: This thesis applies neural network feature selection techniques to multivariate time series data to improve prediction of a target time series. Two approaches to feature selection are used. First, a subset enumeration method is used to determine which financial indicators are most useful for aiding in prediction of the S&P 500 futures daily price. The candidate indicators evaluated include RSI, Stochastics and several moving averages. Results indicate that the Stochastics and RSI indicators result in better prediction results than the moving averages. The second approach to feature selection is calculation of individual saliency metrics. A new decision boundary-based individual saliency metric, and a classifier independent saliency metric are developed and tested. Ruck's saliency metric, the decision boundary based saliency metric, and the classifier independent saliency metric are compared for a data set consisting of the RSI and Stochastics indicators as well as delayed closing price values. The decision based metric and the Ruck metric results are similar, but the classifier independent metric agrees with neither of the other metrics. The nine most salient features, determined by the decision boundary based metric, are used to train a neural network and the results are presented and compared to other published results. (AN)

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Nonlinear Time Series Analysis.

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Numerical Heat Transfer And Fluid Flow

流体力学杂志“Journal of Fluid Mechanics”由剑桥大学教授George Batchelor在1956年5月创办，在国际流体力学界享有很高的学术声望，被公认为是流体力学最著名的学术刊物之一，2005年的影响因子为2．061，雄居同类期刊之首．在它创刊50周年之际，2006年5月JFM出版了第554卷的纪念特刊，其中刊登了现任主编（美国西北大学S．H．Davis教授和英国剑桥大学T．J．Pedley教授）合写的述评：“Editorial：JFM at50”，以JFM为背景，从独特的视角对近50年来流体力学的发展进行了简明的回顾和展望，并归纳了一系列非常有启发性的有趣统计数字．2006年7月21日在剑桥大学应用数学和理论物理研究所（DAMTP）举行了创刊50周年的庆祝会．下午2点，JFM的新老编辑和来宾会聚一堂，Pedley教授致开幕词，其后是5个精彩的报告：The mysterious rattleback and its fluid counterpart（Keith Moffatt），Developments in shear instabilities（Patrick Huerre），Falling clouds（Elisabeth Guazzelli），Ecotectural fluid mechanics（Paul Linden），The success of JFM（Herbert Huppert），最后由Davis教授致闭幕词．

Journal of Fluid Mechanics创刊50周年

An Introduction to Magnetohydrodynamics

Geometry: shape, size, aspect ratio and orientation Flow Type: forced, natural, laminar, turbulent, internal, external Boundary: isothermal (Tw = constant) or isoflux (q̇w = constant) Fluid Type: viscous oil, water, gases or liquid metals Properties: all properties determined at film temperature Tf = (Tw + T∞)/2 Note: ρ and ν ∝ 1/Patm ⇒ see Q12-40 density: ρ ((kg/m) specific heat: Cp (J/kg ·K) dynamic viscosity: μ, (N · s/m) kinematic viscosity: ν ≡ μ/ρ (m/s) thermal conductivity: k, (W/m ·K) thermal diffusivity: α, ≡ k/(ρ · Cp) (m/s) Prandtl number: Pr, ≡ ν/α (−−) volumetric compressibility: β, (1/K)

Convection Heat Transfer

Complex thermoacoustic oscillations are observed experimentally in a simple laboratory combustor that burns lean premixed fuel-air mixture, as a result of nonlinear interaction between the acoustic field and the combustion processes. The application of nonlinear time series analysis, particularly techniques based on phase space reconstruction from acquired pressure data, reveals rich dynamical behavior and the existence of several complex states. A route to chaos for thermoacoustic instability is established experimentally for the first time. We show that, as the location of the heat source is gradually varied, self-excited periodic thermoacoustic oscillations undergo transition to chaos via the Ruelle-Takens scenario.

