A pseudo-spectral method for the simulation of poro-elastic seismic wave propagation in 2D polar coordinates using domain decomposition

We present a novel numerical approach for the comprehensive, flexible, and accurate simulation of poro-elastic wave propagation in 2D polar coordinates. An important application of this method and its extensions will be the modeling of complex seismic wave phenomena in fluid-filled boreholes, which represents a major, and as of yet largely unresolved, computational problem in exploration geophysics. In view of this, we consider a numerical mesh, which can be arbitrarily heterogeneous, consisting of two or more concentric rings representing the fluid in the center and the surrounding porous medium. The spatial discretization is based on a Chebyshev expansion in the radial direction and a Fourier expansion in the azimuthal direction and a Runge-Kutta integration scheme for the time evolution. A domain decomposition method is used to match the fluid-solid boundary conditions based on the method of characteristics. This multi-domain approach allows for significant reductions of the number of grid points in the azimuthal direction for the inner grid domain and thus for corresponding increases of the time step and enhancements of computational efficiency. The viability and accuracy of the proposed method has been rigorously tested and verified through comparisons with analytical solutions as well as with the results obtained with a corresponding, previously published, and independently bench-marked solution for 2D Cartesian coordinates. Finally, the proposed numerical solution also satisfies the reciprocity theorem, which indicates that the inherent singularity associated with the origin of the polar coordinate system is adequately handled.

Brownian dynamics simulation of DNA condensation.

DNA condensation observed in vitro with the addition of polyvalent counterions is due to intermolecular attractive forces. We introduce a quantitative model of these forces in a Brownian dynamics simulation in addition to a standard mean-field Poisson-Boltzmann repulsion. The comparison of a theoretical value of the effective diameter calculated from the second virial coefficient in cylindrical geometry with some experimental results allows a quantitative evaluation of the one-parameter attractive potential. We show afterward that with a sufficient concentration of divalent salt (typically approximately 20 mM MgCl(2)), supercoiled DNA adopts a collapsed form where opposing segments of interwound regions present zones of lateral contact. However, under the same conditions the same plasmid without torsional stress does not collapse. The condensed molecules present coexisting open and collapsed plectonemic regions. Furthermore, simulations show that circular DNA in 50% methanol solutions with 20 mM MgCl(2) aggregates without the requirement of torsional energy. This confirms known experimental results. Finally, a simulated DNA molecule confined in a box of variable size also presents some local collapsed zones in 20 mM MgCl(2) above a critical concentration of the DNA. Conformational entropy reduction obtained either by supercoiling or by confinement seems thus to play a crucial role in all forms of condensation of DNA.

DNA-DNA interactions in bacteriophage capsids are responsible for the observed DNA knotting.

Recent experiments showed that the linear double-stranded DNA in bacteriophage capsids is both highly knotted and neatly structured. What is the physical basis of this organization? Here we show evidence from stochastic simulation techniques that suggests that a key element is the tendency of contacting DNA strands to order, as in cholesteric liquid crystals. This interaction favors their preferential juxtaposition at a small twist angle, thus promoting an approximately nematic (and apolar) local order. The ordering effect dramatically impacts the geometry and topology of DNA inside phages. Accounting for this local potential allows us to reproduce the main experimental data on DNA organization in phages, including the cryo-EM observations and detailed features of the spectrum of DNA knots formed inside viral capsids. The DNA knots we observe are strongly delocalized and, intriguingly, this is shown not to interfere with genome ejection out of the phage.

Stochastic Population Projection for Germany - based on the Quadratic Spline approach to modelling age specific fertility rates

This contribution builds upon a former paper by the authors (Lipps and Betz 2004), in which a stochastic population projection for East- and West Germany is performed. Aim was to forecast relevant population parameters and their distribution in a consistent way. We now present some modifications, which have been modelled since. First, population parameters for the entire German population are modelled. In order to overcome the modelling problem of the structural break in the East during reunification, we show that the adaptation process of the relevant figures by the East can be considered to be completed by now. As a consequence, German parameters can be modelled just by using the West German historic patterns, with the start-off population of entire Germany. Second, a new model to simulate age specific fertility rates is presented, based on a quadratic spline approach. This offers a higher flexibility to model various age specific fertility curves. The simulation results are compared with the scenario based official forecasts for Germany in 2050. Exemplary for some population parameters (e.g. dependency ratio), it can be shown that the range spanned by the medium and extreme variants correspond to the s-intervals in the stochastic framework. It seems therefore more appropriate to treat this range as a s-interval covering about two thirds of the true distribution.

