrary B0 by fixed scale updates, we establish superlinear convergence from within any compact level set of γ on which g has a differentiable inverse function g−1.

In this paper, a closed-form analytical solution for pricing convertible bonds on a single underlying asset with constant dividend yield is presented. A closed-form analytical formula has apparently never been found for American-style convertible bonds (CBs) of finite maturity time although there have been quite a few approximate solutions and numerical approaches proposed. The solution presented here is written in the form of a Taylor's series expansion, which contains infinitely many terms, and thus is completely analytical and in a closed form. Although it is only for the simplest CBs without call or put features, it is nevertheless the first closed-form solution that can be utilised to discuss convertibility analytically. The solution is based on the homotopy analysis method, with which the optimal converting price has been elegantly and temporarily removed in the solution process of each order, and consequently, the solution of a linear problem can be analytically worked out at each order, resulting in a completely analytical solution for the optimal converting price and the CBs' price.

This paper derives key equations for the determination of optimal control strategies in an important engineering application. A train travels from one station to the next along a track with continuously varying gradient. The journey must be completed within a given time and it is desirable to minimise fuel consumption. We assume that only certain discrete throttle settings are possible and that each setting determines a constant rate of fuel supply. This assumption is based on the control mechanism for a typical diesel-electric locomotive. For each setting the power developed by the locomotive is directly proportional to the rate of fuel supply. We assume a single level of braking acceleration. For each fixed finite sequence of control settings we show that fuel consumption is minimised only if the settings are changed when certain key equations are satisfied. The strategy determined by these equations is called a strategy of optimal type. We show that the equations can be derived using an intuitive limit procedure applied to corresponding equations obtained by Howlett [9, 10] in the case of a piecewise constant gradient. The equations will also be derived directly by extending the methods used by Howlett. We discuss a basic solution procedure for the key equations and apply the procedure to find a strategy of optimal type in appropriate specific examples.

Sufficient conditions are obtained for the existence of a globally asymptotically stable strictly positive (componentwise) almost-periodic solution of a Lotka-Volterra system with almost periodic coefficients.

Sufficient conditions are obtained for the existence of a unique asymptotically stable periodic solution for the Lotka-Volterra two species competition system of equations when the intrinsic growth rates are periodic functions of time.

The Wigner distribution and many other members of the Cohen class of generalized phase-space distributions of a signal all share certain translation properties and the property that their two marginal distributions of energy density along the time and along the frequency axes equal the signal power and the spectral energy density. A natural generalization of this last property is shown to be a certain relationship through the Radon transform between the distribution and the signal's fractional Fourier transform. It is shown that the Wigner distribution is now distinguished by being the only member of the Cohen class that has this generalized property as well as a generalized translation property. The inversion theorem for the Wigner distribution is then extended to yield the fractional Fourier transforms.

Fisher's equation, which describes a balance between linear diffusion and nonlinear reaction or multiplication, is studied numerically by a Petrov-Galerkin finite element method. The results show that any local initial disturbance can propagate with a constant limiting speed when time becomes sufficiently large. Both the limiting wave fronts and the limiting speed are determined by the system itself and are independent of the initial values. Comparing with other studies, the numerical scheme used in this paper is satisfactory with regard to its accuracy and stability. It has the advantage of being much more concise.

A functional differential equation for the steady size distribution of a population is derived from the usual partial differential equation governing the size distribution, in the particular case where birth occurs by one individual of size x dividing into α new individuals of size x/α. This leads, in the case of constant growth and birth rate functions, to the functional differential equation y′(x) = −ay(x) + aαy(αx) together with the integral condition We first look at a number of properties that any solution of this equation and boundary condition must have, and then proceed to find the unique solution by the method of Laplace transforms. Results from number theory on the infinite product found in the solution are presented, and it is shown that y(x) tends to a normal distribution as α → 1+.

We examine the differential properties of the solution of the linear integral equation of the second kind, whose kernel depends on the difference of arguments and has an integrable singularity at the point zero. The derivatives of the solution of the equation have singularities at the end points of the domain of integration, and we derive precise estimates for these singularities.

A multispecies harvesting model with interference is proposed. The model is based on Lotka-Volterra dynamics with two competing species which are affected not only by harvesting but also by the presence of a predator, the third species. In order to understand the dynamics of this complicated system, we choose to model the simplest possible predator response function in which the feeding rate of the predator increases linearly with prey density. We derive the conditions for global stability of the system using a Lyapunov function. The possibility of existence of a bioeconomic equilibrium is discussed. The optimal harvest policy is studied and the solution is derived in the equilibrium case using Pontryagin's maximal principle. Finally, some numerical examples are discussed.

