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(1 - 13 of 13)
- Title
- Simulation study on option pricing under jump diffusion models.
- Creator
- Rodrigues, Justin, Long, Hongwei, Charles E. Schmidt College of Science, Department of Mathematical Sciences
- Abstract/Description
-
The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We...
Show moreThe main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
Show less - Date Issued
- 2013
- PURL
- http://purl.flvc.org/fau/fd/FA0004051
- Subject Headings
- Finance -- Mathematical models, Levy processes, Prices -- Econometric models, Statistical physics, Stochastic processes, Valuation -- Econometric models
- Format
- Document (PDF)
- Title
- The topology of archaeological site distributions: the lacunarity and fractality of prehistoric oaxacan settlements.
- Creator
- Flanagan, Kelin, Brown, Clifford T., Florida Atlantic University, Dorothy F. Schmidt College of Arts and Letters, Department of Anthropology
- Abstract/Description
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Survey is time-consuming and expensive. Therefore, it needs to be both effective and efficient. Some archaeologists have argued that current survey techniques are not effective (Shott 1985, 1989), but most archaeologists continue to employ these methods and therefore must believe they are effective. If our survey techniques are effective, why do simulations suggest otherwise? If they are ineffective, can we improve them? The answers to these practical questions depend on the topological...
Show moreSurvey is time-consuming and expensive. Therefore, it needs to be both effective and efficient. Some archaeologists have argued that current survey techniques are not effective (Shott 1985, 1989), but most archaeologists continue to employ these methods and therefore must believe they are effective. If our survey techniques are effective, why do simulations suggest otherwise? If they are ineffective, can we improve them? The answers to these practical questions depend on the topological characteristics of archaeological site distributions. In this study I analyze archaeological site distributions in the Valley of Oaxaca, Mexico, using lacunarity and fractal dimension. Fractal dimension is a parameter of fractal patterns, which are complex, space-filling designs exhibiting self-similarity and power-law scaling. Lacunarity is a statistical measure that describes the texture of a spatial dispersion. It is useful in understanding how archaeological tests should be spaced during surveys. Between these two measures, I accurately describe the regional topology and suggest new considerations for archaeological survey design.
Show less - Date Issued
- 2014
- PURL
- http://purl.flvc.org/fau/fd/FA00004109, http://purl.flvc.org/fau/fd/FA00004109
- Subject Headings
- Excavations (Archaeology) -- Methodology, Fractals, Social sciences -- Mathematical models, Stochastic processes
- Format
- Document (PDF)
- Title
- PARAMETER ESTIMATION FOR GEOMETRIC L EVY PROCESSES WITH STOCHASTIC VOLATILITY.
- Creator
- Chhetri, Sher B., Long, Hongwei, Florida Atlantic University, Charles E. Schmidt College of Science, Department of Mathematical Sciences
- Abstract/Description
-
In finance, various stochastic models have been used to describe the price movements of financial instruments. After Merton's [38] seminal work, several jump diffusion models for option pricing and risk management have been proposed. In this dissertation, we add alpha-stable Levy motion to the process related to dynamics of log-returns in the Black-Scholes model where the volatility is assumed to be constant. We use the sample characteristic function approach in order to study parameter...
Show moreIn finance, various stochastic models have been used to describe the price movements of financial instruments. After Merton's [38] seminal work, several jump diffusion models for option pricing and risk management have been proposed. In this dissertation, we add alpha-stable Levy motion to the process related to dynamics of log-returns in the Black-Scholes model where the volatility is assumed to be constant. We use the sample characteristic function approach in order to study parameter estimation for discretely observed stochastic differential equations driven by Levy noises. We also discuss the consistency and asymptotic properties of the proposed estimators. Simulation results of the model are also presented to show the validity of the estimators. We then propose a new model where the volatility is not a constant. We consider generalized alpha-stable geometric Levy processes where the stochastic volatility follows the Cox-Ingersoll-Ross (CIR) model in Cox et al. [9]. A number of methods have been proposed for estimating parameters for stable laws. However, a complication arises in estimation of the parameters in our model because of the presence of the unobservable stochastic volatility. To combat this complication we use the sample characteristic function method proposed by Press [48] and the conditional least squares method as mentioned in Overbeck and Ryden [47] to estimate all the parameters. We then discuss the consistency and asymptotic properties of the proposed estimators and establish a Central Limit Theorem. We perform simulations to assess the validity of the estimators. We also present several tables to show the comparison of estimators using different choices of arguments ui's. We conclude that all the estimators converge as expected regardless of the choice of ui's.
