Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochastic Runge-Kutta methods, the previous strong order barrier of order one could be broken without having to use higher derivative terms. In particular, methods of strong order 1.5 were developed in which a Stratonovich integral of order one and one of order two were present in the formulation. In this present paper, general order results are proven about the maximum attainable strong order of these stochastic Runge-Kutta methods (SRKs) in terms of the order of the Stratonovich integrals appearing in the Runge-Kutta formulation. In particular, it will be shown that if an s-stage SRK contains Stratonovich integrals up to order p then the strong order of the SRK cannot exceed min{(p + 1)/2, (s - 1)/2), p greater than or equal to 2, s greater than or equal to 3 or 1 if p = 1.

Efficient solution of multiple cracks in great number using eigen COD boundary integral equations with iteration procedure

A newly developed computational approach is proposed in the paper for the analysis of multiple crack problems based on the eigen crack opening displacement (COD) boundary integral equations. The eigen COD particularly refers to a crack in an infinite domain under fictitious traction acting on the crack surface. With the concept of eigen COD, the multiple cracks in great number can be solved by using the conventional displacement discontinuity boundary integral equations in an iterative fashion with a small size of system matrix to determine all the unknown CODs step by step. To deal with the interactions among cracks for multiple crack problems, all cracks in the problem are divided into two groups, namely the adjacent group and the far-field group, according to the distance to the current crack in consideration. The adjacent group contains cracks with relatively small distances but strong effects to the current crack, while the others, the cracks of far-field group are composed of those with relatively large distances. Correspondingly, the eigen COD of the current crack is computed in two parts. The first part is computed by using the fictitious tractions of adjacent cracks via the local Eshelby matrix derived from the traction boundary integral equations in discretized form, while the second part is computed by using those of far-field cracks so that the high computational efficiency can be achieved in the proposed approach. The numerical results of the proposed approach are compared not only with those using the dual boundary integral equations (D-BIE) and the BIE with numerical Green's functions (NGF) but also with those of the analytical solutions in literature. The effectiveness and the efficiency of the proposed approach is verified. Numerical examples are provided for the stress intensity factors of cracks, up to several thousands in number, in both the finite and infinite plates.

A preconditioned Lanczos method for space-fractional reaction-diffusion equations on two-dimensional unstructured meshes

We consider a two-dimensional space-fractional reaction diffusion equation with a fractional Laplacian operator and homogeneous Neumann boundary conditions. The finite volume method is used with the matrix transfer technique of Ilić et al. (2006) to discretise in space, yielding a system of equations that requires the action of a matrix function to solve at each timestep. Rather than form this matrix function explicitly, we use Krylov subspace techniques to approximate the action of this matrix function. Specifically, we apply the Lanczos method, after a suitable transformation of the problem to recover symmetry. To improve the convergence of this method, we utilise a preconditioner that deflates the smallest eigenvalues from the spectrum. We demonstrate the efficiency of our approach for a fractional Fisher’s equation on the unit disk.

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

A quasi-maximum likelihood procedure for estimating the parameters of multi-dimensional diffusions is developed in which the transitional density is a multivariate Gaussian density with first and second moments approximating the true moments of the unknown density. For affine drift and diffusion functions, the moments are exactly those of the true transitional density and for nonlinear drift and diffusion functions the approximation is extremely good and is as effective as alternative methods based on likelihood approximations. The estimation procedure generalises to models with latent factors. A conditioning procedure is developed that allows parameter estimation in the absence of proxies.

Simplified method for including spatial correlations in mean-field approximations

Biological systems involving proliferation, migration and death are observed across all scales. For example, they govern cellular processes such as wound-healing, as well as the population dynamics of groups of organisms. In this paper, we provide a simplified method for correcting mean-field approximations of volume-excluding birth-death-movement processes on a regular lattice. An initially uniform distribution of agents on the lattice may give rise to spatial heterogeneity, depending on the relative rates of proliferation, migration and death. Many frameworks chosen to model these systems neglect spatial correlations, which can lead to inaccurate predictions of their behaviour. For example, the logistic model is frequently chosen, which is the mean-field approximation in this case. This mean-field description can be corrected by including a system of ordinary differential equations for pair-wise correlations between lattice site occupancies at various lattice distances. In this work we discuss difficulties with this method and provide a simplication, in the form of a partial differential equation description for the evolution of pair-wise spatial correlations over time. We test our simplified model against the more complex corrected mean-field model, finding excellent agreement. We show how our model successfully predicts system behaviour in regions where the mean-field approximation shows large discrepancies. Additionally, we investigate regions of parameter space where migration is reduced relative to proliferation, which has not been examined in detail before, and our method is successful at correcting the deviations observed in the mean-field model in these parameter regimes.

