The composite Euler method for stiff stochastic differential equations

In this paper we present the composite Euler method for the strong solution of stochastic differential equations driven by d-dimensional Wiener processes. This method is a combination of the semi-implicit Euler method and the implicit Euler method. At each step either the semi-implicit Euler method or the implicit Euler method is used in order to obtain better stability properties. We give criteria for selecting the semi-implicit Euler method or the implicit Euler method. For the linear test equation, the convergence properties of the composite Euler method depend on the criteria for selecting the methods. Numerical results suggest that the convergence properties of the composite Euler method applied to nonlinear SDEs is the same as those applied to linear equations. The stability properties of the composite Euler method are shown to be far superior to those of the Euler methods, and numerical results show that the composite Euler method is a very promising method. (C) 2001 Elsevier Science B.V. All rights reserved.

The Equilibrium Flux Method for the calculation of flows with non-equilbrium chemical reactions

The Equilibrium Flux Method [1] is a kinetic theory based finite volume method for calculating the flow of a compressible ideal gas. It is shown here that, in effect, the method solves the Euler equations with added pseudo-dissipative terms and that it is a natural upwinding scheme. The method can be easily modified so that the flow of a chemically reacting gas mixture can be calculated. Results from the method for a one-dimensional non-equilibrium reacting flow are shown to agree well with a conventional continuum solution. Results are also presented for the calculation of a plane two-dimensional flow, at hypersonic speed, of a dissociating gas around a blunt-nosed body.

Theory manual to OctVCE – a cartesian cell CFD code with special application to blast wave problems, Department of Mechanical Engineering Report 2007/12

OctVCE is a cartesian cell CFD code produced especially for numerical simulations of shock and blast wave interactions with complex geometries, in particular, from explosions. Virtual Cell Embedding (VCE) was chosen as its cartesian cell kernel for its simplicity and sufficiency for practical engineering design problems. The code uses a finite-volume formulation of the unsteady Euler equations with a second order explicit Runge-Kutta Godonov (MUSCL) scheme. Gradients are calculated using a least-squares method with a minmod limiter. Flux solvers used are AUSM, AUSMDV and EFM. No fluid-structure coupling or chemical reactions are allowed, but gas models can be perfect gas and JWL or JWLB for the explosive products. This report also describes the code’s ‘octree’ mesh adaptive capability and point-inclusion query procedures for the VCE geometry engine. Finally, some space will also be devoted to describing code parallelization using the shared-memory OpenMP paradigm. The user manual to the code is to be found in the companion report 2007/13.

User guide for shock and blast simulation with the OctVCE code (version 3.5+), Department of Mechanical Engineering Report 2007/13

OctVCE is a cartesian cell CFD code produced especially for numerical simulations of shock and blast wave interactions with complex geometries. Virtual Cell Embedding (VCE) was chosen as its cartesian cell kernel as it is simple to code and sufficient for practical engineering design problems. This also makes the code much more ‘user-friendly’ than structured grid approaches as the gridding process is done automatically. The CFD methodology relies on a finite-volume formulation of the unsteady Euler equations and is solved using a standard explicit Godonov (MUSCL) scheme. Both octree-based adaptive mesh refinement and shared-memory parallel processing capability have also been incorporated. For further details on the theory behind the code, see the companion report 2007/12.

A computational study of shock speeds in high-performance shock tubes

This paper describes U2DE, a finite-volume code that numerically solves the Euler equations. The code was used to perform multi-dimensional simulations of the gradual opening of a primary diaphragm in a shock tube. From the simulations, the speed of the developing shock wave was recorded and compared with other estimates. The ability of U2DE to compute shock speed was confirmed by comparing numerical results with the analytic solution for an ideal shock tube. For high initial pressure ratios across the diaphragm, previous experiments have shown that the measured shock speed can exceed the shock speed predicted by one-dimensional models. The shock speeds computed with the present multi-dimensional simulation were higher than those estimated by previous one-dimensional models and, thus, were closer to the experimental measurements. This indicates that multi-dimensional flow effects were partly responsible for the relatively high shock speeds measured in the experiments.

A numerical study of flexural buckling of foliated rock slopes

The occurrence of foliated rock masses is common in mining environment. Methods employing continuum approximation in describing the deformation of such rock masses possess a clear advantage over methods where each rock layer and each inter-layer interface (joint) is explicitly modelled. In devising such a continuum model it is imperative that moment (couple) stresses and internal rotations associated with the bending of the rock layers be properly incorporated in the model formulation. Such an approach will lead to a Cosserat-type theory. In the present model, the behaviour of the intact rock layer is assumed to be linearly elastic and the joints are assumed to be elastic-perfectly plastic. Condition of slip at the interfaces are determined by a Mohr-Coulomb criterion with tension cut off at zero normal stress. The theory is valid for large deformations. The model is incorporated into the finite element program AFENA and validated against an analytical solution of elementary buckling problems of a layered medium under gravity loading. A design chart suitable for assessing the stability of slopes in foliated rock masses against flexural buckling failure has been developed. The design chart is easy to use and provides a quick estimate of critical loading factors for slopes in foliated rock masses. It is shown that the model based on Euler's buckling theory as proposed by Cavers (Rock Mechanics and Rock Engineering 1981; 14:87-104) substantially overestimates the critical heights for a vertical slope and underestimates the same for sub-vertical slopes. Copyright (C) 2001 John Wiley & Sons, Ltd.

