Finite differences and a coupled analytic technique with applications to explosions and earthquakes

An analytic technique is developed that couples to finite difference calculations to extend the results to arbitrary distance. Finite differences and the analytic result, a boundary integral called two-dimensional Kirchhoff, are applied to simple models and three seismological problems dealing with data. The simple models include a thorough investigation of the seismologic effects of a deep continental basin. The first problem is explosions at Yucca Flat, in the Nevada test site. By modeling both near-field strong-motion records and teleseismic P-waves simultaneously, it is shown that scattered surface waves are responsible for teleseismic complexity. The second problem deals with explosions at Amchitka Island, Alaska. The near-field seismograms are investigated using a variety of complex structures and sources. The third problem involves regional seismograms of Imperial Valley, California earthquakes recorded at Pasadena, California. The data are shown to contain evidence of deterministic structure, but lack of more direct measurements of the structure and possible three-dimensional effects make two-dimensional modeling of these data difficult.

Determinação de uma fonte de contaminantes no estuário do Rio Macaé através da técnica de problemas inversos

Um grande desafio da atualidade é a preservação dos recursos hídricos, bem como o correto manejo dos mesmos, frente à expansão das cidades e às atividades humanas. A qualidade de um corpo hídrico é usualmente avaliada através da análise de parâmetros biológicos, físicos e químicos. O comportamento de tais parâmetros pode convenientemente ser simulado através de modelos matemáticos e computacionais, que surgem assim como uma ferramenta bastante útil, por sua capacidade de geração de cenários que possam embasar, por exemplo, tomadas de decisão. Nesta tese são discutidas técnicas de estimação da localização e intensidade de uma fonte de contaminante conservativo, hipoteticamente lançado na região predominantemente fluvial de um estuário. O lançamento aqui considerado se dá de forma pontual e contínua e a região enfocada compreendeu o estuário do Rio Macaé, localizado na costa norte do Rio de Janeiro. O trabalho compreende a solução de um problema direto, que consiste no transporte bidimensional (integrado na vertical) desse contaminante hipotético, bem como a aplicação de técnicas de problemas inversos. Para a solução do transporte do contaminante, aqui modelada pela versão 2D horizontal da equação de advecção-difusão, foram utilizados como métodos de discretização o Método de Elementos Finitos e o Método de Diferenças Finitas. Para o problema hidrodinâmico foram utilizados dados de uma solução já desenvolvida para estuário do Rio Macaé. Analisada a malha de acordo com o método de discretização, foram definidas a geometria do estuário e os parâmetros hidrodinâmicos e de transporte. Para a estimação dos parâmetros propostos foi utilizada a técnica de problemas inversos, com o uso dos métodos Luus-Jaakola, Algoritmo de Colisão de Partículas e Otimização por Colônia de Formigas para a estimação da localização e do método Seção Áurea para a estimação do parâmetro de intensidade da fonte. Para a definição de uma fonte, com o objetivo de propor um cenário experimental idealizado e de coleta de dados de amostragem, foi realizada a análise de sensibilidade quanto aos parâmetros a serem estimados. Como os dados de amostragem de concentração foram sintéticos, o problema inverso foi resolvido utilizando-os com e sem ruído, esse introduzido de forma artificial e aleatória. Sem o uso de ruído, os três métodos mostraram-se igualmente eficientes, com uma estimação precisa em 95% das execuções. Já com o uso de dados de amostragem com ruídos de 5%, o método Luus-Jaakola mostrou-se mais eficiente em esforço e custo computacional, embora todos tenham estimado precisamente a fonte em 80% das execuções. Considerando os resultados alcançados neste trabalho tem-se que é possível estimar uma fonte de constituintes, quanto à sua localização e intensidade, através da técnica de problemas inversos. Além disso, os métodos aplicados mostraram-se eficientes na estimação de tais parâmetros, com estimações precisas para a maioria de suas execuções. Sendo assim, o estudo do comportamento de contaminantes, e principalmente da identificação de fontes externas, torna-se uma importante ferramenta para a gestão dos recursos hídricos, possibilitando, inclusive, a identificação de possíveis responsáveis por passivos ambientais.

