Finite volume evolution Galerkin method for hyperbolic conservation laws with spatially varying flux functions

We present a generalization of the finite volume evolution Galerkin scheme [M. Lukacova-Medvid'ova,J. Saibertov'a, G. Warnecke, Finite volume evolution Galerkin methods for nonlinear hyperbolic systems, J. Comp. Phys. (2002) 183 533-562; M. Luacova-Medvid'ova, K.W. Morton, G. Warnecke, Finite volume evolution Galerkin (FVEG) methods for hyperbolic problems, SIAM J. Sci. Comput. (2004) 26 1-30] for hyperbolic systems with spatially varying flux functions. Our goal is to develop a genuinely multi-dimensional numerical scheme for wave propagation problems in a heterogeneous media. We illustrate our methodology for acoustic waves in a heterogeneous medium but the results can be generalized to more complex systems. The finite volume evolution Galerkin (FVEG) method is a predictor-corrector method combining the finite volume corrector step with the evolutionary predictor step. In order to evolve fluxes along the cell interfaces we use multi-dimensional approximate evolution operator. The latter is constructed using the theory of bicharacteristics under the assumption of spatially dependent wave speeds. To approximate heterogeneous medium a staggered grid approach is used. Several numerical experiments for wave propagation with continuous as well as discontinuous wave speeds confirm the robustness and reliability of the new FVEG scheme.

The Alpha-Method Direct Transcription In Path Constrained Dynamic Optimization

Numerically discretized dynamic optimization problems having active inequality and equality path constraints that along with the dynamics induce locally high index differential algebraic equations often cause the optimizer to fail in convergence or to produce degraded control solutions. In many applications, regularization of the numerically discretized problem in direct transcription schemes by perturbing the high index path constraints helps the optimizer to converge to usefulm control solutions. For complex engineering problems with many constraints it is often difficult to find effective nondegenerat perturbations that produce useful solutions in some neighborhood of the correct solution. In this paper we describe a numerical discretization that regularizes the numerically consistent discretized dynamics and does not perturb the path constraints. For all values of the regularization parameter the discretization remains numerically consistent with the dynamics and the path constraints specified in the, original problem. The regularization is quanti. able in terms of time step size in the mesh and the regularization parameter. For full regularized systems the scheme converges linearly in time step size.The method is illustrated with examples.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Construction of Stability Multipliers with Prescribed Phase Characteristics: an Improved Value for $\sigma

For a feedback system consisting of a transfer function $G(s)$ in the forward path and a time-varying gain $n(t)(0 \leqq n(t) \leqq k)$ in the feedback loop, a stability multiplier $Z(s)$ has been constructed (and used to prove stability) by Freedman [2] such that $Z(s)(G(s) + {1 / K})$ and $Z(s - \sigma )(0 < \sigma < \sigma _ * )$ are strictly positive real, where $\sigma _ * $ can be computed from a knowledge of the phase-angle characteristic of $G(i\omega ) + {1 / k}$ and the time-varying gain $n(t)$ is restricted by $\sigma _ * $ by means of an integral inequality. In this note it is shown that an improved value for $\sigma _ * $ is possible by making some modifications in his derivation. ©1973 Society for Industrial and Applied Mathematics.

Composite scheme using localized relaxation with non-standard finite difference method for hyperbolic conservation laws

Non-standard finite difference methods (NSFDM) introduced by Mickens [Non-standard Finite Difference Models of Differential Equations, World Scientific, Singapore, 1994] are interesting alternatives to the traditional finite difference and finite volume methods. When applied to linear hyperbolic conservation laws, these methods reproduce exact solutions. In this paper, the NSFDM is first extended to hyperbolic systems of conservation laws, by a novel utilization of the decoupled equations using characteristic variables. In the second part of this paper, the NSFDM is studied for its efficacy in application to nonlinear scalar hyperbolic conservation laws. The original NSFDMs introduced by Mickens (1994) were not in conservation form, which is an important feature in capturing discontinuities at the right locations. Mickens [Construction and analysis of a non-standard finite difference scheme for the Burgers–Fisher equations, Journal of Sound and Vibration 257 (4) (2002) 791–797] recently introduced a NSFDM in conservative form. This method captures the shock waves exactly, without any numerical dissipation. In this paper, this algorithm is tested for the case of expansion waves with sonic points and is found to generate unphysical expansion shocks. As a remedy to this defect, we use the strategy of composite schemes [R. Liska, B. Wendroff, Composite schemes for conservation laws, SIAM Journal of Numerical Analysis 35 (6) (1998) 2250–2271] in which the accurate NSFDM is used as the basic scheme and localized relaxation NSFDM is used as the supporting scheme which acts like a filter. Relaxation schemes introduced by Jin and Xin [The relaxation schemes for systems of conservation laws in arbitrary space dimensions, Communications in Pure and Applied Mathematics 48 (1995) 235–276] are based on relaxation systems which replace the nonlinear hyperbolic conservation laws by a semi-linear system with a stiff relaxation term. The relaxation parameter (λ) is chosen locally on the three point stencil of grid which makes the proposed method more efficient. This composite scheme overcomes the problem of unphysical expansion shocks and captures the shock waves with an accuracy better than the upwind relaxation scheme, as demonstrated by the test cases, together with comparisons with popular numerical methods like Roe scheme and ENO schemes.

