SPLIT-STEP FORWARD MILSTEIN METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Ito form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order gamma = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods.

A weighted mean square method of linearization in non-linear oscillations

The paper deals with a linearization technique in non-linear oscillations for systems which are governed by second-order non-linear ordinary differential equations. The method is based on approximation of the non-linear function by a linear function such that the error is least in the weighted mean square sense. The method has been applied to cubic, sine, hyperbolic sine, and odd polynomial types of non-linearities and the results obtained are more accurate than those given by existing linearization methods.

Analysis of two degrees of freedom systems through weighted mean square linearization approach

In this paper a study of the free, forced and self-excited vibrations of non-linear, two degrees of freedom systems is reported. The responses are obtained by linearizing the nonlinear equations using the weighted mean square linearization approach. The scope of this approach, in terms of the type of non-linearities the method can tackle, is also discussed.

Analysis of two degrees of freedom systems through weighted mean square linearization approach

In this paper a study of the free, forced and self-excited vibrations of non-linear, two degrees of freedom systems is reported. The responses are obtained by linearizing the nonlinear equations using the weighted mean square linearization approach. The scope of this approach, in terms of the type of non-linearities the method can tackle, is also discussed.

A family of Runge-Kutta based explicit methods for rotational dynamics

The present paper develops a family of explicit algorithms for rotational dynamics and presents their comparison with several existing methods. For rotational motion the configuration space is a non-linear manifold, not a Euclidean vector space. As a consequence the rotation vector and its time derivatives correspond to different tangent spaces of rotation manifold at different time instants. This renders the usual integration algorithms for Euclidean space inapplicable for rotation. In the present algorithms this problem is circumvented by relating the equation of motion to a particular tangent space. It has been accomplished with the help of already existing relation between rotation increments which belongs to two different tangent spaces. The suggested method could in principle make any integration algorithm on Euclidean space, applicable to rotation. However, the present paper is restricted only within explicit Runge-Kutta enabled to handle rotation. The algorithms developed here are explicit and hence computationally cheaper than implicit methods. Moreover, they appear to have much higher local accuracy and hence accurate in predicting any constants of motion for reasonably longer time. The numerical results for solutions as well as constants of motion, indicate superior performance by most of our algorithms, when compared to some of the currently known algorithms, namely ALGO-C1, STW, LIEMID[EA], MCG, SUBCYC-M.

Mean square displacements of hydrogen interstitial and its neighbours in the intermetallic compound Fe0.5Ti0.5

A Green's function technique is used in the scattering matrix formalism to compute the mean square displacement of hydrogen and deuterium interstitials in the intermetallic compound Fe0.5Ti0.5 for low hydrogen/deuterium concentration. The mean square amplitudes of the metal atoms surrounding the interstitial are found to be smaller than those for the host crystal. This anomalous effect is due to the stiffening of the lattice by the dissolved hydrogen or deuterium at low concentration. This type of effect is experimentally observed in the case of NbHx at low hydrogen concentration.

Probing potential energy surfaces in confined systems: behavior of mean-square displacement in zeolites

Time evolution of mean-squared displacement based on molecular dynamics for a variety of adsorbate-zeolite systems is reported. Transition from ballistic to diffusive behavior is observed for all the systems. The transition times are found to be system dependent and show different types of dependence on temperature. Model calculations on a one-dimensional system are carried out which show that the characteristic length and transition times are dependent on the distance between the barriers, their heights, and temperature. In light of these findings, it is shown that it is possible to obtain valuable information about the average potential energy surface sampled under specific external conditions.

Five-stage Milstein methods for SDEs

In this paper, we consider the problem of computing numerical solutions for Ito stochastic differential equations (SDEs). The five-stage Milstein (FSM) methods are constructed for solving SDEs driven by an m-dimensional Wiener process. The FSM methods are fully explicit methods. It is proved that the FSM methods are convergent with strong order 1 for SDEs driven by an m-dimensional Wiener process. The analysis of stability (with multidimensional Wiener process) shows that the mean-square stable regions of the FSM methods are unbounded. The analysis of stability shows that the mean-square stable regions of the methods proposed in this paper are larger than the Milstein method and three-stage Milstein methods.

Invited paper Application of the least mean fourth (LMF) adaptive algorithm to signals associated with gaussian noise

This paper considers the applicability of the least mean fourth (LM F) power gradient adaptation criteria with 'advantage' for signals associated with gaussian noise, the associated noise power estimate not being known. The proposed method, as an adaptive spectral estimator, is found to provide superior performance than the least mean square (LMS) adaptation for the same (or even lower) speed of convergence for signals having sufficiently high signal-to-gaussian noise ratio. The results include comparison of the performance of the LMS-tapped delay line, LMF-tapped delay line, LMS-lattice and LMF-lattice algorithms, with the Burg's block data method as reference. The signals, like sinusoids with noise and stochastic signals like EEG, are considered in this study.

