Parameterized expectations approach; Some practical issues

We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has been applied in models of macroeconomics, financial economics, economic growth, contracttheory, etc. It turns out to be a convenient algorithm, especially when there is a large number of state variables and stochastic shocks in the conditional expectations. We discuss some practical issues having to do with the application of the algorithm, and we discuss a Fortran program for implementing the algorithm that is available through the internet.We discuss these issues in a battery of six examples.

Ruin Theory with Excess of Loss Reinsurance and Reinstatements

The present paper studies the probability of ruin of an insurer, if excess of loss reinsurance with reinstatements is applied. In the setting of the classical Cramer-Lundberg risk model, piecewise deterministic Markov processes are used to describe the free surplus process in this more general situation. It is shown that the finite-time ruin probability is both the solution of a partial integro-differential equation and the fixed point of a contractive integral operator. We exploit the latter representation to develop and implement a recursive algorithm for numerical approximation of the ruin probability that involves high-dimensional integration. Furthermore we study the behavior of the finite-time ruin probability under various levels of initial surplus and security loadings and compare the efficiency of the numerical algorithm with the computational alternative of stochastic simulation of the risk process. (C) 2011 Elsevier Inc. All rights reserved.

Distorted-wave calculation of cross sections for inner-shell ionization by electron and positron impact

The relativistic distorted-wave Born approximation is used to calculate differential and total cross sections for inner shell ionization of neutral atoms by electron and positron impact. The target atom is described within the independent-electron approximation using the self-consistent Dirac-Fock-Slater potential. The distorting potential for the projectile is also set equal to the Dirac-Fock-Slater potential. For electrons, this guarantees orthogonality of all the orbitals involved and simplifies the calculation of exchange T-matrix elements. The interaction between the projectile and the target electrons is assumed to reduce to the instantaneous Coulomb interaction. The adopted numerical algorithm allows the calculation of differential and total cross sections for projectiles with kinetic energies ranging from the ionization threshold up to about ten times this value. Algorithm accuracy and stability are demonstrated by comparing differential cross sections calculated by our code with the distorting potential set to zero with equivalent results generated by a more robust code that uses the conventional plane-wave Born approximation. Sample calculation results are presented for ionization of K- and L-shells of various elements and compared with the available experimental data.

Intrinsic noise-induced phase transitions: Beyond the noise interpretation

We discuss intrinsic noise effects in stochastic multiplicative-noise partial differential equations, which are qualitatively independent of the noise interpretation (Itô vs Stratonovich), in particular in the context of noise-induced ordering phase transitions. We study a model which, contrary to all cases known so far, exhibits such ordering transitions when the noise is interpreted not only according to Stratonovich, but also to Itô. The main feature of this model is the absence of a linear instability at the transition point. The dynamical properties of the resulting noise-induced growth processes are studied and compared in the two interpretations and with a reference Ginzburg-Landau-type model. A detailed discussion of a different numerical algorithm valid for both interpretations is also presented.

Digital holographic microscopy: a noninvasive contrast imaging technique allowing quantitative visualization of living cells with subwavelength axial accuracy.

We have developed a digital holographic microscope (DHM), in a transmission mode, especially dedicated to the quantitative visualization of phase objects such as living cells. The method is based on an original numerical algorithm presented in detail elsewhere [Cuche et al., Appl. Opt. 38, 6994 (1999)]. DHM images of living cells in culture are shown for what is to our knowledge the first time. They represent the distribution of the optical path length over the cell, which has been measured with subwavelength accuracy. These DHM images are compared with those obtained by use of the widely used phase contrast and Nomarski differential interference contrast techniques.