Voting Paths

We consider a variant of the popular matching problem here. The input instance is a bipartite graph $G=(\mathcal{A}\cup\mathcal{P},E)$, where vertices in $\mathcal{A}$ are called applicants and vertices in $\mathcal{P}$ are called posts. Each applicant ranks a subset of posts in an order of preference, possibly involving ties. A matching $M$ is popular if there is no other matching $M'$ such that the number of applicants who prefer their partners in $M'$ to $M$ exceeds the number of applicants who prefer their partners in $M$ to $M'$. However, the “more popular than” relation is not transitive; hence this relation is not a partial order, and thus there need not be a maximal element here. Indeed, there are simple instances that do not admit popular matchings. The questions of whether an input instance $G$ admits a popular matching and how to compute one if it exists were studied earlier by Abraham et al. Here we study reachability questions among matchings in $G$, assuming that $G=(\mathcal{A}\cup\mathcal{P},E)$ admits a popular matching. A matching $M_k$ is reachable from $M_0$ if there is a sequence of matchings $\langle M_0,M_1,\dots,M_k\rangle$ such that each matching is more popular than its predecessor. Such a sequence is called a length-$k$ voting path from $M_0$ to $M_k$. We show an interesting property of reachability among matchings in $G$: there is always a voting path of length at most 2 from any matching to some popular matching. Given a bipartite graph $G=(\mathcal{A}\cup\mathcal{P},E)$ with $n$ vertices and $m$ edges and any matching $M_0$ in $G$, we give an $O(m\sqrt{n})$ algorithm to compute a shortest-length voting path from $M_0$ to a popular matching; when preference lists are strictly ordered, we have an $O(m+n)$ algorithm. This problem has applications in dynamic matching markets, where applicants and posts can enter and leave the market, and applicants can also change their preferences arbitrarily. After any change, the current matching may no longer be popular, in which case we are required to update it. However, our model demands that we switch from one matching to another only if there is consensus among the applicants to agree to the switch. Hence we need to update via a voting path that ends in a popular matching. Thus our algorithm has applications here.

Faster Algorithms for All-pairs Approximate Shortest Paths in Undirected Graphs

Let G - (V, E) be a weighted undirected graph having nonnegative edge weights. An estimate (delta) over cap (u, v) of the actual distance d( u, v) between u, v is an element of V is said to be of stretch t if and only if delta(u, v) <= (delta) over cap (u, v) <= t . delta(u, v). Computing all-pairs small stretch distances efficiently ( both in terms of time and space) is a well-studied problem in graph algorithms. We present a simple, novel, and generic scheme for all-pairs approximate shortest paths. Using this scheme and some new ideas and tools, we design faster algorithms for all-pairs t-stretch distances for a whole range of stretch t, and we also answer an open question posed by Thorup and Zwick in their seminal paper [J. ACM, 52 (2005), pp. 1-24].