Various grometrical properties of a domain may be elicited from the asymptotic expansion of a spectral function of the Laplacian operator for that region with apporpriate boundary conditions. Explicit calculations, using analytical formulae for the eigenvalues, are performed for the cases fo Neumann and mixed boundary conditions, extending earlier work involving Dirichet boundary conditions. Two- and three-dimensional cases are considered. Simply-connected regions dealt with are the rectangle, annular sector, and cuboid. Evaluations are carried out for doubly-connected regions, including the narrow annulus, annular cylinder, and thin concentric spherical cavity. The main summation tool is the Poission summation formula. The calculations utilize asymptotic expansions of the zeros of the eigenvalue equations involving Bessel and related functions, in the cases of curved boundaries with radius ratio near unity. Conjectures concerning the form of the contributions due to corners, edges and vertices in the case of Neumann and mixed boundary conditions are presented.

We describe a computer proof of the 17-point version of a conjecture originally made by Klein-Szekeres in 1932 (now commonly known as the “Happy End Problem”) that a planar configuration of 17 points, no 3 points collinear, always contains a convex 6-subset. The proof makes use of a combinatorial model of planar configurations, expressed in terms of signature functions satisfying certain simple necessary conditions. The proof is more general than the original conjecture as the signature functions examined represent a larger set of configurations than those which are realisable. Three independent implementations of the computer proof have been developed, establishing that the result is readily reproducible.

This paper is a contemporary review of quasi-Monte Carlo (QMC) methods, that is, equal-weight rules for the approximate evaluation of high-dimensional integrals over the unit cube [0,1]s. It first introduces the by-now standard setting of weighted Hilbert spaces of functions with square-integrable mixed first derivatives, and then indicates alternative settings, such as non-Hilbert spaces, that can sometimes be more suitable. Original contributions include the extension of the fast component-by-component (CBC) construction of lattice rules that achieve the optimal convergence order (a rate of almost 1/N, where N is the number of points, independently of dimension) to so-called “product and order dependent” (POD) weights, as seen in some recent applications. Although the paper has a strong focus on lattice rules, the function space settings are applicable to all QMC methods. Furthermore, the error analysis and construction of lattice rules can be adapted to polynomial lattice rules from the family of digital nets.

The authors consider in this paper the inverse problem of finding a pair of functions (u, p) such that

where F, f, E, s, αi, βi, γi, gi, i = 1, 2, are given functions.

The existence and uniqueness of a smooth global solution pair (u, p) which depends continuously upon the data are demonstrated under certain assumptions on the data.

The characteristic function of a lognormal random variable is calculated in closed form as a rapidly convergent series of Hermite functions in a logarithmic variable. The series coefficients are Nielsen numbers, defined recursively in terms of Riemann zeta functions. Divergence problems are avoided by deriving a functional differential equation, solving the equation by a de Bruijn integral transform, expanding the resulting reciprocal Gamma function kernel in a series, and then invoking a convergent termwise integration. Applications of the results and methods to the distribution of a sum of independent, not necessarily identical lognormal variables are discussed. The result is that a sum of lognormals is distributed as a sum of products of lognormal distributions. The case of two lognormal variables is outlined in some detail.

Stochastic Petri Nets are used extensively to find performance measures for communication protocols. This paper illustrates how equilibrium distributions for the markings of a wide class of nets can be found directly without the need to generate a large state space and then resort to equilibrium balance equations.

A centre manifold or invariant manifold description of the evolution of a dynamical system provides a simplified view of the long term evolution of the system. In this work, I describe a procedure to estimate the appropriate starting position on the manifold which best matches an initial condition off the manifold. I apply the procedure to three examples: a simple dynamical system, a five-equation model of quasi-geostrophic flow, and shear dispersion in a channel. The analysis is also relevant to determining how best to account, within the invariant manifold description, for a small forcing in the full system.

By means of a symbolic calculus for finding solutions of difference equations, we derive explicit eigenvalues, eigenvectors and inverses for tridiagonal Toeplitz matrices with four perturbed corners.

Uncertainty principles like Heisenberg's assert an inequality obeyed by some measure of joint uncertainty associated with a function and its Fourier transform. The more groups under which that measure is invariant, the more that measure represents an intrinsic property of the underlying object represented by the given function. The Fourier transform is imbedded in a continuous group of operators, the fractional Fourier transforms, but the Heisenberg measure of overall spread turns out not to be invariant under that group. A new family is developed of measures that are invariant under the group of fractional Fourier transforms and that obey associated uncertainty principles. The first member corresponds to Heisenberg's measure but is generally smaller than his although equal to it in special cases.

In this paper we review a simple class of fixed point models for loss networks. We illustrate how these models can readily deal with heterogeneous call types and with simple dynamic routing strategies, and we outline some of the recent mathematical advances in the study of such models. We describe how fixed point models lead to a natural and tractable definition of the implied cost of carrying a call, and how this concept is related to issues of routing and capacity expansion in loss networks.