A variable-stepsize Jacobian-free exponential integrator for simulating transport in heterogeneous porous media : application to wood drying

A Jacobian-free variable-stepsize method is developed for the numerical integration of the large, stiff systems of differential equations encountered when simulating transport in heterogeneous porous media. Our method utilises the exponential Rosenbrock-Euler method, which is explicit in nature and requires a matrix-vector product involving the exponential of the Jacobian matrix at each step of the integration process. These products can be approximated using Krylov subspace methods, which permit a large integration stepsize to be utilised without having to precondition the iterations. This means that our method is truly "Jacobian-free" - the Jacobian need never be formed or factored during the simulation. We assess the performance of the new algorithm for simulating the drying of softwood. Numerical experiments conducted for both low and high temperature drying demonstrates that the new approach outperforms (in terms of accuracy and efficiency) existing simulation codes that utilise the backward Euler method via a preconditioned Newton-Krylov strategy.

Performance assessment of exponential Rosenbrock method for large systems of ODE

This paper studies time integration methods for large stiff systems of ordinary differential equations (ODEs) of the form u'(t) = g(u(t)). For such problems, implicit methods generally outperform explicit methods, since the time step is usually less restricted by stability constraints. Recently, however, explicit so-called exponential integrators have become popular for stiff problems due to their favourable stability properties. These methods use matrix-vector products involving exponential-like functions of the Jacobian matrix, which can be approximated using Krylov subspace methods that require only matrix-vector products with the Jacobian. In this paper, we implement exponential integrators of second, third and fourth order and demonstrate that they are competitive with well-established approaches based on the backward differentiation formulas and a preconditioned Newton-Krylov solution strategy.

Velocity jump processes with proliferation

Cell invasion involves a population of cells that migrate along a substrate and proliferate to a carrying capacity density. These two processes, combined, lead to invasion fronts that move into unoccupied tissues. Traditional modelling approaches based on reaction–diffusion equations cannot incorporate individual–level observations of cell velocity, as information propagates with infinite velocity according to these parabolic models. In contrast, velocity jump processes allow us to explicitly incorporate individual–level observations of cell velocity, thus providing an alternative framework for modelling cell invasion. Here, we introduce proliferation into a standard velocity–jump process and show that the standard model does not support invasion fronts. Instead, we find that crowding effects must be explicitly incorporated into a proliferative velocity–jump process before invasion fronts can be observed. Our observations are supported by numerical and analytical solutions of a novel coupled system of partial differential equations, including travelling wave solutions, and associated random walk simulations.

Front interactions in a three-component system

The three-component reaction-diffusion system introduced in [C. P. Schenk et al., Phys. Rev. Lett., 78 (1997), pp. 3781–3784] has become a paradigm model in pattern formation. It exhibits a rich variety of dynamics of fronts, pulses, and spots. The front and pulse interactions range in type from weak, in which the localized structures interact only through their exponentially small tails, to strong interactions, in which they annihilate or collide and in which all components are far from equilibrium in the domains between the localized structures. Intermediate to these two extremes sits the semistrong interaction regime, in which the activator component of the front is near equilibrium in the intervals between adjacent fronts but both inhibitor components are far from equilibrium there, and hence their concentration profiles drive the front evolution. In this paper, we focus on dynamically evolving N-front solutions in the semistrong regime. The primary result is use of a renormalization group method to rigorously derive the system of N coupled ODEs that governs the positions of the fronts. The operators associated with the linearization about the N-front solutions have N small eigenvalues, and the N-front solutions may be decomposed into a component in the space spanned by the associated eigenfunctions and a component projected onto the complement of this space. This decomposition is carried out iteratively at a sequence of times. The former projections yield the ODEs for the front positions, while the latter projections are associated with remainders that we show stay small in a suitable norm during each iteration of the renormalization group method. Our results also help extend the application of the renormalization group method from the weak interaction regime for which it was initially developed to the semistrong interaction regime. The second set of results that we present is a detailed analysis of this system of ODEs, providing a classification of the possible front interactions in the cases of $N=1,2,3,4$, as well as how front solutions interact with the stationary pulse solutions studied earlier in [A. Doelman, P. van Heijster, and T. J. Kaper, J. Dynam. Differential Equations, 21 (2009), pp. 73–115; P. van Heijster, A. Doelman, and T. J. Kaper, Phys. D, 237 (2008), pp. 3335–3368]. Moreover, we present some results on the general case of N-front interactions.

