A note on the Balanced method

Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.

Numerical methods for strong solutions of stochastic differential equations: an overview

This paper gives a review of recent progress in the design of numerical methods for computing the trajectories (sample paths) of solutions to stochastic differential equations. We give a brief survey of the area focusing on a number of application areas where approximations to strong solutions are important, with a particular focus on computational biology applications, and give the necessary analytical tools for understanding some of the important concepts associated with stochastic processes. We present the stochastic Taylor series expansion as the fundamental mechanism for constructing effective numerical methods, give general results that relate local and global order of convergence and mention the Magnus expansion as a mechanism for designing methods that preserve the underlying structure of the problem. We also present various classes of explicit and implicit methods for strong solutions, based on the underlying structure of the problem. Finally, we discuss implementation issues relating to maintaining the Brownian path, efficient simulation of stochastic integrals and variable-step-size implementations based on various types of control.

Power system sensitivity analysis for probabilistic small signal stability assessment in a deregulated environment

Deregulations and market practices in power industry have brought great challenges to the system planning area. In particular, they introduce a variety of uncertainties to system planning. New techniques are required to cope with such uncertainties. As a promising approach, probabilistic methods are attracting more and more attentions by system planners. In small signal stability analysis, generation control parameters play an important role in determining the stability margin. The objective of this paper is to investigate power system state matrix sensitivity characteristics with respect to system parameter uncertainties with analytical and numerical approaches and to identify those parameters have great impact on system eigenvalues, therefore, the system stability properties. Those identified parameter variations need to be investigated with priority. The results can be used to help Regional Transmission Organizations (RTOs) and Independent System Operators (ISOs) perform planning studies under the open access environment.

Direct numerical simulation of turbulent flow and mass transfer around a rotating circular cylinder

Turbulent flow around a rotating circular cylinder has numerous applications including wall shear stress and mass-transfer measurement related to the corrosion studies. It is also of interest in the context of flow over convex surfaces where standard turbulence models perform poorly. The main purpose of this paper is to elucidate the basic turbulence mechanism around a rotating cylinder at low Reynolds numbers to provide a better understanding of flow fundamentals. Direct numerical simulation (DNS) has been performed in a reference frame rotating at constant angular velocity with the cylinder. The governing equations are discretized by using a finite-volume method. As for fully developed channel, pipe, and boundary layer flows, a laminar sublayer, buffer layer, and logarithmic outer region were observed. The level of mean velocity is lower in the buffer and outer regions but the logarithmic region still has a slope equal to the inverse of the von Karman constant. Instantaneous flow visualization revealed that the turbulence length scale typically decreases as the Reynolds number increases. Wavelet analysis provided some insight into the dependence of structural characteristics on wave number. The budget of the turbulent kinetic energy was computed and found to be similar to that in plane channel flow as well as in pipe and zero pressure gradient boundary layer flows. Coriolis effects show as an equivalent production for the azimuthal and radial velocity fluctuations leading to their ratio being lowered relative to similar nonrotating boundary layer flows.