Identificação de danos estruturais utilizando dados no domínio do tempo provenientes de ensaios de vibração

O presente trabalho aborda o problema de identificação de danos em uma estrutura a partir de sua resposta impulsiva. No modelo adotado, a integridade estrutural é continuamente descrita por um parâmetro de coesão. Sendo assim, o Modelo de Elementos Finitos (MEF) é utilizado para discretizar tanto o campo de deslocamentos, quanto o campo de coesão. O problema de identificação de danos é, então, definido como um problema de otimização, cujo objetivo é minimizar, em relação a um vetor de parâmetros nodais de coesão, um funcional definido a partir da diferença entre a resposta impulsiva experimental e a correspondente resposta prevista por um MEF da estrutura. A identificação de danos estruturais baseadas no domínio do tempo apresenta como vantagens a aplicabilidade em sistemas lineares e/ou com elevados níveis de amortecimento, além de apresentar uma elevada sensibilidade à presença de pequenos danos. Estudos numéricos foram realizados considerando-se um modelo de viga de Euler-Bernoulli simplesmente apoiada. Para a determinação do posicionamento ótimo do sensor de deslocamento e do número de pontos da resposta impulsiva, a serem utilizados no processo de identificação de danos, foi considerado o Projeto Ótimo de Experimentos. A posição do sensor e o número de pontos foram determinados segundo o critério D-ótimo. Outros critérios complementares foram também analisados. Uma análise da sensibilidade foi realizada com o intuito de identificar as regiões da estrutura onde a resposta é mais sensível à presença de um dano em um estágio inicial. Para a resolução do problema inverso de identificação de danos foram considerados os métodos de otimização Evolução Diferencial e Levenberg-Marquardt. Simulações numéricas, considerando-se dados corrompidos com ruído aditivo, foram realizadas com o intuito de avaliar a potencialidade da metodologia de identificação de danos, assim como a influência da posição do sensor e do número de dados considerados no processo de identificação. Com os resultados obtidos, percebe-se que o Projeto Ótimo de Experimentos é de fundamental importância para a identificação de danos.

Simulação do processo de transferência de calor não linear condução-radiação por meio de um esquema linear em diferenças finitas.

Neste trabalho o processo não linear de transmissão de calor condução-radiação é abordado num contexto bidimensional plano e simulado com o uso de um esquema linear em diferenças finitas. O problema original é tratado como o limite de uma sequencia de problemas lineares, do tipo condução-convecção. Este limite, cuja existência é comprovada, é facilmente obtido a partir de procedimentos básicos, accessíveis a qualquer estudante de engenharia, permitindo assim o emprego de hipóteses mais realistas, já que não se tem o limitante matemático para a abordagem numérica de uma equação diferencial parcial elíptica. Neste trabalho foi resolvido o problema de condução de calor em regime permanente em uma placa com condições de contorno convectivas e radioativas utilizando-se o software MatLab, vale ressaltar, que a mesma metodologia é aplicável para geometrias mais complexas.

Implementação paralelizada de métodos de resolução de sistemas algébricos na simulação de reservatórios de gás

