Numerical solutions of stochastic differential equations – implementation and stability issues

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.

A variable stepsize implementation for stochastic differential equations

Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path.

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.

Transmission system expansion planning considering combined operation of wind farms and energy storage systems

An energy storage system (ESS) can provide ancillary services such as frequency regulation and reserves, as well as smooth the fluctuations of wind power outputs, and hence improve the security and economics of the power system concerned. The combined operation of a wind farm and an ESS has become a widely accepted operating mode. Hence, it appears necessary to consider this operating mode in transmission system expansion planning, and this is an issue to be systematically addressed in this work. Firstly, the relationship between the cost of the NaS based ESS and its discharging cycle life is analyzed. A strategy for the combined operation of a wind farm and an ESS is next presented, so as to have a good compromise between the operating cost of the ESS and the smoothing effect of the fluctuation of wind power outputs. Then, a transmission system expansion planning model is developed with the sum of the transmission investment costs, the investment and operating costs of ESSs and the punishment cost of lost wind energy as the objective function to be minimized. An improved particle swarm optimization algorithm is employed to solve the developed planning model. Finally, the essential features of the developed model and adopted algorithm are demonstrated by 18-bus and 46-bus test systems.

Influence of ventilation and filtration on indoor particle concentrations in urban office buildings

This study aimed to quantify the efficiency of deep bag and electrostatic filters, and assess the influence of ventilation systems using these filters on indoor fine (<2.5 µm) and ultrafine particle concentrations in commercial office buildings. Measurements and modelling were conducted for different indoor and outdoor particle source scenarios at three office buildings in Brisbane, Australia. Overall, the in-situ efficiency, measured for particles in size ranges 6 to 3000 nm, of the deep bag filters ranged from 26.3 to 46.9% for the three buildings, while the in-situ efficiency of the electrostatic filter in one building was 60.2%. The highest PN and PM2.5 concentrations in one of the office buildings (up to 131% and 31% higher than the other two buildings, respectively) were due to the proximity of the building’s HVAC air intakes to a nearby bus-only roadway, as well as its higher outdoor ventilation rate. The lowest PN and PM2.5 concentrations (up to 57% and 24% lower than the other two buildings, respectively) were measured in a building that utilised both outdoor and mixing air filters in its HVAC system. Indoor PN concentrations were strongly influenced by outdoor levels and were significantly higher during rush-hours (up to 41%) and nucleation events (up to 57%), compared to working-hours, for all three buildings. This is the first time that the influence of new particle formation on indoor particle concentrations has been identified and quantified. A dynamic model for indoor PN concentration, which performed adequately in this study also revealed that using mixing/outdoor air filters can significantly reduce indoor particle concentration in buildings where indoor air was strongly influenced by outdoor particle levels. This work provides a scientific basis for the selection and location of appropriate filters and outdoor air intakes, during the design of new, or upgrade of existing, building HVAC systems. The results also serve to provide a better understanding of indoor particle dynamics and behaviours under different ventilation and particle source scenarios, and highlight effective methods to reduce exposure to particles in commercial office buildings.

Distinguishing between mean-field, moment dynamics and stochastic descriptions of birth-death-movement processes

Mathematical descriptions of birth–death–movement processes are often calibrated to measurements from cell biology experiments to quantify tissue growth rates. Here we describe and analyze a discrete model of a birth–death-movement process applied to a typical two–dimensional cell biology experiment. We present three different descriptions of the system: (i) a standard mean–field description which neglects correlation effects and clustering; (ii) a moment dynamics description which approximately incorporates correlation and clustering effects, and; (iii) averaged data from repeated discrete simulations which directly incorporates correlation and clustering effects. Comparing these three descriptions indicates that the mean–field and moment dynamics approaches are valid only for certain parameter regimes, and that both these descriptions fail to make accurate predictions of the system for sufficiently fast birth and death rates where the effects of spatial correlations and clustering are sufficiently strong. Without any method to distinguish between the parameter regimes where these three descriptions are valid, it is possible that either the mean–field or moment dynamics model could be calibrated to experimental data under inappropriate conditions, leading to errors in parameter estimation. In this work we demonstrate that a simple measurement of agent clustering and correlation, based on coordination number data, provides an indirect measure of agent correlation and clustering effects, and can therefore be used to make a distinction between the validity of the different descriptions of the birth–death–movement process.