Pulse dynamics in a three-component system : existence analysis

In this article, we analyze the three-component reaction-diffusion system originally developed by Schenk et al. (PRL 78:3781–3784, 1997). The system consists of bistable activator-inhibitor equations with an additional inhibitor that diffuses more rapidly than the standard inhibitor (or recovery variable). It has been used by several authors as a prototype three-component system that generates rich pulse dynamics and interactions, and this richness is the main motivation for the analysis we present. We demonstrate the existence of stationary one-pulse and two-pulse solutions, and travelling one-pulse solutions, on the real line, and we determine the parameter regimes in which they exist. Also, for one-pulse solutions, we analyze various bifurcations, including the saddle-node bifurcation in which they are created, as well as the bifurcation from a stationary to a travelling pulse, which we show can be either subcritical or supercritical. For two-pulse solutions, we show that the third component is essential, since the reduced bistable two-component system does not support them. We also analyze the saddle-node bifurcation in which two-pulse solutions are created. The analytical method used to construct all of these pulse solutions is geometric singular perturbation theory, which allows us to show that these solutions lie in the transverse intersections of invariant manifolds in the phase space of the associated six-dimensional travelling wave system. Finally, as we illustrate with numerical simulations, these solutions form the backbone of the rich pulse dynamics this system exhibits, including pulse replication, pulse annihilation, breathing pulses, and pulse scattering, among others.

A note on a reaction-diffusion model describing the bone morphogen protein gradient in Drosophila embryonic patterning

In this article, we consider the Eldar model [3] from embryology in which a bone morphogenic protein, a short gastrulation protein, and their compound react and diffuse. We carry out a perturbation analysis in the limit of small diffusivity of the bone morphogenic protein. This analysis establishes conditions under which some elementary results of [3] are valid.

Critical timescales and time intervals for coupled linear processes

In 1991, McNabb introduced the concept of mean action time (MAT) as a finite measure of the time required for a diffusive process to effectively reach steady state. Although this concept was initially adopted by others within the Australian and New Zealand applied mathematics community, it appears to have had little use outside this region until very recently, when in 2010 Berezhkovskii and coworkers rediscovered the concept of MAT in their study of morphogen gradient formation. All previous work in this area has been limited to studying single–species differential equations, such as the linear advection–diffusion–reaction equation. Here we generalise the concept of MAT by showing how the theory can be applied to coupled linear processes. We begin by studying coupled ordinary differential equations and extend our approach to coupled partial differential equations. Our new results have broad applications including the analysis of models describing coupled chemical decay and cell differentiation processes, amongst others.

Mixed convection along a vertical flat plate in a non-absorbing medium

Here mixed convection boundary layer flow of a viscous fluid along a heated vertical semi-infinite plate is investigated in a non-absorbing medium. The relationship between convection and thermal radiation is established via boundary condition of second kind on the thermally radiating vertical surface. The governing boundary layer equations are transformed into dimensionless parabolic partial differential equations with the help of appropriate transformations and the resultant system is solved numerically by applying straightforward finite difference method along with Gaussian elimination technique. It is worthy to note that Prandlt number, Pr, is taken to be small (<< 1) which is appropriate for liquid metals. Moreover, the numerical results are demonstrated graphically by showing the effects of important physical parameters, namely, the modified Richardson number (or mixed convection parameter), Ri*, and surface radiation parameter, R, in terms of local skin friction and local Nusselt number coefficients.

Natural convection flow in a strong cross magnetic field with radiation

The problem of MHD natural convection boundary layer flow of an electrically conducting and optically dense gray viscous fluid along a heated vertical plate is analyzed in the presence of strong cross magnetic field with radiative heat transfer. In the analysis radiative heat flux is considered by adopting optically thick radiation limit. Attempt is made to obtain the solutions valid for liquid metals by taking Pr≪1. Boundary layer equations are transformed in to a convenient dimensionless form by using stream function formulation (SFF) and primitive variable formulation (PVF). Non-similar equations obtained from SFF are then simulated by implicit finite difference (Keller-box) method whereas parabolic partial differential equations obtained from PVF are integrated numerically by hiring direct finite difference method over the entire range of local Hartmann parameter, $xi$ . Further, asymptotic solutions are also obtained for large and small values of local Hartmann parameter $xi$ . A favorable agreement is found between the results for small, large and all values of $xi$ . Numerical results are also demonstrated graphically by showing the effect of various physical parameters on shear stress, rate of heat transfer, velocity and temperature.