Implicit Taylor methods for stiff stochastic differential equations

In this paper we discuss implicit Taylor methods for stiff Ito stochastic differential equations. Based on the relationship between Ito stochastic integrals and backward stochastic integrals, we introduce three implicit Taylor methods: the implicit Euler-Taylor method with strong order 0.5, the implicit Milstein-Taylor method with strong order 1.0 and the implicit Taylor method with strong order 1.5. The mean-square stability properties of the implicit Euler-Taylor and Milstein-Taylor methods are much better than those of the corresponding semi-implicit Euler and Milstein methods and these two implicit methods can be used to solve stochastic differential equations which are stiff in both the deterministic and the stochastic components. Numerical results are reported to show the convergence properties and the stability properties of these three implicit Taylor methods. The stability analysis and numerical results show that the implicit Euler-Taylor and Milstein-Taylor methods are very promising methods for stiff stochastic differential equations.

Analytical solution and numerical model for the interface in a stratified long wave system

For a two layered long wave propagation, linearized governing equations, which were derived earlier from the Euler equations of mass and momentum assuming negligible friction and interfacial mixing are solved analytically using Fourier transform. For the solution, variations of upper layer water level is assumed to be sinosoidal having known amplitude and variations of interface level is solved. As the governing equations are too complex to solve it analytically, density of upper layer fluid is assumed as very close to the density of lower layer fluid to simplify the lower layer equation. A numerical model is developed using the staggered leap-forg scheme for computation of water level and discharge in one dimensional propagation having known amplitude for the variations of upper layer water level and interface level to be solved. For the numerical model, water levels (upper layer and interface) at both the boundaries are assumed to be known from analytical solution. Results of numerical model are verified by comparing with the analytical solutions for different time period. Good agreements between analytical solution and numerical model are found for the stated boundary condition. The reliability of the developed numerical model is discussed, using it for different a (ratio of density of fluid in the upper layer to that in the lower layer) and p (ratio of water depth in the lower layer to that in the upper layer) values. It is found that as ‘CX’ increases amplification of interface also increases for same upper layer amplitude. Again for a constant lower layer depth, as ‘p’ increases amplification of interface. also increases for same upper layer amplitude.

Numerical simulation of stochastic ordinary differential equations in biomathematical modelling

In this work we discuss the effects of white and coloured noise perturbations on the parameters of a mathematical model of bacteriophage infection introduced by Beretta and Kuang in [Math. Biosc. 149 (1998) 57]. We numerically simulate the strong solutions of the resulting systems of stochastic ordinary differential equations (SDEs), with respect to the global error, by means of numerical methods of both Euler-Taylor expansion and stochastic Runge-Kutta type. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.

A multi-scaled approach for simulating chemical reaction systems

In this paper we give an overview of some very recent work, as well as presenting a new approach, on the stochastic simulation of multi-scaled systems involving chemical reactions. In many biological systems (such as genetic regulation and cellular dynamics) there is a mix between small numbers of key regulatory proteins, and medium and large numbers of molecules. In addition, it is important to be able to follow the trajectories of individual molecules by taking proper account of the randomness inherent in such a system. We describe different types of simulation techniques (including the stochastic simulation algorithm, Poisson Runge–Kutta methods and the balanced Euler method) for treating simulations in the three different reaction regimes: slow, medium and fast. We then review some recent techniques on the treatment of coupled slow and fast reactions for stochastic chemical kinetics and present a new approach which couples the three regimes mentioned above. We then apply this approach to a biologically inspired problem involving the expression and activity of LacZ and LacY proteins in E. coli, and conclude with a discussion on the significance of this work.

On the chaotic rotation of a liquid-filled gyrostat via the Melnikov-Holmes-Marsden integral

The non-linear motions of a gyrostat with an axisymmetrical, fluid-filled cavity are investigated. The cavity is considered to be completely filled with an ideal incompressible liquid performing uniform rotational motion. Helmholtz theorem, Euler's angular momentum theorem and Poisson equations are used to develop the disturbed Hamiltonian equations of the motions of the liquid-filled gyrostat subjected to small perturbing moments. The equations are established in terms of a set of canonical variables comprised of Euler angles and the conjugate angular momenta in order to facilitate the application of the Melnikov-Holmes-Marsden (MHM) method to investigate homoclinic/heteroclinic transversal intersections. In such a way, a criterion for the onset of chaotic oscillations is formulated for liquid-filled gyrostats with ellipsoidal and torus-shaped cavities and the results are confirmed via numerical simulations. (c) 2006 Elsevier Ltd. All rights reserved.

