An application of quasi-Newton methods for the numerical solution of interface problems

Quasi-Newton methods are applied to solve interface problems which arise from domain decomposition methods. These interface problems are usually sparse systems of linear or nonlinear equations. We are interested in applying these methods to systems of linear equations where we are not able or willing to calculate the Jacobian matrices as well as to systems of nonlinear equations resulting from nonlinear elliptic problems in the context of domain decomposition. Suitability for parallel implementation of these algorithms on coarse-grained parallel computers is discussed.

Numerical simulation of microwave thawing using a coupled solver approach

Thawing of a frozen food product in a domestic microwave oven is numerically simulated using a coupled solver approach. The approach consists of a dedicated electromagnetic FDTD solver and a closely coupled UFVM multi-physics package. Two overlapping numerical meshes are defined; the food material and container were meshed for heat transfer and phase change solution, whilst the microwave oven cavity and waveguide were meshed for the microwave irradiation. The two solution domains were linked using a cross-mapping routine. This approach allowed the rotation of the food load to be captured. Power densities obtained on the structured FDTD mesh were interpolated onto the UFVM mesh for each timestep/turntable position. The UFVM solver utilised the power density data to advance the temperature and phase distribution solution. The temperature-dependant dielectric and thermo-physical properties of the food load were updated prior to revising the electromagnetic solution. Changes in thermal/electric properties associated with the phase transition were fully accounted for as well as heat losses from product to cavity. Two scenarios were investigated: a centric and eccentric placement on the turntable. Developing temperature fields predicted by the numerical solution are validated against experimentally obtained data. Presented results indicate the feasibility of fully coupled simulations of the microwave heating of a frozen product. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)

Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Dynamics of an axisymmetric electromagnetic ‘crucible’ melting

Different industrial induction melting processes involve free surface and melt-solid interface of the liquid metal subject to dynamic change during the technological operation. Simulation of the liquid metal dynamics requires to solve the non-linear, coupled hydrodynamic-electromagnetic-heat transfer problem accounting for the time development of the liquid metal free boundary with a suitable turbulent viscosity model. The present paper describes a numerical solution method applicable for various axisymmetric induction melting processes, such as, crucible with free top surface, levitation, semi-levitation, cold crucible and similar melting techniques. The presented results in the cases of semi-levitation and crucible with free top surface meltings demonstrate oscillating transient behaviour of the free metal surface indicating the presence of gravity-inertial-electromagnetic waves which are coupled to the internal fluid flow generated by both the rotational and potential parts of the electromagnetic force.

Staggered-mesh computation for aerodynamic sound

For the numerical solution of the linearized Euler equations, an optimized computational scheme is considered. It is based on fully staggered (in space and time) regular meshes and on a simple mirroring procedure at the stepwise solid walls. There is no need to define ghost points into the solid ohjects that reflect the sound waves. Test results demonstrate the accuracy of the method that may be used for aeroacoustic problems with complex geometries.

[Review] M. Feistauer, J. Felcman, I. Straskbraba, Mathematical and Computational Methods for Compressible Flow, Oxford Science Publication, Oxford, ISBN 0198505884, 2004 (535pp.)

The growth of computer power allows the solution of complex problems related to compressible flow, which is an important class of problems in modern day CFD. Over the last 15 years or so, many review works on CFD have been published. This book concerns both mathematical and numerical methods for compressible flow. In particular, it provides a clear cut introduction as well as in depth treatment of modern numerical methods in CFD. This book is organised in two parts. The first part consists of Chapters 1 and 2, and is mainly devoted to theoretical discussions and results. Chapter 1 concerns fundamental physical concepts and theoretical results in gas dynamics. Chapter 2 describes the basic mathematical theory of compressible flow using the inviscid Euler equations and the viscous Navier–Stokes equations. Existence and uniqueness results are also included. The second part consists of modern numerical methods for the Euler and Navier–Stokes equations. Chapter 3 is devoted entirely to the finite volume method for the numerical solution of the Euler equations and covers fundamental concepts such as order of numerical schemes, stability and high-order schemes. The finite volume method is illustrated for 1-D as well as multidimensional Euler equations. Chapter 4 covers the theory of the finite element method and its application to compressible flow. A section is devoted to the combined finite volume–finite element method, and its background theory is also included. Throughout the book numerous examples have been included to demonstrate the numerical methods. The book provides a good insight into the numerical schemes, theoretical analysis, and validation of test problems. It is a very useful reference for applied mathematicians, numerical analysts, and practice engineers. It is also an important reference for postgraduate researchers in the field of scientific computing and CFD.