On the problematic of reserving and stochastic loss models

Abstract Traditionally, the common reserving methods used by the non-life actuaries are based on the assumption that future claims are going to behave in the same way as they did in the past. There are two main sources of variability in the processus of development of the claims: the variability of the speed with which the claims are settled and the variability between the severity of the claims from different accident years. High changes in these processes will generate distortions in the estimation of the claims reserves. The main objective of this thesis is to provide an indicator which firstly identifies and quantifies these two influences and secondly to determine which model is adequate for a specific situation. Two stochastic models were analysed and the predictive distributions of the future claims were obtained. The main advantage of the stochastic models is that they provide measures of variability of the reserves estimates. The first model (PDM) combines one conjugate family Dirichlet - Multinomial with the Poisson distribution. The second model (NBDM) improves the first one by combining two conjugate families Poisson -Gamma (for distribution of the ultimate amounts) and Dirichlet Multinomial (for distribution of the incremental claims payments). It was found that the second model allows to find the speed variability in the reporting process and development of the claims severity as function of two above mentioned distributions' parameters. These are the shape parameter of the Gamma distribution and the Dirichlet parameter. Depending on the relation between them we can decide on the adequacy of the claims reserve estimation method. The parameters have been estimated by the Methods of Moments and Maximum Likelihood. The results were tested using chosen simulation data and then using real data originating from the three lines of business: Property/Casualty, General Liability, and Accident Insurance. These data include different developments and specificities. The outcome of the thesis shows that when the Dirichlet parameter is greater than the shape parameter of the Gamma, resulting in a model with positive correlation between the past and future claims payments, suggests the Chain-Ladder method as appropriate for the claims reserve estimation. In terms of claims reserves, if the cumulated payments are high the positive correlation will imply high expectations for the future payments resulting in high claims reserves estimates. The negative correlation appears when the Dirichlet parameter is lower than the shape parameter of the Gamma, meaning low expected future payments for the same high observed cumulated payments. This corresponds to the situation when claims are reported rapidly and fewer claims remain expected subsequently. The extreme case appears in the situation when all claims are reported at the same time leading to expectations for the future payments of zero or equal to the aggregated amount of the ultimate paid claims. For this latter case, the Chain-Ladder is not recommended.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Optimization of snowmaking in high mountains ski resort

Ski resorts are deploying more and more systems of artificial snow. These tools are necessary to ensure an important economic activity for the high alpine valleys. However, artificial snow raises important environmental issues that can be reduced by an optimization of its production. This paper presents a software prototype based on artificial intelligence to help ski resorts better manage their snowpack. It combines on one hand a General Neural Network for the analysis of the snow cover and the spatial prediction, with on the other hand a multiagent simulation of skiers for the analysis of the spatial impact of ski practice. The prototype has been tested on the ski resort of Verbier (Switzerland).

Simulation of interface dynamics across pore discontinuities

We study the dynamics of a water-oil meniscus moving from a smaller to a larger pore. The process is characterised by an abrupt change in the configuration, yielding a sudden energy release. A theoretic study for static conditions provides analytical solutions of the surface energy content of the system. Although the configuration after the sudden energy release is energetically more convenient, an energy barrier must be overcome before the process can happen spontaneously. The energy barrier depends on the system geometry and on the flow parameters. The analytical results are compared to numerical simulations that solve the full Navier-Stokes equation in the pore space and employ the Volume Of Fluid (VOF) method to track the evolution of the interface. First, the numerical simulations of a quasi-static process are validated by comparison with the analytical solutions for a static meniscus, then numerical simulations with varying injection velocity are used to investigate dynamic effects on the configuration change. During the sudden energy jump the system exhibits an oscillatory behaviour. Extension to more complex geometries might elucidate the mechanisms leading to a dynamic capillary pressure and to bifurcations in final distributions of fluid phases in porous

A Monte Carlo-based procedure for independent monitor unit calculation in IMRT treatment plans.