An Application of 3-D Kinematical Conservation Laws: Propagation of a 3-D Wavefront

Three-dimensional (3-D) kinematical conservation laws (KCL) are equations of evolution of a propagating surface Omega(t) in three space dimensions. We start with a brief review of the 3-D KCL system and mention some of its properties relevant to this paper. The 3-D KCL, a system of six conservation laws, is an underdetermined system to which we add an energy transport equation for a small amplitude 3-D nonlinear wavefront propagating in a polytropic gas in a uniform state and at rest. We call the enlarged system of 3-D KCL with the energy transport equation equations of weakly nonlinear ray theory (WNLRT). We highlight some interesting properties of the eigenstructure of the equations of WNLRT, but the main aim of this paper is to test the numerical efficacy of this system of seven conservation laws. We take several initial shapes for a nonlinear wavefront with a suitable amplitude distribution on it and let it evolve according to the 3-D WNLRT. The 3-D WNLRT is a weakly hyperbolic 7 x 7 system that is highly nonlinear. Here we use the staggered Lax-Friedrichs and Nessyahu-Tadmor central schemes and have obtained some very interesting shapes of the wavefronts. We find the 3-D KCL to be suitable for solving many complex problems for which there presently seems to be no other method capable of giving such physically realistic features.

Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey

This work is a survey of the average cost control problem for discrete-time Markov processes. The authors have attempted to put together a comprehensive account of the considerable research on this problem over the past three decades. The exposition ranges from finite to Borel state and action spaces and includes a variety of methodologies to find and characterize optimal policies. The authors have included a brief historical perspective of the research efforts in this area and have compiled a substantial yet not exhaustive bibliography. The authors have also identified several important questions that are still open to investigation.

Homogenization of periodic structures via Bloch decomposition

In this paper, the classical problem of homogenization of elliptic operators in arbitrary domains with periodically oscillating coefficients is considered. Using Bloch wave decomposition, a new proof of convergence is furnished. It sheds new light and offers an alternate way to view the classical results. In a natural way, this method leads us to work in the Fourier space and thus in a framework dual to the one used by L. Tartar [Problemes d'Homogeneisation dans les Equations aux: Derivees Partielles, Cours Peccot au College de Prance, 1977] in his method of homogenization. Further, this technique offers a nontraditional way of calculating the homogenized coefficients which is easy to implement in the computer.

Acyclic Edge-Coloring of Planar Graphs

A proper edge-coloring with the property that every cycle contains edges of at least three distinct colors is called an acyclic edge-coloring. The acyclic chromatic index of a graph G, denoted. chi'(alpha)(G), is the minimum k such that G admits an acyclic edge-coloring with k colors. We conjecture that if G is planar and Delta(G) is large enough, then chi'(alpha) (G) = Delta (G). We settle this conjecture for planar graphs with girth at least 5. We also show that chi'(alpha) (G) <= Delta (G) + 12 for all planar G, which improves a previous result by Fiedorowicz, Haluszczak, and Narayan Inform. Process. Lett., 108 (2008), pp. 412-417].

The restriction mapping problem revisited

In computational molecular biology, the aim of restriction mapping is to locate the restriction sites of a given enzyme on a DNA molecule. Double digest and partial digest are two well-studied techniques for restriction mapping. While double digest is NP-complete, there is no known polynomial-time algorithm for partial digest. Another disadvantage of the above techniques is that there can be multiple solutions for reconstruction. In this paper, we study a simple technique called labeled partial digest for restriction mapping. We give a fast polynomial time (O(n(2) log n) worst-case) algorithm for finding all the n sites of a DNA molecule using this technique. An important advantage of the algorithm is the unique reconstruction of the DNA molecule from the digest. The technique is also robust in handling errors in fragment lengths which arises in the laboratory. We give a robust O(n(4)) worst-case algorithm that can provably tolerate an absolute error of O(Delta/n) (where Delta is the minimum inter-site distance), while giving a unique reconstruction. We test our theoretical results by simulating the performance of the algorithm on a real DNA molecule. Motivated by the similarity to the labeled partial digest problem, we address a related problem of interest-the de novo peptide sequencing problem (ACM-SIAM Symposium on Discrete Algorithms (SODA), 2000, pp. 389-398), which arises in the reconstruction of the peptide sequence of a protein molecule. We give a simple and efficient algorithm for the problem without using dynamic programming. The algorithm runs in time O(k log k), where k is the number of ions and is an improvement over the algorithm in Chen et al. (C) 2002 Elsevier Science (USA). All rights reserved.