Desde a década de 1960, devido à pertinência para a indústria petrolífera, a simulação numérica de reservatórios de petróleo tornou-se uma ferramenta usual e uma intensa área de pesquisa. O principal objetivo da modelagem computacional e do uso de métodos numéricos, para a simulação de reservatórios de petróleo, é o de possibilitar um melhor gerenciamento do campo produtor, de maneira que haja uma maximização na recuperação de hidrocarbonetos. Este trabalho tem como objetivo principal paralelizar, empregando a interface de programação de aplicativo OpenMP (Open Multi-Processing), o método numérico utilizado na resolução do sistema algébrico resultante da discretização da equação que descreve o escoamento monofásico em um reservatório de gás, em termos da variável pressão. O conjunto de equações governantes é formado pela equação da continuidade, por uma expressão para o balanço da quantidade de movimento e por uma equação de estado. A Equação da Difusividade Hidráulica (EDH), para a variável pressão, é obtida a partir deste conjunto de equações fundamentais, sendo então discretizada pela utilização do Método de Diferenças Finitas, com a escolha por uma formulação implícita. Diferentes testes numéricos são realizados a fim de estudar a eficiência computacional das versões paralelizadas dos métodos iterativos de Jacobi, Gauss-Seidel, Sobre-relaxação Sucessiva, Gradientes Conjugados (CG), Gradiente Biconjugado (BiCG) e Gradiente Biconjugado Estabilizado (BiCGStab), visando a uma futura aplicação dos mesmos na simulação de reservatórios de gás. Ressalta-se que a presença de heterogeneidades na rocha reservatório e/ou às não-linearidades presentes na EDH para o escoamento de gás aumentam a necessidade de métodos eficientes do ponto de vista de custo computacional, como é o caso de estratégias usando OpenMP.

Proposal of an Ultracompact Triplexer Using Photonic Crystal Waveguide with an Air Holes Array

We propose an ultracompact triplexer based on a shift of the cutoff frequency of the fundamental mode in a planar photonic crystal waveguide (PCW) with a triangular lattice of air holes. The shift is realized by modifying the radii of the border holes adjacent to the PCW core. Some defect holes are introduced to control the beam propagation. The numerical results obtained by the finite-difference time-domain method show that the presented triplexer can separate three specific wavelengths, i.e. 1310, 1490 and 1550 nm with the extinction ratios higher than - 18 dB. The designed device with a size as compact as 12 mu m x 6.5 mu m is feasible for the practical application, and can be utilized in the system of fiber to the home.

A Relay Level Set Method for Automatic Image Segmentation

This paper presents a new image segmentation method that applies an edge-based level set method in a relay fashion. The proposed method segments an image in a series of nested subregions that are automatically created by shrinking the stabilized curves in their previous subregions. The final result is obtained by combining all boundaries detected in these subregions. The proposed method has the following three advantages: 1) It can be automatically executed without human-computer interactions; 2) it applies the edge-based level set method with relay fashion to detect all boundaries; and 3) it automatically obtains a full segmentation without specifying the number of relays in advance. The comparison experiments illustrate that the proposed method performs better than the representative level set methods, and it can obtain similar or better results compared with other popular segmentation algorithms.

Impact of spatial resolution and spatial difference accuracy on the performance of Arakawa A-D grids

This paper alms at illustrating the impact of spatial difference scheme and spatial resolution on the performance of Arakawa A-D grids in physical space. Linear shallow water equations are discretized and forecasted on Arakawa A-D grids for 120-minute using the ordinary second-order (M and fourth-order (C4) finite difference schemes with the grid spacing being 100 km, 10 km and I km, respectively. Then the forecasted results are compared with the exact solution, the result indicates that when the grid spacing is I kin, the inertial gravity wave can be simulated on any grid with the same results from C2 scheme or C4 scheme, namely the impact of variable configuration is neglectable; while the inertial gravity wave is simulated with lengthened grid spacing, the effects of different variable configurations are different. However, whether for C2 scheme or for C4 scheme, the RMS is minimal (maximal) on C (D) grid. At the same time it is also shown that when the difference accuracy increases from C2 scheme to C4 scheme, the resulted forecasts do not uniformly decrease, which is validated by the change of the group A velocity relative error from C2 scheme to C4 scheme. Therefore, the impact of the grid spacing is more important than that of the difference accuracy on the performance of Arakawa A-D grid.

