A bounded upwinding scheme for computing convection-dominated transport problems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

An Analog of the Tricomi Problem for a Mixed Type Equation with a Partial Fractional Derivative

Mathematics Subject Classification 2010: 35M10, 35R11, 26A33, 33C05, 33E12, 33C20.

Analysis of diffusion process in fractured reservoirs using fractional derivative approach

The fractal geometry is used to model of a naturally fractured reservoir and the concept of fractional derivative is applied to the diffusion equation to incorporate the history of fluid flow in naturally fractured reservoirs. The resulting fractally fractional diffusion (FFD) equation is solved analytically in the Laplace space for three outer boundary conditions. The analytical solutions are used to analyze the response of a naturally fractured reservoir considering the anomalous behavior of oil production. Several synthetic examples are provided to illustrate the methodology proposed in this work and to explain the diffusion process in fractally fractured systems.

Maximum principle preserving high order schemes for convection-dominated diffusion equations

The maximum principle is an important property of solutions to PDE. Correspondingly, it's of great interest for people to design a high order numerical scheme solving PDE with this property maintained. In this thesis, our particular interest is solving convection-dominated diffusion equation. We first review a nonconventional maximum principle preserving(MPP) high order finite volume(FV) WENO scheme, and then propose a new parametrized MPP high order finite difference(FD) WENO framework, which is generalized from the one solving hyperbolic conservation laws. A formal analysis is presented to show that a third order finite difference scheme with this parametrized MPP flux limiters maintains the third order accuracy without extra CFL constraint when the low order monotone flux is chosen appropriately. Numerical tests in both one and two dimensional cases are performed on the simulation of the incompressible Navier-Stokes equations in vorticity stream-function formulation and several other problems to show the effectiveness of the proposed method.

Un método de diferencias finitas generalizadas para simular la actividad eléctrica de un tejido cardiaco

Una evolución del método de diferencias finitas ha sido el desarrollo del método de diferencias finitas generalizadas (MDFG) que se puede aplicar a mallas irregulares o nubes de puntos. En este método se emplea una expansión en serie de Taylor junto con una aproximación por mínimos cuadrados móviles (MCM). De ese modo, las fórmulas explícitas de diferencias para nubes irregulares de puntos se pueden obtener fácilmente usando el método de Cholesky. El MDFG-MCM es un método sin malla que emplea únicamente puntos. Una contribución de esta Tesis es la aplicación del MDFG-MCM al caso de la modelización de problemas anisótropos elípticos de conductividad eléctrica incluyendo el caso de tejidos reales cuando la dirección de las fibras no es fija, sino que varía a lo largo del tejido. En esta Tesis también se muestra la extensión del método de diferencias finitas generalizadas a la solución explícita de ecuaciones parabólicas anisótropas. El método explícito incluye la formulación de un límite de estabilidad para el caso de nubes irregulares de nodos que es fácilmente calculable. Además se presenta una nueva solución analítica para una ecuación parabólica anisótropa y el MDFG-MCM explícito se aplica al caso de problemas parabólicos anisótropos de conductividad eléctrica. La evidente dificultad de realizar mediciones directas en electrocardiología ha motivado un gran interés en la simulación numérica de modelos cardiacos. La contribución más importante de esta Tesis es la aplicación de un esquema explícito con el MDFG-MCM al caso de la modelización monodominio de problemas de conductividad eléctrica. En esta Tesis presentamos un algoritmo altamente eficiente, exacto y condicionalmente estable para resolver el modelo monodominio, que describe la actividad eléctrica del corazón. El modelo consiste en una ecuación en derivadas parciales parabólica anisótropa (EDP) que está acoplada con un sistema de ecuaciones diferenciales ordinarias (EDOs) que describen las reacciones electroquímicas en las células cardiacas. El sistema resultante es difícil de resolver numéricamente debido a su complejidad. Proponemos un método basado en una separación de operadores y un método sin malla para resolver la EDP junto a un método de Runge-Kutta para resolver el sistema de EDOs de la membrana y las corrientes iónicas. ABSTRACT An evolution of the method of finite differences has been the development of generalized finite difference (GFD) method that can be applied to irregular grids or clouds of points. In this method a Taylor series expansion is used together with a moving least squares (MLS) approximation. Then, the explicit difference formulae for irregular clouds of points can be easily obtained using a simple Cholesky method. The MLS-GFD is a mesh-free method using only points. A contribution of this Thesis is the application of the MLS-GFDM to the case of modelling elliptic anisotropic electrical conductivity problems including the case of real tissues when the fiber direction is not fixed, but varies throughout the tissue. In this Thesis the extension of the generalized finite difference method to the explicit solution of parabolic anisotropic equations is also given. The explicit method includes a stability limit formulated for the case of irregular clouds of nodes that can be easily calculated. Also a new analytical solution for homogeneous parabolic anisotropic equation has been presented and an explicit MLS- GFDM has been applied to the case of parabolic anisotropic electrical conductivity problems. The obvious difficulty of performing direct measurements in electrocardiology has motivated wide interest in the numerical simulation of cardiac models. The main contribution of this Thesis is the application of an explicit scheme based in the MLS-GFDM to the case of modelling monodomain electrical conductivity problems using operator splitting including the case of anisotropic real tissues. In this Thesis we present a highly efficient, accurate and conditionally stable algorithm to solve a monodomain model, which describes the electrical activity in the heart. The model consists of a parabolic anisotropic partial differential equation (PDE), which is coupled to systems of ordinary differential equations (ODEs) describing electrochemical reactions in the cardiac cells. The resulting system is challenging to solve numerically, because of its complexity. We propose a method based on operator splitting and a meshless method for solving the PDE together with a Runge-Kutta method for solving the system of ODE’s for the membrane and ionic currents.

