Semi-Lagrange time integration for PDE models of asian options

Semi-Lagrange time integration is used with the finite difference method to provide accurate stable prices for Asian options, with or without early exercise. These are combined with coordinate transformations for computational efficiency and compared with published results

Parallel CFD fire modelling on office PCs with dynamic load balancing

Parallel processing techniques have been used in the past to provide high performance computing resources for activities such as Computational Fluid Dynamics. This is normally achieved using specialized hardware and software, the expense of which would be difficult to justify for many fire engineering practices. In this paper, we demonstrate how typical office-based PCs attached to a local area network have the potential to offer the benefits of parallel processing with minimal costs associated with the purchase of additional hardware or software. A dynamic load balancing scheme was devised to allow the effective use of the software on heterogeneous PC networks. This scheme ensured that the impact between the parallel processing task and other computer users on the network was minimized thus allowing practical parallel processing within a conventional office environment. Copyright © 2006 John Wiley & Sons, Ltd.

Cognitive issues in information visualisation design for interaction for the visually impaired

This paper reports on the findings of a study on improving interaction design for visually impaired students, focusing upon the cognitive criteria for information visualisation.

An analysis of the changes to the mechanical and acoustical properties of paper caused by the damage mechanisms present in the fibre structure

This paper will analyse two of the likely damage mechanisms present in a paper fibre matrix when placed under controlled stress conditions: fibre/fibre bond failure and fibre failure. The failure process associated with each damage mechanism will be presented in detail focusing on the change in mechanical and acoustic properties of the surrounding fibre structure before and after failure. To present this complex process mathematically, geometrically simple fibre arrangements will be chosen based on certain assumptions regarding the structure and strength of paper, to model the damage mechanisms. The fibre structures are then formulated in terms of a hybrid vibro-acoustic model based on a coupled mass/spring system and the pressure wave equation. The model will be presented in detail in the paper. The simulation of the simple fibre structures serves two purposes; it highlights the physical and acoustic differences of each damage mechanism before and after failure, and also shows the differences in the two damage mechanisms when compared with one another. The results of the simulations are given in the form of pressure wave contours, time-frequency graphs and the Continuous Wavelet Transform (CWT) diagrams. The analysis of the results leads to criteria by which the two damage mechanisms can be identified. Using these criteria it was possible to verify the results of the simulations against experimental acoustic data. The models developed in this study are of specific practical interest in the paper-making industry, where acoustic sensors may be used to monitor continuous paper production. The same techniques may be adopted more generally to correlate acoustic signals to damage mechanisms in other fibre-based structures.

The UK WTC 9/11 evacuation study: methodologies used in the elicitation and storage of human factors data

This paper describes the methodologies employed in the collection and storage of first-hand accounts of evacuation experiences derived from face-to-face interviews with evacuees from the World Trade Center (WTC) Twin Towers complex on 11 September 2001. In particular the paper describes the development of the High-rise Evacuation Evaluation Database (HEED). This is a flexible qualitative research tool which contains the full transcribed interview accounts and coded evacuee experiences extracted from those transcripts. The data and information captured and stored in the HEED database is not only unique, but it provides a means to address current and emerging issues relating to human factors associated with the evacuation of high-rise buildings.

Simulating the evacuation of very large populations in large domains using a parallel implementation of the buildingEXODUS evacuation model

Computer egress simulation has potential to be used in large scale incidents to provide live advice to incident commanders. While there are many considerations which must be taken into account when applying such models to live incidents, one of the first concerns the computational speed of simulations. No matter how important the insight provided by the simulation, numerical hindsight will not prove useful to an incident commander. Thus for this type of application to be useful, it is essential that the simulation can be run many times faster than real time. Parallel processing is a method of reducing run times for very large computational simulations by distributing the workload amongst a number of CPUs. In this paper we examine the development of a parallel version of the buildingEXODUS software. The parallel strategy implemented is based on a systematic partitioning of the problem domain onto an arbitrary number of sub-domains. Each sub-domain is computed on a separate processor and runs its own copy of the EXODUS code. The software has been designed to work on typical office based networked PCs but will also function on a Windows based cluster. Two evaluation scenarios using the parallel implementation of EXODUS are described; a large open area and a 50 story high-rise building scenario. Speed-ups of up to 3.7 are achieved using up to six computers, with high-rise building evacuation simulation achieving run times of 6.4 times faster than real time.

Assessment of the impact of computed and measured fire environments on building evacuation using bench and real scale test data

This study investigates the use of computer modelled versus directly experimentally determined fire hazard data for assessing survivability within buildings using evacuation models incorporating Fractionally Effective Dose (FED) models. The objective is to establish a link between effluent toxicity, measured using a variety of small and large scale tests, and building evacuation. For the scenarios under consideration, fire simulation is typically used to determine the time non-survivable conditions develop within the enclosure, for example, when smoke or toxic effluent falls below a critical height which is deemed detrimental to evacuation or when the radiative fluxes reach a critical value leading to the onset of flashover. The evacuation calculation would the be used to determine whether people within the structure could evacuate before these critical conditions develop.

