Numerical methods for second-order stochastic differential equations

We seek numerical methods for second‐order stochastic differential equations that reproduce the stationary density accurately for all values of damping. A complete analysis is possible for scalar linear second‐order equations (damped harmonic oscillators with additive noise), where the statistics are Gaussian and can be calculated exactly in the continuous‐time and discrete‐time cases. A matrix equation is given for the stationary variances and correlation for methods using one Gaussian random variable per timestep. The only Runge–Kutta method with a nonsingular tableau matrix that gives the exact steady state density for all values of damping is the implicit midpoint rule. Numerical experiments, comparing the implicit midpoint rule with Heun and leapfrog methods on nonlinear equations with additive or multiplicative noise, produce behavior similar to the linear case.

Amplitude equations and asymptotic expansions for multi-scale problems

In this paper we introduce a new technique to obtain the slow-motion dynamics in nonequilibrium and singularly perturbed problems characterized by multiple scales. Our method is based on a straightforward asymptotic reduction of the order of the governing differential equation and leads to amplitude equations that describe the slowly-varying envelope variation of a uniformly valid asymptotic expansion. This may constitute a simpler and in certain cases a more general approach toward the derivation of asymptotic expansions, compared to other mainstream methods such as the method of Multiple Scales or Matched Asymptotic expansions because of its relation with the Renormalization Group. We illustrate our method with a number of singularly perturbed problems for ordinary and partial differential equations and recover certain results from the literature as special cases. © 2010 - IOS Press and the authors. All rights reserved.

Secular series and renormalization group for amplitude equations

We have developed a technique that circumvents the process of elimination of secular terms and reproduces the uniformly valid approximations, amplitude equations, and first integrals. The technique is based on a rearrangement of secular terms and their grouping into the secular series that multiplies the constants of the asymptotic expansion. We illustrate the technique by deriving amplitude equations for standard nonlinear oscillator and boundary-layer problems. © 2008 The American Physical Society.

Single-layer decoupling networks for large circulant symmetric arrays

In this paper, the authors propose a new structure for the decoupling of circulant symmetric arrays of more than four elements. In this case, network element values are again obtained through a process of repeated eigenmode decoupling, here by solving sets of nonlinear equations. However, the resulting circuit is much simpler and can be implemented on a single layer. The corresponding circuit topology for the 6-element array is displayed in figure diagrams. The procedure will be illustrated by considering different examples.

Accurate series solutions for gravity-driven Stokes waves

In the past, high order series expansion techniques have been used to study the nonlinear equations that govern the form of periodic Stokes waves moving steadily on the surface of an inviscid fluid. In the present study, two such series solutions are recomputed using exact arithmetic, eliminating any loss of accuracy due to accumulation of round-off error, allowing a much greater number of terms to be found with confidence. It is shown that higher order behaviour of series generated by the solution casts doubt over arguments that rely on estimating the series’ radius of convergence. Further, the exact nature of the series is used to shed light on the unusual nature of convergence of higher order Pade approximants near the highest wave. Finally, it is concluded that, provided exact values are used in the series, these Pade approximants prove very effective in successfully predicting three turning points in both the dispersion relation and the total energy.

Free surface flow past topography : a beyond-all-orders approach

The problem of steady subcritical free surface flow past a submerged inclined step is considered. The asymptotic limit of small Froude number is treated, with particular emphasis on the effect that changing the angle of the step face has on the surface waves. As demonstrated by Chapman & Vanden-Broeck (2006), the divergence of a power series expansion in powers of the square of the Froude number is caused by singularities in the analytic continuation of the free surface; for an inclined step, these singularities may correspond to either the corners or stagnation points of the step, or both, depending on the angle of incline. Stokes lines emanate from these singularities, and exponentially small waves are switched on at the point the Stokes lines intersect with the free surface. Our results suggest that for a certain range of step angles, two wavetrains are switched on, but the exponentially subdominant one is switched on first, leading to an intermediate wavetrain not previously noted. We extend these ideas to the problem of flow over a submerged bump or trench, again with inclined sides. This time there may be two, three or four active Stokes lines, depending on the inclination angles. We demonstrate how to construct a base topography such that wave contributions from separate Stokes lines are of equal magnitude but opposite phase, thus cancelling out. Our asymptotic results are complemented by numerical solutions to the fully nonlinear equations.

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.

Flexural capacity of hollow flange beams

The hollow flange beam (HFB) is a unique cold-formed steel section developed in Australia for use as a flexural member. Research has identified that the HFB section's flexural capacity for intermediate span members is limited by lateral distortional buckling, which is characterized by simultaneous lateral deflection, twist, and web distortion. This buckling behaviour is mainly due to the unique geometry of the section, comprising two torsionally stiff triangular flanges connected by a slender web. This paper presents a finite element analytical model suitable for non-linear analysis of HFB flexural members. The model includes all significant effects that may influence the ultimate capacity of such members, including material inelasticity, local buckling, member instability, web distortion, residual stresses, and geometric imperfections. It was found to accurately predict both the elastic lateral distortional buckling moments and the ultimate capacities of HFB flexural members, and was therefore used in the development of design curves and suitable design procedures.