Difference schemes for time-dependent heat conduction models with delay

Different non-Fourier models of heat conduction, that incorporate time lags in the heat flux and/or the temperature gradient, have been increasingly considered in the last years to model microscale heat transfer problems in engineering. Numerical schemes to obtain approximate solutions of constant coefficients lagging models of heat conduction have already been proposed. In this work, an explicit finite difference scheme for a model with coefficients variable in time is developed, and their properties of convergence and stability are studied. Numerical computations showing examples of applications of the scheme are presented.

Monte Carlo Random Walk Simulations Based on Distributed Order Differential Equations with Applications to Cell Biology

Mathematics Subject Classification: 65C05, 60G50, 39A10, 92C37

Well-Posedness of Diffusion-Wave Problem with Arbitrary Finite Number of Time Fractional Derivatives in Sobolev Spaces H^s

Mathematics Subject Classification 2010: 26A33, 33E12, 35S10, 45K05.

Efficient Legendre spectral tau algorithm for solving two-sided space-time Caputo fractional advection-dispersion equation

In this paper we present the operational matrices of the left Caputo fractional derivative, right Caputo fractional derivative and Riemann–Liouville fractional integral for shifted Legendre polynomials. We develop an accurate numerical algorithm to solve the two-sided space–time fractional advection–dispersion equation (FADE) based on a spectral shifted Legendre tau (SLT) method in combination with the derived shifted Legendre operational matrices. The fractional derivatives are described in the Caputo sense. We propose a spectral SLT method, both in temporal and spatial discretizations for the two-sided space–time FADE. This technique reduces the two-sided space–time FADE to a system of algebraic equations that simplifies the problem. Numerical results carried out to confirm the spectral accuracy and efficiency of the proposed algorithm. By selecting relatively few Legendre polynomial degrees, we are able to get very accurate approximations, demonstrating the utility of the new approach over other numerical methods.