Natural convection flow with surface radiation along a vertical wavy surface

In this study, natural convection boundary layer flow of thermally radiating fluid along a heated vertical wavy surface is analyzed. Here, the radiative component of heat flux emulates the surface temperature. Governing equations are reduced to dimensionless form, subject to the appropriate transformation. Resulting dimensionless equations are transformed to a set of parabolic partial differential equations by using primitive variable formulation, which are then integrated numerically via iterative finite difference scheme. Emphasis has been given to low Prandtl number fluid. The numerical results obtained for the physical parameters, such as, surface radiation parameter, R, and radiative length parameter, ξ, are discussed in terms of local skin friction and Nusselt number coefficients. Comprehensive interpretation of velocity distribution is also given in the form of streamlines.

Order conditions of stochastic Runge-Kutta methods by B-series

In this paper, general order conditions and a global convergence proof are given for stochastic Runge Kutta methods applied to stochastic ordinary differential equations ( SODEs) of Stratonovich type. This work generalizes the ideas of B-series as applied to deterministic ordinary differential equations (ODEs) to the stochastic case and allows a completely general formalism for constructing high order stochastic methods, either explicit or implicit. Some numerical results will be given to illustrate this theory.

Analytical Solution of a Walters’ Liquid B Flow Over a Linear Stretching Sheet in a Porous Medium

This chapter represents the analytical solution of two-dimensional linear stretching sheet problem involving a non-Newtonian liquid and suction by (a) invoking the boundary layer approximation and (b) using this result to solve the stretching sheet problem without using boundary layer approximation. The basic boundary layer equations for momentum, which are non-linear partial differential equations, are converted into non-linear ordinary differential equations by means of similarity transformation. The results reveal a new analytical procedure for solving the boundary layer equations arising in a linear stretching sheet problem involving a non-Newtonian liquid (Walters’ liquid B). The present study throws light on the analytical solution of a class of boundary layer equations arising in the stretching sheet problem.

A banded preconditioner for the two-sided, nonlinear space-fractional diffusion equation

The method of lines is a standard method for advancing the solution of partial differential equations (PDEs) in time. In one sense, the method applies equally well to space-fractional PDEs as it does to integer-order PDEs. However, there is a significant challenge when solving space-fractional PDEs in this way, owing to the non-local nature of the fractional derivatives. Each equation in the resulting semi-discrete system involves contributions from every spatial node in the domain. This has important consequences for the efficiency of the numerical solver, especially when the system is large. First, the Jacobian matrix of the system is dense, and hence methods that avoid the need to form and factorise this matrix are preferred. Second, since the cost of evaluating the discrete equations is high, it is essential to minimise the number of evaluations required to advance the solution in time. In this paper, we show how an effective preconditioner is essential for improving the efficiency of the method of lines for solving a quite general two-sided, nonlinear space-fractional diffusion equation. A key contribution is to show, how to construct suitable banded approximations to the system Jacobian for preconditioning purposes that permit high orders and large stepsizes to be used in the temporal integration, without requiring dense matrices to be formed. The results of numerical experiments are presented that demonstrate the effectiveness of this approach.