Bounded Unpopularity Matchings

We investigate the following problem: given a set of jobs and a set of people with preferences over the jobs, what is the optimal way of matching people to jobs? Here we consider the notion of popularity. A matching M is popular if there is no matching M' such that more people prefer M' to M than the other way around. Determining whether a given instance admits a popular matching and, if so, finding one, was studied by Abraham et al. (SIAM J. Comput. 37(4):1030-1045, 2007). If there is no popular matching, a reasonable substitute is a matching whose unpopularity is bounded. We consider two measures of unpopularity-unpopularity factor denoted by u(M) and unpopularity margin denoted by g(M). McCutchen recently showed that computing a matching M with the minimum value of u(M) or g(M) is NP-hard, and that if G does not admit a popular matching, then we have u(M) >= 2 for all matchings M in G. Here we show that a matching M that achieves u(M) = 2 can be computed in O(m root n) time (where m is the number of edges in G and n is the number of nodes) provided a certain graph H admits a matching that matches all people. We also describe a sequence of graphs: H = H(2), H(3), ... , H(k) such that if H(k) admits a matching that matches all people, then we can compute in O(km root n) time a matching M such that u(M) <= k - 1 and g(M) <= n(1 - 2/k). Simulation results suggest that our algorithm finds a matching with low unpopularity in random instances.

Fast edge splitting and Edmonds' arborescence construction for unweighted graphs

Given an unweighted undirected or directed graph with n vertices, m edges and edge connectivity c, we present a new deterministic algorithm for edge splitting. Our algorithm splits-off any specified subset S of vertices satisfying standard conditions (even degree for the undirected case and in-degree ≥ out-degree for the directed case) while maintaining connectivity c for vertices outside S in Õ(m+nc2) time for an undirected graph and Õ(mc) time for a directed graph. This improves the current best deterministic time bounds due to Gabow [8], who splits-off a single vertex in Õ(nc2+m) time for an undirected graph and Õ(mc) time for a directed graph. Further, for appropriate ranges of n, c, |S| it improves the current best randomized bounds due to Benczúr and Karger [2], who split-off a single vertex in an undirected graph in Õ(n2) Monte Carlo time. We give two applications of our edge splitting algorithms. Our first application is a sub-quadratic (in n) algorithm to construct Edmonds' arborescences. A classical result of Edmonds [5] shows that an unweighted directed graph with c edge-disjoint paths from any particular vertex r to every other vertex has exactly c edge-disjoint arborescences rooted at r. For a c edge connected unweighted undirected graph, the same theorem holds on the digraph obtained by replacing each undirected edge by two directed edges, one in each direction. The current fastest construction of these arborescences by Gabow [7] takes Õ(n2c2) time. Our algorithm takes Õ(nc3+m) time for the undirected case and Õ(nc4+mc) time for the directed case. The second application of our splitting algorithm is a new Steiner edge connectivity algorithm for undirected graphs which matches the best known bound of Õ(nc2 + m) time due to Bhalgat et al [3]. Finally, our algorithm can also be viewed as an alternative proof for existential edge splitting theorems due to Lovász [9] and Mader [11].

Efficient Algorithms for Computing All Low s-t Edge Connectivities and Related Problems

Given an undirected unweighted graph G = (V, E) and an integer k ≥ 1, we consider the problem of computing the edge connectivities of all those (s, t) vertex pairs, whose edge connectivity is at most k. We present an algorithm with expected running time Õ(m + nk3) for this problem, where |V| = n and |E| = m. Our output is a weighted tree T whose nodes are the sets V1, V2,..., V l of a partition of V, with the property that the edge connectivity in G between any two vertices s ε Vi and t ε Vj, for i ≠ j, is equal to the weight of the lightest edge on the path between Vi and Vj in T. Also, two vertices s and t belong to the same Vi for any i if and only if they have an edge connectivity greater than k. Currently, the best algorithm for this problem needs to compute all-pairs min-cuts in an O(nk) edge graph; this takes Õ(m + n5/2kmin{k1/2, n1/6}) time. Our algorithm is much faster for small values of k; in fact, it is faster whenever k is o(n5/6). Our algorithm yields the useful corollary that in Õ(m + nc3) time, where c is the size of the global min-cut, we can compute the edge connectivities of all those pairs of vertices whose edge connectivity is at most αc for some constant α. We also present an Õ(m + n) Monte Carlo algorithm for the approximate version of this problem. This algorithm is applicable to weighted graphs as well. Our algorithm, with some modifications, also solves another problem called the minimum T-cut problem. Given T ⊆ V of even cardinality, we present an Õ(m + nk3) algorithm to compute a minimum cut that splits T into two odd cardinality components, where k is the size of this cut.