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.

Application and development of numerical methods for the modelling of innovative gas cooled fission reactors

Innovative gas cooled reactors, such as the pebble bed reactor (PBR) and the gas cooled fast reactor (GFR) offer higher efficiency and new application areas for nuclear energy. Numerical methods were applied and developed to analyse the specific features of these reactor types with fully three dimensional calculation models. In the first part of this thesis, discrete element method (DEM) was used for a physically realistic modelling of the packing of fuel pebbles in PBR geometries and methods were developed for utilising the DEM results in subsequent reactor physics and thermal-hydraulics calculations. In the second part, the flow and heat transfer for a single gas cooled fuel rod of a GFR were investigated with computational fluid dynamics (CFD) methods. An in-house DEM implementation was validated and used for packing simulations, in which the effect of several parameters on the resulting average packing density was investigated. The restitution coefficient was found out to have the most significant effect. The results can be utilised in further work to obtain a pebble bed with a specific packing density. The packing structures of selected pebble beds were also analysed in detail and local variations in the packing density were observed, which should be taken into account especially in the reactor core thermal-hydraulic analyses. Two open source DEM codes were used to produce stochastic pebble bed configurations to add realism and improve the accuracy of criticality calculations performed with the Monte Carlo reactor physics code Serpent. Russian ASTRA criticality experiments were calculated. Pebble beds corresponding to the experimental specifications within measurement uncertainties were produced in DEM simulations and successfully exported into the subsequent reactor physics analysis. With the developed approach, two typical issues in Monte Carlo reactor physics calculations of pebble bed geometries were avoided. A novel method was developed and implemented as a MATLAB code to calculate porosities in the cells of a CFD calculation mesh constructed over a pebble bed obtained from DEM simulations. The code was further developed to distribute power and temperature data accurately between discrete based reactor physics and continuum based thermal-hydraulics models to enable coupled reactor core calculations. The developed method was also found useful for analysing sphere packings in general. CFD calculations were performed to investigate the pressure losses and heat transfer in three dimensional air cooled smooth and rib roughened rod geometries, housed inside a hexagonal flow channel representing a sub-channel of a single fuel rod of a GFR. The CFD geometry represented the test section of the L-STAR experimental facility at Karlsruhe Institute of Technology and the calculation results were compared to the corresponding experimental results. Knowledge was gained of the adequacy of various turbulence models and of the modelling requirements and issues related to the specific application. The obtained pressure loss results were in a relatively good agreement with the experimental data. Heat transfer in the smooth rod geometry was somewhat under predicted, which can partly be explained by unaccounted heat losses and uncertainties. In the rib roughened geometry heat transfer was severely under predicted by the used realisable k − epsilon turbulence model. An additional calculation with a v2 − f turbulence model showed significant improvement in the heat transfer results, which is most likely due to the better performance of the model in separated flow problems. Further investigations are suggested before using CFD to make conclusions of the heat transfer performance of rib roughened GFR fuel rod geometries. It is suggested that the viewpoints of numerical modelling are included in the planning of experiments to ease the challenging model construction and simulations and to avoid introducing additional sources of uncertainties. To facilitate the use of advanced calculation approaches, multi-physical aspects in experiments should also be considered and documented in a reasonable detail.

Extremum estimators and stochastic optimization methods

Submitted in partial fulfillment for the Requirements for the Degree of PhD in Mathematics, in the Speciality of Statistics in the Faculdade de Ciências e Tecnologia

Numerical methods and tangible interfaces for pollutant dispersion simulation

Dissertação apresentada para obtenção do Grau de Doutor em Engenharia do Ambiente, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

Mathematical and numerical methods for inverse problems using fundamental solutions techniques

Fundação para a Ciência e a Tecnologia - SFRH/BD/27914/2006

Comparison of different numerical methods for the solution of the time-fractional reaction-diffusion equation with variable diffusion coefficient

In this work we perform a comparison of two different numerical schemes for the solution of the time-fractional diffusion equation with variable diffusion coefficient and a nonlinear source term. The two methods are the implicit numerical scheme presented in [M.L. Morgado, M. Rebelo, Numerical approximation of distributed order reaction- diffusion equations, Journal of Computational and Applied Mathematics 275 (2015) 216-227] that is adapted to our type of equation, and a colocation method where Chebyshev polynomials are used to reduce the fractional differential equation to a system of ordinary differential equations

Numerical methods in multibody system dynamics

"Series: Solid mechanics and its applications, vol. 226"

