A domain decomposition based algorithm for non-linear 2D inverse heat conduction problems

Inverse heat conduction problems (IHCPs) appear in many important scientific and technological fields. Hence analysis, design, implementation and testing of inverse algorithms are also of great scientific and technological interest. The numerical simulation of 2-D and –D inverse (or even direct) problems involves a considerable amount of computation. Therefore, the investigation and exploitation of parallel properties of such algorithms are equally becoming very important. Domain decomposition (DD) methods are widely used to solve large scale engineering problems and to exploit their inherent ability for the solution of such problems.

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.

The use of mathematical modelling in fire safety engineering

Fire is a form of uncontrolled combustion which generates heat, smoke, toxic and irritant gases. All of these products are harmful to man and account for the heavy annual cost of 800 lives and £1,000,000,000 worth of property damage in Britain alone. The new discipline of Fire Safety Engineering has developed as a means of reducing these unacceptable losses. One of the main tools of Fire Safety Engineering is the mathematical model and over the past 15 years a number of mathematical models have emerged to cater for the needs of this discipline. Part of the difficulty faced by the Fire Safety Engineer is the selection of the most appropriate modelling tool to use for the job. To make an informed choice it is essential to have a good understanding of the various modelling approaches, their capabilities and limitations. In this paper some of the fundamental modelling tools used to predict fire and evacuation are investigated as are the issues associated with their use and recent developments in modelling technology.

Case-based reasoning as a tool to improve the usability of numerical models

There may be advantages to be gained by combining Case-Based Reasoning (CBR) techniques with numerical models. In this paper we consider 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. We describe a model of the problem of particle degradation in such a conveyor, and the problems faced by design engineers. The solution of these problems requires a system that allows iterative sharing of control between user, CBR system, and numerical model. This multi-initiative interaction is illustrated for the pneumatic conveyor by means of Unified Modeling Language (UML) collaboration and sequence diagrams. We show approaches to the solution of these problems via a CBR tool.