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Investigating pedestrian stepping characteristics via intrinsic trajectory 通过内在轨迹研究行人的步态特征
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-26 DOI: 10.1016/j.physa.2024.130045

Investigating pedestrian stepping is essential for pedestrian dynamics research, aiding in understanding pedestrian behavior and crowd modeling. However, how to calculate the basic step metrics is still controversial, and the differences between straight walking and turning steps are often overlooked in past studies. In this work, we proposed the trajectory-based measurement to more accurately calculate the step metrics and further analyze the differences between the straight walking and turning steps. The trajectory-based measurement takes the intrinsic trajectory of the pedestrian as the reference frame to guide a more universal measurement for stepping characteristics. By applying the proposed trajectory-based measurement to revisit the dataset of a single-file experiment, we identify differences between the straight walking step and the turning step from multiple perspectives. The results show that when density is low, straight walking steps exhibit larger step velocity and length, whereas turning steps display more unbalanced lateral motion. As density increases, both types of steps demonstrate greater forward motion imbalance, while pedestrians prefer to take the step on the outer side of the turn to propel their forward motion when taking turning steps. These findings deepen our understanding of pedestrian stepping behavior and provide valuable insights for future studies of pedestrian dynamics.

行人步态调查对于行人动力学研究至关重要,有助于理解行人行为和人群建模。然而,如何计算基本步幅指标仍存在争议,而且以往的研究往往忽略了直行步幅和转弯步幅之间的差异。在这项工作中,我们提出了基于轨迹的测量方法,以更准确地计算步长指标,并进一步分析直行步长和转弯步长之间的差异。基于轨迹的测量方法以行人的固有轨迹为参考框架,指导对步态特征进行更普遍的测量。通过应用所提出的基于轨迹的测量方法重新审视单排实验数据集,我们从多个角度发现了直行步和转弯步之间的差异。结果表明,当密度较低时,直行步表现出更大的步速和步长,而转弯步则表现出更多不平衡的横向运动。随着密度的增加,这两种步法都表现出更大的向前运动不平衡,而行人在迈出转弯步法时更喜欢迈出转弯外侧的步法来推动向前运动。这些发现加深了我们对行人迈步行为的理解,并为未来行人动力学研究提供了宝贵的见解。
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引用次数: 0
Delayed interactions in the noisy voter model through the periodic polling mechanism 通过定期投票机制实现噪声选民模型中的延迟互动
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-26 DOI: 10.1016/j.physa.2024.130062

We investigate the effects of delayed interactions on the stationary distribution of the noisy voter model. We assume that the delayed interactions occur through the periodic polling mechanism and replace the original instantaneous two-agent interactions. In our analysis, we require that the polling period aligns with the delay in announcing poll outcomes. As expected, when the polling period is relatively short, the model with delayed interactions is almost equivalent to the original model. As the polling period increases, oscillatory behavior emerges, but the model with delayed interactions still converges to stationary distribution. The stationary distribution resembles a Beta-binomial distribution, with its shape parameters scaling with the polling period. The observed scaling behavior is non-monotonic. Namely, the shape parameters peak at some intermediate polling period.

我们研究了延迟互动对噪声选民模型静态分布的影响。我们假设延迟互动是通过周期性投票机制发生的,并取代了原来的即时双代理互动。在分析中,我们要求投票周期与投票结果公布的延迟一致。不出所料,当投票周期相对较短时,延迟互动模型几乎等同于原始模型。随着投票时间的延长,出现了振荡行为,但延迟互动模型仍收敛于静态分布。静态分布类似于 Beta-二项分布,其形状参数随投票周期而缩放。观察到的缩放行为是非单调的。也就是说,形状参数在某个中间投票周期达到峰值。
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引用次数: 0
A dynamic priority bus lane strategy in heterogeneous traffic environments 异构交通环境中的动态公交优先车道策略
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-24 DOI: 10.1016/j.physa.2024.130058