Route to chaos for combustion instability in ducted laminar premixed flames

Bifurcation analysis is performed on experimental data obtained from a simple setup comprising ducted laminar premixed conical flames in order to investigate the features of nonlinear thermoacoustic oscillations. It is observed that as the bifurcation parameter is varied, the system undergoes a series of bifurcations leading to characteristically different nonlinear oscillations. Through the application of nonlinear time series analysis to pressure and flame (CH * chemiluminescence) intensity time traces, these oscillations are characterized as periodic, aperiodic, or chaotic oscillations, and subsequently the nature of the obtained bifurcations is explained based on dynamical systems theory. Nonlinear interaction between the flames and the acoustic modes of the duct is clearly reflected in the high speed flame images acquired simultaneously with pressure time series.

Bifurcations of Self-Excited Ducted Laminar Premixed Flames

A bifurcation analysis of the dynamical behavior of a horizontal Rijke tube model is performed in this paper. The method of numerical continuation is used to obtain the bifurcation plots, including the amplitude of the unstable limit cycles. Bifurcation plots for the variation of nondimensional heater power, damping coefficient and the heater location are obtained for different values of time lag in the system. Subcritical bifurcation was observed for variation of parameters and regions of global stability, global instability and bistability are characterized. Linear and nonlinear stability boundaries are obtained for the simultaneous variation of two parameters of the system. The validity of the small time lag assumption in the calculation of linear stability boundary has been shown to fail at typical values of time lag of system. Accurate calculation of the linear stability boundary in systems with explicit time delay models, must therefore, not assume a small time lag assumption. Interesting dynamical ...

https://journals.sagepub.com/doi/pdf/10.1260/1756-8277.2.4.325

Bifurcation analysis of thermoacoustic instability in a horizontal Rijke tube

We demonstrate the method of averaging for conservative oscillators which may be strongly nonlinear, under small perturbations including delayed and/or fractional derivative terms. The unperturbed systems studied here include a harmonic oscillator, a strongly nonlinear oscillator with a cubic nonlinearity, as well as one with a nonanalytic nonlinearity. For the latter two cases, we use an approximate realization of the asymptotic method of averaging, based on harmonic balance. The averaged dynamics closely match the full numerical solutions in all cases, verifying the validity of the averaging procedure as well as the harmonic balance approximations therein. Moreover, interesting dynamics is uncovered in the strongly nonlinear case with small delayed terms, where arbitrarily many stable and unstable limit cycles can coexist, and infinitely many simultaneous saddle-node bifurcations can occur.

Averaging Oscillations with Small Fractional Damping and Delayed Terms

A new approach is used to study the global dynamics of regenerative metal cutting in turning. The cut surface is modeled using a partial differential equation (PDE) coupled, via boundary conditions, to an ordinary differential equation (ODE) modeling the dynamics of the cutting tool. This approach automatically incorporates the multiple-regenerative effects accompanying self-interrupted cutting. Taylor's 3/4 power law model for the cutting force is adopted. Lower dimensional ODE approximations are obtained for the combined tool–workpiece model using Galerkin projections, and a bifurcation diagram computed. The unstable solution branch off the subcritical Hopf bifurcation meets the stable branch involving self-interrupted dynamics in a turning point bifurcation. The tool displacement at that turning point is estimated, which helps identify cutting parameter ranges where loss of stability leads to much larger self-interrupted motions than in some other ranges. Numerical bounds are also obtained on the parameter values which guarantee global stability of steady-state cutting, i.e., parameter values for which there exist neither unstable periodic motions nor self-interrupted motions about the stable equilibrium.

Pankaj Wahi

Papers

Route to chaos for combustion instability in ducted laminar premixed flames

Bifurcations of Self-Excited Ducted Laminar Premixed Flames

Bifurcation analysis of thermoacoustic instability in a horizontal Rijke tube

Averaging Oscillations with Small Fractional Damping and Delayed Terms

Self-interrupted regenerative metal cutting in turning