16 resultados para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em Cambridge University Engineering Department Publications Database


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Abstract-Mathematical modelling techniques are used to predict the axisymmetric air flow pattern developed by a state-of-the-art Banged exhaust hood which is reinforced by a turbulent radial jet flow. The high Reynolds number modelling techniques adopted allow the complexity of determining the hood's air Bow to be reduced and provide a means of identifying and assessing the various parameters that control the air Bow. The mathematical model is formulated in terms of the Stokes steam function, ψ, and the governing equations of fluid motion are solved using finite-difference techniques. The injection flow of the exhaust hood is modelled as a turbulent radial jet and the entrained Bow is assumed to be an inviscid potential flow. Comparisons made between contours of constant air speed and centre-line air speeds deduced from the model and all the available experimental data show good agreement over a wide range of typical operating conditions. | Mathematical modelling techniques are used to predict the axisymmetric air flow pattern developed by a state-of-the-art flanged exhaust hood which is reinforced by a turbulent radial jet flow. The high Reynolds number modelling techniques adopted allow the complexity of determining the hood's air flow to be reduced and provide a means of identifying and assessing the various parameters that control the air flow. The mathematical model is formulated in terms of the Stokes steam function, Ψ, and the governing equations of fluid motion are solved using finite-difference techniques. The injection flow of the exhaust hood is modelled as a turbulent radial jet and the entrained flow is assumed to be an inviscid potential flow. Comparisons made between contours of constant air speed and centre-line air speeds deduced from the model and all the available experimental data show good agreement over a wide range of typical operating conditions.

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This paper proposes an analytical approach that is generalized for the design of various types of electric machines based on a physical magnetic circuit model. Conventional approaches have been used to predict the behavior of electric machines but have limitations in accurate flux saturation analysis and hence machine dimensioning at the initial design stage. In particular, magnetic saturation is generally ignored or compensated by correction factors in simplified models since it is difficult to determine the flux in each stator tooth for machines with any slot-pole combinations. In this paper, the flux produced by stator winding currents can be calculated accurately and rapidly for each stator tooth using the developed model, taking saturation into account. This aids machine dimensioning without the need for a computationally expensive finite element analysis (FEA). A 48-slot machine operated in induction and doubly-fed modes is used to demonstrate the proposed model. FEA is employed for verification.

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Numerical techniques for non-equilibrium condensing flows are presented. Conservation equations for homogeneous gas-liquid two-phase compressible flows are solved by using a finite volume method based on an approximate Riemann solver. The phase change consists of the homogeneous nucleation and growth of existing droplets. Nucleation is computed with the classical Volmer-Frenkel model, corrected for the influence of the droplet temperature being higher than the steam temperature due to latent heat release. For droplet growth, two types of heat transfer model between droplets and the surrounding steam are used: a free molecular flow model and a semi-empirical two-layer model which is deemed to be valid over a wide range of Knudsen number. The computed pressure distribution and Sauter mean droplet diameters in a convergent-divergent (Laval) nozzle are compared with experimental data. Both droplet growth models capture qualitatively the pressure increases due to sudden heat release by the non-equilibrium condensation. However the agreement between computed and experimental pressure distributions is better for the two-layer model. The droplet diameter calculated by this model also agrees well with the experimental value, whereas that predicted by the free molecular model is too small. Condensing flows in a steam turbine cascade are calculated at different Mach numbers and inlet superheat conditions and are compared with experiments. Static pressure traverses downstream from the blade and pressure distributions on the blade surface agree well with experimental results in all cases. Once again, droplet diameters computed with the two-layer model give best agreement with the experiments. Droplet sizes are found to vary across the blade pitch due to the significant variation in expansion rate. Flow patterns including oblique shock waves and condensation-induced pressure increases are also presented and are similar to those shown in the experimental Schlieren photographs. Finally, calculations are presented for periodically unsteady condensing flows in a low expansion rate, convergent-divergent (Laval) nozzle. Depending on the inlet stagnation subcooling, two types of self-excited oscillations appear: a symmetric mode at lower inlet subcooling and an asymmetric mode at higher subcooling. Plots of oscillation frequency versus inlet sub-cooling exhibit a hysteresis loop, in accord with observations made by other researchers for moist air flow. Copyright © 2006 by ASME.

