942 resultados para Nonlinear PDE, option pricing, compact finite difference discretization, convergence, incomplete markets, inverse problem, SQP


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We derive an analytic expression for the matric flux potential (M) for van Genuchten-Mualem (VGM) type soils which can also be written in terms of a converging infinite series. Considering the first four terms of this series, the accuracy of the approximation was verified by comparing it to values of M estimated by numerical finite difference integration. Using values of the parameters for three soils from different texture classes, the proposed four-term approximation showed an almost perfect match with the numerical solution, except for effective saturations higher than 0.9. Including more terms reduced the discrepancy but also increased the complexity of the equation. The four-term equation can be used for most applications. Cases with special interest in nearly saturated soils should include more terms from the infinite series. A transpiration reduction function for use with the VGM equations is derived by combining the derived expression for M with a root water extraction model. The shape of the resulting reduction function and its dependency on the derivative of the soil hydraulic diffusivity D with respect to the soil water content theta is discussed. Positive and negative values of dD/d theta yield concave and convex or S-shaped reduction functions, respectively. On the basis of three data sets, the hydraulic properties of virtually all soils yield concave reduction curves. Such curves based solely on soil hydraulic properties do not account for the complex interactions between shoot growth, root growth, and water availability.

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A piecewise uniform fitted mesh method turns out to be sufficient for the solution of a surprisingly wide variety of singularly perturbed problems involving steep gradients. The technique is applied to a model of adsorption in bidisperse solids for which two fitted mesh techniques, a fitted-mesh finite difference method (FMFDM) and fitted mesh collocation method (FMCM) are presented. A combination (FMCMD) of FMCM and the DASSL integration package is found to be most effective in solving the problems. Numerical solutions (FMFDM and FMCMD) were found to match the analytical solution when the adsorption isotherm is linear, even under conditions involving steep gradients for which global collocation fails. In particular, FMCMD is highly efficient for macropore diffusion control or micropore diffusion control. These techniques are simple and there is no limit on the range of the parameters. The techniques can be applied to a variety of adsorption and desorption problems in bidisperse solids with non-linear isotherm and for arbitrary particle geometry.

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The level set method has been implemented in a computational volcanology context. New techniques are presented to solve the advection equation and the reinitialisation equation. These techniques are based upon an algorithm developed in the finite difference context, but are modified to take advantage of the robustness of the finite element method. The resulting algorithm is tested on a well documented Rayleigh–Taylor instability benchmark [19], and on an axisymmetric problem where the analytical solution is known. Finally, the algorithm is applied to a basic study of lava dome growth.

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Numerical experiments using a finite difference method were carried out to determine the motion of axisymmetric Taylor vortices for narrow-gap Taylor vortex flow. When a pressure gradient is imposed on the flow the vortices are observed to move with an axial speed of 1.16 +/- 0.005 times the mean axial flow velocity. The method of Brenner was used to calculate the long-time axial spread of material in the flow. For flows where there is no pressure gradient, the axial dispersion scales with the square root of the molecular diffusion, in agreement with the results of Rosen-bluth et al. for high Peclet number dispersion in spatially periodic flows with a roll structure. When a pressure gradient is imposed the dispersion increases by an amount approximately equal to 6.5 x 10(-4) (W) over bar(2)d(2)/D-m, where (W) over bar is the average axial velocity in the annulus, analogous to Taylor dispersion for laminar flow in an empty tube.

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We use the finite element method to solve the coupled problem between convective pore-fluid flow, heat transfer and mineralization in layered hydrothermal systems with upward throughflow. In particular, we present the improved rock alteration index (IRAI) concept for predicting the most probable precipitation and dissolution regions of gold (Au) minerals in the systems. To validate the numerical method used in the computation, analytical solutions to a benchmark problem have been derived. After the numerical method is validated, it is used to investigate the pattern of pore-fluid Aom, the distribution of temperature and the mineralization pattern of gold minerals in a layered hydrothermal system with upward throughflow. The related numerical results have demonstrated that the present concept of IRAI is useful and applicable for predicting the most probable precipitation and dissolution regions of gold (Au) minerals in hydrothermal systems. (C) 2000 Elsevier Science S.A. All rights reserved.