Numerical methods for axisymmetric equilibrium magnetic-fluid shapes

Magdeburg, Univ., Fak. für Mathematik, Diss., 2006

Numerical methods for multiphase mixture conservation laws with phase transition

Magdeburg, Univ., Fak. für Mathematik, Diss., 2010

Fluid flow and dispersion predictions in porous media by utilizing advanced numerical methods

Diplomityön tavoitteena oli tarkastella numeerisen virtauslaskennan avulla virtaukseen liittyviä ilmiöitä ja kaasun dispersiota. Diplomityön sisältö on jaettu viiteen osaan; johdantoon, teoriaan, katsaukseen virtauksen mallinnukseen huokoisessa materiaalissa liittyviin tutkimusselvityksiin, numeeriseen mallinnukseen sekä tulosten esittämiseen ja johtopäätöksiin. Diplomityön alussa kiinnitettiin huomiota erilaisiin kokeellisiin, numeerisiin ja teoreettisiin mallinnusmenetelmiin, joilla voidaan mallintaa virtausta huokoisessa materiaalissa. Kirjallisuusosassa tehtiin katsaus aikaisemmin julkaistuihin puoliempiirisiin ja empiirisiin tutkimusselvityksiin, jotka liittyvät huokoisen materiaalin aiheuttamaan painehäviöön. Numeerisessa virtauslaskenta osassa rakennettiin ja esitettiin huokoista materiaalia kuvaavat numeeriset mallit käyttäen kaupallista FLUENT -ohjelmistoa. Työn lopussa arvioitiin teorian, numeerisen virtauslaskennan ja kokeellisten tutkimusselvitysten tuloksia. Kolmiulotteisen huokoisen materiaalinnumeerisessa mallinnuksesta saadut tulokset vaikuttivat lupaavilta. Näiden tulosten perusteella tehtiin suosituksia ajatellen tulevaa virtauksen mallinnusta huokoisessa materiaalissa. Osa tässä diplomityössä esitetyistä tuloksista tullaan esittämään 55. Kanadan Kemiantekniikan konferenssissa Torontossa 1619 Lokakuussa 2005. ASME :n kansainvälisessä tekniikan alan julkaisussa. Työ on hyväksytty esitettäväksi esitettäväksi laskennallisen virtausmekaniikan (CFD) aihealueessa 'Peruskäsitteet'. Lisäksi työn yksityiskohtaiset tulokset tullaan lähettämään myös CES:n julkaisuun.

ADVANCED NUMERICAL METHODS FOR SIMULATING MICROBUBBLE IN AN AERATED MIXING TANK

Fluid mixing in mechanically agitated tanks is one of the major unit operations in many industries. Bubbly flows have been of interest among researchers in physics, medicine, chemistry and technology over the centuries. The aim of this thesis is to use advanced numerical methods for simulating microbubble in an aerated mixing tank. Main components of the mixing tank are a cylindrical vessel, a rotating Rushton turbine and the air nozzle. The objective of Computational Fluid Dynamics (CFD) is to predict fluid flow, heat transfer, mass transfer and chemical reactions. The CFD simulations of a turbulent bubbly flow are carried out in a cylindrical mixing tank using large eddy simulation (LES) and volume of fluid (VOF) method. The Rushton turbine induced flow is modeled by using a sliding mesh method. Numerical results are used to describe the bubbly flows in highly complex liquid flow. Some of the experimental works related to turbulent bubbly flow in a mixing tank are briefly reported. Numerical simulations are needed to complete and interpret the results of the experimental work. Information given by numerical simulations has a major role in designing and scaling-up mixing tanks. The results of this work have been reported in the following scientific articles: ·Honkanen M., Koohestany A., Hatunen T., Saarenrinne P., Zamankhan P., Large eddy simulations and PIV experiments of a two-phase air-water mixer, in Proceedings of ASME Fluids Engineering Summer Conference (2005). ·Honkanen M., Koohestany A., Hatunen T., Saarenrinne P., Zamankhan P., Dynamical States of Bubbling in an Aerated Stirring Tank, submitted to J. Computational Physics.

Stochastic approximation methods in stochastic optimization

Stochastic approximation methods for stochastic optimization are considered. Reviewed the main methods of stochastic approximation: stochastic quasi-gradient algorithm, Kiefer-Wolfowitz algorithm and adaptive rules for them, simultaneous perturbation stochastic approximation (SPSA) algorithm. Suggested the model and the solution of the retailer's profit optimization problem and considered an application of the SQG-algorithm for the optimization problems with objective functions given in the form of ordinary differential equation.