Atomistic-continuum modeling of ultrafast laser-induced melting of silicon targets

In this work, we present an atomistic-continuum model for simulations of ultrafast laser-induced melting processes in semiconductors on the example of silicon. The kinetics of transient non-equilibrium phase transition mechanisms is addressed with MD method on the atomic level, whereas the laser light absorption, strong generated electron-phonon nonequilibrium, fast heat conduction, and photo-excited free carrier diffusion are accounted for with a continuum TTM-like model (called nTTM). First, we independently consider the applications of nTTM and MD for the description of silicon, and then construct the combined MD-nTTM model. Its development and thorough testing is followed by a comprehensive computational study of fast nonequilibrium processes induced in silicon by an ultrashort laser irradiation. The new model allowed to investigate the effect of laser-induced pressure and temperature of the lattice on the melting kinetics. Two competing melting mechanisms, heterogeneous and homogeneous, were identified in our big-scale simulations. Apart from the classical heterogeneous melting mechanism, the nucleation of the liquid phase homogeneously inside the material significantly contributes to the melting process. The simulations showed, that due to the open diamond structure of the crystal, the laser-generated internal compressive stresses reduce the crystal stability against the homogeneous melting. Consequently, the latter can take a massive character within several picoseconds upon the laser heating. Due to the large negative volume of melting of silicon, the material contracts upon the phase transition, relaxes the compressive stresses, and the subsequent melting proceeds heterogeneously until the excess of thermal energy is consumed. A series of simulations for a range of absorbed fluences allowed us to find the threshold fluence value at which homogeneous liquid nucleation starts contributing to the classical heterogeneous propagation of the solid-liquid interface. A series of simulations for a range of the material thicknesses showed that the sample width we chosen in our simulations (800 nm) corresponds to a thick sample. Additionally, in order to support the main conclusions, the results were verified for a different interatomic potential. Possible improvements of the model to account for nonthermal effects are discussed and certain restrictions on the suitable interatomic potentials are found. As a first step towards the inclusion of these effects into MD-nTTM, we performed nanometer-scale MD simulations with a new interatomic potential, designed to reproduce ab initio calculations at the laser-induced electronic temperature of 18946 K. The simulations demonstrated that, similarly to thermal melting, nonthermal phase transition occurs through nucleation. A series of simulations showed that higher (lower) initial pressure reinforces (hinders) the creation and the growth of nonthermal liquid nuclei. For the example of Si, the laser melting kinetics of semiconductors was found to be noticeably different from that of metals with a face-centered cubic crystal structure. The results of this study, therefore, have important implications for interpretation of experimental data on the kinetics of melting process of semiconductors.