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Previous studies on tidal dynamics of coastal aquifers have focussed on the inland propagation of oceanic tides in the cross-shore direction, a configuration that is essentially one-dimensional. Aquifers at natural coasts can also be influenced by tidal waves in nearby estuaries, resulting in a more complex behaviour of head fluctuations in the aquifers. We present an analytical solution to the two-dimensional depth-averaged groundwater flow equation for a semi-infinite aquifer subject to oscillating head conditions at the boundaries. The solution describes the tidal dynamics of a coastal aquifer that is adjacent to a cross-shore estuary. Both the effects of oceanic and estuarine tides on the aquifer are included in the solution. The analytical prediction of the head fluctuations is verified by comparison with numerical solutions computed using a standard finite-difference method. An essential feature of the present analytical solution is the interaction between the cross- and along-shore tidal waves in the aquifer area near the estuary's entry. As the distance from the estuary or coastline increases, the wave interaction is weakened and the aquifer response is reduced, respectively, to the one-dimensional solution for oceanic tides or the solution of Sun (Sun H. A two-dimensional analytical solution of groundwater response to tidal loading in an estuary, Water Resour Res 1997;33:1429-35) for two-dimensional non-interacting tidal waves. (C) 2000 Elsevier Science Ltd. All rights reserved.

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Numerical methods ave used to solve double diffusion driven reactive flow transport problems in deformable fluid-saturated porous media. in particular, thp temperature dependent reaction rate in the non-equilibrium chemical reactions is considered. A general numerical solution method, which is a combination of the finite difference method in FLAG and the finite element method in FIDAP, to solve the fully coupled problem involving material deformation, pore-fluid flow, heat transfer and species transport/chemical reactions in deformable fluid-saturated porous media has been developed The coupled problem is divided into two subproblems which are solved interactively until the convergence requirement is met. Owing to the approximate nature of the numerical method, if is essential to justify the numerical solutions through some kind of theoretical analysis. This has been highlighted in this paper The related numerical results, which are justified by the theoretical analysis, have demonstrated that the proposed solution method is useful for and applicable to a wide range of fully coupled problems in the field of science and engineering.

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Exact analytical solutions of the critical Rayleigh numbers have been obtained for a hydrothermal system consisting of a horizontal porous layer with temperature-dependent viscosity. The boundary conditions considered are constant temperature and zero vertical Darcy velocity at both the top and bottom of the layer. Not only can the derived analytical solutions be readily used to examine the effect of the temperature-dependent viscosity on the temperature-gradient driven convective flow, but also they can be used to validate the numerical methods such as the finite-element method and finite-difference method for dealing with the same kind of problem. The related analytical and numerical results demonstrated that the temperature-dependent viscosity destabilizes the temperature-gradient driven convective flow and therefore, may affect the ore body formation and mineralization in the upper crust of the Earth. Copyright (C) 2003 John Wiley Sons, Ltd.

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Electrical impedance tomography is a technique to estimate the impedance distribution within a domain, based on measurements on its boundary. In other words, given the mathematical model of the domain, its geometry and boundary conditions, a nonlinear inverse problem of estimating the electric impedance distribution can be solved. Several impedance estimation algorithms have been proposed to solve this problem. In this paper, we present a three-dimensional algorithm, based on the topology optimization method, as an alternative. A sequence of linear programming problems, allowing for constraints, is solved utilizing this method. In each iteration, the finite element method provides the electric potential field within the model of the domain. An electrode model is also proposed (thus, increasing the accuracy of the finite element results). The algorithm is tested using numerically simulated data and also experimental data, and absolute resistivity values are obtained. These results, corresponding to phantoms with two different conductive materials, exhibit relatively well-defined boundaries between them, and show that this is a practical and potentially useful technique to be applied to monitor lung aeration, including the possibility of imaging a pneumothorax.

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Fluid mixing in steady and unsteady Bow through a channel containing periodic square obstructions has been studied using a finite-difference simulation to determine fluid velocities, followed by the use of passive marker particle advection to look at fluid transport out of the cavities formed between each of the obstructions. The geometry and Bow conditions were chosen from the work by Perkins (1989, M.S. Thesis, Lehigh University; 1992, Ph.D. Thesis, Lehigh University); who investigated heat transfer enhancement due to unsteady flow through such an obstructed channel. Particle advection shows that Bow regimes which are predicted to give good mixing based on snapshots of instantaneous streamline contour plots were not necessarily able to efficiently mix fluid which started in the cavity regions throughout the channel. The use of Poincare sections shows regular regions existing under these conditions which inhibit efficient fluid transport. These regular regions are found to disappear when the unsteady Bow velocity is increased. (C) 1997 Elsevier Science Ltd.