Understanding mild acid pretreatment of sugarcane bagasse through particle scale modeling

Sugarcane bagasse is an abundant and sustainable resource, generated as a by-product of sugarcane milling. The cellulosic material within bagasse can be broken down into glucose molecules and fermented to produce ethanol, making it a promising feedstock for biofuel production. Mild acid pretreatment hydrolyses the hemicellulosic component of biomass, thus allowing enzymes greater access to the cellulosic substrate during saccharification. A particle-scale mathematical model describing the mild acid pretreatment of sugarcane bagasse has been developed, using a volume averaged framework. Discrete population-balance equations are used to characterise the polymer degradation kinetics, and diffusive effects account for mass transport within the cell wall of the bagasse. As the fibrous material hydrolyses over time, variations in the porosity of the cell wall and the downstream effects on the reaction kinetics are accounted for using conservation of volume arguments. Non-dimensionalization of the model equations reduces the number of parameters in the system to a set of four dimensionless ratios that compare the timescales of different reaction and diffusion events. Theoretical yield curves are compared to macroscopic experimental observations from the literature and inferences are made as to constraints on these “unknown” parameters. These results enable connections to be made between experimental data and the underlying thermodynamics of acid pretreatment. Consequently, the results suggest that data-fitting techniques used to obtain kinetic parameters should be carefully applied, with prudent consideration given to the chemical and physiological processes being modeled.

An efficient hybrid evolutionary optimization algorithm for daily volt/var control at distribution system including DGs

This paper presents a new hybrid evolutionary algorithm based on Particle Swarm Optimization (PSO) and Ant Colony Optimization (ACO) for daily Volt/Var control in distribution system including Distributed Generators (DGs). Due to the small X/R ratio and radial configuration of distribution systems, DGs have much impact on this problem. Since DGs are independent power producers or private ownership, a price based methodology is proposed as a proper signal to encourage owners of DGs in active power generation. Generally, the daily Volt/Var control is a nonlinear optimization problem. Therefore, an efficient hybrid evolutionary method based on Particle Swarm Optimization and Ant Colony Optimization (ACO), called HPSO, is proposed to determine the active power values of DGs, reactive power values of capacitors and tap positions of transformers for the next day. The feasibility of the proposed algorithm is demonstrated and compared with methods based on the original PSO, ACO and GA algorithms on IEEE 34-bus distribution feeder.

Experimental and numerical characteristics of portable water-filled road safety barrier system under different impact conditions

This research has developed an innovative road safety barrier system that will enhance roadside safety. In doing so, the research developed new knowledge in the field of road crash mitigation for high speed vehicle impact involving plastic road safety barriers. This road safety barrier system has the required feature to redirecting an errant vehicle with limited lateral displacement. Research was carried out using dynamic computer simulation technique support by experimental testing. Future road safety barrier designers may use the information in this research as a design guideline to improve the performance and redirectional capability of the road safety barrier system. This will lead to better safety conditions on the roadways and potentially save lives.

Performance and gaseous and particle emissions from a liquefied petroleum gas (LPG) fumigated compression ignition engine

In this study, an LPG fumigation system was fitted to a Euro III compression ignition (CI) engine to explore its impact on performance, and gaseous and particulate emissions. LPG was introduced to the intake air stream (as a secondary fuel) by using a low pressure fuel injector situated upstream of the turbocharger. LPG substitutions were test mode dependent, but varied in the range of 14-29% by energy. The engine was tested over a 5 point test cycle using ultra low sulphur diesel (ULSD), and a low and high LPG substitution at each test mode. The results show that LPG fumigation coerces the combustion into pre-mixed mode, as increases in the peak combustion pressure (and the rate of pressure rise) were observed in most tests. The emissions results show decreases in nitric oxide (NO) and particulate matter (PM2.5) emissions; however, very significant increases in carbon monoxide (CO) and hydrocarbon (HC) emissions were observed. A more detailed investigation of the particulate emissions showed that the number of particles emitted was reduced with LPG fumigation at all test settings – apart from mode 6 of the ECE R49 test cycle. Furthermore, the particles emitted generally had a slightly larger median diameter with LPG fumigation, and had a smaller semi-volatile fraction relative to ULSD. Overall, the results show that with some modifications, LPG fumigation systems could be used to extend ULSD supplies without adversely impacting on engine performance and emissions.