A fully adaptive multiresolution scheme for shock computations

The scheme is based on Ami Harten's ideas (Harten, 1994), the main tools coming from wavelet theory, in the framework of multiresolution analysis for cell averages. But instead of evolving cell averages on the finest uniform level, we propose to evolve just the cell averages on the grid determined by the significant wavelet coefficients. Typically, there are few cells in each time step, big cells on smooth regions, and smaller ones close to irregularities of the solution. For the numerical flux, we use a simple uniform central finite difference scheme, adapted to the size of each cell. If any of the required neighboring cell averages is not present, it is interpolated from coarser scales. But we switch to ENO scheme in the finest part of the grids. To show the feasibility and efficiency of the method, it is applied to a system arising in polymer-flooding of an oil reservoir. In terms of CPU time and memory requirements, it outperforms Harten's multiresolution algorithm.The proposed method applies to systems of conservation laws in 1Dpartial derivative(t)u(x, t) + partial derivative(x)f(u(x, t)) = 0, u(x, t) is an element of R-m. (1)In the spirit of finite volume methods, we shall consider the explicit schemeupsilon(mu)(n+1) = upsilon(mu)(n) - Deltat/hmu ((f) over bar (mu) - (f) over bar (mu)-) = [Dupsilon(n)](mu), (2)where mu is a point of an irregular grid Gamma, mu(-) is the left neighbor of A in Gamma, upsilon(mu)(n) approximate to 1/mu-mu(-) integral(mu-)(mu) u(x, t(n))dx are approximated cell averages of the solution, (f) over bar (mu) = (f) over bar (mu)(upsilon(n)) are the numerical fluxes, and D is the numerical evolution operator of the scheme.According to the definition of (f) over bar (mu), several schemes of this type have been proposed and successfully applied (LeVeque, 1990). Godunov, Lax-Wendroff, and ENO are some of the popular names. Godunov scheme resolves well the shocks, but accuracy (of first order) is poor in smooth regions. Lax-Wendroff is of second order, but produces dangerous oscillations close to shocks. ENO schemes are good alternatives, with high order and without serious oscillations. But the price is high computational cost.Ami Harten proposed in (Harten, 1994) a simple strategy to save expensive ENO flux calculations. The basic tools come from multiresolution analysis for cell averages on uniform grids, and the principle is that wavelet coefficients can be used for the characterization of local smoothness.. Typically, only few wavelet coefficients are significant. At the finest level, they indicate discontinuity points, where ENO numerical fluxes are computed exactly. Elsewhere, cheaper fluxes can be safely used, or just interpolated from coarser scales. Different applications of this principle have been explored by several authors, see for example (G-Muller and Muller, 1998).Our scheme also uses Ami Harten's ideas. But instead of evolving the cell averages on the finest uniform level, we propose to evolve the cell averages on sparse grids associated with the significant wavelet coefficients. This means that the total number of cells is small, with big cells in smooth regions and smaller ones close to irregularities. This task requires improved new tools, which are described next.

Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis

This work provides a forward step in the study and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental notions of probability and stochastic processes, stochastic integration and stochastic differential equations as well. In particular, within the study of H-sssi processes, we focused on fractional Brownian motion (fBm) and its discrete-time increment process, the fractional Gaussian noise (fGn), which provide examples of non-Markovian Gaussian processes. The fGn, together with stationary FARIMA processes, is widely used in the modeling and estimation of long-memory, or long-range dependence (LRD). Time series manifesting long-range dependence, are often observed in nature especially in physics, meteorology, climatology, but also in hydrology, geophysics, economy and many others. We deepely studied LRD, giving many real data examples, providing statistical analysis and introducing parametric methods of estimation. Then, we introduced the theory of fractional integrals and derivatives, which indeed turns out to be very appropriate for studying and modeling systems with long-memory properties. After having introduced the basics concepts, we provided many examples and applications. For instance, we investigated the relaxation equation with distributed order time-fractional derivatives, which describes models characterized by a strong memory component and can be used to model relaxation in complex systems, which deviates from the classical exponential Debye pattern. Then, we focused in the study of generalizations of the standard diffusion equation, by passing through the preliminary study of the fractional forward drift equation. Such generalizations have been obtained by using fractional integrals and derivatives of distributed orders. In order to find a connection between the anomalous diffusion described by these equations and the long-range dependence, we introduced and studied the generalized grey Brownian motion (ggBm), which is actually a parametric class of H-sssi processes, which have indeed marginal probability density function evolving in time according to a partial integro-differential equation of fractional type. The ggBm is of course Non-Markovian. All around the work, we have remarked many times that, starting from a master equation of a probability density function f(x,t), it is always possible to define an equivalence class of stochastic processes with the same marginal density function f(x,t). All these processes provide suitable stochastic models for the starting equation. Studying the ggBm, we just focused on a subclass made up of processes with stationary increments. The ggBm has been defined canonically in the so called grey noise space. However, we have been able to provide a characterization notwithstanding the underline probability space. We also pointed out that that the generalized grey Brownian motion is a direct generalization of a Gaussian process and in particular it generalizes Brownain motion and fractional Brownain motion as well. Finally, we introduced and analyzed a more general class of diffusion type equations related to certain non-Markovian stochastic processes. We started from the forward drift equation, which have been made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation has been interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time-evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the same memory kernel K(t). We developed several applications and derived the exact solutions. Moreover, we considered different stochastic models for the given equations, providing path simulations.