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The dynamic response of dry masonry columns can be approximated with finite-difference equations. Continuum models follow by replacing the difference quotients of the discrete model by corresponding differential expressions. The mathematically simplest of these models is a one-dimensional Cosserat theory. Within the presented homogenization context, the Cosserat theory is obtained by making ad hoc assumptions regarding the relative importance of certain terms in the differential expansions. The quality of approximation of the various theories is tested by comparison of the dispersion relations for bending waves with the dispersion relation of the discrete theory. All theories coincide with differences of less than 1% for wave-length-block-height (L/h) ratios bigger than 2 pi. The theory based on systematic differential approximation remains accurate up to L/h = 3 and then diverges rapidly. The Cosserat model becomes increasingly inaccurate for L/h < 2 pi. However, in contrast to the systematic approximation, the wave speed remains finite. In conclusion, considering its relative simplicity, the Cosserat model appears to be the natural starting point for the development of continuum models for blocky structures.

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Some efficient solution techniques for solving models of noncatalytic gas-solid and fluid-solid reactions are presented. These models include those with non-constant diffusivities for which the formulation reduces to that of a convection-diffusion problem. A singular perturbation problem results for such models in the presence of a large Thiele modulus, for which the classical numerical methods can present difficulties. For the convection-diffusion like case, the time-dependent partial differential equations are transformed by a semi-discrete Petrov-Galerkin finite element method into a system of ordinary differential equations of the initial-value type that can be readily solved. In the presence of a constant diffusivity, in slab geometry the convection-like terms are absent, and the combination of a fitted mesh finite difference method with a predictor-corrector method is used to solve the problem. Both the methods are found to converge, and general reaction rate forms can be treated. These methods are simple and highly efficient for arbitrary particle geometry and parameters, including a large Thiele modulus. (C) 2001 Elsevier Science Ltd. All rights reserved.

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This paper addresses robust model-order reduction of a high dimensional nonlinear partial differential equation (PDE) model of a complex biological process. Based on a nonlinear, distributed parameter model of the same process which was validated against experimental data of an existing, pilot-scale BNR activated sludge plant, we developed a state-space model with 154 state variables in this work. A general algorithm for robustly reducing the nonlinear PDE model is presented and based on an investigation of five state-of-the-art model-order reduction techniques, we are able to reduce the original model to a model with only 30 states without incurring pronounced modelling errors. The Singular perturbation approximation balanced truncating technique is found to give the lowest modelling errors in low frequency ranges and hence is deemed most suitable for controller design and other real-time applications. (C) 2002 Elsevier Science Ltd. All rights reserved.

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Prior theoretical studies indicate that the negative spatial derivative of the electric field induced by magnetic stimulation may he one of the main factors contributing to depolarization of the nerve fiber. This paper studies this parameter for peripheral nerve stimulation (PNS) induced by time.-varying gradient fields during MRI scans. The numerical calculations are based on an efficient, quasi-static, finite-difference scheme and an anatomically realistic human, full-body model. Whole-body cylindrical and planar gradient sets in MRI systems and various input signals have been explored. The spatial distributions of the induced electric field and their gradients are calculated and attempts are made to correlate these areas with reported experimental stimulation data. The induced electrical field pattern is similar for both the planar coils and cylindrical coils. This study provides some insight into the spatial characteristics of the induced field gradients for PNS in MRI, which may be used to further evaluate the sites where magnetic stimulation is likely to occur and to optimize gradient coil design.

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In modern magnetic resonance imaging (MRI), patients are exposed to strong, nonuniform static magnetic fields outside the central imaging region, in which the movement of the body may be able to induce electric currents in tissues which could be possibly harmful. This paper presents theoretical investigations into the spatial distribution of induced electric fields and currents in the patient when moving into the MRI scanner and also for head motion at various positions in the magnet. The numerical calculations are based on an efficient, quasi-static, finite-difference scheme and an anatomically realistic, full-body, male model. 3D field profiles from an actively shielded 4T magnet system are used and the body model projected through the field profile with a range of velocities. The simulation shows that it possible to induce electric fields/currents near the level of physiological significance under some circumstances and provides insight into the spatial characteristics of the induced fields. The results are extrapolated to very high field strengths and tabulated data shows the expected induced currents and fields with both movement velocity and field strength. (C) 2003 Elsevier Science (USA). All rights reserved.