Allowing connected and automated vehicles (CAVs) to drive in bus lanes can enhance the utilization efficiency of exclusive bus lanes. However, this could also lead to a certain degree of heightened bus operating delays. In a connected and automated environment, vehicle-to-vehicle (V2V) communication is essential for implementing dynamic management strategies for bus lanes. This study focuses on urban arterial roads as the research scenario. Based on the characteristics of the car-following and lane-changing behaviors of human-driven vehicles (HDVs) and CAVs, a simulation platform for heterogeneous traffic flow is established. Four strategies for bus lane control are proposed: exclusive bus lanes (EBLs), bus and CAV mixed lanes (BCMLs), dynamic bus lanes (DBLs), and dynamic priority bus lanes (DPBLs). Through simulation experiments, an analysis is conducted to compare traffic operation characteristics under different bus lane strategies, assess the advantages of these strategies, and determine the traffic density conditions for their implementation. The results indicate that in comparison to the EBL strategy, the other strategies enhance traffic flows but result in different levels of travel delays for buses. Compared to the DBL and BCML strategies, the DPBL strategy is applicable under a broader range of traffic density conditions. Additionally, sensitivity analysis revealed that the effects of the V2V communication distance and bus flows on the applicability of DPBL strategies are relatively minor. These results provide a theoretical basis and practical guidance for future bus lane management.

允许联网和自动驾驶车辆(CAV)在公交专用道上行驶,可以提高公交专用道的使用效率。不过,这也会在一定程度上导致公交车运行延迟加剧。在互联和自动驾驶环境中,车对车(V2V)通信对于实施公交专用道动态管理策略至关重要。本研究以城市主干道为研究场景。根据人类驾驶车辆(HDV)和 CAV 的跟车和变道行为特点,建立了一个异构交通流仿真平台。提出了四种公交车道控制策略:公交车专用道(EBL)、公交车与 CAV 混合车道(BCML)、动态公交车道(DBL)和动态优先公交车道(DPBL)。通过模拟实验,分析比较了不同公交专用道策略下的交通运行特征,评估了这些策略的优势,并确定了实施这些策略的交通密度条件。结果表明,与后行车道策略相比,其他策略可提高交通流量,但会导致不同程度的巴士行驶延误。与 DBL 和 BCML 策略相比,DPBL 策略适用于更广泛的交通密度条件。此外,敏感性分析表明,V2V 通信距离和公交车流量对 DPBL 策略适用性的影响相对较小。这些结果为未来的公交车道管理提供了理论基础和实践指导。
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引用次数: 0
Managing merging from a dedicated CAV lane into a conventional lane considering the stochasticity of connected human-driven vehicles 考虑到互联人类驾驶车辆的随机性,管理从专用 CAV 车道并入传统车道的过程
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-24 DOI: 10.1016/j.physa.2024.130044

Connected and automated vehicle (CAV) provides a new promising solution for transportation system. Despite the promising future of CAV, fully deployment of CAV on current road systems is still challenging and the coexistence of CAV and human-driven vehicle (HDV) is inevitable. Furthermore, most studies for trajectory planning under mixed traffic ignore the stochasticity of human-driven vehicle (HDV), which is unrealistic and causes infeasible planned trajectory. In this study, we investigate merging control from a dedicated CAV lane into a conventional lane. The stochastic mixed traffic cooperative merging problem is formulated as a mixed integer quadratic constraint programming, which optimizes vehicle longitudinal trajectories and lane-changing maneuvers in a centralized way. Rolling horizon framework coupled with car-following and lane-changing execution algorithms is used to address the stochasticity of connected human-driven vehicle (CHV). Simulation results validate our proposed control strategy outperforms the rule-based control strategy from the perspective of traffic efficiency, lane-changing efficiency, fuel economy and driving comfort. The robustness of rolling horizon framework and sensitivity analysis are also conducted. Finally, the vehicle trajectory comparison intuitively shows the difference between 2 control strategies.

车联网和自动驾驶汽车(CAV)为交通系统提供了一种新的有前途的解决方案。尽管 CAV 前景广阔,但在现有道路系统中全面部署 CAV 仍面临挑战,CAV 与人类驾驶车辆(HDV)的共存不可避免。此外,大多数混合交通下的轨迹规划研究都忽略了人类驾驶车辆(HDV)的随机性,这是不现实的,会导致规划轨迹不可行。在本研究中,我们研究了从专用 CAV 车道并入传统车道的并线控制。随机混合交通合作并线问题被表述为混合整数二次约束编程,以集中方式优化车辆纵向轨迹和变道操作。滚动地平线框架与汽车跟随和变道执行算法相结合,用于解决互联人驱车(CHV)的随机性问题。仿真结果验证了我们提出的控制策略在交通效率、变道效率、燃油经济性和驾驶舒适性方面优于基于规则的控制策略。此外,还进行了滚动视界框架的稳健性和灵敏度分析。最后,车辆轨迹对比直观地显示了两种控制策略之间的差异。
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引用次数: 0
Avalanche dynamics in nonconservative water droplet 非守恒水滴中的雪崩动力学
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-24 DOI: 10.1016/j.physa.2024.130061

