Modelling of solute transport in a mild heterogeneous porous medium using stochastic finite element method: Effects of random source conditions

Randomness in the source condition other than the heterogeneity in the system parameters can also be a major source of uncertainty in the concentration field. Hence, a more general form of the problem formulation is necessary to consider randomness in both source condition and system parameters. When the source varies with time, the unsteady problem, can be solved using the unit response function. In the case of random system parameters, the response function becomes a random function and depends on the randomness in the system parameters. In the present study, the source is modelled as a random discrete process with either a fixed interval or a random interval (the Poisson process). In this study, an attempt is made to assess the relative effects of various types of source uncertainties on the probabilistic behaviour of the concentration in a porous medium while the system parameters are also modelled as random fields. Analytical expressions of mean and covariance of concentration due to random discrete source are derived in terms of mean and covariance of unit response function. The probabilistic behaviour of the random response function is obtained by using a perturbation-based stochastic finite element method (SFEM), which performs well for mild heterogeneity. The proposed method is applied for analysing both the 1-D as well as the 3-D solute transport problems. The results obtained with SFEM are compared with the Monte Carlo simulation for 1-D problems.

Stability and throughput analysis of unslotted CDMA-ALOHA with finite number of users and code sharing

We consider a system comprising a finite number of nodes, with infinite packet buffers, that use unslotted ALOHA with Code Division Multiple Access (CDMA) to share a channel for transmitting packetised data. We propose a simple model for packet transmission and retransmission at each node, and show that saturation throughput in this model yields a sufficient condition for the stability of the packet buffers; we interpret this as the capacity of the access method. We calculate and compare the capacities of CDMA-ALOHA (with and without code sharing) and TDMA-ALOHA; we also consider carrier sensing and collision detection versions of these protocols. In each case, saturation throughput can be obtained via analysis pf a continuous time Markov chain. Our results show how saturation throughput degrades with code-sharing. Finally, we also present some simulation results for mean packet delay. Our work is motivated by optical CDMA in which "chips" can be optically generated, and hence the achievable chip rate can exceed the achievable TDMA bit rate which is limited by electronics. Code sharing may be useful in the optical CDMA context as it reduces the number of optical correlators at the receivers. Our throughput results help to quantify by how much the CDMA chip rate should exceed the TDMA bit rate so that CDMA-ALOHA yields better capacity than TDMA-ALOHA.

Globally coupled stochastic two-state oscillators: Fluctuations due to finite numbers

Infinite arrays of coupled two-state stochastic oscillators exhibit well-defined steady states. We study the fluctuations that occur when the number N of oscillators in the array is finite. We choose a particular form of global coupling that in the infinite array leads to a pitchfork bifurcation from a monostable to a bistable steady state, the latter with two equally probable stationary states. The control parameter for this bifurcation is the coupling strength. In finite arrays these states become metastable: The fluctuations lead to distributions around the most probable states, with one maximum in the monostable regime and two maxima in the bistable regime. In the latter regime, the fluctuations lead to transitions between the two peak regions of the distribution. Also, we find that the fluctuations break the symmetry in the bimodal regime, that is, one metastable state becomes more probable than the other, increasingly so with increasing array size. To arrive at these results, we start from microscopic dynamical evolution equations from which we derive a Langevin equation that exhibits an interesting multiplicative noise structure. We also present a master equation description of the dynamics. Both of these equations lead to the same Fokker-Planck equation, the master equation via a 1/N expansion and the Langevin equation via standard methods of Ito calculus for multiplicative noise. From the Fokker-Planck equation we obtain an effective potential that reflects the transition from the monomodal to the bimodal distribution as a function of a control parameter. We present a variety of numerical and analytic results that illustrate the strong effects of the fluctuations. We also show that the limits N -> infinity and t -> infinity(t is the time) do not commute. In fact, the two orders of implementation lead to drastically different results.

Stochastic Inventory with/without Service Time, Reneging and Retrial of Customers

This thesis Entitled Stochastic modelling and analysis.This thesis is divided into six chapters including this introductory chapter. In second chapter, we consider an (s,S) inventory model with service, reneging of customers and finite shortage of items.In the third chapter, we consider an (s,S) inventoiy system with retrial of customers. Arrival of customers forms a Poisson process with rate. When the inventory level depletes to s due to demands, an order for replenishment is placed.In Chapter 4, we analyze and compare three (s,S) inventory systems with positive service time and retrial of customers. In all these systems, arrivals of customers form a Poisson process and service times are exponentially distributed. In chapter 5, we analyze and compare three production inventory systems with positive service time and retrial of customers. In all these systems, arrivals of customers form a Poisson process and service times are exponentially distributed.In chapter 6, we consider a PH /PH /l inventory model with reneging of customers and finite shortage of items.