Simulation of surface waves in porous media

We present a novel numerical algorithm for the simulation of seismic wave propagation in porous media, which is particularly suitable for the accurate modelling of surface wave-type phenomena. The differential equations of motion are based on Biot's theory of poro-elasticity and solved with a pseudospectral approach using Fourier and Chebyshev methods to compute the spatial derivatives along the horizontal and vertical directions, respectively. The time solver is a splitting algorithm that accounts for the stiffness of the differential equations. Due to the Chebyshev operator the grid spacing in the vertical direction is non-uniform and characterized by a denser spatial sampling in the vicinity of interfaces, which allows for a numerically stable and accurate evaluation of higher order surface wave modes. We stretch the grid in the vertical direction to increase the minimum grid spacing and reduce the computational cost. The free-surface boundary conditions are implemented with a characteristics approach, where the characteristic variables are evaluated at zero viscosity. The same procedure is used to model seismic wave propagation at the interface between a fluid and porous medium. In this case, each medium is represented by a different grid and the two grids are combined through a domain-decomposition method. This wavefield decomposition method accounts for the discontinuity of variables and is crucial for an accurate interface treatment. We simulate seismic wave propagation with open-pore and sealed-pore boundary conditions and verify the validity and accuracy of the algorithm by comparing the numerical simulations to analytical solutions based on zero viscosity obtained with the Cagniard-de Hoop method. Finally, we illustrate the suitability of our algorithm for more complex models of porous media involving viscous pore fluids and strongly heterogeneous distributions of the elastic and hydraulic material properties.

A computer-algebraic approach to the study of the symmetry properties of molecules and clusters

This thesis work is dedicated to use the computer-algebraic approach for dealing with the group symmetries and studying the symmetry properties of molecules and clusters. The Maple package Bethe, created to extract and manipulate the group-theoretical data and to simplify some of the symmetry applications, is introduced. First of all the advantages of using Bethe to generate the group theoretical data are demonstrated. In the current version, the data of 72 frequently applied point groups can be used, together with the data for all of the corresponding double groups. The emphasize of this work is placed to the applications of this package in physics of molecules and clusters. Apart from the analysis of the spectral activity of molecules with point-group symmetry, it is demonstrated how Bethe can be used to understand the field splitting in crystals or to construct the corresponding wave functions. Several examples are worked out to display (some of) the present features of the Bethe program. While we cannot show all the details explicitly, these examples certainly demonstrate the great potential in applying computer algebraic techniques to study the symmetry properties of molecules and clusters. A special attention is placed in this thesis work on the flexibility of the Bethe package, which makes it possible to implement another applications of symmetry. This implementation is very reasonable, because some of the most complicated steps of the possible future applications are already realized within the Bethe. For instance, the vibrational coordinates in terms of the internal displacement vectors for the Wilson's method and the same coordinates in terms of cartesian displacement vectors as well as the Clebsch-Gordan coefficients for the Jahn-Teller problem are generated in the present version of the program. For the Jahn-Teller problem, moreover, use of the computer-algebraic tool seems to be even inevitable, because this problem demands an analytical access to the adiabatic potential and, therefore, can not be realized by the numerical algorithm. However, the ability of the Bethe package is not exhausted by applications, mentioned in this thesis work. There are various directions in which the Bethe program could be developed in the future. Apart from (i) studying of the magnetic properties of materials and (ii) optical transitions, interest can be pointed out for (iii) the vibronic spectroscopy, and many others. Implementation of these applications into the package can make Bethe a much more powerful tool.

A combined BIE-FE method for the Stokes equations

A numerical algorithm for the biharmonic equation in domains with piecewise smooth boundaries is presented. It is intended for problems describing the Stokes flow in the situations where one has corners or cusps formed by parts of the domain boundary and, due to the nature of the boundary conditions on these parts of the boundary, these regions have a global effect on the shape of the whole domain and hence have to be resolved with sufficient accuracy. The algorithm combines the boundary integral equation method for the main part of the flow domain and the finite-element method which is used to resolve the corner/cusp regions. Two parts of the solution are matched along a numerical ‘internal interface’ or, as a variant, two interfaces, and they are determined simultaneously by inverting a combined matrix in the course of iterations. The algorithm is illustrated by considering the flow configuration of ‘curtain coating’, a flow where a sheet of liquid impinges onto a moving solid substrate, which is particularly sensitive to what happens in the corner region formed, physically, by the free surface and the solid boundary. The ‘moving contact line problem’ is addressed in the framework of an earlier developed interface formation model which treats the dynamic contact angle as part of the solution, as opposed to it being a prescribed function of the contact line speed, as in the so-called ‘slip models’. Keywords: Dynamic contact angle; finite elements; free surface flows; hybrid numerical technique; Stokes equations.