The self-organized criticality (SOC) exhibits excellent performance in describing the dynamic features of multi-body systems in nature. It is usually considered that conservative law is a necessary condition for the existence of SOC. However, mass or energy dissipation typically exists in the process from self-organization to a critical state in natural systems such as earthquakes and air pollution, namely, non-conservation. At present, few physical experiments have systematically explored the SOC behavior in a non-conservative system, compared to numerical simulations. This study is the first to design a non-conservative sandpile experiment using water droplets. Based on this experiment, the dynamic evolution process of avalanches in a non-conservative system has been analyzed. The results show that the avalanche size of water droplets follows a power-law distribution, as the water mass decays with time. This phenomenon obeys the rules of scale-free distribution, which is consistent with SOC behavior. Moreover, the waiting time of water droplets avalanche follows a stretched exponential distribution. These results suggest that SOC behavior still exists in non-conservative multi-body systems, which is affected by the decay coefficient. We then explore the mechanism by which the decay coefficient affects the transition of the system to a critical state in the non-conservative sandpile model (NBTW). We find that only when the decay coefficient is small do the inequality measures, Gini coefficient g and Kolkata index k, exhibit nearly universal values, similar to the mechanism of the system transitioning to a critical state in the traditional BTW model. When the decay coefficient is large, the NBTW model shows scaling-limited effects and the scaling exponent of avalanche size increases with the decay coefficient. Furthermore, we use the NBTW model to study how the decay coefficient influences the scaling exponent of avalanche size. We find that the NBTW model can effectively explain the variability of scaling exponents observed in different SOC systems and establish a quantitative relationship between the mass decay coefficient and the avalanche size scaling exponent. This study provides new insight into SOC behavior in non-conservative systems in nature.