Field observations of instantaneous water slopes and horizontal pressure gradients in the swash-zone

Field observations of instantaneous water surface slopes in the swash zone are presented. For free-surface flows with a hydrostatic pressure distribution the surface slope is equivalent to the horizontal pressure gradient. Observations were made using a novel technique which in its simplest form consists of a horizontal stringline extending seaward from the beach face. Visual observation, still photography or video photography is then sufficient to determine the surface slope where the free-surface cuts the line or between reference points in the image. The method resolves the mean surface gradient over a cross-shore distance of 5 m or more to within +/- 0.001, or 1/20th -1/100th of typical beach gradients. In addition, at selected points and at any instant in time during the swash cycle, the water surface slope can be determined exactly to be dipping either seaward or landward. Close to the location of bore collapse landward dipping water surface slopes of order 0.05-0.1 occur over a very small region (order 0.5 m) at the blunt or convex leading edge of the swash. In the middle and upper swash the water surface slope at this leading edge is usually very close to horizontal or slightly seaward. Behind the leading edge, the water surface slope was observed to be very close to horizontal or dipping seaward at all times throughout the swash uprush. During the backwash the water surface slope was observed to be always dipping seaward, approaching the beach slope, and remained seaward until a new uprush edge or incident bore passed any particular cross-shore location of interest. The observations strongly Suggest that the swash boundary layer is subject to an adverse pressure gradient during uprush and a favourable pressure gradient during the backwash. Furthermore, assuming Euler's equations are a good approximation in the swash, the observations also show that the total fluid acceleration is negative (offshore) for almost the whole of the uprush and for the entire backwash. The observations are contrary to recent work suggesting significant shoreward directed accelerations and pressure gradients occur in the swash (i.e., delta u/delta t > 0 similar to delta p/delta x < 0), but consistent with analytical and numerical solutions for swash uprush and backwash. The results have important implications for sediment transport modelling in the swash zone.

Summarizing level-two topological relations in large spatial datasets

Summarizing topological relations is fundamental to many spatial applications including spatial query optimization. In this article, we present several novel techniques to effectively construct cell density based spatial histograms for range (window) summarizations restricted to the four most important level-two topological relations: contains, contained, overlap, and disjoint. We first present a novel framework to construct a multiscale Euler histogram in 2D space with the guarantee of the exact summarization results for aligned windows in constant time. To minimize the storage space in such a multiscale Euler histogram, an approximate algorithm with the approximate ratio 19/12 is presented, while the problem is shown NP-hard generally. To conform to a limited storage space where a multiscale histogram may be allowed to have only k Euler histograms, an effective algorithm is presented to construct multiscale histograms to achieve high accuracy in approximately summarizing aligned windows. Then, we present a new approximate algorithm to query an Euler histogram that cannot guarantee the exact answers; it runs in constant time. We also investigate the problem of nonaligned windows and the problem of effectively partitioning the data space to support nonaligned window queries. Finally, we extend our techniques to 3D space. Our extensive experiments against both synthetic and real world datasets demonstrate that the approximate multiscale histogram techniques may improve the accuracy of the existing techniques by several orders of magnitude while retaining the cost efficiency, and the exact multiscale histogram technique requires only a storage space linearly proportional to the number of cells for many popular real datasets.

Stochastic modelling and simulations for solute transport in porous media

A stochastic model for solute transport in aquifers is studied based on the concepts of stochastic velocity and stochastic diffusivity. By applying finite difference techniques to the spatial variables of the stochastic governing equation, a system of stiff stochastic ordinary differential equations is obtained. Both the semi-implicit Euler method and the balanced implicit method are used for solving this stochastic system. Based on the Karhunen-Loeve expansion, stochastic processes in time and space are calculated by means of a spatial correlation matrix. Four types of spatial correlation matrices are presented based on the hydraulic properties of physical parameters. Simulations with two types of correlation matrices are presented.

Accelerated leap methods for simulating discrete stochastic chemical kinetics

Biologists are increasingly conscious of the critical role that noise plays in cellular functions such as genetic regulation, often in connection with fluctuations in small numbers of key regulatory molecules. This has inspired the development of models that capture this fundamentally discrete and stochastic nature of cellular biology - most notably the Gillespie stochastic simulation algorithm (SSA). The SSA simulates a temporally homogeneous, discrete-state, continuous-time Markov process, and of course the corresponding probabilities and numbers of each molecular species must all remain positive. While accurately serving this purpose, the SSA can be computationally inefficient due to very small time stepping so faster approximations such as the Poisson and Binomial τ-leap methods have been suggested. This work places these leap methods in the context of numerical methods for the solution of stochastic differential equations (SDEs) driven by Poisson noise. This allows analogues of Euler-Maruyuma, Milstein and even higher order methods to be developed through the Itô-Taylor expansions as well as similar derivative-free Runge-Kutta approaches. Numerical results demonstrate that these novel methods compare favourably with existing techniques for simulating biochemical reactions by more accurately capturing crucial properties such as the mean and variance than existing methods.