First-passage time of Duffing oscillator under combined harmonic and white-noise excitations

The first-passage time of Duffing oscillator under combined harmonic and white-noise excitations is studied. The equation of motion of the system is first reduced to a set of averaged Ito stochastic differential equations by using the stochastic averaging method. Then, a backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. Finally, the conditional reliability function, and the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations with suitable initial and boundary conditions. Numerical results for two resonant cases with several sets of parameter values are obtained and the analytical results are verified by using those from digital simulation.

Compact finite difference - Fourier spectral method for three-dimensional incompressible Navier-Stokes equations

A new compact finite difference-Fourier spectral hybrid method for solving the three dimensional incompressible Navier-Stokes equations is developed in the present paper. The fifth-order upwind compact finite difference schemes for the nonlinear convection terms in the physical space, and the sixth-order center compact schemes for the derivatives in spectral space are described, respectively. The fourth-order compact schemes in a single nine-point cell for solving the Helmholtz equations satisfied by the velocities and pressure in spectral space is derived and its preconditioned conjugate gradient iteration method is studied. The treatment of pressure boundary conditions and the three dimensional non-reflecting outflow boundary conditions are presented. Application to the vortex dislocation evolution in a three dimensional wake is also reported.

A smoothing technique for discrete delta functions with application to immersed boundary method in moving boundary simulations.

The effects of complex boundary conditions on flows are represented by a volume force in the immersed boundary methods. The problem with this representation is that the volume force exhibits non-physical oscillations in moving boundary simulations. A smoothing technique for discrete delta functions has been developed in this paper to suppress the non-physical oscillations in the volume forces. We have found that the non-physical oscillations are mainly due to the fact that the derivatives of the regular discrete delta functions do not satisfy certain moment conditions. It has been shown that the smoothed discrete delta functions constructed in this paper have one-order higher derivative than the regular ones. Moreover, not only the smoothed discrete delta functions satisfy the first two discrete moment conditions, but also their derivatives satisfy one-order higher moment condition than the regular ones. The smoothed discrete delta functions are tested by three test cases: a one-dimensional heat equation with a moving singular force, a two-dimensional flow past an oscillating cylinder, and the vortex-induced vibration of a cylinder. The numerical examples in these cases demonstrate that the smoothed discrete delta functions can effectively suppress the non-physical oscillations in the volume forces and improve the accuracy of the immersed boundary method with direct forcing in moving boundary simulations.

A singularly perturbed linear two-point boundary-value problem

We consider the following singularly perturbed linear two-point boundary-value problem:

Ly(x) ≡ Ω(ε)D_xy(x) - A(x,ε)y(x) = f(x,ε) 0≤x≤1 (1a)

By ≡ L(ε)y(0) + R(ε)y(1) = g(ε) ε → 0^+ (1b)

Here Ω(ε) is a diagonal matrix whose first m diagonal elements are 1 and last m elements are ε. Aside from reasonable continuity conditions placed on A, L, R, f, g, we assume the lower right mxm principle submatrix of A has no eigenvalues whose real part is zero. Under these assumptions a constructive technique is used to derive sufficient conditions for the existence of a unique solution of (1). These sufficient conditions are used to define when (1) is a regular problem. It is then shown that as ε → 0^+ the solution of a regular problem exists and converges on every closed subinterval of (0,1) to a solution of the reduced problem. The reduced problem consists of the differential equation obtained by formally setting ε equal to zero in (1a) and initial conditions obtained from the boundary conditions (1b). Several examples of regular problems are also considered.

A similar technique is used to derive the properties of the solution of a particular difference scheme used to approximate (1). Under restrictions on the boundary conditions (1b) it is shown that for the stepsize much larger than ε the solution of the difference scheme, when applied to a regular problem, accurately represents the solution of the reduced problem.

Furthermore, the existence of a similarity transformation which block diagonalizes a matrix is presented as well as exponential bounds on certain fundamental solution matrices associated with the problem (1).