自组织临界(SOC)在描述自然界多体系统的动态特征方面表现出色。通常认为,保守定律是 SOC 存在的必要条件。然而,在地震和空气污染等自然系统中,从自组织到临界状态的过程中通常存在质量或能量耗散,即非守恒。与数值模拟相比,目前很少有物理实验系统地探索非守恒系统中的 SOC 行为。本研究首次利用水滴设计了非守恒沙堆实验。基于该实验,分析了非守恒系统中雪崩的动态演化过程。结果表明,随着水的质量随时间衰减,水滴的雪崩大小遵循幂律分布。这一现象符合无标度分布规则,与 SOC 行为一致。此外,水滴雪崩的等待时间遵循拉伸指数分布。这些结果表明,SOC 行为仍然存在于非守恒多体系统中,并受到衰减系数的影响。随后,我们探讨了衰变系数对非守恒沙堆模型(NBTW)中系统过渡到临界状态的影响机制。我们发现,只有当衰减系数较小时,不平等度量--基尼系数 g 和加尔各答指数 k 才会表现出近乎普遍的值,这与传统 BTW 模型中系统过渡到临界状态的机制类似。当衰减系数较大时,NBTW 模型显示出扩展限制效应,雪崩规模的扩展指数随衰减系数增大而增大。此外,我们还利用 NBTW 模型研究了衰减系数如何影响雪崩尺寸的缩放指数。我们发现,NBTW 模型能有效解释在不同 SOC 系统中观察到的缩放指数的变化,并在质量衰减系数和雪崩尺寸缩放指数之间建立了定量关系。这项研究为了解自然界非守恒系统中的 SOC 行为提供了新的视角。
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引用次数: 0
Efficiency and fuel consumption of mixed traffic flow with lane management of CAVs 利用 CAV 的车道管理实现混合交通流的效率和油耗
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-24 DOI: 10.1016/j.physa.2024.130049
<div><p>The mixed traffic flow of connected and automated vehicles (CAVs) and human-driven vehicles (HDVs) will exist on highways for a long time, as the deployment of CAVs is gradual. To reduce the negative impact of HDVs on CAVs, the deployment of dedicated lanes has been considered an effective solution. Along with the dedicated lanes, three different lane management strategies will be formed, which are (C, H) strategy (CAVs dedicated lanes and HDVs dedicated lanes), (C, G) strategy (CAVs dedicated lanes and general lanes), and (G, H) strategy (general lanes and HDVs dedicated lanes). To evaluate the influence of dedicated lane settings on mixed traffic flow comprehensively, this paper proposes a framework for evaluating road segment efficiency and fuel consumption by considering lane management strategies. First, the possible traffic flow equilibrium states under three lane management strategies are discussed, and the characteristics of five car-following modes in mixed traffic flow are analyzed. Then, a mixed traffic flow capacity model considering platoon size is introduced to the traditional BPR function to establish a speed estimation model for mixed traffic flow and a fuel consumption estimation model for mixed traffic flow. Next, the traffic flow distribution model at the lane level in a steady state is derived for different lane management strategies. Based on the traffic flow distribution model, the speed estimation model and the fuel consumption estimation model for mixed traffic flow, which consider lane management strategies, are proposed. Finally, a numerical simulation is conducted to analyze the effects of different lane management strategies and configuration schemes on road segment efficiency and fuel consumption. The results of numerical experiments show that (1) at the same traffic demand, the operational speeds of vehicles under the (C, H) strategy and (G, H) strategy tend to increase and then decrease with the increase in the penetration rate of CAVs. While the speed of the vehicle under the (C, G) strategy increases with the increase in the penetration rate of CAVs. (2) Compared with the baseline strategy, all three management strategies can improve the operating efficiency of vehicles under certain traffic conditions. (3) At the same traffic demand, the average fuel consumption under the three strategies tends to decrease first and then increase slightly as the penetration rate increases. Increasing the number of dedicated lanes under specific traffic conditions can significantly increase the fuel consumption reduction rate under each strategy. At the same penetration rate, this advantage diminishes with the increase in traffic demand. (4) The increase in platoon size favors the efficiency of vehicle operations under different strategies. However, as platoon size increases, the marginal benefit of increasing platoon size becomes smaller and smaller. In addition, the average fuel consumption of vehicles has a low sensitiv
由于互联和自动驾驶车辆(CAV)的部署是渐进式的,因此高速公路上将长期存在互联和自动驾驶车辆(CAV)与人类驾驶车辆(HDV)的混合交通流。为了减少 HDV 对 CAV 的负面影响,部署专用车道被认为是一种有效的解决方案。与专用车道一起,将形成三种不同的车道管理策略,即(C,H)策略(CAV 专用车道和 HDV 专用车道)、(C,G)策略(CAV 专用车道和普通车道)和(G,H)策略(普通车道和 HDV 专用车道)。为了全面评估专用车道设置对混合交通流的影响,本文提出了一个通过考虑车道管理策略来评估路段效率和燃料消耗的框架。首先,讨论了三种车道管理策略下可能出现的交通流均衡状态,并分析了混合交通流中五种汽车跟随模式的特征。然后,在传统的 BPR 函数中引入考虑排量的混合交通流容量模型,建立混合交通流的速度估计模型和混合交通流的油耗估计模型。然后,针对不同的车道管理策略,推导出稳定状态下的车道级交通流分布模型。在交通流分布模型的基础上,提出了考虑车道管理策略的混合交通流速度估计模型和燃料消耗估计模型。最后,通过数值模拟分析了不同车道管理策略和配置方案对路段效率和油耗的影响。数值实验结果表明:(1) 在交通需求相同的情况下,(C,H)策略和(G,H)策略下的车辆运行速度随着 CAV 普及率的提高呈先升后降的趋势。而(C,G)策略下的车速则随着 CAV 渗透率的提高而提高。(2)与基准策略相比,三种管理策略都能在特定交通条件下提高车辆的运行效率。(3)在交通需求相同的情况下,随着普及率的提高,三种策略下的平均油耗呈先降后升的趋势。在特定交通条件下,增加专用车道的数量可以显著提高每种策略的油耗降低率。在渗透率相同的情况下,这种优势会随着交通需求的增加而减弱。(4) 排数的增加有利于提高不同策略下的车辆运行效率。然而,随着排数的增加,增加排数的边际效益越来越小。此外,车辆的平均燃料消耗对排数的敏感度较低,增加排数不一定能降低燃料消耗。
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引用次数: 0
Modeling framework of human driving behavior based on Deep Maximum Entropy Inverse Reinforcement Learning 基于深度最大熵反强化学习的人类驾驶行为建模框架
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-23 DOI: 10.1016/j.physa.2024.130052