Analysis of stream cipher based authenticated encryption schemes

Authenticated Encryption (AE) is the cryptographic process of providing simultaneous confidentiality and integrity protection to messages. This approach is more efficient than applying a two-step process of providing confidentiality for a message by encrypting the message, and in a separate pass providing integrity protection by generating a Message Authentication Code (MAC). AE using symmetric ciphers can be provided by either stream ciphers with built in authentication mechanisms or block ciphers using appropriate modes of operation. However, stream ciphers have the potential for higher performance and smaller footprint in hardware and/or software than block ciphers. This property makes stream ciphers suitable for resource constrained environments, where storage and computational power are limited. There have been several recent stream cipher proposals that claim to provide AE. These ciphers can be analysed using existing techniques that consider confidentiality or integrity separately; however currently there is no existing framework for the analysis of AE stream ciphers that analyses these two properties simultaneously. This thesis introduces a novel framework for the analysis of AE using stream cipher algorithms. This thesis analyzes the mechanisms for providing confidentiality and for providing integrity in AE algorithms using stream ciphers. There is a greater emphasis on the analysis of the integrity mechanisms, as there is little in the public literature on this, in the context of authenticated encryption. The thesis has four main contributions as follows. The first contribution is the design of a framework that can be used to classify AE stream ciphers based on three characteristics. The first classification applies Bellare and Namprempre's work on the the order in which encryption and authentication processes take place. The second classification is based on the method used for accumulating the input message (either directly or indirectly) into the into the internal states of the cipher to generate a MAC. The third classification is based on whether the sequence that is used to provide encryption and authentication is generated using a single key and initial vector, or two keys and two initial vectors. The second contribution is the application of an existing algebraic method to analyse the confidentiality algorithms of two AE stream ciphers; namely SSS and ZUC. The algebraic method is based on considering the nonlinear filter (NLF) of these ciphers as a combiner with memory. This method enables us to construct equations for the NLF that relate the (inputs, outputs and memory of the combiner) to the output keystream. We show that both of these ciphers are secure from this type of algebraic attack. We conclude that using a keydependent SBox in the NLF twice, and using two different SBoxes in the NLF of ZUC, prevents this type of algebraic attack. The third contribution is a new general matrix based model for MAC generation where the input message is injected directly into the internal state. This model describes the accumulation process when the input message is injected directly into the internal state of a nonlinear filter generator. We show that three recently proposed AE stream ciphers can be considered as instances of this model; namely SSS, NLSv2 and SOBER-128. Our model is more general than a previous investigations into direct injection. Possible forgery attacks against this model are investigated. It is shown that using a nonlinear filter in the accumulation process of the input message when either the input message or the initial states of the register is unknown prevents forgery attacks based on collisions. The last contribution is a new general matrix based model for MAC generation where the input message is injected indirectly into the internal state. This model uses the input message as a controller to accumulate a keystream sequence into an accumulation register. We show that three current AE stream ciphers can be considered as instances of this model; namely ZUC, Grain-128a and Sfinks. We establish the conditions under which the model is susceptible to forgery and side-channel attacks.