A numerical model for inert gas transport in the lung based on fractal airway morphology

Patients suffering from cystic fibrosis (CF) show thick secretions, mucus plugging and bronchiectasis in bronchial and alveolar ducts. This results in substantial structural changes of the airway morphology and heterogeneous ventilation. Disease progression and treatment effects are monitored by so-called gas washout tests, where the change in concentration of an inert gas is measured over a single or multiple breaths. The result of the tests based on the profile of the measured concentration is a marker for the severity of the ventilation inhomogeneity strongly affected by the airway morphology. However, it is hard to localize underlying obstructions to specific parts of the airways, especially if occurring in the lung periphery. In order to support the analysis of lung function tests (e.g. multi-breath washout), we developed a numerical model of the entire airway tree, coupling a lumped parameter model for the lung ventilation with a 4th-order accurate finite difference model of a 1D advection-diffusion equation for the transport of an inert gas. The boundary conditions for the flow problem comprise the pressure and flow profile at the mouth, which is typically known from clinical washout tests. The natural asymmetry of the lung morphology is approximated by a generic, fractal, asymmetric branching scheme which we applied for the conducting airways. A conducting airway ends when its dimension falls below a predefined limit. A model acinus is then connected to each terminal airway. The morphology of an acinus unit comprises a network of expandable cells. A regional, linear constitutive law describes the pressure-volume relation between the pleural gap and the acinus. The cyclic expansion (breathing) of each acinus unit depends on the resistance of the feeding airway and on the flow resistance and stiffness of the cells themselves. Special care was taken in the development of a conservative numerical scheme for the gas transport across bifurcations, handling spatially and temporally varying advective and diffusive fluxes over a wide range of scales. Implicit time integration was applied to account for the numerical stiffness resulting from the discretized transport equation. Local or regional modification of the airway dimension, resistance or tissue stiffness are introduced to mimic pathological airway restrictions typical for CF. This leads to a more heterogeneous ventilation of the model lung. As a result the concentration in some distal parts of the lung model remains increased for a longer duration. The inert gas concentration at the mouth towards the end of the expirations is composed of gas from regions with very different washout efficiency. This results in a steeper slope of the corresponding part of the washout profile.

Neighborhood-corrected interface discontinuity factors for multi-group pin-by-pin diffusion calculations for LWR

Performing three-dimensional pin-by-pin full core calculations based on an improved solution of the multi-group diffusion equation is an affordable option nowadays to compute accurate local safety parameters for light water reactors. Since a transport approximation is solved, appropriate correction factors, such as interface discontinuity factors, are required to nearly reproduce the fully heterogeneous transport solution. Calculating exact pin-by-pin discontinuity factors requires the knowledge of the heterogeneous neutron flux distribution, which depends on the boundary conditions of the pin-cell as well as the local variables along the nuclear reactor operation. As a consequence, it is impractical to compute them for each possible configuration; however, inaccurate correction factors are one major source of error in core analysis when using multi-group diffusion theory. An alternative to generate accurate pin-by-pin interface discontinuity factors is to build a functional-fitting that allows incorporating the environment dependence in the computed values. This paper suggests a methodology to consider the neighborhood effect based on the Analytic Coarse-Mesh Finite Difference method for the multi-group diffusion equation. It has been applied to both definitions of interface discontinuity factors, the one based on the Generalized Equivalence Theory and the one based on Black-Box Homogenization, and for different few energy groups structures. Conclusions are drawn over the optimal functional-fitting and demonstrative results are obtained with the multi-group pin-by-pin diffusion code COBAYA3 for representative PWR configurations.

Characterizing chaos in a type of fractional duffing's equation

We characterize the chaos in a fractional Duffing’s equation computing the Lyapunov exponents and the dimension of the strange attractor in the effective phase space of the system. We develop a specific analytical method to estimate all Lyapunov exponents and check the results with the fiduciary orbit technique and a time series estimation method.