Intensity-modulated radiotherapy (IMRT) treatment plan verification by comparison with measured data requires having access to the linear accelerator and is time consuming. In this paper, we propose a method for monitor unit (MU) calculation and plan comparison for step and shoot IMRT based on the Monte Carlo code EGSnrc/BEAMnrc. The beamlets of an IMRT treatment plan are individually simulated using Monte Carlo and converted into absorbed dose to water per MU. The dose of the whole treatment can be expressed through a linear matrix equation of the MU and dose per MU of every beamlet. Due to the positivity of the absorbed dose and MU values, this equation is solved for the MU values using a non-negative least-squares fit optimization algorithm (NNLS). The Monte Carlo plan is formed by multiplying the Monte Carlo absorbed dose to water per MU with the Monte Carlo/NNLS MU. Several treatment plan localizations calculated with a commercial treatment planning system (TPS) are compared with the proposed method for validation. The Monte Carlo/NNLS MUs are close to the ones calculated by the TPS and lead to a treatment dose distribution which is clinically equivalent to the one calculated by the TPS. This procedure can be used as an IMRT QA and further development could allow this technique to be used for other radiotherapy techniques like tomotherapy or volumetric modulated arc therapy.

EADock: docking of small molecules into protein active sites with a multiobjective evolutionary optimization.

In recent years, protein-ligand docking has become a powerful tool for drug development. Although several approaches suitable for high throughput screening are available, there is a need for methods able to identify binding modes with high accuracy. This accuracy is essential to reliably compute the binding free energy of the ligand. Such methods are needed when the binding mode of lead compounds is not determined experimentally but is needed for structure-based lead optimization. We present here a new docking software, called EADock, that aims at this goal. It uses an hybrid evolutionary algorithm with two fitness functions, in combination with a sophisticated management of the diversity. EADock is interfaced with the CHARMM package for energy calculations and coordinate handling. A validation was carried out on 37 crystallized protein-ligand complexes featuring 11 different proteins. The search space was defined as a sphere of 15 A around the center of mass of the ligand position in the crystal structure, and on the contrary to other benchmarks, our algorithm was fed with optimized ligand positions up to 10 A root mean square deviation (RMSD) from the crystal structure, excluding the latter. This validation illustrates the efficiency of our sampling strategy, as correct binding modes, defined by a RMSD to the crystal structure lower than 2 A, were identified and ranked first for 68% of the complexes. The success rate increases to 78% when considering the five best ranked clusters, and 92% when all clusters present in the last generation are taken into account. Most failures could be explained by the presence of crystal contacts in the experimental structure. Finally, the ability of EADock to accurately predict binding modes on a real application was illustrated by the successful docking of the RGD cyclic pentapeptide on the alphaVbeta3 integrin, starting far away from the binding pocket.

Integration of local-scale hydrological and regional-scale geophysical based on a nonlinear Bayesian sequential simulation approach

Significant progress has been made with regard to the quantitative integration of geophysical and hydrological data at the local scale. However, extending the corresponding approaches to the regional scale represents a major, and as-of-yet largely unresolved, challenge. To address this problem, we have developed a downscaling procedure based on a non-linear Bayesian sequential simulation approach. The basic objective of this algorithm is to estimate the value of the sparsely sampled hydraulic conductivity at non-sampled locations based on its relation to the electrical conductivity, which is available throughout the model space. The in situ relationship between the hydraulic and electrical conductivities is described through a non-parametric multivariate kernel density function. This method is then applied to the stochastic integration of low-resolution, re- gional-scale electrical resistivity tomography (ERT) data in combination with high-resolution, local-scale downhole measurements of the hydraulic and electrical conductivities. Finally, the overall viability of this downscaling approach is tested and verified by performing and comparing flow and transport simulation through the original and the downscaled hydraulic conductivity fields. Our results indicate that the proposed procedure does indeed allow for obtaining remarkably faithful estimates of the regional-scale hydraulic conductivity structure and correspondingly reliable predictions of the transport characteristics over relatively long distances.

Influence of scatter reduction method and monochromatic beams on image quality and dose in mammography.