Show less - Date Issued
- 2019
- PURL
- http://purl.flvc.org/fau/fd/FA00013294
- Subject Headings
- Stochastic models, Lévy processes, Parameter estimation, Finance, Simulations
- Format
- Document (PDF)
- Title
- Finite element methods for stochastic structures and conditional simulation.
- Creator
- Ren, Yongjian., Florida Atlantic University, Elishakoff, Isaac, College of Engineering and Computer Science, Department of Ocean and Mechanical Engineering
- Abstract/Description
-
This dissertation deals with the non-perturbative finite element methods for stochastic structures and conditional simulation techniques for random fields. Three different non-perturbative finite element schemes have been proposed to compute the first and second moments of displacement responses of stochastic structures. These three methods are based, respectively, on (i) the exact inverse of the global stiffness matrix for simple stochastic structures; (ii) the variational principles for...
Show moreThis dissertation deals with the non-perturbative finite element methods for stochastic structures and conditional simulation techniques for random fields. Three different non-perturbative finite element schemes have been proposed to compute the first and second moments of displacement responses of stochastic structures. These three methods are based, respectively, on (i) the exact inverse of the global stiffness matrix for simple stochastic structures; (ii) the variational principles for statically-determinate beams; and (iii)Â the element-level flexibility for general stochastic statically indeterminate structures. The non-perturbative finite element method for stochastic structures possesses several advantages over the conventional perturbation-based finite element method for stochastic structures, including (i) applicability to large values of the coefficient of variation of random parameters; (ii) convergence to exact solutions when the finite element mesh is refined; (iii) requirement of less statistical information than that demanded by the high-order perturbation methods. Conditional simulation of random fields has been an extremely important research field in most recent years due to its application in urban earthquake monitoring systems. This study generalizes the available simulation technique for one-variate Gaussian random fields, conditioned by realizations of the fields, to multi-variate vector random field, conditioned by the realizations of the fields themselves as well as the realizations of the fields derivatives. Furthermore, a conditional simulation for non-Gaussian random fields is also proposed in this study by combining the unconditional simulation technique of non-Gaussian fields and the conditional simulation technique of Gaussian fields. Finally, the dissertation incorporates the simulation technique of random field into the non-perturbation finite element method for stochastic structures, to handle the cases where only one-dimensional probability density function and the correlation function of the random parameters are available, the demanded two-dimensional probability density function is unavailable. Simulation technique is applied to generate the samples of random fields which are used to estimate the correlation between flexibilities over elements. The estimated correlation of flexibility is then used in finite element analysis for stochastic structures. For each proposed approach, numerous examples and numerical results have been implemented.
Show less - Date Issued
- 1998
- PURL
- http://purl.flvc.org/fcla/dt/12580
- Subject Headings
- Finite element method, Stochastic processes, Random fields--Mathematical models
- Format
- Document (PDF)
- Title
- Stochastical aspects of neuronal activity, neural networks, and communication.
- Creator
- De Groff, Dolores F., Florida Atlantic University, Neelakanta, Perambur S., College of Engineering and Computer Science, Department of Computer and Electrical Engineering and Computer Science
- Abstract/Description
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By revisiting the popular framework of depicting neuronal (collective) activities as analogous to Ising's spin-glass theory of interacting magnetic spins, the contradictions that coexist with such an analogy are extracted and discussed. To alleviate such contradictions, an alternative strategy of equating the neuronal interactions to the partially anisotropic nematic phase of disorder pertaining to liquid crystals is proposed. Hence, the extent of anisotropy in the neuronal system, quantified...