Driving behavior modeling is extremely crucial for designing safe, intelligent, and personalized autonomous driving systems. In this paper, a modeling framework based on Markov Decision Processes (MDPs) is introduced that emulates drivers’ decision-making processes. The framework combines the Deep Maximum Entropy Inverse Reinforcement Learning (Deep MEIRL) and a reinforcement learning algorithm-proximal strategy optimization (PPO). A neural network structure is customized for Deep MEIRL, which uses the velocity of the ego vehicle, the pedestrian position, the velocity of surrounding vehicles, the lateral distance, the surrounding vehicles’ type, and the distance to the crosswalk to recover the nonlinear reward function. The dataset of drone-based video footage is collected in Xi’an (China) to train and validate the framework. The outcomes demonstrate that Deep MEIRL-PPO outperforms traditional modeling frameworks (Maximum Entropy Inverse Reinforcement Learning (MEIRL) - PPO) in modeling and predicting human driving behavior. Specifically, in predicting human driving behavior, Deep MEIRL-PPO outperforms MEIRL-PPO by 50.71% and 43.90% on the basis of the MAE and HD, respectively. Furthermore, it is discovered that Deep MEIRL-PPO accurately learns the behavior of human drivers avoiding potential conflicts when lines of sight are occluded. This research can contribute to aiding self-driving vehicles in learning human driving behavior and avoiding unforeseen risks.

驾驶行为建模对于设计安全、智能和个性化的自动驾驶系统至关重要。本文介绍了一种基于马尔可夫决策过程(Markov Decision Processes,MDPs)的建模框架,它可以模拟驾驶员的决策过程。该框架结合了深度最大熵反强化学习(Deep MEIRL)和强化学习算法--最优策略优化(PPO)。深度最大熵反向强化学习(Deep MEIRL)是一种为深度最大熵反向强化学习定制的神经网络结构,它使用自我车辆的速度、行人的位置、周围车辆的速度、横向距离、周围车辆的类型以及到人行横道的距离来恢复非线性奖励函数。我们在中国西安收集了基于无人机的视频数据集,对该框架进行了训练和验证。结果表明,在模拟和预测人类驾驶行为方面,Deep MEIRL-PPO 优于传统建模框架(最大熵反强化学习(MEIRL)- PPO)。具体而言,在预测人类驾驶行为方面,基于 MAE 和 HD,Deep MEIRL-PPO 分别比 MEIRL-PPO 高出 50.71% 和 43.90%。此外,研究还发现,当视线被遮挡时,Deep MEIRL-PPO 能准确地学习人类驾驶员避免潜在冲突的行为。这项研究有助于帮助自动驾驶汽车学习人类驾驶行为,避免不可预见的风险。
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引用次数: 0
Independence role in the generalized Sznajd model 广义 Sznajd 模型中的独立性作用
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-22 DOI: 10.1016/j.physa.2024.130042

The Sznajd model is one of sociophysics’s well-known opinion dynamics models. Based on social validation, it has found application in diverse social systems and remains an intriguing subject of study, particularly in scenarios where interacting agents deviate from prevailing norms. This paper investigates the generalized Sznajd model, featuring independent agents on a complete graph and a two-dimensional square lattice. Agents in the network act independently with a probability p, signifying a change in their opinion or state without external influence. This model defines a paired agent size r, influencing a neighboring agent size n to adopt their opinion. This study incorporates analytical and numerical approaches, especially on the complete graph. Our results show that the macroscopic state of the system remains unaffected by the neighbor size n but is contingent solely on the number of paired agents r. Additionally, the time required to reach a stationary state is inversely proportional to the number of neighboring agents n. For the two-dimensional square lattice, two critical points p=pc emerge based on the configuration of agents. The results indicate that the universality class of the model on the complete graph aligns with the mean-field Ising universality class. Furthermore, the universality class of the model on the two-dimensional square lattice, featuring two distinct configurations, is identical and falls within the two-dimensional Ising universality class.