Stability of preconditioned finite volume schemes at low Mach numbers

In [4], Guillard and Viozat propose a finite volume method for the simulation of inviscid steady as well as unsteady flows at low Mach numbers, based on a preconditioning technique. The scheme satisfies the results of a single scale asymptotic analysis in a discrete sense and comprises the advantage that this can be derived by a slight modification of the dissipation term within the numerical flux function. Unfortunately, it can be observed by numerical experiments that the preconditioned approach combined with an explicit time integration scheme turns out to be unstable if the time step Dt does not satisfy the requirement to be O(M2) as the Mach number M tends to zero, whereas the corresponding standard method remains stable up to Dt=O(M), M to 0, which results from the well-known CFL-condition. We present a comprehensive mathematical substantiation of this numerical phenomenon by means of a von Neumann stability analysis, which reveals that in contrast to the standard approach, the dissipation matrix of the preconditioned numerical flux function possesses an eigenvalue growing like M-2 as M tends to zero, thus causing the diminishment of the stability region of the explicit scheme. Thereby, we present statements for both the standard preconditioner used by Guillard and Viozat [4] and the more general one due to Turkel [21]. The theoretical results are after wards confirmed by numerical experiments.

Time complexity analysis of the stochastic diffusion search

The Stochastic Diffusion Search algorithm -an integral part of Stochastic Search Networks is investigated. Stochastic Diffusion Search is an alternative solution for invariant pattern recognition and focus of attention. It has been shown that the algorithm can be modelled as an ergodic, finite state Markov Chain under some non-restrictive assumptions. Sub-linear time complexity for some settings of parameters has been formulated and proved. Some properties of the algorithm are then characterised and numerical examples illustrating some features of the algorithm are presented.

On the long time behavior of free stochastic Schrödinger evolutions

We discuss the time evolution of the wave function which is the solution of a stochastic Schrödinger equation describing the dynamics of a free quantum particle subject to spontaneous localizations in space. We prove global existence and uniqueness of solutions. We observe that there exist three time regimes: the collapse regime, the classical regime and the diffusive regime. Concerning the latter, we assert that the general solution converges almost surely to a diffusing Gaussian wave function having a finite spread both in position as well as in momentum. This paper corrects and completes earlier works on this issue.

On the stability and convergence of the finite section method for integral equation formulations of rough surface scattering

We consider the Dirichlet and Robin boundary value problems for the Helmholtz equation in a non-locally perturbed half-plane, modelling time harmonic acoustic scattering of an incident field by, respectively, sound-soft and impedance infinite rough surfaces.Recently proposed novel boundary integral equation formulations of these problems are discussed. It is usual in practical computations to truncate the infinite rough surface, solving a boundary integral equation on a finite section of the boundary, of length 2A, say. In the case of surfaces of small amplitude and slope we prove the stability and convergence as A→∞ of this approximation procedure. For surfaces of arbitrarily large amplitude and/or surface slope we prove stability and convergence of a modified finite section procedure in which the truncated boundary is ‘flattened’ in finite neighbourhoods of its two endpoints. Copyright © 2001 John Wiley & Sons, Ltd.

Stochastic quantization of real-time thermal field theory

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Stochastic exponential stability of singular linear systems with Markov jump parameters

This paper deals with exponential stability of discrete-time singular systems with Markov jump parameters. We propose a set of coupled generalized Lyapunov equations (CGLE) that provides sufficient conditions to check this property for this class of systems. A method for solving the obtained CGLE is also presented, based on iterations of standard singular Lyapunov equations. We present also a numerical example to illustrate the effectiveness of the approach we are proposing.

Implicit difference approximation for the time fractional diffusion equation

In this paper, we consider a time fractional diffusion equation on a finite domain. The equation is obtained from the standard diffusion equation by replacing the first-order time derivative by a fractional derivative (of order $0<\alpha<1$ ). We propose a computationally effective implicit difference approximation to solve the time fractional diffusion equation. Stability and convergence of the method are discussed. We prove that the implicit difference approximation (IDA) is unconditionally stable, and the IDA is convergent with $O(\tau+h^2)$, where $\tau$ and $h$ are time and space steps, respectively. Some numerical examples are presented to show the application of the present technique.

Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations

Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.