Numerical methods for strong solutions of stochastic differential equations : an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

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.

Two novel numerical methods for solving the two-dimensional fractional Fitzhugh-Nagumo-monodomain model

Fractional mathematical models represent a new approach to modelling complex spatial problems in which there is heterogeneity at many spatial and temporal scales. In this paper, a two-dimensional fractional Fitzhugh-Nagumo-monodomain model with zero Dirichlet boundary conditions is considered. The model consists of a coupled space fractional diffusion equation (SFDE) and an ordinary differential equation. For the SFDE, we first consider the numerical solution of the Riesz fractional nonlinear reaction-diffusion model and compare it to the solution of a fractional in space nonlinear reaction-diffusion model. We present two novel numerical methods for the two-dimensional fractional Fitzhugh-Nagumo-monodomain model using the shifted Grunwald-Letnikov method and the matrix transform method, respectively. Finally, some numerical examples are given to exhibit the consistency of our computational solution methodologies. The numerical results demonstrate the effectiveness of the methods.

Numerical methods of the variable-order Rayleigh-Stokes problem for a heated generalized second grade fluid with fractional derivative

Rayleigh–Stokes problems have in recent years received much attention due to their importance in physics. In this article, we focus on the variable-order Rayleigh–Stokes problem for a heated generalized second grade fluid with fractional derivative. Implicit and explicit numerical methods are developed to solve the problem. The convergence, stability of the numerical methods and solvability of the implicit numerical method are discussed via Fourier analysis. Moreover, a numerical example is given and the results support the effectiveness of the theoretical analysis.

Part 2. MOO methods for multidisciplinary design using parallel evolutionary algorithms, game theory and hierarchical topology. (Part 2.) Numerical aspects and implementation of model test cases

These lecture notes describe the use and implementation of a framework in which mathematical as well as engineering optimisation problems can be analysed. The foundations of the framework and algorithms described -Hierarchical Asynchronous Parallel Evolutionary Algorithms (HAPEAs) - lie upon traditional evolution strategies and incorporate the concepts of a multi-objective optimisation, hierarchical topology, asynchronous evaluation of candidate solutions , parallel computing and game strategies. In a step by step approach, the numerical implementation of EAs and HAPEAs for solving multi criteria optimisation problems is conducted providing the reader with the knowledge to reproduce these hand on training in his – her- academic or industrial environment.

Optimisation methods for coupled thermodynamic and 1D design of radial-inflow turbines

Optimisation is a fundamental step in the turbine design process, especially in the development of non-classical designs of radial-inflow turbines working with high-density fluids in low-temperature Organic Rankine Cycles (ORCs). The present work discusses the simultaneous optimisation of the thermodynamic cycle and the one-dimensional design of radial-inflow turbines. In particular, the work describes the integration between a 1D meanline preliminary design code adapted to real gases and the performance estimation approach for radial-inflow turbines in an established ORC cycle analysis procedure. The optimisation approach is split in two distinct loops; the inner operates on the 1D design based on the parameters received from the outer loop, which optimises the thermodynamic cycle. The method uses parameters including brine flow rate, temperature and working fluid, shifting assumptions such as head and flow coefficients into the optimisation routine. The discussed design and optimisation method is then validated against published benchmark cases. Finally, using the same conditions, the coupled optimisation procedure is extended to the preliminary design of a radial-inflow turbine with R143a as working fluid in realistic geothermal conditions and compared against results from commercially-available software RITAL from Concepts-NREC.

Fourier spectral methods for fractional-in-space reaction-diffusion equations

Fractional differential equations are becoming increasingly used as a powerful modelling approach for understanding the many aspects of nonlocality and spatial heterogeneity. However, the numerical approximation of these models is demanding and imposes a number of computational constraints. In this paper, we introduce Fourier spectral methods as an attractive and easy-to-code alternative for the integration of fractional-in-space reaction-diffusion equations described by the fractional Laplacian in bounded rectangular domains ofRn. The main advantages of the proposed schemes is that they yield a fully diagonal representation of the fractional operator, with increased accuracy and efficiency when compared to low-order counterparts, and a completely straightforward extension to two and three spatial dimensions. Our approach is illustrated by solving several problems of practical interest, including the fractional Allen–Cahn, FitzHugh–Nagumo and Gray–Scott models, together with an analysis of the properties of these systems in terms of the fractional power of the underlying Laplacian operator.