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.

Continuous and non-intrusive identity verification in real-time environments based on free-text keystroke dynamics

Internet services are important part of daily activities for most of us. These services come with sophisticated authentication requirements which may not be handled by average Internet users. The management of secure passwords for example creates an extra overhead which is often neglected due to usability reasons. Furthermore, password-based approaches are applicable only for initial logins and do not protect against unlocked workstation attacks. In this paper, we provide a non-intrusive identity verification scheme based on behavior biometrics where keystroke dynamics based-on free-text is used continuously for verifying the identity of a user in real-time. We improved existing keystroke dynamics based verification schemes in four aspects. First, we improve the scalability where we use a constant number of users instead of whole user space to verify the identity of target user. Second, we provide an adaptive user model which enables our solution to take the change of user behavior into consideration in verification decision. Next, we identify a new distance measure which enables us to verify identity of a user with shorter text. Fourth, we decrease the number of false results. Our solution is evaluated on a data set which we have collected from users while they were interacting with their mail-boxes during their daily activities.

The development of a new method for the determination of concentrations of carbonaceous gases using a non-dispersive infrared sensor

An analytical method for the detection of carbonaceous gases by a non-dispersive infrared sensor (NDIR) has been developed. The calibration plots of six carbonaceous gases including CO2, CH4, CO, C2H2, C2H4 and C2H6 were obtained and the reproducibility determined to verify the feasibility of this gas monitoring method. The results prove that squared correlation coefficients for the six gas measurements are greater than 0.999. The reproducibility is excellent, thus indicating that this analytical method is useful to determinate the concentrations of carbonaceous gases.

Non-Newtonian natural convection flow along an isothermal horizontal circular cylinder using modified power-law model

Laminar two-dimensional natural convection boundary-layer flow of non-Newtonian fluids along an isothermal horizontal circular cylinder has been studied using a modified power-law viscosity model. In this model, there are no unrealistic limits of zero or infinite viscosity. Therefore, the boundary-layer equations can be solved numerically by using marching order implicit finite difference method with double sweep technique. Numerical results are presented for the case of shear-thinning as well as shear thickening fluids in terms of the fluid velocity and temperature distributions, shear stresses and rate of heat transfer in terms of the local skin-friction and local Nusselt number respectively.

A microscopic simulation model to estimate Bus Rapid Transit (BRT) station service capacity with mixed stopping and non-stopping bus operation

Bus Rapid Transit (BRT) station is the interface between passenger and service. The station is crucial to line operation as it is typically the only location where buses can pass each other. Congestion may occur here when buses maneuvering into and out of the platform lane interfere with bus flow, or when a queue of buses forms upstream of the platform lane blocking the passing lane. However, some systems include operation where express buses pass the critical station, resulting in a proportion of non stopping buses. It is important to understand the operation of the critical busway station under this type of operation, as it affects busway line capacity. This study uses micro simulation to treat the BRT station operation and to analyze the relationship between station Limit state bus capacity (B_ls), Total Bus Capacity (B_ttl). First, the simulation model is developed for Limit state scenario and then a mathematical model is defined, calibrated for a specified range of controlled scenarios of mean and coefficient of variation of dwell time. Thereafter, the proposed B_ls model is extended to consider non stopping buses and B_ttlmodel is defined. The proposed models provides better understanding to the BRT line capacity and is useful for transit authorities for designing better BRT operation.

A comparison of finite difference and finite volume methods for solving the space fractional advection-dispersion equation with variable coefficients

Transport processes within heterogeneous media may exhibit non-classical diffusion or dispersion; that is, not adequately described by the classical theory of Brownian motion and Fick's law. We consider a space fractional advection-dispersion equation based on a fractional Fick's law. The equation involves the Riemann-Liouville fractional derivative which arises from assuming that particles may make large jumps. Finite difference methods for solving this equation have been proposed by Meerschaert and Tadjeran. In the variable coefficient case, the product rule is first applied, and then the Riemann-Liouville fractional derivatives are discretised using standard and shifted Grunwald formulas, depending on the fractional order. In this work, we consider a finite volume method that deals directly with the equation in conservative form. Fractionally-shifted Grunwald formulas are used to discretise the fractional derivatives at control volume faces. We compare the two methods for several case studies from the literature, highlighting the convenience of the finite volume approach.