Efficient methods for stochastic optimal control

The Hamilton Jacobi Bellman (HJB) equation is central to stochastic optimal control (SOC) theory, yielding the optimal solution to general problems specified by known dynamics and a specified cost functional. Given the assumption of quadratic cost on the control input, it is well known that the HJB reduces to a particular partial differential equation (PDE). While powerful, this reduction is not commonly used as the PDE is of second order, is nonlinear, and examples exist where the problem may not have a solution in a classical sense. Furthermore, each state of the system appears as another dimension of the PDE, giving rise to the curse of dimensionality. Since the number of degrees of freedom required to solve the optimal control problem grows exponentially with dimension, the problem becomes intractable for systems with all but modest dimension.

In the last decade researchers have found that under certain, fairly non-restrictive structural assumptions, the HJB may be transformed into a linear PDE, with an interesting analogue in the discretized domain of Markov Decision Processes (MDP). The work presented in this thesis uses the linearity of this particular form of the HJB PDE to push the computational boundaries of stochastic optimal control.

This is done by crafting together previously disjoint lines of research in computation. The first of these is the use of Sum of Squares (SOS) techniques for synthesis of control policies. A candidate polynomial with variable coefficients is proposed as the solution to the stochastic optimal control problem. An SOS relaxation is then taken to the partial differential constraints, leading to a hierarchy of semidefinite relaxations with improving sub-optimality gap. The resulting approximate solutions are shown to be guaranteed over- and under-approximations for the optimal value function. It is shown that these results extend to arbitrary parabolic and elliptic PDEs, yielding a novel method for Uncertainty Quantification (UQ) of systems governed by partial differential constraints. Domain decomposition techniques are also made available, allowing for such problems to be solved via parallelization and low-order polynomials.

The optimization-based SOS technique is then contrasted with the Separated Representation (SR) approach from the applied mathematics community. The technique allows for systems of equations to be solved through a low-rank decomposition that results in algorithms that scale linearly with dimensionality. Its application in stochastic optimal control allows for previously uncomputable problems to be solved quickly, scaling to such complex systems as the Quadcopter and VTOL aircraft. This technique may be combined with the SOS approach, yielding not only a numerical technique, but also an analytical one that allows for entirely new classes of systems to be studied and for stability properties to be guaranteed.

The analysis of the linear HJB is completed by the study of its implications in application. It is shown that the HJB and a popular technique in robotics, the use of navigation functions, sit on opposite ends of a spectrum of optimization problems, upon which tradeoffs may be made in problem complexity. Analytical solutions to the HJB in these settings are available in simplified domains, yielding guidance towards optimality for approximation schemes. Finally, the use of HJB equations in temporal multi-task planning problems is investigated. It is demonstrated that such problems are reducible to a sequence of SOC problems linked via boundary conditions. The linearity of the PDE allows us to pre-compute control policy primitives and then compose them, at essentially zero cost, to satisfy a complex temporal logic specification.

Fast numerical methods for mixed, singular Helmholtz boundary value problems and Laplace eigenvalue problems - with applications to antenna design, sloshing, electromagnetic scattering and spectral geometry

This thesis presents a novel class of algorithms for the solution of scattering and eigenvalue problems on general two-dimensional domains under a variety of boundary conditions, including non-smooth domains and certain "Zaremba" boundary conditions - for which Dirichlet and Neumann conditions are specified on various portions of the domain boundary. The theoretical basis of the methods for the Zaremba problems on smooth domains concern detailed information, which is put forth for the first time in this thesis, about the singularity structure of solutions of the Laplace operator under boundary conditions of Zaremba type. The new methods, which are based on use of Green functions and integral equations, incorporate a number of algorithmic innovations, including a fast and robust eigenvalue-search algorithm, use of the Fourier Continuation method for regularization of all smooth-domain Zaremba singularities, and newly derived quadrature rules which give rise to high-order convergence even around singular points for the Zaremba problem. The resulting algorithms enjoy high-order convergence, and they can tackle a variety of elliptic problems under general boundary conditions, including, for example, eigenvalue problems, scattering problems, and, in particular, eigenfunction expansion for time-domain problems in non-separable physical domains with mixed boundary conditions.

Estimativas a priori para problemas não lineares de condução de calor, com o uso da transformada de Kirchhoff.