Show moreBy revisiting the popular framework of depicting neuronal (collective) activities as analogous to Ising's spin-glass theory of interacting magnetic spins, the contradictions that coexist with such an analogy are extracted and discussed. To alleviate such contradictions, an alternative strategy of equating the neuronal interactions to the partially anisotropic nematic phase of disorder pertaining to liquid crystals is proposed. Hence, the extent of anisotropy in the neuronal system, quantified in terms of an order-function, is specified to elucidate the nonlinear squashing action of the input-output relations in a neuronal cell. The relevant approach thereof, is based on Langevin's theory considerations as applied to dipole molecules. Further, in view of the stochastical properties due to the inherent disorder associated with the neuronal assembly, the progression of state-transitions across the interconnected cells is modeled as a momentum flow relevant to particle dynamics. Hence, corresponding wave mechanics attributions of such a collective movement of state-transition activity are described in terms of a probabilistic wave function. Lastly, the stochastical aspects of noise-perturbed neuronal dynamics are studied via Fokker-Planck equation representing the Langevin-type relaxational (nonlinear) process associated with the neuronal states. On each of these topics portraying the stochastical characteristics of the neuronal assembly and its activities, newer and/or more exploratory inferences are made, logical conclusions are enumerated and relevant discussions are presented along with the scope for future research to be pursued.
Show less - Date Issued
- 1993
- PURL
- http://purl.flvc.org/fcla/dt/12326
- Subject Headings
- Neurons--Mathematical models, Stochastic processes, Neural networks (Computer science)
- Format
- Document (PDF)
- Title
- Stochastic processes in the social sciences: markets, prices and wealth distributions.
- Creator
- Romero, Natalia E., Charles E. Schmidt College of Science, Department of Physics
- Abstract/Description
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The present work uses statistical mechanics tools to investigate the dynamics of markets, prices, trades and wealth distribution. We studied the evolution of market dynamics in different stages of historical development by analyzing commodity prices from two distinct periods : ancient Babylon, and medieval and early modern England. We find that the first-digit distributrions of both Babylon and England commodity prices follow Benford's Law, indicating that the data represent empirical...
Show moreThe present work uses statistical mechanics tools to investigate the dynamics of markets, prices, trades and wealth distribution. We studied the evolution of market dynamics in different stages of historical development by analyzing commodity prices from two distinct periods : ancient Babylon, and medieval and early modern England. We find that the first-digit distributrions of both Babylon and England commodity prices follow Benford's Law, indicating that the data represent empirical observations typically arising from a free market. Further, we find that the normalized prices of both Babylon and England agricultural commodities are characterized by stretched exponential distributions, and exhibit persistent correlations of a power law type over long periods of up to several centuries, in contrast to contemporary markets. Our findings suggest that similar market interactions may underlie the dynamics of ancient agricultural commodity prices, and that these interactions may remain stable across centuries. To further investigate the dynamics of markets, we present the analogy between transfers of money between individuals and the transfer of energy through particle collisions by means of the kinetic theory of gases. We introduce a theoretical framework of how micro rules of trading lead to the emergence of income and wealth distribution. Particularly, we study the effects of different types of distribution of savings/investments among individuals in a society and different welfare/subsidies redistribution policies. Results show that while considering savings propensities, the models approach empirical distributions of wealth quite well. The effect of redistribution better captures specific features of the distributions which earlier models failed to do. Moreover, the models still preserve the exponential decay observed in empirical income distributions reported by tax data and surveys.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3352825
- Subject Headings
- Stochastic processes, Mathematical models, Consumption (Economics), Mathematical models, Business cycles, Mathematical models, Statics and dynamics (Social sciences), Mathematical models
- Format
- Document (PDF)
- Title
- Design and analysis of an ocean current turbine performance assessment system.
- Creator
- Young, Matthew T., College of Engineering and Computer Science, Department of Ocean and Mechanical Engineering
- Abstract/Description
-
This thesis proposes a sensor approach for quantifying the hydrodynamic performance of Ocean Current Turbines (OCT), and investigates the influence of sensor-specific noise and sampling rates on calculated turbine performance. Numerical models of the selected sensors are developed, and then utilized to add stochastic measurement error to numerically-generated, non-stochastic OCT data. Numerically-generated current velocity and turbine performance measurements are used to quantify the relative...