Sznajd 模型是社会物理学著名的舆论动力学模型之一。它以社会验证为基础,在各种社会系统中都有应用,尤其是在互动主体偏离普遍规范的情况下,它仍然是一个引人入胜的研究课题。本文研究的是广义 Sznajd 模型,其特点是在完整图和二维方格上的独立代理。网络中的代理以概率 p 独立行动,表示其观点或状态在不受外部影响的情况下发生变化。该模型定义了大小为 r 的配对代理,可影响大小为 n 的相邻代理采纳其意见。这项研究结合了分析和数值方法,特别是在完整图上。我们的研究结果表明,系统的宏观状态不受相邻代理大小 n 的影响,而完全取决于配对代理的数量 r。结果表明,该模型在完整图上的普遍性类与均场伊辛普遍性类一致。此外,该模型在二维方格上的普遍性类与二维伊辛普遍性类相同,具有两种不同的配置。
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引用次数: 0
Optimizing power-efficiency dynamics in ambient energy harvesting: Exploring trade-offs, linearity, and synergy 优化环境能量采集的功率效率动态:探索权衡、线性和协同效应
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-22 DOI: 10.1016/j.physa.2024.130050

As the demand for low-power electronics and IoT devices grows, ambient energy harvesting appears to be a promising alternative for powering such systems in the long run. However, optimizing power and efficiency concurrently in such systems is challenging, involving balancing a number of variables. This paper investigates the optimization of power and efficiency in ambient energy harvesting systems focusing on nonlinear oscillator electromechanical harvesters subjected to multiplicative time-correlated ambient noise. Through extensive numerical simulations, we reveal distinct relationships between power and efficiency, influenced by various parameters. We observe autonomous stochastic resonance phenomena, elucidating a linear power-efficiency trend for small noise correlation time under fixed noise variance but limiting simultaneous power and efficiency optimization beyond a threshold. Under fixed noise strength, there is a trade-off between power and efficiency. Additionally, damping strength, piezoelectric parameters, and capacitor charging time impact power and efficiency linearly. These insights enhance understanding of power efficiency dynamics in ambient energy harvesting, thereby offering practical recommendations for parameter selection to maximize both power output and efficiency in the next generation of electronics.

随着对低功耗电子设备和物联网设备需求的增长,从长远来看,环境能量采集似乎是为此类系统供电的一个很有前途的替代方案。然而,在此类系统中同时优化功率和效率具有挑战性,需要平衡多个变量。本文研究了环境能量收集系统中功率和效率的优化问题,重点是受乘法时间相关环境噪声影响的非线性振荡器机电收集器。通过大量的数值模拟,我们揭示了功率和效率之间受各种参数影响的独特关系。我们观察到自主随机共振现象,阐明了在噪声方差固定的情况下,小噪声相关时间的线性功率-效率趋势,但限制了超过阈值的功率和效率同时优化。在固定噪声强度下,功率和效率之间存在权衡。此外,阻尼强度、压电参数和电容器充电时间也会对功率和效率产生线性影响。这些见解加深了人们对环境能量采集中功率效率动态的理解,从而为参数选择提供了实用建议,使下一代电子产品的功率输出和效率达到最大化。
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引用次数: 0
A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling 利用多变量 GARCH 和 Copula 建模探索加密货币波动性和依赖性的组合框架
IF 2.8 3区 物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY Pub Date : 2024-08-20 DOI: 10.1016/j.physa.2024.130046

During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top of showing that price movements in one cryptocurrency can significantly influence others, the use of copulas highlight how these effects can vary across different parts of distributions and thus for different types of events with respect to their extreme nature. The interconnectedness complexity should be taken into consideration when managing risk in portfolio and constructing relevant models.

过去几年中,加密货币日益成为学术研究人员和投资者的相关主题。本文采用了一种新颖的框架,将多元广义自回归条件异方差(GARCH)和 Copula 建模相结合,以两阶段方法分析加密货币的波动动态。通过结合上述技术,除了表明一种加密货币的价格变动会对其他加密货币产生重大影响外,Copulas 的使用还突出了这些影响在分布的不同部分会如何变化,从而针对不同类型事件的极端性质产生不同的影响。在管理投资组合风险和构建相关模型时,应考虑到相互关联的复杂性。
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引用次数: 0
期刊
Physica A: Statistical Mechanics and its Applications
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