The analytical solution and numerical solution of the fractional diffusion-wave equation with damping

Fractional partial differential equations have been applied to many problems in physics, finance, and engineering. Numerical methods and error estimates of these equations are currently a very active area of research. In this paper we consider a fractional diffusionwave equation with damping. We derive the analytical solution for the equation using the method of separation of variables. An implicit difference approximation is constructed. Stability and convergence are proved by the energy method. Finally, two numerical examples are presented to show the effectiveness of this approximation.

Deformation with coupled chemical diffusion

The deformation of rocks is commonly intimately associated with metamorphic reactions. This paper is a step towards understanding the behaviour of fully coupled, deforming, chemically reacting systems by considering a simple example of the problem comprising a single layer system with elastic-power law viscous constitutive behaviour where the deformation is controlled by the diffusion of a single chemical component that is produced during a metamorphic reaction. Analysis of the problem using the principles of non-equilibrium thermodynamics allows the energy dissipated by the chemical reaction-diffusion processes to be coupled with the energy dissipated during deformation of the layers. This leads to strain-rate softening behaviour and the resultant development of localised deformation which in turn nucleates buckles in the layer. All such diffusion processes, in leading to Herring-Nabarro, Coble or “pressure solution” behaviour, are capable of producing mechanical weakening through the development of a “chemical viscosity”, with the potential for instability in the deformation. For geologically realistic strain rates these chemical feed-back instabilities occur at the centimetre to micron scales, and so produce structures at these scales, as opposed to thermal feed-back instabilities that become important at the 100–1000 m scales.

Influence of drying conditions on the moisture diffusion during single stage and two stage fluidized bed drying of bovine intestine for pet food

Bovine intestine samples were heat pump fluidized bed dried at atmospheric pressure and at temperatures below and above the material freezing points equipped with a continuous monitoring system. The investigation of the drying characteristics has been conducted in the temperature range -10~25oC and the airflow in the range 1.5~2.5 m/s. Some experiments were conducted as a single temperature drying experiments and others as two stage drying experiments employing two temperatures. An Arrhenius-type equation was used to interpret the influence of the drying air parameters on the effective diffusivity, calculated with the method of slopes in terms of energy activation, and this was found to be sensitivity of the temperature. The effective diffusion coefficient of moisture transfer was determined by Fickian method using uni-dimensional moisture movement in both moisture, removal by evaporation and combined sublimation and evaporation. Correlations expressing the effective moisture diffusivity and drying temperature are reported.

Cell migration and proliferation on homogeneous and non-homogeneous domains : modelling on the scale of individuals and populations

Cell migration is a behaviour critical to many key biological effects, including wound healing, cancerous cell invasion and morphogenesis, the development of an organism from an embryo. However, given that each of these situations is distinctly different and cells are extremely complicated biological objects, interest lies in more basic experiments which seek to remove conflating factors and present a less complex environment within which cell migration can be experimentally examined. These include in vitro studies like the scratch assay or circle migration assay, and ex vivo studies like the colonisation of the hindgut by neural crest cells. The reduced complexity of these experiments also makes them much more enticing as problems to mathematically model, like done here. The primary goal of the mathematical models used in this thesis is to shed light on which cellular behaviours work to generate the travelling waves of invasion observed in these experiments, and to explore how variations in these behaviours can potentially predict differences in this invasive pattern which are experimentally observed when cell types or chemical environment are changed. Relevant literature has already identified the difficulty of distinguishing between these behaviours when using traditional mathematical biology techniques operating on a macroscopic scale, and so here a sophisticated individual-cell-level model, an extension of the Cellular Potts Model (CPM), is been constructed and used to model a scratch assay experiment. This model includes a novel mechanism for dealing with cell proliferations that allowed for the differing properties of quiescent and proliferative cells to be implemented into their behaviour. This model is considered both for its predictive power and used to make comparisons with the travelling waves which result in more traditional macroscopic simulations. These comparisons demonstrate a surprising amount of agreement between the two modelling frameworks, and suggest further novel modifications to the CPM that would allow it to better model cell migration. Considerations of the model’s behaviour are used to argue that the dominant effect governing cell migration (random motility or signal-driven taxis) likely depends on the sort of invasion demonstrated by cells, as easily seen by microscopic photography. Additionally, a scratch assay simulated on a non-homogeneous domain consisting of a ’fast’ and ’slow’ region is also used to further differentiate between these different potential cell motility behaviours. A heterogeneous domain is a novel situation which has not been considered mathematically in this context, nor has it been constructed experimentally to the best of the candidate’s knowledge. Thus this problem serves as a thought experiment used to test the conclusions arising from the simulations on homogeneous domains, and to suggest what might be observed should this non-homogeneous assay situation be experimentally realised. Non-intuitive cell invasion patterns are predicted for diffusely-invading cells which respond to a cell-consumed signal or nutrient, contrasted with rather expected behaviour in the case of random-motility-driven invasion. The potential experimental observation of these behaviours is demonstrated by the individual-cell-level model used in this thesis, which does agree with the PDE model in predicting these unexpected invasion patterns. In the interest of examining such a case of a non-homogeneous domain experimentally, some brief suggestion is made as to how this could be achieved.