Modelling sea water intrusion in coastal aquifers using heterogeneous computing

The objective of this PhD research program is to investigate numerical methods for simulating variably-saturated flow and sea water intrusion in coastal aquifers in a high-performance computing environment. The work is divided into three overlapping tasks: to develop an accurate and stable finite volume discretisation and numerical solution strategy for the variably-saturated flow and salt transport equations; to implement the chosen approach in a high performance computing environment that may have multiple GPUs or CPU cores; and to verify and test the implementation. The geological description of aquifers is often complex, with porous materials possessing highly variable properties, that are best described using unstructured meshes. The finite volume method is a popular method for the solution of the conservation laws that describe sea water intrusion, and is well-suited to unstructured meshes. In this work we apply a control volume-finite element (CV-FE) method to an extension of a recently proposed formulation (Kees and Miller, 2002) for variably saturated groundwater flow. The CV-FE method evaluates fluxes at points where material properties and gradients in pressure and concentration are consistently defined, making it both suitable for heterogeneous media and mass conservative. Using the method of lines, the CV-FE discretisation gives a set of differential algebraic equations (DAEs) amenable to solution using higher-order implicit solvers. Heterogeneous computer systems that use a combination of computational hardware such as CPUs and GPUs, are attractive for scientific computing due to the potential advantages offered by GPUs for accelerating data-parallel operations. We present a C++ library that implements data-parallel methods on both CPU and GPUs. The finite volume discretisation is expressed in terms of these data-parallel operations, which gives an efficient implementation of the nonlinear residual function. This makes the implicit solution of the DAE system possible on the GPU, because the inexact Newton-Krylov method used by the implicit time stepping scheme can approximate the action of a matrix on a vector using residual evaluations. We also propose preconditioning strategies that are amenable to GPU implementation, so that all computationally-intensive aspects of the implicit time stepping scheme are implemented on the GPU. Results are presented that demonstrate the efficiency and accuracy of the proposed numeric methods and formulation. The formulation offers excellent conservation of mass, and higher-order temporal integration increases both numeric efficiency and accuracy of the solutions. Flux limiting produces accurate, oscillation-free solutions on coarse meshes, where much finer meshes are required to obtain solutions with equivalent accuracy using upstream weighting. The computational efficiency of the software is investigated using CPUs and GPUs on a high-performance workstation. The GPU version offers considerable speedup over the CPU version, with one GPU giving speedup factor of 3 over the eight-core CPU implementation.

A neural-network based flight controller for UASs

This paper presents a nonlinear gust-attenuation controller based on constrained neural-network (NN) theory. The controller aims to achieve sufficient stability and handling quality for a fixed-wing unmanned aerial system (UAS) in a gusty environment when control inputs are subjected to constraints. Constraints in inputs emulate situations where aircraft actuators fail requiring the aircraft to be operated with fail-safe capability. The proposed controller enables gust-attenuation property and stabilizes the aircraft dynamics in a gusty environment. The proposed flight controller is obtained by solving the Hamilton-Jacobi-Isaacs (HJI) equations based on an policy iteration (PI) approach. Performance of the controller is evaluated using a high-fidelity six degree-of-freedom Shadow UAS model. Simulations show that our controller demonstrates great performance improvement in a gusty environment, especially in angle-of-attack (AOA), pitch and pitch rate. Comparative studies are conducted with the proportional-integral-derivative (PID) controllers, justifying the efficiency of our controller and verifying its suitability for integration into the design of flight control systems for forced landing of UASs.

Numerical solutions for thin film flow down the outside and inside of a vertical cylinder

We consider a model for thin film flow down the outside and inside of a vertical cylinder. Our focus is to study the effect that the curvature of the cylinder has on the gravity-driven instability of the advancing contact line and to simulate the resulting fingering patterns that form due to this instability. The governing partial differential equation is fourth order with a nonlinear degenerate diffusion term that represents the stabilising effect of surface tension. We present numerical solutions obtained by implementing an efficient alternating direction implicit scheme. When compared to the problem of flow down a vertical plane, we find that increasing substrate curvature tends to increase the fingering instability for flow down the outside of the cylinder, whereas flow down the inside of the cylinder substrate curvature has the opposite effect. Further, we demonstrate the existence of nontrivial travelling wave solutions which describe fingering patterns that propagate down the inside of a cylinder at constant speed without changing form. These solutions are perfectly analogous to those found previously for thin film flow down an inclined plane.