Renormalization group interpretation of the Born and Rytov approximations

In this paper the method of renormalization group (RG) [Phys. Rev. E 54, 376 (1996)] is related to the well-known approximations of Rytov and Born used in wave propagation in deterministic and random media. Certain problems in linear and nonlinear media are examined from the viewpoint of RG and compared with the literature on Born and Rytov approximations. It is found that the Rytov approximation forms a special case of the asymptotic expansion generated by the RG, and as such it gives a superior approximation to the exact solution compared with its Born counterpart. Analogous conclusions are reached for nonlinear equations with an intensity-dependent index of refraction where the RG recovers the exact solution. © 2008 Optical Society of America.

A comparison of stability and bifurcation criteria for inflated spherical elastic shells

The nonlinear stability analysis introduced by Chen and Haughton [1] is employed to study the full nonlinear stability of the non-homogeneous spherically symmetric deformation of an elastic thick-walled sphere. The shell is composed of an arbitrary homogeneous, incompressible elastic material. The stability criterion ultimately requires the solution of a third-order nonlinear ordinary differential equation. Numerical calculations performed for a wide variety of well-known incompressible materials are then compared with existing bifurcation results and are found to be identical. Further analysis and comparison between stability and bifurcation are conducted for the case of thin shells and we prove by direct calculation that the two criteria are identical for all modes and all materials.

Efficient preconditioning of the method of lines for solving nonlinear two-sided space-fractional diffusion equations

A standard method for the numerical solution of partial differential equations (PDEs) is the method of lines. In this approach the PDE is discretised in space using �finite di�fferences or similar techniques, and the resulting semidiscrete problem in time is integrated using an initial value problem solver. A significant challenge when applying the method of lines to fractional PDEs is that the non-local nature of the fractional derivatives results in a discretised system where each equation involves contributions from many (possibly every) spatial node(s). This has important consequences for the effi�ciency of the numerical solver. First, 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. Second, since the Jacobian matrix of the system is dense (partially or fully), methods that avoid the need to form and factorise this matrix are preferred. In this paper, we consider a nonlinear two-sided space-fractional di�ffusion equation in one spatial dimension. A key contribution of this paper is to demonstrate how an eff�ective preconditioner is crucial for improving the effi�ciency of the method of lines for solving this equation. In particular, we 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.

Efficient solution of two-sided nonlinear space-fractional diffusion equations using fast Poisson preconditioners

We develop a fast Poisson preconditioner for the efficient numerical solution of a class of two-sided nonlinear space fractional diffusion equations in one and two dimensions using the method of lines. Using the shifted Gr¨unwald finite difference formulas to approximate the two-sided(i.e. the left and right Riemann-Liouville) fractional derivatives, the resulting semi-discrete nonlinear systems have dense Jacobian matrices owing to the non-local property of fractional derivatives. We employ a modern initial value problem solver utilising backward differentiation formulas and Jacobian-free Newton-Krylov methods to solve these systems. For efficient performance of the Jacobianfree Newton-Krylov method it is essential to apply an effective preconditioner to accelerate the convergence of the linear iterative solver. The key contribution of our work is to generalise the fast Poisson preconditioner, widely used for integer-order diffusion equations, so that it applies to the two-sided space fractional diffusion equation. A number of numerical experiments are presented to demonstrate the effectiveness of the preconditioner and the overall solution strategy.

A preconditioned numerical solver for stiff nonlinear reaction-diffusion equations with fractional Laplacians that avoids dense matrices

The numerical solution of fractional partial differential equations poses significant computational challenges in regard to efficiency as a result of the spatial nonlocality of the fractional differential operators. The dense coefficient matrices that arise from spatial discretisation of these operators mean that even one-dimensional problems can be difficult to solve using standard methods on grids comprising thousands of nodes or more. In this work we address this issue of efficiency for one-dimensional, nonlinear space-fractional reaction–diffusion equations with fractional Laplacian operators. We apply variable-order, variable-stepsize backward differentiation formulas in a Jacobian-free Newton–Krylov framework to advance the solution in time. A key advantage of this approach is the elimination of any requirement to form the dense matrix representation of the fractional Laplacian operator. We show how a banded approximation to this matrix, which can be formed and factorised efficiently, can be used as part of an effective preconditioner that accelerates convergence of the Krylov subspace iterative solver. Our approach also captures the full contribution from the nonlinear reaction term in the preconditioner, which is crucial for problems that exhibit stiff reactions. Numerical examples are presented to illustrate the overall effectiveness of the solver.

Stability and convergence of a new explicit finite-difference approximation for the variable-order nonlinear fractional diffusion equation

In this paper, we consider the variable-order nonlinear fractional diffusion equation View the MathML source where xRα(x,t) is a generalized Riesz fractional derivative of variable order View the MathML source and the nonlinear reaction term f(u,x,t) satisfies the Lipschitz condition |f(u1,x,t)-f(u2,x,t)|less-than-or-equals, slantL|u1-u2|. A new explicit finite-difference approximation is introduced. The convergence and stability of this approximation are proved. Finally, some numerical examples are provided to show that this method is computationally efficient. The proposed method and techniques are applicable to other variable-order nonlinear fractional differential equations.