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A new thermal model based on Fourier series expansion method has been presented for dynamic thermal analysis on power devices. The thermal model based on the Fourier series method has been programmed in MATLAB SIMULINK and integrated with a physics-based electrical model previously reported. The model was verified for accuracy using a two-dimensional Fourier model and a two-dimensional finite difference model for comparison. To validate this thermal model, experiments using a 600V 50A IGBT module switching an inductive load, has been completed under high frequency operation. The result of the thermal measurement shows an excellent match with the simulated temperature variations and temperature time-response within the power module. ©2008 IEEE.

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Thermal barrier coatings with a columnar microstructure are prone to erosion damage by a mechanism of surface cracking upon impact by small foreign particles. In order to explore this erosion mechanism, the elastic indentation and the elastic-plastic indentation responses of a columnar thermal barrier coating to a spherical indenter were determined by the finite element method and by analytical models. It was shown that the indentation response is intermediate between that of a homogeneous half-space and that given by an elastic-plastic mattress model (with the columns behaving as independent non-linear springs). The sensitivity of the indentation behaviour to geometry and to the material parameters was explored: the diameter of the columns, the gap width between columns, the coefficient of Coulomb friction between columns and the layer height of the thermal barrier coating. The calculations revealed that the level of induced tensile stress is sufficient to lead to cracking of the columns at a depth of about the column radius. It was also demonstrated that the underlying soft bond coat can undergo plastic indentation when the coating comprises parallel columns, but this is less likely for the more realistic case of a random arrangement of tapered columns. © 2009 Elsevier B.V.

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A two-step viscoelastic spherical indentation method is proposed to compensate for 1) material relaxation and 2) sample thickness. In the first step, the indenter is moved at a constant speed and the reaction force is measured. In the second step, the indenter is held at a constant position and the relaxation response of the material is measured. Then the relaxation response is fit with a multi-exponential function which corresponds to a three-branch general Maxwell model. The relaxation modulus is derived by correcting the finite ramp time introduced in the first step. The proposed model takes into account the sample thickness, which is important for applications in which the sample thickness is less than ten times the indenter radius. The model is validated numerically by finite element simulations. Experiments are carried out on a 10% gelatin phantom and a chicken breast sample with the proposed method. The results for both the gelatin phantom and the chicken breast sample agree with the results obtained from a surface wave method. Both the finite element simulations and experimental results show improved elasticity estimations by incorporating the sample thickness into the model. The measured shear elasticities of the 10% gelatin sample are 6.79 and 6.93 kPa by the proposed finite indentation method at sample thickness of 40 and 20 mm, respectively. The elasticity of the same sample is estimated to be 6.53 kPa by the surface wave method. For the chicken breast sample, the shear elasticity is measured to be 4.51 and 5.17 kPa by the proposed indentation method at sample thickness of 40 and 20 mm, respectively. Its elasticity is measured by the surface wave method to be 4.14 kPa. © 2011 IEEE.