Show moreThis thesis proposes a sensor approach for quantifying the hydrodynamic performance of Ocean Current Turbines (OCT), and investigates the influence of sensor-specific noise and sampling rates on calculated turbine performance. Numerical models of the selected sensors are developed, and then utilized to add stochastic measurement error to numerically-generated, non-stochastic OCT data. Numerically-generated current velocity and turbine performance measurements are used to quantify the relative influence of sensor-specific error and sampling limitations on sensor measurements and calculated OCT performance results. The study shows that the addition of sensor error alters the variance and mean of OCT performance metric data by roughly 7.1% and 0.24%, respectively, for four evaluated operating conditions. It is shown that sensor error results in a mean, maximum and minimum performance metric to Signal to Noise Ration (SNR) of 48.6% and 6.2%, respectively.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3359164
- Subject Headings
- Marine turbines, Mathematical models, Fluid dynamics, Structural dynamics, Stochastic processes, Rotors, Design and construction, Testing
- Format
- Document (PDF)
- Title
- Vibration analysis for ocean turbine reliability models.
- Creator
- Wald, Randall David., College of Engineering and Computer Science, Department of Computer and Electrical Engineering and Computer Science
- Abstract/Description
-
Submerged turbines which harvest energy from ocean currents are an important potential energy resource, but their harsh and remote environment demands an automated system for machine condition monitoring and prognostic health monitoring (MCM/PHM). For building MCM/PHM models, vibration sensor data is among the most useful (because it can show abnormal behavior which has yet to cause damage) and the most challenging (because due to its waveform nature, frequency bands must be extracted from...
Show moreSubmerged turbines which harvest energy from ocean currents are an important potential energy resource, but their harsh and remote environment demands an automated system for machine condition monitoring and prognostic health monitoring (MCM/PHM). For building MCM/PHM models, vibration sensor data is among the most useful (because it can show abnormal behavior which has yet to cause damage) and the most challenging (because due to its waveform nature, frequency bands must be extracted from the signal). To perform the necessary analysis of the vibration signals, which may arrive rapidly in the form of data streams, we develop three new wavelet-based transforms (the Streaming Wavelet Transform, Short-Time Wavelet Packet Decomposition, and Streaming Wavelet Packet Decomposition) and propose modifications to the existing Short-TIme Wavelet Transform. ... The proposed algorithms also create and select frequency-band features which focus on the areas of the signal most important to MCM/PHM, producing only the information necessary for building models (or removing all unnecessary information) so models can run on less powerful hardware. Finally, we demonstrate models which can work in multiple environmental conditions. ... Our results show that many of the transforms give similar results in terms of performance, but their different properties as to time complexity, ability to operate in a fully streaming fashion, and number of generated features may make some more appropriate than others in particular applications, such as when streaming data or hardware limitations are extremely important (e.g., ocean turbine MCM/PHM).
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3359158
- Subject Headings
- Marine turbines, Mathematical models, Fluid dynamics, Structural dynamics, Vibration, Measurement, Stochastic processes
- Format
- Document (PDF)
- Title
- A novel optimization algorithm and other techniques in medicinal chemistry.
- Creator
- Santos, Radleigh G., Charles E. Schmidt College of Science, Department of Mathematical Sciences
- Abstract/Description
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In this dissertation we will present a stochastic optimization algorithm and use it and other mathematical techniques to tackle problems arising in medicinal chemistry. In Chapter 1, we present some background about stochastic optimization and the Accelerated Random Search (ARS) algorithm. We then present a novel improvement of the ARS algorithm, DIrected Accelerated Random Search (DARS), motivated by some theoretical results, and demonstrate through numerical results that it improves upon...
Show moreIn this dissertation we will present a stochastic optimization algorithm and use it and other mathematical techniques to tackle problems arising in medicinal chemistry. In Chapter 1, we present some background about stochastic optimization and the Accelerated Random Search (ARS) algorithm. We then present a novel improvement of the ARS algorithm, DIrected Accelerated Random Search (DARS), motivated by some theoretical results, and demonstrate through numerical results that it improves upon ARS. In Chapter 2, we use DARS and other methods to address issues arising from the use of mixture-based combinatorial libraries in drug discovery. In particular, we look at models associated with the biological activity of these mixtures and use them to answer questions about sensitivity and robustness, and also present a novel method for determining the integrity of the synthesis. Finally, in Chapter 3 we present an in-depth analysis of some statistical and mathematical techniques in combinatorial chemistry, including a novel probabilistic approach to using structural similarity to predict the activity landscape.
Show less - Date Issued
- 2012
- PURL
- http://purl.flvc.org/FAU/3352830
- Subject Headings
- Drugs, Design, Mathematical models, Combinatorial optimization, Combinatorial chemistry, Genetic algorithms, Mathematical optimization, Stochastic processes
- Format
- Document (PDF)
- Title
- Stochastic Modeling of Wireless Communications in a Fading Environment via Fox's H-Function.
