Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.

Adjoint algorithms for the Navier-Stokes equations in the low Mach number limit

This paper describes a derivation of the adjoint low Mach number equations and their implementation and validation within a global mode solver. The advantage of using the low Mach number equations and their adjoints is that they are appropriate for flows with variable density, such as flames, but do not require resolution of acoustic waves. Two versions of the adjoint are implemented and assessed: a discrete-adjoint and a continuous-adjoint. The most unstable global mode calculated with the discrete-adjoint has exactly the same eigenvalue as the corresponding direct global mode but contains numerical artifacts near the inlet. The most unstable global mode calculated with the continuous-adjoint has no numerical artifacts but a slightly different eigenvalue. The eigenvalues converge, however, as the timestep reduces. Apart from the numerical artifacts, the mode shapes are very similar, which supports the expectation that they are otherwise equivalent. The continuous-adjoint requires less resolution and usually converges more quickly than the discrete-adjoint but is more challenging to implement. Finally, the direct and adjoint global modes are combined in order to calculate the wavemaker region of a low density jet. © 2011 Elsevier Inc.

Low-order modelling of ducted flames with temporally varying equivalence ratio in realistic geometries

The interaction between unsteady heat release and acoustic pressure oscillations in gas turbines results in self-excited combustion oscillations which can potentially be strong enough to cause significant structural damage to the combustor. Correctly predicting the interaction of these processes, and anticipating the onset of these oscillations can be difficult. In recent years much research effort has focused on the response of premixed flames to velocity and equivalence ratio perturbations. In this paper, we develop a flame model based on the socalled G-Equation, which captures the kinematic evolution of the flame surfaces, under the assumptions of axisymmetry, and ignoring vorticity and compressibility. This builds on previous work by Dowling [1], Schuller et al. [2], Cho & Lieuwen [3], among many others, and extends the model to a realistic geometry, with two intersecting flame surfaces within a non-uniform velocity field. The inputs to the model are the free-stream velocity perturbations, and the associated equivalence ratio perturbations. The model also proposes a time-delay calculation wherein the time delay for the fuel convection varies both spatially and temporally. The flame response from this model was compared with experiments conducted by Balachandran [4, 5], and found to show promising agreement with experimental forced case. To address the primary industrial interest of predicting self-excited limit cycles, the model has then been linked with an acoustic network model to simulate the closed-loop interaction between the combustion and acoustic processes. This has been done both linearly and nonlinearly. The nonlinear analysis is achieved by applying a describing function analysis in the frequency domain to predict the limit cycle, and also through a time domain simulation. In the latter case, the acoustic field is assumed to remain linear, with the nonlinearity in the response of the combustion to flow and equivalence ratio perturbations. A transfer function from unsteady heat release to unsteady pressure is obtained from a linear acoustic network model, and the corresponding Green function is used to provide the input to the flame model as it evolves in the time domain. The predicted unstable frequency and limit cycle are in good agreement with experiment, demonstrating the potential of this approach to predict instabilities, and as a test bench for developing control strategies. Copyright © 2011 by ASME.

Low-order modelling of the response of ducted flames in annular geometries

The adoption of lean premixed prevaporised combustion systems can reduce NOx emissions from gas turbines, but unfortunately also increases their susceptibility to thermoacoustic instabilities. Initially, acoustic waves can produce heat release fluctuations by a variety of mechanisms, often by perturbing the equivalence ratio. If correctly phased, heat release fluctuations can subsequently generate more acoustic waves, which at high amplitude can result in significant structural damage to the combustor. The prediction of this phenomenon is of great industrial interest. In previous work, we have coupled a physics based, kinematic model of the flame with a network model to provide the planar acoustic response necessary to close the feedback loop and predict the onset and amplitude of thermoacoustic instabilities in a lab-scale, axisymmetric single burner combustor. The advantage of a time domain approach is that the modal interaction, the influence of harmonics, and flame saturation can be investigated. This paper extends this approach to more realistic, annular geometries, where both planar and circumferential modes must be considered. In lean premixed prevaporised combustors, fluctuations in equivalence ratio have been shown to be a dominant cause of unsteady combustion. These can occur, for example, due to velocity perturbations in the premix ducts, which can lead to equivalence ratio fluctuations at the fuel injectors, which are subsequently convected downstream to the flame surfaces. Here, they can perturb the heat release by locally altering the flame speed, enthalpy of combustion, and, indirectly, the flame surface area. In many gas turbine designs, particularly aeroengines, the geometries are composed of a ring of premix ducts linking a plenum and an annular combustor. The most unstable modes are often circumferential modes. The network model is used to characterise the flow response of the geometry to heat fluctuations at an appropriate location, such as the fuel injectors. The heat release at each flame holder is determined in the time domain using the kinematic flame model derived, as a function of the flow perturbations in the premix duct. This approach is demonstrated for an annular ring of burners on a in a simple geometry. The approach is then extended to an industrial type gas turbine combustor, and used to predict the limit cycle amplitudes. Copyright © 2012 by ASME.