Predicting toxic species concentrations in a full-scale vitiated fire

A toxicity model on dividing the computational domain into two parts, a control region (CR) and a transport region (TR), for species calculation was recently developed. The model can be incorporated with either the heat source approach or the eddy dissipation model (EDM). The work described in this paper is a further application of the toxicity model with modifications of the EDM for vitiated fires. In the modified EDM, chemical reaction only occurs within the CR. This is consistent with the approach used in the species concentration calculations within the toxicity model in which yields of combustion products only change within the CR. A vitiated large room-corridor fire, in which the carbon monoxide (CM) concentrations are very high and the temperatures are relatively low at locations distant from the original fire source, is simulated using the modified EDM coupled with the toxicity model. Compared with the EDM, the modified EDM provide significant improvements in the predictions of temperatures at remote locations. Predictions of species concentrations at various locations follow the measured trends. Good agreements between the measured and predicted species concentrations are obtained at the vitiated fire stage.

Investigating the impact of occupant response time on computer simulations of the WTC North Tower evacuation

This work explores the impact of response time distributions on high-rise building evacuation. The analysis utilises response times extracted from printed accounts and interviews of evacuees from the WTC North Tower evacuation of 11 September 2001. Evacuation simulations produced using these “real” response time distributions are compared with simulations produced using instant and engineering response time distributions. Results suggest that while typical engineering approximations to the response time distribution may produce reasonable evacuation times for up to 90% of the building population, using this approach may underestimate total evacuation times by as much as 61%. These observations are applicable to situations involving large high-rise buildings in which travel times are generally expected to be greater than response times

Numerical simulation of flow-induced cavity noise in self-sustained oscillations

The generation and near-field radiation of aerodynamic sound from a low-speed unsteady flow over a two-dimensional automobile door cavity is simulated by using a source-extraction-based coupling method. In the coupling procedure, the unsteady cavity flow field is first computed solving the Reynolds averaged Navier–Stokes (RANS) equations. The radiated sound is then calculated by using a set of acoustic perturbation equations with acoustic source terms which are extracted from the time-dependent solutions of the unsteady flow. The aerodynamic and its resulting acoustic field are computed for the Reynolds number of 53,266 based on the base length of the cavity. The free stream flow velocity is taken to be 50.9m/s. As first stage of the numerical investigation of flow-induced cavity noise, laminar flow is assumed. The CFD solver is based on a cell-centered finite volume method. A dispersion-relation-preserving (DRP), optimized, fourth-order finite difference scheme with fully staggered-grid implementation is used in the acoustic solver

Multiscale modelling of dendrite growth during vacuum arc remelting

Vacuum Arc Remelting (VAR) is the accepted method for producing homogeneous, fine microstructures that are free of inclusions required for rotating grade applications. However, as ingot sizes are increasing INCONEL 718 becomes increasingly susceptible to defects such as freckles, tree rings, and white spots increases for large diameter billets. Therefore, predictive models of these defects are required to allow optimization of process parameters. In this paper, a multiscale and multi-physics model is presented to predict the development of microstructures in the VAR ingot during solidification. At the microscale, a combined stochastic nucleation approach and finite difference solution of the solute diffusion is applied in the semi-solid zone of the VAR ingot. The micromodel is coupled with a solution of the macroscale heat transfer, fluid flow and electromagnetism in the VAR process through the temperature, pressure and fluid flow fields. The main objective of this study is to achieve a better understanding of the formation of the defects in VAR by quantifying the influence of VAR processing parameters on grain nucleation and dendrite growth. In particular, the effect of different ingot growth velocities on the microstructure formation was investigated. It was found that reducing the velocity produces significantly more coarse grains.

The tilt casting of titanium aluminides

TiAl castings are prone to various defects including bubbles entrained during the turbulent filling of moulds. The present research has exploited the principles of the Durville tilt casting technique to develop a novel process in which the Induction Skull Melting (ISM) of TiAl alloys in a vacuum chamber has been combined with controlled tilt pouring to achieve the tranquil transfer of the metal into a hot ceramic shell mould. Practical casting equipment has been developed to evaluate the feasibility of this process in parallel with the development of novel software to simulate and optimize it. The PHYSICA CFD code was used to simulate the filling, heat transfer and solidification during tilt pouring using a number of free surface modelling techniques, including the novel Counter Diffusion Method (CDM). In view of the limited superheat, particular attention was paid to the mould design to minimize heat loss and gas entrainment caused by interaction between the counter-flowing metal and gas streams. The model has been validated against real-time X-ray movies of the tilt casting of aluminium and against TiAl blade castings. Modelling has contributed to designing a mould to promote progressive filling of the casting and has led to the use of a parabolic tilting cycle to balance the competing requirements for rapid filling to minimize the loss of superheat and slow filling minimize the turbulence-induced defects.