- Creator
- Mukasa, Constantine, Aalo, Valentine A., Florida Atlantic University, College of Engineering and Computer Science, Department of Computer and Electrical Engineering and Computer Science
- Abstract/Description
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In wireless communications systems, it is well known that the instantaneous received signal is a random variable that follows a given distribution. The randomness mainly stems from e ects such as multipath fading, shadowing, and interference. The received signal is a relevant metric, such that several distributions have been used in the literature to characterize it. However, as new radio technologies emerge, the known distributions are deemed insu cient to t simulated and measure data....
Show moreIn wireless communications systems, it is well known that the instantaneous received signal is a random variable that follows a given distribution. The randomness mainly stems from e ects such as multipath fading, shadowing, and interference. The received signal is a relevant metric, such that several distributions have been used in the literature to characterize it. However, as new radio technologies emerge, the known distributions are deemed insu cient to t simulated and measure data. Subsequently, as the wireless industry moves onto the fth generation (5G), newer distributions are proposed to well represent the received signal for new wireless technologies, including those operating in the millimeter-wave (mmWave) band. These are mainly application speci c and may not be adequate to model complex 5G devices performance. Therefore, there is a need to unify and generalize the received signal distributions used for performance analysis of wireless systems. Secondly, an explosion of new radio technologies and devices operating in the same limited radio spectrum to collect and share data at alarming rates is expected. Such an explosion coupled with the 5G promise of ubiquitous connectivity and network densi cation, will thrust interference modeling in dense networks to the fore-front. Thus, interference characterization is essential when analyzing such wireless networks. Thirdly, the classical distributions used to model the received signal do not account for the inherent mobility feature for emerging radio technologies, such as avionics systems (e.g. drones), which may make the distributions inadequate as mobility e ects can no longer be ignored. Consequently, in this dissertation, we propose the use of a unifying distribution, the Fox's H-function distribution, with subsume ability to represent several traditional and future distributions, as a statistical tool to evaluate the performance of wireless communications systems. Additionally, two interference models, one with a xed number and the other with a random number of interferers, are considered to derive interference statistics, and further utilize the results to analyze system performance under the e ect of interference. Finally, we extend the classical distributions to include the mobility regime for several wireless network topologies, and perform network analysis. The analytical results are validated using computer Monte Carlo simulations.
Show less - Date Issued
- 2017
- PURL
- http://purl.flvc.org/fau/fd/FA00005934
- Subject Headings
- Dissertations, Academic -- Florida Atlantic University, Wireless communications systems., Stochastic modeling., H-functions.
- Format
- Document (PDF)
- Title
- Stochastic optimal impulse control of jump diffusions with application to exchange rate.
- Creator
- Perera, Sandun C., Charles E. Schmidt College of Science, Department of Mathematical Sciences
- Abstract/Description
-
We generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control...
Show moreWe generalize the theory of stochastic impulse control of jump diffusions introduced by Oksendal and Sulem (2004) with milder assumptions. In particular, we assume that the original process is affected by the interventions. We also generalize the optimal central bank intervention problem including market reaction introduced by Moreno (2007), allowing the exchange rate dynamic to follow a jump diffusion process. We furthermore generalize the approximation theory of stochastic impulse control problems by a sequence of iterated optimal stopping problems which is also introduced in Oksendal and Sulem (2004). We develop new results which allow us to reduce a given impulse control problem to a sequence of iterated optimal stopping problems even though the original process is affected by interventions.
Show less - Date Issued
- 2009
- PURL
- http://purl.flvc.org/FAU/3174308
- Subject Headings
- Management, Mathematical models, Control theory, Stochastic differential equations, Distribution (Probability theory), Optimal stopping (Mathematical statistics), Economics, Mathematical
- Format
- Document (PDF)
- Title
- A generalized stochastic birth/death population model based on Indian RiverLagoon dolphins.
- Creator
- Stonger, Jon, Noonburg, Erik G., Florida Atlantic University, Charles E. Schmidt College of Science, Department of Biological Sciences
- Abstract/Description
-
For over a decade, researchers at Harbor Branch Oceanographic Institute (HBOI) have conducted surveys of the bottlenose dolphin (Tursiops truncatus) population of Indian River Lagoon (IRL) in Florida. I have constructed a 4-stage population model using the statistical program R. The model is used to conduct a viability analysis by analyzing the relationship between birth, calf and adult survival rates. The power analysis compares survey frequency to expected confidence intervals in estimating...