Non-linear resonance in strings under narrow band random excitation, part I: Planar response and stability

Non-linear planar response of a string to planar narrow band random excitation is investigated in this paper. A response equation for the mean square deflection σ2 is obtained under a single mode approximation by using the equivalent linearization technique. It is shown that the response is triple valued, as in the case of harmonic excitation, if the centre frequency of excitation Ω lies in a certain specified range. The triple valued response occurs only if the excitation bandwidth β is smaller than a critical value βcrit which is a monotonically increasing function of the intensity of excitation. An approximate method of investigating the almost sure asymptotic stability of the solution is presented and regions of instability in the Ω-σ2 plane have been charted. It is shown that planar response can become unstable either due to an unbounded growth of the in-plane component of motion or due to a spontaneous appearance of an out-of-plane component.

Stability of a Random Diffusion with Linear Drift

We consider a Linear system with Markovian switching which is perturbed by Gaussian type noise, If the linear system is mean square stable then we show that under certain conditions the perturbed system is also stable, We also shaw that under certain conditions the linear system with Markovian switching can be stabilized by such noisy perturbation.

Fast Accurate Transient Stability Simulations

The paper describes a Simultaneous Implicit (SI) approach for transient stability simulations based on an iterative technique using traingularised admittance matrix [1]. The reduced saliency of generator in the subtransient state is taken advantage of to speed up the algorithm. Accordingly, generator differential equations, except rotor swing, contain voltage proportional to fluxes in the main field, dampers and a hypothetical winding representing deep flowing eddy currents, as state variables. The simulation results are validated by comparison with two independent methods viz. Runge-Kutta simulation for a simplified system and a method based on modelling damper windings using conventional induction motor theory.

Low-delay, high-rate, non-square STBCs from scaled complex orthogonal designs

Space-time block codes (STBCs) obtained from non-square complex orthogonal designs are bandwidth efficient compared to those from square real/complex orthogonal designs for colocated coherent MIMO systems and has other applications in (i) non-coherent MIMO systems with non-differential detection, (ii) Space-Time-Frequency codes for MIMO-OFDM systems and (iii) distributed space-time coding for relay channels. Liang (IEEE Trans. Inform. Theory, 2003) has constructed maximal rate non-square designs for any number of antennas, with rates given by [(a+1)/(2a)] when number of transmit antennas is 2a-1 or 2a. However, these designs have large delays. When large number of antennas are considered this rate is close to 1/2. Tarokh et al (IEEE Trans. Inform. Theory, 1999) have constructed rate 1/2 non-square CODs using the rate-1 real orthogonal designs for any number of antennas, where the decoding delay of these codes is less compared to the codes constructed by Liang for number of transmit antennas more than 5. In this paper, we construct a class of rate-1/2 codes for arbitrary number of antennas where the decoding delay is reduced by 50% when compared with the rate-1/2 codes given by Tarokh et al. It is also shown that even though scaling the variables helps to lower the delay it can not be used to increase the rate.

Stochastic Analysis of Yielding System

The probability distribution of the instantaneous incremental yield of an inelastic system is characterized in terms of a conditional probability and average rate of crossing. The detailed yield statistics of a single degree-of-freedom elasto-plastic system under a Gaussian white noise are obtained for both nonstationary and stationary response. The present analysis indicates that the yield damage is sensitive to viscous damping. The spectra of mean and mean square damage rate are presented.

Molecular dynamics simulations on parallel and antiparallel C.G*G triplexes

Molecular dynamics (MD) studies have been carried out on the Hoogsteen hydrogen bonded parallel and the reverse Hoogsteen hydrogen banded antiparallel C.G*G triplexes. Earlier, the molecular mechanics studies had shown that the parallel structure was energetically more favourable than the antiparallel structure. To characterize the structural stability of the two triplexes and to investigate whether the antiparallel structure can transit to an energetically more favourable structure, due to the local fluctuations in the structure during the MD simulation, the two structures were subjected to 200ps of constant temperature vacuum MD simulations at 300K. Initially no constraints were applied to the structures and it was observed that for the antiparallel tripler, the structure showed a large root mean square deviation from the starting structure within the first 12ps and the N4-H41-O6 hydrogen bond in the WC duplex got distorted due to a high propeller twist and a moderate increase in the opening angle in the basepairs. Starting from an initial value of 30 degrees, helical twist of the average structure from this simulation had a value of 36 degrees, while the parallel structure stabilized at a twist of 33 degrees. In spite of the hydrogen bond distortions in the antiparallel tripler, it was energetically comparable to the parallel tripler. To examine the structural characteristics of an undistorted structure, another MD simulation was performed on the antiparallel tripler by constraining all the hydrogen bonds. This structure stabilized at an average twist of 33 degrees. In the course of the dynamics though the energy of the molecule - compared to the initial structure - improved, it did not become comparable to the parallel structure. Energy minimization studies performed in the presence of explicit water and counterions also showed the two structures to be equally favourable energetically Together these results indicate that the parallel C.G*G tripler with Hoogsteen hydrogen bonds also represents a stereochemically and energetically favourable structure for this class of triplexes.