Modelling of a magnetocaloric system for cooling in the kilowatt range

A numerical time-dependent model of an active magnetic regenerator (AMR) was developed for cooling in the kilowatt range. Earlier numerical models have been mostly developed for cooling power in the 0.4 kW range. In contrast, this paper reports the applicability of magnetic refrigeration to the 50 kW range. A packed bed active magnetic regenerator was modelled and the influence of parameters such as geometry and operating parameters were studied for different geometries. The pressure drop for AMR bed length and particle diameter was also studied. High cooling power and coefficient of performance (COP) were achieved by optimization of the diameter of the magnetocaloric powder particles and operating frequency. The optimum operating conditions of the AMR for a cooling capacity of 50 kW was determined for a temperature span of 15 K. The predicted coefficient of performance (COP) was found to be ∼6, making it an attractive alternative to vapour compression systems.

An efficient and robust system for multi-person event detection in real world indoor surveillance scenes

Due to the popularity of security cameras in public places, it is of interest to design an intelligent system that can efficiently detect events automatically. This paper proposes a novel algorithm for multi-person event detection. To ensure greater than real-time performance, features are extracted directly from compressed MPEG video. A novel histogram-based feature descriptor that captures the angles between extracted particle trajectories is proposed, which allows us to capture motion patterns of multi-person events in the video. To alleviate the need for fine-grained annotation, we propose the use of Labelled Latent Dirichlet Allocation, a “weakly supervised” method that allows the use of coarse temporal annotations which are much simpler to obtain. This novel system is able to run at approximately ten times real-time, while preserving state-of-theart detection performance for multi-person events on a 100-hour real-world surveillance dataset (TRECVid SED).

Stochastic ranking method for thermostatically controllable appliances to provide regulation services

Demand response can be used for providing regulation services in the electricity markets. The retailers can bid in a day-ahead market and respond to real-time regulation signal by load control. This paper proposes a new stochastic ranking method to provide regulation services via demand response. A pool of thermostatically controllable appliances (TCAs) such as air conditioners and water heaters are adjusted using direct load control method. The selection of appliances is based on a probabilistic ranking technique utilizing attributes such as temperature variation and statuses of TCAs. These attributes are stochastically forecasted for the next time step using day-ahead information. System performance is analyzed with a sample regulation signal. Network capability to provide regulation services under various seasons is analyzed. The effect of network size on the regulation services is also investigated.

Probabilistic power system contingency analysis considering wind

This thesis was a step forward in developing probabilistic assessment of power system response to faults subject to intermittent generation by renewable energy. It has investigated the wind power fluctuation effect on power system stability, and the developed fast estimation process has demonstrated the feasibility for real-time implementation. A better balance between power network security and efficiency can be achieved based on this research outcome.

Inorganic-organic composite particle as a staged delivery platform for plasmid DNA-based biopharmaceuticals

Infectious diseases such as SARS, influenza and bird flu may spread exponentially throughout communities. In fact, most infectious diseases remain major health risks due to the lack of vaccine or the lack of facilities to deliver the vaccines. Conventional vaccinations are based on damaged pathogens, live attenuated viruses and viral vectors. If the damage was not complete, the vaccination itself may cause adverse effects. Therefore, researchers have been prompted to prepare viable replacements for the attenuated vaccines that would be more effective and safer to use. DNA vaccines are generally composed of a double stranded plasmid that includes a gene encoding the target antigen under the transcriptional directory and control of a promoter region which is active in cells. Plasmid DNA (pDNA) vaccines allow the foreign genes to be expressed transiently in cells, mimicking intracellular pathogenic infection and inducing both humoral and cellular immune responses. Currently, because of their highly evolved and specialized components, viral systems are the most effective means for DNA delivery, and they achieve high efficiencies (generally >90%), for both DNA delivery and expression. As yet, viral-mediated deliveries have several limitations, including toxicity, limited DNA carrying capacity, restricted target to specific cell types, production and packing problems, and high cost. Thus, nonviral systems, particularly a synthetic DNA delivery system, are highly desirable in both research and clinical applications.