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.

A study of the diffusion characteristics of normal, delipidized and relipidized articular cartilage using magnetic resonance imaging

This paper assesses the capacity to provide semipermeability of the synthetic layer of surface-active phospholipids created to replace the depleted surface amorphous layer of articular cartilage. The surfaces of articular cartilage specimens in normal, delipidized, and relipidized conditions following incubation in dipalmitoyl-phosphatidylcholine and palmitoyl-oleoyl-phosphatidylcholine components of the joint lipid mixture were characterized nanoscopically with the atomic force microscope and also imaged as deuterium oxide (D2O) diffused transiently through these surfaces in a magnetic resonance imaging enclosure. The MR images were then used to determine the apparent diffusion coefficients in a purpose-built MATLAB®-based algorithm. Our results revealed that all surfaces were permeable to D2O, but that there was a significant difference in the semipermeability of the surfaces under the different conditions, relative to the apparent diffusion coefficients. Based on the results and observations, it can be concluded that the synthetic lipid that is deposited to replace the depleted SAL of articular cartilage is capable of inducing some level of semipermeability.

Refined plastic hinge analysis of steel frame structures comprising non-compact sections : II : verification

Application of "advanced analysis" methods suitable for non-linear analysis and design of steel frame structures permits direct and accurate determination of ultimate system strengths, without resort to simplified elastic methods of analysis and semi-empirical specification equations. However, the application of advanced analysis methods has previously been restricted to steel frames comprising only compact sections that are not influenced by the effects of local buckling. A refined plastic hinge method suitable for practical advanced analysis of steel frame structures comprising non-compact sections is presented in a companion paper. The method implicitly accounts for the effects of gradual cross-sectional yielding, longitudinal spread of plasticity, initial geometric imperfections, residual stresses, and local buckling. The accuracy and precision of the method for the analysis of steel frames comprising non-compact sections is established in this paper by comparison with a comprehensive range of analytical benchmark frame solutions. The refined plastic hinge method is shown to be more accurate and precise than the conventional individual member design methods based on elastic analysis and specification equations.

Numerical simulation of anomalous diffusion with application to medical imaging

The first objective of this project is to develop new efficient numerical methods and supporting error and convergence analysis for solving fractional partial differential equations to study anomalous diffusion in biological tissue such as the human brain. The second objective is to develop a new efficient fractional differential-based approach for texture enhancement in image processing. The results of the thesis highlight that the fractional order analysis captured important features of nuclear magnetic resonance (NMR) relaxation and can be used to improve the quality of medical imaging.

Steady natural convection of non-Newtonian power-law fluid in a trapezoidal enclosure

Numerically investigation of free convection heat transfer in a differentially heated trapezoidal cavity filled with non-Newtonian Power-law fluid has been performed in this study. The left inclined surface is uniformly heated whereas the right inclined surface is maintained as uniformly cooled. The top and bottom surfaces are kept adiabatic with initially quiescent fluid inside the enclosure. Finite volume based commercial software FLUENT 14.5 is used to solve the governing equations. Dependency of various flow parameters of fluid flow and heat transfer is analyzed including Rayleigh number, Ra ranging from 10^5 to 10^7, Prandtl number, Pr of 100 to 10,000 and power index, n of 0.6 to 1.4. Outcomes have been reported in terms of isotherms, streamline, and local Nusselt number for various Ra, Pr, n and inclined angles. Grid sensitivity analysis is performed and numerically obtained results have been compared with those results available in the literature and found good agreement.