地震波模拟：非规则网格离散的数值解法、吸收边界及其实际应用

This dissertation presents a series of irregular-grid based numerical technique for modeling seismic wave propagation in heterogeneous media. The study involves the generation of the irregular numerical mesh corresponding to the irregular grid scheme, the discretized version of motion equations under the unstructured mesh, and irregular-grid absorbing boundary conditions. The resulting numerical technique has been used in generating the synthetic data sets on the realistic complex geologic models that can examine the migration schemes. The motion equation discretization and modeling are based on Grid Method. The key idea is to use the integral equilibrium principle to replace the operator at each grid in Finite Difference scheme and variational formulation in Finite Element Method. The irregular grids of complex geologic model is generated by the Paving Method, which allow varying grid spacing according to meshing constraints. The grids have great quality at domain boundaries and contain equal quantities of nodes at interfaces, which avoids the interpolation of parameters and variables. The irregular grid absorbing boundary conditions is developed by extending the Perfectly Matched Layer method to the rotated local coordinates. The splitted PML equations of the first-order system is derived by using integral equilibrium principle. The proposed scheme can build PML boundary of arbitrary geometry in the computational domain, avoiding the special treatment at corners in a standard PML method and saving considerable memory and computation cost. The numerical implementation demonstrates the desired qualities of irregular grid based modeling technique. In particular, (1) smaller memory requirements and computational time are needed by changing the grid spacing according to local velocity; (2) Arbitrary surfaces and interface topographies are described accurately, thus removing the artificial reflection resulting from the stair approximation of the curved or dipping interfaces; (3) computational domain is significantly reduced by flexibly building the curved artificial boundaries using the irregular-grid absorbing boundary conditions. The proposed irregular grid approach is apply to reverse time migration as the extrapolation algorithm. It can discretize the smoothed velocity model by irregular grid of variable scale, which contributes to reduce the computation cost. The topography. It can also handle data set of arbitrary topography and no field correction is needed.

粘弹性介质中的地震波传播与波形反演研究

The real earth is far away from an ideal elastic ball. The movement of structures or fluid and scattering of thin-layer would inevitably affect seismic wave propagation, which is demonstrated mainly as energy nongeometrical attenuation. Today, most of theoretical researches and applications take the assumption that all media studied are fully elastic. Ignoring the viscoelastic property would, in some circumstances, lead to amplitude and phase distortion, which will indirectly affect extraction of traveltime and waveform we use in imaging and inversion. In order to investigate the response of seismic wave propagation and improve the imaging and inversion quality in complex media, we need not only consider into attenuation of the real media but also implement it by means of efficient numerical methods and imaging techniques. As for numerical modeling, most widely used methods, such as finite difference, finite element and pseudospectral algorithms, have difficulty in dealing with problem of simultaneously improving accuracy and efficiency in computation. To partially overcome this difficulty, this paper devises a matrix differentiator method and an optimal convolutional differentiator method based on staggered-grid Fourier pseudospectral differentiation, and a staggered-grid optimal Shannon singular kernel convolutional differentiator by function distribution theory, which then are used to study seismic wave propagation in viscoelastic media. Results through comparisons and accuracy analysis demonstrate that optimal convolutional differentiator methods can solve well the incompatibility between accuracy and efficiency, and are almost twice more accurate than the same-length finite difference. They can efficiently reduce dispersion and provide high-precision waveform data. On the basis of frequency-domain wavefield modeling, we discuss how to directly solve linear equations and point out that when compared to the time-domain methods, frequency-domain methods would be more convenient to handle the multi-source problem and be much easier to incorporate medium attenuation. We also prove the equivalence of the time- and frequency-domain methods by using numerical tests when assumptions with non-relaxation modulus and quality factor are made, and analyze the reason that causes waveform difference. In frequency-domain waveform inversion, experiments have been conducted with transmission, crosshole and reflection data. By using the relation between media scales and characteristic frequencies, we analyze the capacity of the frequency-domain sequential inversion method in anti-noising and dealing with non-uniqueness of nonlinear optimization. In crosshole experiments, we find the main sources of inversion error and figure out how incorrect quality factor would affect inverted results. When dealing with surface reflection data, several frequencies have been chosen with optimal frequency selection strategy, with which we use to carry out sequential and simultaneous inversions to verify how important low frequency data are to the inverted results and the functionality of simultaneous inversion in anti-noising. Finally, I come with some conclusions about the whole work I have done in this dissertation and discuss detailly the existing and would-be problems in it. I also point out the possible directions and theories we should go and deepen, which, to some extent, would provide a helpful reference to researchers who are interested in seismic wave propagation and imaging in complex media.