Factors contributing to the development of extreme North Atlantic cyclones and their relationship with the NAO

The occurrence of extreme cyclones is analysed in terms of their relationship to the NAO phase and the dominating environmental variables controlling their intensification. These are latent energy (equivalent potential temperature 850 hPa is used as an indicator), upper-air baroclinicity, horizontal divergence and jet stream strength. Cyclones over the North Atlantic are identified and tracked using a numerical algorithm, permitting a detailed analysis of their life cycles. Extreme cyclones are selected as the 10% most severe in terms of intensity. Investigations focus on the main strengthening phase of each cyclone. The environmental factors are related to the NAO, which affects the location and orientation of the cyclone tracks, thus explaining why extreme cyclones occur more (less) frequently during strong positive (negative) NAO phases. The enhanced number of extreme cyclones in positive NAO phases can be explained by the larger area with suitable growth conditions, which is better aligned with the cyclone tracks and is associated with increased cyclone life time and intensity. Moreover, strong intensification of cyclones is frequently linked to the occurrence of extreme values of growth factors in the immediate vicinity of the cyclone centre. Similar results are found for ECHAM5/OM1 for present day conditions, demonstrating that relationships between the environment factors and cyclones are also valid in the GCM. For future climate conditions (following the SRES A1B scenario), the results are similar, but a small increase of the frequency of extreme values is detected near the cyclone cores. On the other hand, total cyclone numbers decrease by 10% over the North Atlantic. An exception is the region near the British Isles, which features increased track density and intensity of extreme cyclones irrespective of the NAO phase. These changes are associated with an intensified jet stream close to Europe. Moreover, an enhanced frequency of explosive developments over the British Isles is found, leading to more frequent windstorms affecting Europe.

Dimensionamento de pilares esbeltos de concreto armado

O objetivo deste trabalho é o dimensionamento de pilares esbeltos de concreto armado, sob cargas de curta e longa duração, baseado numa análise realística das deformações do mesmo. Apresenta-se três algoritmos numéricos para a obtencão das relações momento fletor-esforço normal-curvatura de uma seção arbitrária de concreto armado, sob flexo-compressão normal. Inclue-se as deformações específicas de fluência e retração do concreto na análise, através de uma alteração nas referidas relações. Apresenta-se alguns critérios de normas, relativos ao dimensionamento de pilares esbeltos de concreto armado e uma comparação dos mesmos, entre si e com o algoritmo numérico desenvolvido. Considerações da NB-1/78 relativas ao projeto de pilares são analisadas, verificando o nivel da precisão obtida. Um procedimento simplificado para a inclusão da fluência do concreto no dimensionamento, proposto pelo CEB, é testado e uma solução para pilares de concreto armado com engastamento elástico simétrico é apresentada, para verificar o nível: do erro cometido ao se estender o conceito de comprimento de flambagem a pilares de concreto armado. Uma série de exemplos experimentais são apresentados, onde a solução numérica para o dimensionamento tem sua precisão verificada. Diversas tabelas foram desenvolvidas para o dimensionamento de pilares esbeltos com secão transversal retangular e armadura simétrica. Todo o estudo é restrito ao caso de flexo-compressão normal.

Modelagem numérica de escoamento em padrão anular com transferência de calor e massa

Annular flow is the prevailing pattern in transport and energy conversion systems and therefore, one of the most important patterns in multiphase flow in ducts. The correct prediction of the pressure gradient and heat transfer coefficient is essential for optimizing the system s capacity. The objective of this work is to develop and implement a numerical algorithm capable of predicting hydrodynamic and thermal characteristics for upflow, vertical, annular flow. The numerical algorithm is then complemented with the physical modeling of phenomena that occurs in this flow pattern. These are, turbulence, entrainment and deposition and phase change. For the development of the numerical model, axial diffusion of heat and momentum is neglected. In this way the time-averaged equations are solved in their parabolic form obtaining the velocity and temperature profiles for each axial step at a time, together with the global parameters, namely, pressure gradient, mean film thickness and heat transfer coefficient, as well as their variation in the axial direction. The model is validated for the following conditions: fully-developed laminar flow with no entrainment; fully developed laminar flow with heat transfer, fully-developed turbulent flow with entrained drops, developing turbulent annular flow with entrained drops, and turbulent flow with heat transfer and phase change

