Da modelação matemática à simulação computacional: a experimentação matemática no ensino

Tese de Doutoramento em Ciências (área de especialização em Matemática).

Da modelação matemática à simulação computacional: a experimentação matemática no ensino

Tese de Doutoramento em Ciências (área de especialização em Matemática).

Desenvolvimento de modelos numéricos e análise experimental de subestruturas soldadas de transformadores de potência, sujeitas a forças de curto-circuito em regime transitório

Dissertação de mestrado integrado em Engenharia Mecânica

Integration methods in dynamic analysis

"Series title: Springerbriefs in applied sciences and technology, ISSN 2191-530X"

Mortar-Techniken zur Behandlung von Grenzschichtproblemen

Elliptic differential equations, finite element method, mortar element method, streamline diffusion FEM, upwind method, numerical method, error estimate, interpolation operator, grid generation, adaptive refinement

Modeling and simulation of population balances for particulate processes

This work focuses on the modeling and numerical approximations of population balance equations (PBEs) for the simulation of different phenomena occurring in process engineering. The population balance equation (PBE) is considered to be a statement of continuity. It tracks the change in particle size distribution as particles are born, die, grow or leave a given control volume. In the population balance models the one independent variable represents the time, the other(s) are property coordinate(s), e.g., the particle volume (size) in the present case. They typically describe the temporal evolution of the number density functions and have been used to model various processes such as granulation, crystallization, polymerization, emulsion and cell dynamics. The semi-discrete high resolution schemes are proposed for solving PBEs modeling one and two-dimensional batch crystallization models. The schemes are discrete in property coordinates but continuous in time. The resulting ordinary differential equations can be solved by any standard ODE solver. To improve the numerical accuracy of the schemes a moving mesh technique is introduced in both one and two-dimensional cases ...

Lp-solutions to BSDEs with super-linear growth coefficient. Application to degenerate semilinear PDEs.

We consider multidimensional backward stochastic differential equations (BSDEs). We prove the existence and uniqueness of solutions when the coefficient grow super-linearly, and moreover, can be neither locally Lipschitz in the variable y nor in the variable z. This is done with super-linear growth coefficient and a p-integrable terminal condition (p & 1). As application, we establish the existence and uniqueness of solutions to degenerate semilinear PDEs with superlinear growth generator and an Lp-terminal data, p & 1. Our result cover, for instance, the case of PDEs with logarithmic nonlinearities.

Caracteritació de models funcionals d'àmfores romanes mitjançant Finite Element Analysis

Projecte de recerca elaborat a partir d’una estada al Laboratory of Archaeometry del National Centre of Scientific Research “Demokritos” d’Atenes, Grècia, entre juny i setembre 2006. Aquest estudi s’emmarca dins d’un context més ampli d’estudi del canvi tecnològic que es documenta en la producció d’àmfores de tipologia romana durant els segles I aC i I dC en els territoris costaners de Catalunya. Una part d’aquest estudi contempla el càlcul de les propietats mecàniques d’aquestes àmfores i la seva avaluació en funció de la tipologia amforal, a partir de l’Anàlisi d’Elements Finits (AEF). L’AEF és una aproximació numèrica que té el seu origen en les ciències d’enginyeria i que ha estat emprada per estimar el comportament mecànic d’un model en termes, per exemple, de deformació i estrès. Així, un objecte, o millor dit el seu model, es dividit en sub-dominis anomenats elements finits, als quals se’ls atribueixen les propietats mecàniques del material en estudi. Aquests elements finits estan connectats formant una xarxa amb constriccions que pot ser definida. En el cas d’aplicar una força determinada a un model, el comportament de l’objecte pot ser estimat mitjançant el conjunt d’equacions lineals que defineixen el rendiment dels elements finits, proporcionant una bona aproximació per a la descripció de la deformació estructural. Així, aquesta simulació per ordinador suposa una important eina per entendre la funcionalitat de ceràmiques arqueològiques. Aquest procediment representa un model quantitatiu per predir el trencament de l’objecte ceràmic quan aquest és sotmès a diferents condicions de pressió. Aquest model ha estat aplicat a diferents tipologies amforals. Els resultats preliminars mostren diferències significatives entre la tipologia pre-romana i les tipologies romanes, així com entre els mateixos dissenys amforals romans, d’importants implicacions arqueològiques.

Characterizations of Lojasiewicz inequalities and applications

The classical Lojasiewicz inequality and its extensions for partial differential equation problems (Simon) and to o-minimal structures (Kurdyka) have a considerable impact on the analysis of gradient-like methods and related problems: minimization methods, complexity theory, asymptotic analysis of dissipative partial differential equations, tame geometry. This paper provides alternative characterizations of this type of inequalities for nonsmooth lower semicontinuous functions defined on a metric or a real Hilbert space. In a metric context, we show that a generalized form of the Lojasiewicz inequality (hereby called the Kurdyka- Lojasiewicz inequality) relates to metric regularity and to the Lipschitz continuity of the sublevel mapping, yielding applications to discrete methods (strong convergence of the proximal algorithm). In a Hilbert setting we further establish that asymptotic properties of the semiflow generated by -∂f are strongly linked to this inequality. This is done by introducing the notion of a piecewise subgradient curve: such curves have uniformly bounded lengths if and only if the Kurdyka- Lojasiewicz inequality is satisfied. Further characterizations in terms of talweg lines -a concept linked to the location of the less steepest points at the level sets of f- and integrability conditions are given. In the convex case these results are significantly reinforced, allowing in particular to establish the asymptotic equivalence of discrete gradient methods and continuous gradient curves. On the other hand, a counterexample of a convex C2 function in R2 is constructed to illustrate the fact that, contrary to our intuition, and unless a specific growth condition is satisfied, convex functions may fail to fulfill the Kurdyka- Lojasiewicz inequality.

