Unified form language: A domain-specific language for weak formulations of partial differential equations

We present the Unified Form Language (UFL), which is a domain-specific language for representing weak formulations of partial differential equations with a view to numerical approximation. Features of UFL include support for variational forms and functionals, automatic differentiation of forms and expressions, arbitrary function space hierarchies formultifield problems, general differential operators and flexible tensor algebra. With these features, UFL has been used to effortlessly express finite element methods for complex systems of partial differential equations in near-mathematical notation, resulting in compact, intuitive and readable programs. We present in this work the language and its construction. An implementation of UFL is freely available as an open-source software library. The library generates abstract syntax tree representations of variational problems, which are used by other software libraries to generate concrete low-level implementations. Some application examples are presented and libraries that support UFL are highlighted. © 2014 ACM.

Uniform stability of a particle approximation of the optimal filter derivative

Sequential Monte Carlo methods, also known as particle methods, are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. In many applications it may be necessary to compute the sensitivity, or derivative, of the optimal filter with respect to the static parameters of the state-space model; for instance, in order to obtain maximum likelihood model parameters of interest, or to compute the optimal controller in an optimal control problem. In Poyiadjis et al. [2011] an original particle algorithm to compute the filter derivative was proposed and it was shown using numerical examples that the particle estimate was numerically stable in the sense that it did not deteriorate over time. In this paper we substantiate this claim with a detailed theoretical study. Lp bounds and a central limit theorem for this particle approximation of the filter derivative are presented. It is further shown that under mixing conditions these Lp bounds and the asymptotic variance characterized by the central limit theorem are uniformly bounded with respect to the time index. We demon- strate the performance predicted by theory with several numerical examples. We also use the particle approximation of the filter derivative to perform online maximum likelihood parameter estimation for a stochastic volatility model.

FIRST PASSAGE APPROXIMATION FOR NORMAL STATIONARY RANDOM PROCESSES.

A new approximate solution for the first passage probability of a stationary Gaussian random process is presented which is based on the estimation of the mean clump size. A simple expression for the mean clump size is derived in terms of the cumulative normal distribution function, which avoids the lengthy numerical integrations which are required by similar existing techniques. The method is applied to a linear oscillator and an ideal bandpass process and good agreement with published results is obtained. By making a slight modification to an existing analysis it is shown that a widely used empirical result for the asymptotic form of the first passage probability can be deduced theoretically.

Curvature and wrinkling of premixed flame Kernels comparison between planar laser induced fluorescence (PLIF) and 3D direct numerical simulations (DNS)

A direct comparison between time resolved PLIF measurements of OH and two dimensional slices from a full three dimensional DNS data set of turbulent premixed flame kernels in lean methane/air mixture was presented. The local flame structure and the degree of flame wrinkling were examined in response to differing turbulence intensities and turbulent Reynolds numbers. Simulations were performed using the SEGA DNS code, which is based on the solution of the compressible Navier Stokes, species, and energy equations for a lean hydrocarbon mixture. For the OH PLIF measurements, a cluster of four Nd:YAG laser was fired sequentially at high repetition rates and used to pump a dye laser. The frequency doubled laser beam was formed into a sheet of 40 mm height using a cylindrical telescope. The combination of PLIF and DNS has been demonstrated as a powerful tool for flame analysis. This research will form the basis for the development of sub-grid-scale (SGS) models for LES of lean-premixed combustion systems such as gas turbines. This is an abstract of a paper presented at the 30th International Symposium on Combustion (Chicago, IL 7/25-30/2004).