Dynamics of an axisymmetric electromagnetic 'crucible' melting

Different industrial induction melting processes involve free surface and melt-solid interface of the liquid metal subject to dynamic change during the technological operation. Simulation of the liquid metal dynamics requires to solve the non-linear, coupled hydrodynamic-electromagnetic-heat transfer problem accounting for the time development of the liquid metal free boundary with a suitable turbulent viscosity model. The present paper describes a numerical solution method applicable for various axisymmetric induction melting processes, such as, crucible with free top surface, levitation, semi-levitation, cold crucible and similar melting techniques. The presented results in the cases of semi-levitation and crucible with free top surface meltings demonstrate oscillating transient behaviour of the free metal surface indicating the presence of gravity-inertial-electromagnetic waves which are coupled to the internal fluid flow generated by both the rotational and potential parts of the electromagnetic force.

Time domain decomposition for European options in financial modelling

Finance is one of the fastest growing areas in modern applied mathematics with real world applications. The interest of this branch of applied mathematics is best described by an example involving shares. Shareholders of a company receive dividends which come from the profit made by the company. The proceeds of the company, once it is taken over or wound up, will also be distributed to shareholders. Therefore shares have a value that reflects the views of investors about the likely dividend payments and capital growth of the company. Obviously such value will be quantified by the share price on stock exchanges. Therefore financial modelling serves to understand the correlations between asset and movements of buy/sell in order to reduce risk. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. There are other financial activities and it is not an intention of this paper to discuss all of these activities. The main concern of this paper is to propose a parallel algorithm for the numerical solution of an European option. This paper is organised as follows. First, a brief introduction is given of a simple mathematical model for European options and possible numerical schemes of solving such mathematical model. Second, Laplace transform is applied to the mathematical model which leads to a set of parametric equations where solutions of different parametric equations may be found concurrently. Numerical inverse Laplace transform is done by means of an inversion algorithm developed by Stehfast. The scalability of the algorithm in a distributed environment is demonstrated. Third, a performance analysis of the present algorithm is compared with a spatial domain decomposition developed particularly for time-dependent heat equation. Finally, a number of issues are discussed and future work suggested.

A volume of fluid numerical model for wave impacts at coastal structures

The first stages in the development of a new design tool, to be used by coastal engineers to improve the efficiency, analysis, design, management and operation of a wide range of coastal and harbour structures, are described. The tool is based on a two-dimensional numerical model, NEWMOTICS-2D, using the volume of fluid (VOF) method, which permits the rapid calculation of wave hydrodynamics at impermeable natural and man-made structures. The critical hydrodynamic flow processes and forces are identified together with the equations that describe these key processes. The different possible numerical approaches for the solution of these equations, and the types of numerical models currently available, are examined and assessed. Preliminary tests of the model, using comparisons with results from a series of hydraulic model test cases, are described. The results of these tests demonstrate that the VOF approach is particularly appropriate for the simulation of the dynamics of waves at coastal structures because of its flexibility in representing the complex free surfaces encountered during wave impact and breaking. The further programme of work, required to develop the existing model into a tool for use in routine engineering design, is outlined.