Show moreFor over a decade, researchers at Harbor Branch Oceanographic Institute (HBOI) have conducted surveys of the bottlenose dolphin (Tursiops truncatus) population of Indian River Lagoon (IRL) in Florida. I have constructed a 4-stage population model using the statistical program R. The model is used to conduct a viability analysis by analyzing the relationship between birth, calf and adult survival rates. The power analysis compares survey frequency to expected confidence intervals in estimating abundance. The sensitivity analysis shows that the population is most sensitive to changes in adult survival, followed by birth rate and calf survival. The model shows a strong chance of viability over a 50 year time span. The population is vulnerable to long periods of decline if birth, calf or adult survival rates fall below certain thresholds. Overall, the model simulates the future impacts of demographic change, providing a tool for conservation efforts.
Show less - Date Issued
- 2014
- PURL
- http://purl.flvc.org/fau/fd/FA00004163, http://purl.flvc.org/fau/fd/FA00004163
- Subject Headings
- Animal populations -- Estimates, Bottlenose dolphin -- Florida -- Indian River Lagoon -- Geographical distribution, Indian River (Fla : Lagoon), Marine mammal populations -- Estimates -- Florida -- Mathematical models, Population biology, Stochastic processes
- Format
- Document (PDF)
- Title
- Stochastic optimization of energy for multi-user wireless networks over fading channels.
- Creator
- Wang, Di, College of Engineering and Computer Science, Department of Computer and Electrical Engineering and Computer Science
- Abstract/Description
-
Wireless devices in wireless networks are powered typically by small batteries that are not replaceable nor recharged in a convenient way. To prolong the operating lifetime of networks, energy efficiency is indicated as a critical issue and energy-efficient resource allocation designs have been extensively developed. We investigated energy-efficient schemes that prolong network operating lifetime in wireless sensor networks and in wireless relay networks. In Chapter 2, the energy-efficient...
Show moreWireless devices in wireless networks are powered typically by small batteries that are not replaceable nor recharged in a convenient way. To prolong the operating lifetime of networks, energy efficiency is indicated as a critical issue and energy-efficient resource allocation designs have been extensively developed. We investigated energy-efficient schemes that prolong network operating lifetime in wireless sensor networks and in wireless relay networks. In Chapter 2, the energy-efficient resource allocation that minimizes a general cost function of average user powers for small- or medium-scale wireless sensor networks, where the simple time-division multiple-access (TDMA) is adopted as the multiple access scheme. A class of Ç-fair cost-functions is derived to balance the tradeoff between efficiency and fairness in energy-efficient designs. Based on such cost functions, optimal channel-adaptive resource allocation schemes are developed for both single-hop and multi-hop TDMA sensor networks. In Chapter 3, optimal power control methods to balance the tradeoff between energy efficiency and fairness for wireless cooperative networks are developed. It is important to maximize power efficiency by minimizing power consumption for a given quality of service, such as the data rate; it is also equally important to evenly or fairly distribute power consumption to all nodes to maximize the network life. The optimal power control policy proposed is derived in a quasi-closed form by solving a convex optimization problem with a properly chosen cost-function. To further optimize a wireless relay network performance, an orthogonal frequency division multiplexing (OFDM) based multi-user wireless relay network is considered in Chapter 4., In the OFDM approach, each subcarrier is dynamically assigned to a source- destination link, and several relays assist communication between pairs of source-destination over their assigned subcarriers. Using a class of Ç-fair cost-functions to balance the tradeoff between energy efficiency and fairness, jointly with optimal subcarrier and power allocation schemes at the relays. Relevant algorithms are derived in quasi-closed form. Lastly, the proposed energy-efficient schemes are summarized and future work is discussed in Chapter 5.
Show less - Date Issued
- 2011
- PURL
- http://purl.flvc.org/FAU/3322519
- Subject Headings
- Stochastic processes, Data processing, Wireless communication systems, Mathematical models, Computer network protocols, Signal processing, Digital techniques, Code division multiple access, Waveless division multiplexing, Orthogonalization methods
- Format
- Document (PDF)
