Integration of chaos theory and mathematical models in building simulation: Part II: Conceptual frameworks

Current mathematical models in building research have been limited in most studies to linear dynamics systems. A literature review of past studies investigating chaos theory approaches in building simulation models suggests that as a basis chaos model is valid and can handle the increasing complexity of building systems that have dynamic interactions among all the distributed and hierarchical systems on the one hand, and the environment and occupants on the other. The review also identifies the paucity of literature and the need for a suitable methodology of linking chaos theory to mathematical models in building design and management studies. This study is broadly divided into two parts and presented in two companion papers. Part (I), published in the previous issue, reviews the current state of the chaos theory models as a starting point for establishing theories that can be effectively applied to building simulation models. Part (II) develop conceptual frameworks that approach current model methodologies from the theoretical perspective provided by chaos theory, with a focus on the key concepts and their potential to help to better understand the nonlinear dynamic nature of built environment systems. Case studies are also presented which demonstrate the potential usefulness of chaos theory driven models in a wide variety of leading areas of building research. This study distills the fundamental properties and the most relevant characteristics of chaos theory essential to (1) building simulation scientists and designers (2) initiating a dialogue between scientists and engineers, and (3) stimulating future research on a wide range of issues involved in designing and managing building environmental systems.

On the performance of near-far resistant CDMA detectors in the presence of synchronization errors

Little has so far been reported on the performance of the near-far resistant CDMA detectors in the presence of the synchronization errors. Starting with the general mathematical model of matched filters, this paper examines the effects of three classes of synchronization errors (i.e. time-delay errors, carrier phase errors, and carrier frequency errors) on the performance (bit error rate and near-far resistance) of an emerging type of near-far resistant coherent DS/SSMA detectors, i.e. the linear decorrelating detector (LDD). For comparison, the corresponding results for the conventional detector are also presented. It is shown that the LDD can still maintain a considerable performance advantage over the conventional detector even when some synchronization errors exist. Finally, several computer simulations are carried out to verify the theoretical conclusions.

A simple relationship between volcanic sulfate aerosol optical depth and surface temperature change simulated in an atmosphere-ocean general circulation model.

In this study we quantify the relationship between the aerosol optical depth increase from a volcanic eruption and the severity of the subsequent surface temperature decrease. This investigation is made by simulating 10 different sizes of eruption in a global circulation model (GCM) by changing stratospheric sulfate aerosol optical depth at each time step. The sizes of the simulated eruptions range from Pinatubo‐sized up to the magnitude of supervolcanic eruptions around 100 times the size of Pinatubo. From these simulations we find that there is a smooth monotonic relationship between the global mean maximum aerosol optical depth anomaly and the global mean temperature anomaly and we derive a simple mathematical expression which fits this relationship well. We also construct similar relationships between global mean aerosol optical depth and the temperature anomaly at every individual model grid box to produce global maps of best‐fit coefficients and fit residuals. These maps are used with caution to find the eruption size at which a local temperature anomaly is clearly distinct from the local natural variability and to approximate the temperature anomalies which the model may simulate following a Tambora‐sized eruption. To our knowledge, this is the first study which quantifies the relationship between aerosol optical depth and resulting temperature anomalies in a simple way, using the wealth of data that is available from GCM simulations.

Cloud-resolving simulations of deep convection over a heated mountain

Cloud-resolving numerical simulations of airflow over a diurnally heated mountain ridge are conducted to explore the mechanisms and sensitivities of convective initiation under high pressure conditions. The simulations are based on a well-observed convection event from the Convective and Orographically Induced Precipitation Study (COPS) during summer 2007, where an isolated afternoon thunderstorm developed over the Black Forest mountains of central Europe, but they are idealized to facilitate understanding and reduce computational expense. In the conditionally unstable but strongly inhibited flow under consideration, sharp horizontal convergence over the mountain acts to locally weaken the inhibition and moisten the dry midtroposphere through shallow cumulus detrainment. The onset of deep convection occurs not through the deep ascent of a single updraft but rather through a rapid succession of thermals that are vented through the mountain convergence zone into the deepening cloud mass. Emerging thermals rise through the saturated wakes of their predecessors, which diminishes the suppressive effects of entrainment and allows for rapid glaciation above the freezing level as supercooled cloud drops rime onto preexisting ice particles. These effects strongly enhance the midlevel cloud buoyancy and enable rapid ascent to the tropopause. The existence and vigor of the convection is highly sensitive to small changes in background wind speed U0, which controls the strength of the mountain convergence and the ability of midlevel moisture to accumulate above the mountain. Whereas vigorous deep convection develops for U0 = 0 m s−1, deep convection is completely eliminated for U0 = 3 m s−1. Although deep convection is able to develop under intermediate winds (U0 = 1.5 m s−1), its formation is highly sensitive to small-amplitude perturbations in the initial flow.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