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Reducing energy consumption is a major challenge for "energy-intensive" industries such as papermaking. A commercially viable energy saving solution is to employ data-based optimization techniques to obtain a set of "optimized" operational settings that satisfy certain performance indices. The difficulties of this are: 1) the problems of this type are inherently multicriteria in the sense that improving one performance index might result in compromising the other important measures; 2) practical systems often exhibit unknown complex dynamics and several interconnections which make the modeling task difficult; and 3) as the models are acquired from the existing historical data, they are valid only locally and extrapolations incorporate risk of increasing process variability. To overcome these difficulties, this paper presents a new decision support system for robust multiobjective optimization of interconnected processes. The plant is first divided into serially connected units to model the process, product quality, energy consumption, and corresponding uncertainty measures. Then multiobjective gradient descent algorithm is used to solve the problem in line with user's preference information. Finally, the optimization results are visualized for analysis and decision making. In practice, if further iterations of the optimization algorithm are considered, validity of the local models must be checked prior to proceeding to further iterations. The method is implemented by a MATLAB-based interactive tool DataExplorer supporting a range of data analysis, modeling, and multiobjective optimization techniques. The proposed approach was tested in two U.K.-based commercial paper mills where the aim was reducing steam consumption and increasing productivity while maintaining the product quality by optimization of vacuum pressures in forming and press sections. The experimental results demonstrate the effectiveness of the method.

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Reducing energy consumption is a major challenge for energy-intensive industries such as papermaking. A commercially viable energy saving solution is to employ data-based optimization techniques to obtain a set of optimized operational settings that satisfy certain performance indices. The difficulties of this are: 1) the problems of this type are inherently multicriteria in the sense that improving one performance index might result in compromising the other important measures; 2) practical systems often exhibit unknown complex dynamics and several interconnections which make the modeling task difficult; and 3) as the models are acquired from the existing historical data, they are valid only locally and extrapolations incorporate risk of increasing process variability. To overcome these difficulties, this paper presents a new decision support system for robust multiobjective optimization of interconnected processes. The plant is first divided into serially connected units to model the process, product quality, energy consumption, and corresponding uncertainty measures. Then multiobjective gradient descent algorithm is used to solve the problem in line with user's preference information. Finally, the optimization results are visualized for analysis and decision making. In practice, if further iterations of the optimization algorithm are considered, validity of the local models must be checked prior to proceeding to further iterations. The method is implemented by a MATLAB-based interactive tool DataExplorer supporting a range of data analysis, modeling, and multiobjective optimization techniques. The proposed approach was tested in two U.K.-based commercial paper mills where the aim was reducing steam consumption and increasing productivity while maintaining the product quality by optimization of vacuum pressures in forming and press sections. The experimental results demonstrate the effectiveness of the method. © 2006 IEEE.

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The optimal control of problems that are constrained by partial differential equations with uncertainties and with uncertain controls is addressed. The Lagrangian that defines the problem is postulated in terms of stochastic functions, with the control function possibly decomposed into an unknown deterministic component and a known zero-mean stochastic component. The extra freedom provided by the stochastic dimension in defining cost functionals is explored, demonstrating the scope for controlling statistical aspects of the system response. One-shot stochastic finite element methods are used to find approximate solutions to control problems. It is shown that applying the stochastic collocation finite element method to the formulated problem leads to a coupling between stochastic collocation points when a deterministic optimal control is considered or when moments are included in the cost functional, thereby forgoing the primary advantage of the collocation method over the stochastic Galerkin method for the considered problem. The application of the presented methods is demonstrated through a number of numerical examples. The presented framework is sufficiently general to also consider a class of inverse problems, and numerical examples of this type are also presented. © 2011 Elsevier B.V.

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This paper presents the modeling of second generation (2 G) high-temperature superconducting (HTS) pancake coils using finite element method. The axial symmetric model can be used to calculate current and magnetic field distribution inside the coil. The anisotropic characteristics of 2 G tapes are included in the model by direct interpolation. The model is validated by comparing to experimental results. We use the model to study critical currents of 2 G coils and find that 100μV/m is too high a criterion to determine long-term operating current of the coils, because the innermost turns of a coil will, due to the effect of local magnetic field, reach their critical current much earlier than outer turns. Our modeling shows that an average voltage criterion of 20μV/m over the coil corresponds to the point at which the innermost turns' electric field exceeds 100μV/m. So 20μV/m is suggested to be the critical current criterion of the HTS coil. The influence of background field on the coil critical current is also studied in the paper. © 2012 American Institute of Physics.