In mammography, the image contrast and dose delivered to the patient are determined by the x-ray spectrum and the scatter to primary ratio S/P. Thus the quality of the mammographic procedure is highly dependent on the choice of anode and filter material and on the method used to reduce the amount of scattered radiation reaching the detector. Synchrotron radiation is a useful tool to study the effect of beam energy on the optimization of the mammographic process because it delivers a high flux of monochromatic photons. Moreover, because the beam is naturally flat collimated in one direction, a slot can be used instead of a grid for scatter reduction. We have measured the ratio S/P and the transmission factors for grids and slots for monoenergetic synchrotron radiation. In this way the effect of beam energy and scatter rejection method were separated, and their respective importance for image quality and dose analyzed. Our results show that conventional mammographic spectra are not far from optimum and that the use of a slot instead of a grid has an important effect on the optimization of the mammographic process. We propose a simple numerical model to quantify this effect.

Characterisation of the PSI whole body counter by radiographic imaging.

A joint project between the Paul Scherrer Institut (PSI) and the Institute of Radiation Physics was initiated to characterise the PSI whole body counter in detail through measurements and Monte Carlo simulation. Accurate knowledge of the detector geometry is essential for reliable simulations of human body phantoms filled with known activity concentrations. Unfortunately, the technical drawings provided by the manufacturer are often not detailed enough and sometimes the specifications do not agree with the actual set-up. Therefore, the exact detector geometry and the position of the detector crystal inside the housing were determined through radiographic images. X-rays were used to analyse the structure of the detector, and (60)Co radiography was employed to measure the core of the germanium crystal. Moreover, the precise axial alignment of the detector within its housing was determined through a series of radiographic images with different incident angles. The hence obtained information enables us to optimise the Monte Carlo geometry model and to perform much more accurate and reliable simulations.

Stochastic models and numerical algorithms for a class of regulatory gene networks.

Regulatory gene networks contain generic modules, like those involving feedback loops, which are essential for the regulation of many biological functions (Guido et al. in Nature 439:856-860, 2006). We consider a class of self-regulated genes which are the building blocks of many regulatory gene networks, and study the steady-state distribution of the associated Gillespie algorithm by providing efficient numerical algorithms. We also study a regulatory gene network of interest in gene therapy, using mean-field models with time delays. Convergence of the related time-nonhomogeneous Markov chain is established for a class of linear catalytic networks with feedback loops.

Modelling hydrodynamics in the Rio Parana, Argentina : an evaluation and inter-comparison of reduced-complexity and physics based models applied to a large sand-bed river

Depth-averaged velocities and unit discharges within a 30 km reach of one of the world's largest rivers, the Rio Parana, Argentina, were simulated using three hydrodynamic models with different process representations: a reduced complexity (RC) model that neglects most of the physics governing fluid flow, a two-dimensional model based on the shallow water equations, and a three-dimensional model based on the Reynolds-averaged Navier-Stokes equations. Row characteristics simulated using all three models were compared with data obtained by acoustic Doppler current profiler surveys at four cross sections within the study reach. This analysis demonstrates that, surprisingly, the performance of the RC model is generally equal to, and in some instances better than, that of the physics based models in terms of the statistical agreement between simulated and measured flow properties. In addition, in contrast to previous applications of RC models, the present study demonstrates that the RC model can successfully predict measured flow velocities. The strong performance of the RC model reflects, in part, the simplicity of the depth-averaged mean flow patterns within the study reach and the dominant role of channel-scale topographic features in controlling the flow dynamics. Moreover, the very low water surface slopes that typify large sand-bed rivers enable flow depths to be estimated reliably in the RC model using a simple fixed-lid planar water surface approximation. This approach overcomes a major problem encountered in the application of RC models in environments characterised by shallow flows and steep bed gradients. The RC model is four orders of magnitude faster than the physics based models when performing steady-state hydrodynamic calculations. However, the iterative nature of the RC model calculations implies a reduction in computational efficiency relative to some other RC models. A further implication of this is that, if used to simulate channel morphodynamics, the present RC model may offer only a marginal advantage in terms of computational efficiency over approaches based on the shallow water equations. These observations illustrate the trade off between model realism and efficiency that is a key consideration in RC modelling. Moreover, this outcome highlights a need to rethink the use of RC morphodynamic models in fluvial geomorphology and to move away from existing grid-based approaches, such as the popular cellular automata (CA) models, that remain essentially reductionist in nature. In the case of the world's largest sand-bed rivers, this might be achieved by implementing the RC model outlined here as one element within a hierarchical modelling framework that would enable computationally efficient simulation of the morphodynamics of large rivers over millennial time scales. (C) 2012 Elsevier B.V. All rights reserved.