Simulations of the London urban heat island

We present simulations of London's meteorology using the Met Office Unified Model with a new, sophisticated surface energy-balance scheme to represent the urban surfaces, called MORUSES. Simulations are performed with the urban surfaces represented and with the urban surfaces replaced with grass in order to calculate the urban increment on the local meteorology. The local urban effects were moderated to some extent by the passage of an onshore flow that propagated up the Thames estuary and across the city, cooling London slightly in the afternoon. Validations of screen-level temperature show encouraging agreement to within 1–2 K, when the urban increment is up to 5 K. The model results are then used to examine factors shaping the spatial and temporal structure of London's atmospheric boundary layer. The simulations reconcile the differences in the temporal evolution of the urban heat island (UHI) shown in various studies and demonstrate that the variation of UHI with time depends strongly on the urban fetch. The UHI at a location downwind of the city centre shows a decrease in UHI during the night, while the UHI at the city centre stays constant. Finally, the UHI at a location upwind of the city centre increases continuously. The magnitude of the UHI by the time of the evening transition increases with urban fetch. The urban increments are largest at night, when the boundary layer is shallow. The boundary layer experiences continued warming after sunset, as the heat from the urban fabric is released, and a weakly convective boundary layer develops across the city. The urban land-use fraction is the dominant control on the spatial structure in the sensible heat flux and the resulting urban increment, although even the weak advection present in this case study is sufficient to advect the peak temperature increments downwind of the most built-up areas. Copyright © 2011 Royal Meteorological Society and British Crown Copyright, the Met Office

Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Modeling the tetraphenylalanine-PEG hybrid amphiphile: from DFT calculations on the peptide to molecular dynamics simulations on the conjugate

The conformational properties of the hybrid amphiphile formed by the conjugation of a hydrophobic peptide with four phenylalanine (Phe) residues and hydrophilic poly(ethylene glycol), have been investigated using quantum mechanical calculations and atomistic molecular dynamics simulations. The intrinsic conformational preferences of the peptide were examined using the building-up search procedure combined with B3LYP/ 6-31G(d) geometry optimizations, which led to the identification of 78, 78, and 92 minimum energy structures for the peptides containing one, two, and four Phe residues. These peptides tend to adopt regular organizations involving turn-like motifs that define ribbon or helicallike arrangements. Furthermore, calculations indicate that backbone ... side chain interactions involving the N-H of the amide groups and the pi clouds of the aromatic rings play a crucial role in Phe-containing peptides. On the other hand,MD simulations on the complete amphiphile in aqueous solution showed that the polymer fragment rapidly unfolds maximizing the contacts with the polar solvent, even though the hydrophobic peptide reduce the number of waters of hydration with respect to an individual polymer chain of equivalent molecular weight. In spite of the small effect of the peptide in the hydrodynamic properties of the polymer, we conclude that the two counterparts of the amphiphile tend to organize as independent modules.