Exponential integrators and a dual-scale model for wood drying

For the timber industry, the ability to simulate the drying of wood is invaluable for manufacturing high quality wood products. Mathematically, however, modelling the drying of a wet porous material, such as wood, is a diffcult task due to its heterogeneous and anisotropic nature, and the complex geometry of the underlying pore structure. The well{ developed macroscopic modelling approach involves writing down classical conservation equations at a length scale where physical quantities (e.g., porosity) can be interpreted as averaged values over a small volume (typically containing hundreds or thousands of pores). This averaging procedure produces balance equations that resemble those of a continuum with the exception that effective coeffcients appear in their deffnitions. Exponential integrators are numerical schemes for initial value problems involving a system of ordinary differential equations. These methods differ from popular Newton{Krylov implicit methods (i.e., those based on the backward differentiation formulae (BDF)) in that they do not require the solution of a system of nonlinear equations at each time step but rather they require computation of matrix{vector products involving the exponential of the Jacobian matrix. Although originally appearing in the 1960s, exponential integrators have recently experienced a resurgence in interest due to a greater undertaking of research in Krylov subspace methods for matrix function approximation. One of the simplest examples of an exponential integrator is the exponential Euler method (EEM), which requires, at each time step, approximation of φ(A)b, where φ(z) = (ez - 1)/z, A E Rnxn and b E Rn. For drying in porous media, the most comprehensive macroscopic formulation is TransPore [Perre and Turner, Chem. Eng. J., 86: 117-131, 2002], which features three coupled, nonlinear partial differential equations. The focus of the first part of this thesis is the use of the exponential Euler method (EEM) for performing the time integration of the macroscopic set of equations featured in TransPore. In particular, a new variable{ stepsize algorithm for EEM is presented within a Krylov subspace framework, which allows control of the error during the integration process. The performance of the new algorithm highlights the great potential of exponential integrators not only for drying applications but across all disciplines of transport phenomena. For example, when applied to well{ known benchmark problems involving single{phase liquid ow in heterogeneous soils, the proposed algorithm requires half the number of function evaluations than that required for an equivalent (sophisticated) Newton{Krylov BDF implementation. Furthermore for all drying configurations tested, the new algorithm always produces, in less computational time, a solution of higher accuracy than the existing backward Euler module featured in TransPore. Some new results relating to Krylov subspace approximation of '(A)b are also developed in this thesis. Most notably, an alternative derivation of the approximation error estimate of Hochbruck, Lubich and Selhofer [SIAM J. Sci. Comput., 19(5): 1552{1574, 1998] is provided, which reveals why it performs well in the error control procedure. Two of the main drawbacks of the macroscopic approach outlined above include the effective coefficients must be supplied to the model, and it fails for some drying configurations, where typical dual{scale mechanisms occur. In the second part of this thesis, a new dual{scale approach for simulating wood drying is proposed that couples the porous medium (macroscale) with the underlying pore structure (microscale). The proposed model is applied to the convective drying of softwood at low temperatures and is valid in the so{called hygroscopic range, where hygroscopically held liquid water is present in the solid phase and water exits only as vapour in the pores. Coupling between scales is achieved by imposing the macroscopic gradient on the microscopic field using suitably defined periodic boundary conditions, which allows the macroscopic ux to be defined as an average of the microscopic ux over the unit cell. This formulation provides a first step for moving from the macroscopic formulation featured in TransPore to a comprehensive dual{scale formulation capable of addressing any drying configuration. Simulation results reported for a sample of spruce highlight the potential and flexibility of the new dual{scale approach. In particular, for a given unit cell configuration it is not necessary to supply the effective coefficients prior to each simulation.

Travelling waves for a velocity–jump model of cell migration and proliferation

Cell invasion, characterised by moving fronts of cells, is an essential aspect of development, repair and disease. Typically, mathematical models of cell invasion are based on the Fisher–Kolmogorov equation. These traditional parabolic models can not be used to represent experimental measurements of individual cell velocities within the invading population since they imply that information propagates with infinite speed. To overcome this limitation we study combined cell motility and proliferation based on a velocity–jump process where information propagates with finite speed. The model treats the total population of cells as two interacting subpopulations: a subpopulation of left–moving cells, $L(x,t)$, and a subpopulation of right–moving cells, $R(x,t)$. This leads to a system of hyperbolic partial differential equations that includes a turning rate, $\Lambda \ge 0$, describing the rate at which individuals in the population change direction of movement. We present exact travelling wave solutions of the system of partial differential equations for the special case where $\Lambda = 0$ and in the limit that $\Lambda \to \infty$. For intermediate turning rates, $0 < \Lambda < \infty$, we analyse the travelling waves using the phase plane and we demonstrate a transition from smooth monotone travelling waves to smooth nonmonotone travelling waves as $\Lambda$ decreases through a critical value $\Lambda_{crit}$. We conclude by providing a qualitative comparison between the travelling wave solutions of our model and experimental observations of cell invasion. This comparison indicates that the small $\Lambda$ limit produces results that are consistent with experimental observations.