Shear-critical impact response of biaxially loaded reinforced concrete circular columns

A study on the vulnerability of biaxially loaded reinforced concrete (RC) circular columns in multi-story buildings under low- to medium-velocity impacts at shear-critical locations is presented. The study is based on a previously validated nonlinear explicit dynamic finite element (FE) modeling technique developed by the authors. The impact is simulated using force pulses generated from full-scale vehicle impact tests abundantly found in the literature with a view to quantifying the sensitivity of the design parameters of the RC columns under the typical impacts that are representative of the general vehicle population. The design parameters considered include the diameter and height of the column, the vertical steel ratio, the concrete grade, and the confinement effects. From the results of the simulations, empirical equations to quantify the critical impulses for the simplified design of the short, circular RC columns under the risk of shear-critical impacts are developed.

Nonlinear actuator fault detection for small-scale UAS

This paper presents a recursive strategy for online detection of actuator faults on a unmanned aerial system (UAS) subjected to accidental actuator faults. The proposed detection algorithm aims to provide a UAS with the capability of identifying and determining characteristics of actuator faults, offering necessary flight information for the design of fault-tolerant mechanism to compensate for the resultant side-effect when faults occur. The proposed fault detection strategy consists of a bank of unscented Kalman filters (UKFs) with each one detecting a specific type of actuator faults and estimating corresponding velocity and attitude information. Performance of the proposed method is evaluated using a typical nonlinear UAS model and it is demonstrated in simulations that our method is able to detect representative faults with a sufficient accuracy and acceptable time delay, and can be applied to the design of fault-tolerant flight control systems of UASs.

A nonlinear position controller for maritime operations of Rotary-wing UAVs

This paper presents a disturbance attenuation controller for horizontal position stabilization for hover and automatic landings of a Rotary-wing Unmanned Aerial Vehicle (RUAV) operating in rough seas. Based on a helicopter model representing aerodynamics during the landing phase, a nonlinear state feedback H-infinity controller is designed to achieve rapid horizontal position tracking in a gusty environment. The resultant control variables are further treated in consideration of practical constraints (flapping dynamics, servo dynamics and time lag effect) for implementation purpose. The high-fidelity closed-loop simulation using parameters of the Vario helicopter verifies performance of the proposed position controller. It not only increases the disturbance attenuation capability of the RUAV, but also enables rapid position response when gusts occur. Comparative studies show that the H-infinity controller exhibits great performance improvement and can be applied to ship/RUAV landing systems.

Exploring new and emerging models for nonlinear performative works

This dissertation seeks to define and classify potential forms of Nonlinear structure and explore the possibilities they afford for the creation of new musical works. It provides the first comprehensive framework for the discussion of Nonlinear structure in musical works and provides a detailed overview of the rise of nonlinearity in music during the 20th century. Nonlinear events are shown to emerge through significant parametrical discontinuity at the boundaries between regions of relatively strong internal cohesion. The dissertation situates Nonlinear structures in relation to linear structures and unstructured sonic phenomena and provides a means of evaluating Nonlinearity in a musical structure through the consideration of the degree to which the structure is integrated, contingent, compressible and determinate as a whole. It is proposed that Nonlinearity can be classified as a three dimensional space described by three continuums: the temporal continuum, encompassing sequential and multilinear forms of organization, the narrative continuum encompassing processual, game structure and developmental narrative forms and the referential continuum encompassing stylistic allusion, adaptation and quotation. The use of spectrograms of recorded musical works is proposed as a means of evaluating Nonlinearity in a musical work through the visual representation of parametrical divergence in pitch, duration, timbre and dynamic over time. Spectral and structural analysis of repertoire works is undertaken as part of an exploration of musical nonlinearity and the compositional and performative features that characterize it. The contribution of cultural, ideological, scientific and technological shifts to the emergence of Nonlinearity in music is discussed and a range of compositional factors that contributed to the emergence of musical Nonlinearity is examined. The evolution of notational innovations from the mobile score to the screen score is plotted and a novel framework for the discussion of these forms of musical transmission is proposed. A computer coordinated performative model is discussed, in which a computer synchronises screening of notational information, provides temporal coordination of the performers through click-tracks or similar methods and synchronises the audio processing and synthesized elements of the work. It is proposed that such a model constitutes a highly effective means of realizing complex Nonlinear structures. A creative folio comprising 29 original works that explore nonlinearity is presented, discussed and categorised utilising the proposed classifications. Spectrograms of these works are employed where appropriate to illustrate the instantiation of parametrically divergent substructures and examples of structural openness through multiple versioning.