Este trabalho apresenta uma estimativa a priori para o limite superior da distribuição de temperatura considerando um problema em regime permanente em um corpo com uma condutividade térmica dependente da temperatura. A discussão é realizada supondo que as condições de contorno são lineares (lei de Newton do resfriamento) e que a condutividade térmica é constante por partes (quando considerada como uma função da temperatura). Estas estimativas consistem em uma ferramenta poderosa que pode prescindir da necessidade de uma simulação numérica cara de um problema de transferência de calor não linear, sempre que for suficiente conhecer o valor mais alto de temperatura. Nestes casos, a metodologia proposta neste trabalho é mais eficaz do que as aproximações usuais que assumem tanto a condutividade térmica quanto as fontes de calor como constantes.

Formação de nanopadrões em superfícies por sputtering iônico: Estudo numérico da equação anisotrópica amortecida de Kuramoto-Sivashinsky.

Apresenta-se uma abordagemnumérica para ummodelo que descreve a formação de padrões por sputtering iônico na superfície de ummaterial. Esse processo é responsável pela formação de padrões inesperadamente organizados, como ondulações, nanopontos e filas hexagonais de nanoburacos. Uma análise numérica de padrões preexistentes é proposta para investigar a dinâmica na superfície, baseada em ummodelo resumido em uma equação anisotrópica amortecida de Kuramoto-Sivashinsky, em uma superfície bidimensional com condições de contorno periódicas. Apesar de determinística, seu caráter altamente não-linear fornece uma rica gama de resultados, sendo possível descrever acuradamente diferentes padrões. Umesquema semi implícito de diferenças finitas com fatoração no tempo é aplicado na discretização da equação governante. Simulações foram realizadas com coeficientes realísticos relacionados aos parâmetros físicos (anisotropias, orientação do feixe, difusão). A estabilidade do esquema numérico foi analisada por testes de passo de tempo e espaçamento de malha, enquanto a verificação do mesmo foi realizada pelo Método das Soluções Manufaturadas. Ondulações e padrões hexagonais foram obtidos a partir de condições iniciais monomodais para determinados valores do coeficiente de amortecimento, enquanto caos espaço-temporal apareceu para valores inferiores. Os efeitos anisotrópicos na formação de padrões foramestudados, variando o ângulo de incidência.

On the domain decomposition and transmission line modelling finite element method for time-domain induction motor analysis

This paper demonstrates how a finite element model which exploits domain decomposition is applied to the analysis of three-phase induction motors. It is shown that a significant gain in cpu time results when compared with standard finite element analysis. Aspects of the application of the method which are particular to induction motors are considered: the means of improving the convergence of the nonlinear finite element equations; the choice of symmetrical sub-domains; the modelling of relative movement; and the inclusion of periodic boundary conditions. © 1999 IEEE.

Synchronization of modulated traveling baroclinic waves in a periodically forced, rotating fluid annulus.

Frequency entrainment and nonlinear synchronization are commonly observed between simple oscillatory systems, but their occurrence and behavior in continuum fluid systems are much less well understood. Motivated by possible applications to geophysical fluid systems, such as in atmospheric circulation and climate dynamics, we have carried out an experimental study of the interaction of fully developed baroclinic instability in a differentially heated, rotating fluid annulus with an externally imposed periodic modulation of the thermal boundary conditions. In quasiperiodic and chaotic amplitude-modulated traveling wave regimes, the results demonstrate a strong interaction between the natural periodic modulation of the wave amplitude and the externally imposed forcing. This leads to partial or complete phase synchronization. Synchronization effects were observed even with very weak amplitudes of forcing, and were found with both 1:1 and 1:2 frequency ratios between forcing and natural oscillations.

On the use of combined compact scheme for numerical solution of the two-layer oceanic shallow water equations