Rigid flat webs on the projective plane

This paper studies global webs on the projective plane with vanishing curvature. The study is based on an interplay of local and global arguments. The main local ingredient is a criterium for the regularity of the curvature at the neighborhood of a generic point of the discriminant. The main global ingredient, the Legendre transform, is an avatar of classical projective duality in the realm of differential equations. We show that the Legendre transform of what we call reduced convex foliations are webs with zero curvature, and we exhibit a countable infinity family of convex foliations which give rise to a family of webs with zero curvature not admitting non-trivial deformations with zero curvature.

Contact melting of a three-dimensional phase change material on a flat substrate

In this paper a model is developed to describe the three dimensional contact melting process of a cuboid on a heated surface. The mathematical description involves two heat equations (one in the solid and one in the melt), the Navier-Stokes equations for the flow in the melt, a Stefan condition at the phase change interface and a force balance between the weight of the solid and the countering pressure in the melt. In the solid an optimised heat balance integral method is used to approximate the temperature. In the liquid the small aspect ratio allows the Navier-Stokes and heat equations to be simplified considerably so that the liquid pressure may be determined using an igenfunction expansion and finally the problem is reduced to solving three first order ordinary differential equations. Results are presented showing the evolution of the melting process. Further reductions to the system are made to provide simple guidelines concerning the process. Comparison of the solutions with experimental data on the melting of n-octadecane shows excellent agreement.

Compositional evolution with mass transfer in closed systems

Evolution of compositions in time, space, temperature or other covariates is frequentin practice. For instance, the radioactive decomposition of a sample changes its composition with time. Some of the involved isotopes decompose into other isotopes of thesample, thus producing a transfer of mass from some components to other ones, butpreserving the total mass present in the system. This evolution is traditionally modelledas a system of ordinary di erential equations of the mass of each component. However,this kind of evolution can be decomposed into a compositional change, expressed interms of simplicial derivatives, and a mass evolution (constant in this example). A rst result is that the simplicial system of di erential equations is non-linear, despiteof some subcompositions behaving linearly.The goal is to study the characteristics of such simplicial systems of di erential equa-tions such as linearity and stability. This is performed extracting the compositional differential equations from the mass equations. Then, simplicial derivatives are expressedin coordinates of the simplex, thus reducing the problem to the standard theory ofsystems of di erential equations, including stability. The characterisation of stabilityof these non-linear systems relays on the linearisation of the system of di erential equations at the stationary point, if any. The eigenvelues of the linearised matrix and theassociated behaviour of the orbits are the main tools. For a three component system,these orbits can be plotted both in coordinates of the simplex or in a ternary diagram.A characterisation of processes with transfer of mass in closed systems in terms of stability is thus concluded. Two examples are presented for illustration, one of them is aradioactive decay

Lifelong dynamics of human CD4+CD25+ regulatory T cells: insights from in vivo data and mathematical modeling.

Despite their limited proliferation capacity, regulatory T cells (T(regs)) constitute a population maintained over the entire lifetime of a human organism. The means by which T(regs) sustain a stable pool in vivo are controversial. Using a mathematical model, we address this issue by evaluating several biological scenarios of the origins and the proliferation capacity of two subsets of T(regs): precursor CD4(+)CD25(+)CD45RO(-) and mature CD4(+)CD25(+)CD45RO(+) cells. The lifelong dynamics of T(regs) are described by a set of ordinary differential equations, driven by a stochastic process representing the major immune reactions involving these cells. The model dynamics are validated using data from human donors of different ages. Analysis of the data led to the identification of two properties of the dynamics: (1) the equilibrium in the CD4(+)CD25(+)FoxP3(+)T(regs) population is maintained over both precursor and mature T(regs) pools together, and (2) the ratio between precursor and mature T(regs) is inverted in the early years of adulthood. Then, using the model, we identified three biologically relevant scenarios that have the above properties: (1) the unique source of mature T(regs) is the antigen-driven differentiation of precursors that acquire the mature profile in the periphery and the proliferation of T(regs) is essential for the development and the maintenance of the pool; there exist other sources of mature T(regs), such as (2) a homeostatic density-dependent regulation or (3) thymus- or effector-derived T(regs), and in both cases, antigen-induced proliferation is not necessary for the development of a stable pool of T(regs). This is the first time that a mathematical model built to describe the in vivo dynamics of regulatory T cells is validated using human data. The application of this model provides an invaluable tool in estimating the amount of regulatory T cells as a function of time in the blood of patients that received a solid organ transplant or are suffering from an autoimmune disease.

Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.