Modelagem dinâmica do escoamento de um sistema de elevação por plunger lift

A critical problem in mature gas wells is the liquid loading. As the reservoir pressure decreases, gas superficial velocities decreases and the drag exerted on the liquid phase may become insufficient to bring all the liquid to the surface. Liquid starts to drain downward, flooding the well and increasing the backpressure which decreases the gas superficial velocity and so on. A popular method to remedy this problem is the Plunger Lift. This method consists of dropping the "plunger"to the bottom of the tubing well with the main production valve closed. When the plunger reaches the well bottom the production valve is opened and the plunger carry the liquid to the surface. However, models presented in literature for predicting the behavior in plunger lift are simplistic, in many cases static (not considering the transient effects). Therefore work presents the development and validation of a numerical algorithm to solve one-dimensional compressible in gas wells using the Finite Volume Method and PRIME techniques for treating coupling of pressure and velocity fields. The code will be then used to develop a dynamic model for the plunger lift which includes the transient compressible flow within the well

Nebular gas drag and co-orbital system dynamics

Aims. We study trajectories of planetesimals whose orbits decay due to gas drag in a primordial solar nebula and are perturbed by the gravity of the secondary body on an eccentric orbit whose mass ratio takes values from mu(2) = 10(-7) to mu(2) = 10(-3) increasing ten times at each step. Each planetesimal ultimately suffers one of the three possible fates: (1) trapping in a mean motion resonance with the secondary body; (2) collision with the secondary body and consequent increase of its mass; or (3) diffusion after crossing the orbit of the secondary body.Methods. We take the Burlirsh-Stoer numerical algorithm in order to integrate the Newtonian equations of the planar, elliptical restricted three-body problem with the secondary body and the planetesimal orbiting the primary. It is assumed that there is no interaction among planetesimals, and also that the gas does not affect the orbit of the secondary body.Results. The results show that the optimal value of the gas drag constant k for the 1: 1 resonance is between 0.9 and 1.25, representing a meter size planetesimal for each AU of orbital radius. In this study, the conditions of the gas drag are such that in theory, L4 no longer exists in the circular case for a critical value of k that defines a limit size of the planetesimal, but for a secondary body with an eccentricity larger than 0.05 when mu(2) = 10(-6), it reappears. The decrease of the cutoff collision radius increase the difusions but does not affect the distribution of trapping. The contribution to the mass accretion of the secondary body is over 40% with a collision radius 0.05R(Hill) and less than 15% with 0.005R(Hill) for mu(2) = 10(-7). The trappings no longer occur when the drag constant k reachs 30. That means that the size limit of planetesimal trapping is 0.2 m per AU of orbital radius. In most cases, this accretion occurs for a weak gas drag and small secondary eccentricity. The diffusions represent most of the simulations showing that gas drag is an efficient process in scattering planetesimals and that the trapping of planetesimals in the 1: 1 resonance is a less probable fate. These results depend on the specific drag force chosen.

Finite element analysis of warpage in laminated aluminium alloy plates for machining of primary aeronautic parts

The aim of this paper consists in presenting a method of simulating the warpage in 7xxx series aluminium alloy plates. To perform this simulation finite element software MSC.Patran and MSC.Marc were used. Another result of this analysis will be the influence on material residual stresses induced on the raw material during the rolling process upon the warpage of primary aeronautic parts, fabricated through machining (milling) at Embraer. The method used to determinate the aluminium plate residual stress was Layer Removal Test. The numerical algorithm Modified Flavenot Method was used to convert layer removal and beam deflection in stress level. With such information about the level and profile of residual stresses become possible, during the step that anticipate the manufacturing to incorporate these values in the finite-element approach for modelling warpage parts. Based on that warpage parameter surely the products are manufactured with low relative vulnerability propitiating competitiveness and price. © 2007 American Institute of Physics.

Análise da execução de um algoritmo numérico cbs para simulação de escoamento utilizando elementos finitos

This work intends to analyze the application and execution time of a numerical algorithm that simulates incompressible and isothermal flows. It was used the explicit scheme of the Characteristic Based Split (CBS) algorithm and the Artificial Compressibility (AC) scheme for coupling pressure-velocity equations. The discretization was done with the finite element method using a bilinear elements grid. The free software GNU-Octave was used for implementation and execution of routines. The results were analyzed using the classic lid-driven cavity problem. This work shows results for tests with several Reynolds' number. The results for these tests show a good agreement when compared with previous ones obtained from bibliography. The code runtime's analysis shows yet that the matrix's assembly is the part of greater consumption time in the implementation.