Many types of oceanic physical phenomena have a wide range in both space and time. In general, simplified models, such as shallow water model, are used to describe these oceanic motions. The shallow water equations are widely applied in various oceanic and atmospheric extents. By using the two-layer shallow water equations, the stratification effects can be considered too. In this research, the sixth-order combined compact method is investigated and numerically implemented as a high-order method to solve the two-layer shallow water equations. The second-order centered, fourth-order compact and sixth-order super compact finite difference methods are also used to spatial differencing of the equations. The first part of the present work is devoted to accuracy assessment of the sixth-order super compact finite difference method (SCFDM) and the sixth-order combined compact finite difference method (CCFDM) for spatial differencing of the linearized two-layer shallow water equations on the Arakawa's A-E and Randall's Z numerical grids. Two general discrete dispersion relations on different numerical grids, for inertia-gravity and Rossby waves, are derived. These general relations can be used for evaluation of the performance of any desired numerical scheme. For both inertia-gravity and Rossby waves, minimum error generally occurs on Z grid using either the sixth-order SCFDM or CCFDM methods. For the Randall's Z grid, the sixth-order CCFDM exhibits a substantial improvement , for the frequency of the barotropic and baroclinic modes of the linear inertia-gravity waves of the two layer shallow water model, over the sixth-order SCFDM. For the Rossby waves, the sixth-order SCFDM shows improvement, for the barotropic and baroclinic modes, over the sixth-order CCFDM method except on Arakawa's C grid. In the second part of the present work, the sixth-order CCFDM method is used to solve the one-layer and two-layer shallow water equations in their nonlinear form. In one-layer model with periodic boundaries, the performance of the methods for mass conservation is compared. The results show high accuracy of the sixth-order CCFDM method to simulate a complex flow field. Furthermore, to evaluate the performance of the method in a non-periodic domain the sixth-order CCFDM is applied to spatial differencing of vorticity-divergence-mass representation of one-layer shallow water equations to solve a wind-driven current problem with no-slip boundary conditions. The results show good agreement with published works. Finally, the performance of different schemes for spatial differencing of two-layer shallow water equations on Z grid with periodic boundaries is investigated. Results illustrate the high accuracy of combined compact method.

Subdivision-stabilised immersed b-spline finite elements for moving boundary flows

An immersed finite element method is presented to compute flows with complex moving boundaries on a fixed Cartesian grid. The viscous, incompressible fluid flow equations are discretized with b-spline basis functions. The two-scale relation for b-splines is used to implement an elegant and efficient technique to satisfy the LBB condition. On non-grid-aligned fluid domains and at moving boundaries, the boundary conditions are enforced with a consistent penalty method as originally proposed by Nitsche. In addition, a special extrapolation technique is employed to prevent the loss of numerical stability in presence of arbitrarily small cut-cells. The versatility and accuracy of the proposed approach is demonstrated by means of convergence studies and comparisons with previous experimental and computational investigations.

Finite element analysis of compressor disc heat transfer using the transient conduction method with sparse boundary collocation points

Surface temperature measurements from two discs of a gas turbine compressor rig are used as boundary conditions for the transient conduction solution (inverse heat transfer analysis). The disc geometry is complex, and so the finite element method is used. There are often large radial temperature gradients on the discs, and the equations are therefore solved taking into account the dependence of thermal conductivity on temperature. The solution technique also makes use of a multigrid algorithm to reduce the solution time. This is particularly important since a large amount of data must be analyzed to obtain correlations of the heat transfer. The finite element grid is also used for a network analysis to calculate the radiant heat transfer in the cavity formed between the two compressor discs. The work discussed here proved particularly challenging as the disc temperatures were only measured at four different radial locations. Four methods of surface temperature interpolation are examined, together with their effect on the local heat fluxes. It is found that the choice of interpolation method depends on the available number of data points. Bessel interpolation gives the best results for four data points, whereas cubic splines are preferred when there are considerably more data points. The results from the analysis of the compressor rig data show that the heat transfer near the disc inner radius appears to be influenced by the central throughflow. However, for larger radii, the heat transfer from the discs and peripheral shroud is found to be consistent with that of a buoyancy-induced flow.

THEORETICAL TREATMENT OF A3B5 CHLORIDE VAPOR-PHASE EPITAXY - GROWTH, DOPING, OPTIMIZATION

A theoretical description of chloride vapour-phase epitaxy (CVPE) has been proposed which contains two-dimensional (2D) gas-dynamic equations for transport of reactive components and kinetic equations for surface growth processes connected by nonlinear adiabatic boundary conditions. No one of these stages is supposed to be the limiting one. Calculated variations of growth rate and impurity concentrations along the growing layer fit experimental data well.

Boundary triplets and M-functions for non-selfadjoint operators, with applications to elliptic PDEs and block operator matrices

B.M. Brown, M. Marletta, S. Naboko, I. Wood: Boundary triplets and M-functions for non-selfadjoint operators, with applications to elliptic PDEs and block operator matrices, J. London Math. Soc., June 2008; 77: 700-718. The full text of this article will be made available in this repository in June 2009 Sponsorship: EPSRC,INTAS