各向异性与非线性介质中弹性波场传播特征研究

The topic of this study is about the propagation features of elastic waves in the anisotropic and nonlinear media by numerical methods with high accuracy and stability. The main achievements of this paper are as followings: Firstly, basing on the third order elastic energy formula, principle of energy conservation and circumvolved matrix method, we firstly reported the equations of non-linear elastic waves with two dimensions and three components in VTI media. Secondly, several conclusions about some numerical methods have been obtained in this paper. Namely, the minimum suitable sample stepth in space is about 1/8-1/12 of the main wavelength in order to distinctly reduce the numerical dispersion resulted from the numerical mehtod, at the same time, the higher order conventional finite difference (CFD) schemes will give little contribution to avoid the numerical solutions error accumulating with time. To get the similar accuracy with the fourth order center finite difference method, the half truncation length of SFFT should be no less than 7. The FDFCT method can present with the numerical solutions without obvious dispersion when the paprameters of FCT is suitable (we think they should be in the scope from 0.0001 to 0.07). Fortunately, the NADM method not only can reported us with the higher order accuracy solutions (higher than that of the fourth order finite difference method and lower than that of the sixth order finite difference method), but also can distinctly reduce the numerical dispersion. Thirdly, basing on the numerial and theoretical analysis, we reported such nonlinear response accumulating with time as waveform aberration, harmonic generation and resonant peak shift shown by the propagation of one- and two-dimensional non-linear elasticwaves in this paper. And then, we drew the conclusion that these nonlinear responses are controlled by the product between nonlinear strength (SN) and the amplitude of the source. At last, the modified FDFCT numerical method presented by this paper is used to model the two-dimensional non-linear elastic waves propagating in VTI media. Subsequently, the wavelet analysis and polarization are adopted to investigate and understand the numerical results. And then, we found the following principles (attention: the nonlinear strength presented by this paper is weak, the thickness of the -nonlinear media is thin (200m), the initial energy of the source is weak and the anisotropy of the media is weak too): The non-linear response shown by the elastic waves in VTI media is anisotropic too; The instantaneous main frequency sections of seismic records resulted from the media with a non-linear layer have about 1/4 to 1/2 changes of the initial main frequency of source with that resulted from the media without non-linear layer; The responses shown by the elasic waves about the anisotropy and nonlinearity have obvious mutual reformation, namely, the non-linear response will be stronger in some directions because of the anisotropy and the anisotropic strength shown by the elastic waves will be stronger when the media is nonlinear.

A Radial Basis Function Approach to Financial Time Series Analysis

Nonlinear multivariate statistical techniques on fast computers offer the potential to capture more of the dynamics of the high dimensional, noisy systems underlying financial markets than traditional models, while making fewer restrictive assumptions. This thesis presents a collection of practical techniques to address important estimation and confidence issues for Radial Basis Function networks arising from such a data driven approach, including efficient methods for parameter estimation and pruning, a pointwise prediction error estimator, and a methodology for controlling the "data mining'' problem. Novel applications in the finance area are described, including customized, adaptive option pricing and stock price prediction.

A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

Coupled heat and moisture transfer in multi-layer building materials

A dynamic mathematical model for simulating the coupled heat and moisture migration through multilayer porous building materials was proposed. Vapor content and temperature were chosen as the principal driving potentials. The discretization of the governing equations was done by the finite difference approach. A new experimental set-up was also developed in this study. The evolution of transient temperature and moisture distributions inside specimens were measured. The method for determining the temperature gradient coefficient was also presented. The moisture diffusion coefficient, temperature gradient coefficient, sorption–desorption isotherms were experimentally evaluated for some building materials (sandstone and lime-cement mortar). The model was validated by comparing with the experimental data with good agreement. Another advantage of the method lies in the fact that the required transport properties for predicting the non-isothermal moisture flow only contain the vapor diffusion coefficient and temperature gradient coefficient. They are relatively simple, and can be easily determined.