A generic time and space accurate numerical approach to closely coupled fluid-structure interaction problems

Fluid structure interaction, as applied to flexible structures, has wide application in diverse areas such as flutter in aircraft, flow in elastic pipes and blood vessels and extrusion of metals through dies. However a comprehensive computational model of these multi-physics phenomena is a considerable challenge. Until recently work in this area focused on one phenomenon and represented the behaviour of the other more simply even to the extent in metal forming, for example, that the deformation of the die is totally ignored. More recently, strategies for solving the full coupling between the fluid and soild mechanics behaviour have developed. Conventionally, the computational modelling of fluid structure interaction is problematical since computational fluid dynamics (CFD) is solved using finite volume (FV) methods and computational structural mechanics (CSM) is based entirely on finite element (FE) methods. In the past the concurrent, but rather disparate, development paths for the finite element and finite volume methods have resulted in numerical software tools for CFD and CSM that are different in almost every respect. Hence, progress is frustrated in modelling the emerging multi-physics problem of fluid structure interaction in a consistent manner. Unless the fluid-structure coupling is either one way, very weak or both, transferring and filtering data from one mesh and solution procedure to another may lead to significant problems in computational convergence. Using a novel three phase technique the full interaction between the fluid and the dynamic structural response are represented. The procedure is demonstrated on some challenging applications in complex three dimensional geometries involving aircraft flutter, metal forming and blood flow in arteries.

Enhancing the usability of numerical models with case-based reasoning

Numerical models are important tools used in engineering fields to predict the behaviour and the impact of physical elements. There may be advantages to be gained by combining Case-Based Reasoning (CBR) techniques with numerical models. This paper considers how CBR can be used as a flexible query engine to improve the usability of numerical models. Particularly they can help to solve inverse and mixed problems, and to solve constraint problems. We discuss this idea with reference to the illustrative example of a pneumatic conveyor problem. The paper describes example problems faced by design engineers in this context and the issues that need to be considered in this approach. Solution of these problems require methods to handle constraints in both the retrieval phase and the adaptation phase of a typical CBR cycle. We show approaches to the solution of these problesm via a CBR tool.

Parallel algorithms of the Purcell method for direct solution of linear systems

In this paper, we first demonstrate that the classical Purcell's vector method when combined with row pivoting yields a consistently small growth factor in comparison to the well-known Gauss elimination method, the Gauss–Jordan method and the Gauss–Huard method with partial pivoting. We then present six parallel algorithms of the Purcell method that may be used for direct solution of linear systems. The algorithms differ in ways of pivoting and load balancing. We recommend algorithms V and VI for their reliability and algorithms III and IV for good load balance if local pivoting is acceptable. Some numerical results are presented.

Numerical simulation of incompressible flow problems using an unstructured staggered mesh method

A number of two dimensional staggered unstructured discretisation schemes for the solution of fluid flow and heat transfer problems have been developed. All schemes store and solve velocity vector components at cell faces with scalar variables solved at cell centres. The velocity is resolved into face-normal and face-parallel components and the various schemes investigated differ in the treatment of the parallel component. Steady-state and time-dependent fluid flow and thermal energy equations are solved with the well known pressure correction scheme, SIMPLE, employed to couple continuity and momentum. The numerical methods developed are tested on well known benchmark cases: the Lid-Driven Cavity, Natural Convection in a Cavity and Melting of Gallium in a rectangular domain. The results obtained are shown to be comparable to benchmark, but with accuracy dependent on scheme selection.

Numerical simulation of encapsulant curing within a variable frequency microwave processing system

Curing of encapsulant material in a simplified microelectronics package using an open oven Variable Frequency Microwave (VFM) system is numerically simulated using a coupled solver approach. A numerical framework capable of simulating electromagnetic field distribution within the oven system, plus heat transfer, cure rate, degree of cure and thermally induced stresses within the encapsulant material is presented. The discrete physical processes have been integrated into a fully coupled solution, enabling usefully accurate results to be generated. Numerical results showing the heating and curing of the encapsulant material have been obtained and are presented in this contribution. The requirement to capture inter-process coupling and the variation in dielectric and thermophysical material properties is discussed and illustrated with simulation results.