Evaluating the structure and magnitude of the ash plume during the initial phase of the 2010 Eyjafjallajökull eruption using lidar observations and NAME simulations

The Eyjafjallajökull volcano in Iceland erupted explosively on 14 April 2010, emitting a plume of ash into the atmosphere. The ash was transported from Iceland toward Europe where mostly cloud-free skies allowed ground-based lidars at Chilbolton in England and Leipzig in Germany to estimate the mass concentration in the ash cloud as it passed overhead. The UK Met Office's Numerical Atmospheric-dispersion Modeling Environment (NAME) has been used to simulate the evolution of the ash cloud from the Eyjafjallajökull volcano during the initial phase of the ash emissions, 14–16 April 2010. NAME captures the timing and sloped structure of the ash layer observed over Leipzig, close to the central axis of the ash cloud. Relatively small errors in the ash cloud position, probably caused by the cumulative effect of errors in the driving meteorology en route, result in a timing error at distances far from the central axis of the ash cloud. Taking the timing error into account, NAME is able to capture the sloped ash layer over the UK. Comparison of the lidar observations and NAME simulations has allowed an estimation of the plume height time series to be made. It is necessary to include in the model input the large variations in plume height in order to accurately predict the ash cloud structure at long range. Quantitative comparison with the mass concentrations at Leipzig and Chilbolton suggest that around 3% of the total emitted mass is transported as far as these sites by small (<100 μm diameter) ash particles.

Periodic time series modeling of environmental proxy records with guaranteed positive growth rate estimation

Identifying a periodic time-series model from environmental records, without imposing the positivity of the growth rate, does not necessarily respect the time order of the data observations. Consequently, subsequent observations, sampled in the environmental archive, can be inversed on the time axis, resulting in a non-physical signal model. In this paper an optimization technique with linear constraints on the signal model parameters is proposed that prevents time inversions. The activation conditions for this constrained optimization are based upon the physical constraint of the growth rate, namely, that it cannot take values smaller than zero. The actual constraints are defined for polynomials and first-order splines as basis functions for the nonlinear contribution in the distance-time relationship. The method is compared with an existing method that eliminates the time inversions, and its noise sensitivity is tested by means of Monte Carlo simulations. Finally, the usefulness of the method is demonstrated on the measurements of the vessel density, in a mangrove tree, Rhizophora mucronata, and the measurement of Mg/Ca ratios, in a bivalve, Mytilus trossulus.

BET surface area of carbonaceous adsorbents: verification using geometric considerations and GCMC simulations on virtual porous carbon models

The applicability of BET model for calculation of surface area of activated carbons is checked by using molecular simulations. By calculation of geometric surface areas for the simple model carbon slit-like pore with the increasing width, and by comparison of the obtained values with those for the same systems from the VEGA ZZ package (adsorbate-accessible molecular surface), it is shown that the latter methods provide correct values. For the system where a monolayer inside a pore is created the ASA approach (GCMC, Ar, T = 87 K) underestimates the value of surface area for micropores (especially, where only one layer is observed and/or two layers of adsorbed Ar are formed). Therefore, we propose the modification of this method based on searching the relationship between the pore diameter and the number of layers in a pore. Finally BET; original andmodified ASA; and A, B and C-point surface areas are calculated for a series of virtual porous carbons using simulated Ar adsorption isotherms (GCMC and T = 87 K). The comparison of results shows that the BET method underestimates and not, as it was usually postulated, overestimates the surface areas of microporous carbons.

Testing isotherm models and recovering empirical relationships for adsorption in microporous carbons using virtual carbon models and grand canonical Monte Carlo simulations

Using the plausible model of activated carbon proposed by Harris and co-workers and grand canonical Monte Carlo simulations, we study the applicability of standard methods for describing adsorption data on microporous carbons widely used in adsorption science. Two carbon structures are studied, one with a small distribution of micropores in the range up to 1 nm, and the other with micropores covering a wide range of porosity. For both structures, adsorption isotherms of noble gases (from Ne to Xe), carbon tetrachloride and benzene are simulated. The data obtained are considered in terms of Dubinin-Radushkevich plots. Moreover, for benzene and carbon tetrachloride the temperature invariance of the characteristic curve is also studied. We show that using simulated data some empirical relationships obtained from experiment can be successfully recovered. Next we test the applicability of Dubinin's related models including the Dubinin-Izotova, Dubinin-Radushkevich-Stoeckli, and Jaroniec-Choma equations. The results obtained demonstrate the limits and applications of the models studied in the field of carbon porosity characterization.