Geometrical Methods in Multivariate Risk Management: Algorithms and Applications

This thesis builds a framework for evaluating downside risk from multivariate data via a special class of risk measures (RM). The peculiarity of the analysis lies in getting rid of strong data distributional assumptions and in orientation towards the most critical data in risk management: those with asymmetries and heavy tails. At the same time, under typical assumptions, such as the ellipticity of the data probability distribution, the conformity with classical methods is shown. The constructed class of RM is a multivariate generalization of the coherent distortion RM, which possess valuable properties for a risk manager. The design of the framework is twofold. The first part contains new computational geometry methods for the high-dimensional data. The developed algorithms demonstrate computability of geometrical concepts used for constructing the RM. These concepts bring visuality and simplify interpretation of the RM. The second part develops models for applying the framework to actual problems. The spectrum of applications varies from robust portfolio selection up to broader spheres, such as stochastic conic optimization with risk constraints or supervised machine learning.

A follow up MRI-based geometry and computational fluid dynamics study of carotid bifurcation

Cardiovascular disease is the leading causes of death in the developed world. Wall shear stress (WSS) is associated with the initiation and progression of atherogenesis. This study combined the recent advances in MR imaging and computational fluid dynamics (CFD) and evaluated the patient-specific carotid bifurcation. The patient was followed up for 3 years. The geometry changes (tortuosity, curvature, ICA/CCA area ratios, central to the cross-sectional curvature, maximum stenosis) and the CFD factors (Velocity distribute, Wall Shear Stress (WSS) and Oscillatory Shear Index (OSI)) were compared at different time points.The carotid stenosis was a slight increase in the central to the cross-sectional curvature, and it was minor and variable curvature changes for carotid centerline. The OSI distribution presents ahigh-values in the same region where carotid stenosis and normal border, indicating complex flow and recirculation.The significant geometric changes observed during the follow-up may also cause significant changes in bifurcation hemodynamics.

Computational information geometry and its applications

Digitization is the main feature of modern Information Science. Conjoining the digits and the coordinates, the relation between Information Science and high-dimensional space is consanguineous, and the information issues are transformed to the geometry problems in some high-dimensional spaces. From this basic idea, we propose Computational Information Geometry (CIG) to make information analysis and processing. Two kinds of applications of CIG are given, which are blurred image restoration and pattern recognition. Experimental results are satisfying. And in this paper, how to combine with groups of simple operators in some 2D planes to implement the geometrical computations in high-dimensional space is also introduced. Lots of the algorithms have been realized using software.

Patient-specific computational biomechanics for simulating adolescent scoliosis surgery : predicted vs clinical correction for a preliminary series of six patients

Scoliosis is a spinal deformity that requires surgical correction in progressive cases. In order to optimize surgical outcomes, patient-specific finite element models are being developed by our group. In this paper, a single rod anterior correction procedure is simulated for a group of six scoliosis patients. For each patient, personalised model geometry was derived from low-dose CT scans, and clinically measured intra-operative corrective forces were applied. However, tissue material properties were not patient-specific, being derived from existing literature. Clinically, the patient group had a mean initial Cobb angle of 47.3 degrees, which was corrected to 17.5 degrees after surgery. The mean simulated post-operative Cobb angle for the group was 18.1 degrees. Although this represents good agreement between clinical and simulated corrections, the discrepancy between clinical and simulated Cobb angle for individual patients varied between -10.3 and +8.6 degrees, with only three of the six patients matching the clinical result to within accepted Cobb measurement error of +-5 degrees. The results of this study suggest that spinal tissue material properties play an important role in governing the correction obtained during surgery, and that patient-specific modelling approaches must address the question of how to prescribe patient-specific soft tissue properties for spine surgery simulation.

An experimental and computational investigation of performance of Green Gully for reusing stormwater

A new stormwater quality improvement device (SQID) called ‘Green Gully’ has been designed and developed in this study with an aim to re-using stormwater for irrigating plants and trees. The main purpose of the Green Gully is to collect road runoff/stormwater, make it suitable for irrigation and provide an automated network system for watering roadside plants and irrigational areas. This paper presents the design and development of Green Gully along with experimental and computational investigations of the performance of Green Gully. Performance (in the form of efficiency, i.e. the percentage of water flow through the gully grate) was experimentally determined using a gully model in the laboratory first, then a three dimensional numerical model was developed and simulated to predict the efficiency of Green Gully as a function of flow rate. Computational Fluid Dynamics (CFD) code FLUENT was used for the simulation. GAMBIT was used for geometry creation and mesh generation. Experimental and simulation results are discussed and compared in this paper. The predicted efficiency was compared with the laboratory measured efficiency. It was found that the simulated results are in good agreement with the experimental results.

Computational approaches to the visual validation of 3D virtual environments

Virtual environments can provide, through digital games and online social interfaces, extremely exciting forms of interactive entertainment. Because of their capability in displaying and manipulating information in natural and intuitive ways, such environments have found extensive applications in decision support, education and training in the health and science domains amongst others. Currently, the burden of validating both the interactive functionality and visual consistency of a virtual environment content is entirely carried out by developers and play-testers. While considerable research has been conducted in assisting the design of virtual world content and mechanics, to date, only limited contributions have been made regarding the automatic testing of the underpinning graphics software and hardware. The aim of this thesis is to determine whether the correctness of the images generated by a virtual environment can be quantitatively defined, and automatically measured, in order to facilitate the validation of the content. In an attempt to provide an environment-independent definition of visual consistency, a number of classification approaches were developed. First, a novel model-based object description was proposed in order to enable reasoning about the color and geometry change of virtual entities during a play-session. From such an analysis, two view-based connectionist approaches were developed to map from geometry and color spaces to a single, environment-independent, geometric transformation space; we used such a mapping to predict the correct visualization of the scene. Finally, an appearance-based aliasing detector was developed to show how incorrectness too, can be quantified for debugging purposes. Since computer games heavily rely on the use of highly complex and interactive virtual worlds, they provide an excellent test bed against which to develop, calibrate and validate our techniques. Experiments were conducted on a game engine and other virtual worlds prototypes to determine the applicability and effectiveness of our algorithms. The results show that quantifying visual correctness in virtual scenes is a feasible enterprise, and that effective automatic bug detection can be performed through the techniques we have developed. We expect these techniques to find application in large 3D games and virtual world studios that require a scalable solution to testing their virtual world software and digital content.

Two-scale computational modelling of unsaturated flow in soils exhibiting small scale heterogeneities

Unsaturated water flow in soil is commonly modelled using Richards’ equation, which requires the hydraulic properties of the soil (e.g., porosity, hydraulic conductivity, etc.) to be characterised. Naturally occurring soils, however, are heterogeneous in nature, that is, they are composed of a number of interwoven homogeneous soils each with their own set of hydraulic properties. When the length scale of these soil heterogeneities is small, numerical solution of Richards’ equation is computationally impractical due to the immense effort and refinement required to mesh the actual heterogeneous geometry. A classic way forward is to use a macroscopic model, where the heterogeneous medium is replaced with a fictitious homogeneous medium, which attempts to give the average flow behaviour at the macroscopic scale (i.e., at a scale much larger than the scale of the heterogeneities). Using the homogenisation theory, a macroscopic equation can be derived that takes the form of Richards’ equation with effective parameters. A disadvantage of the macroscopic approach, however, is that it fails in cases when the assumption of local equilibrium does not hold. This limitation has seen the introduction of two-scale models that include at each point in the macroscopic domain an additional flow equation at the scale of the heterogeneities (microscopic scale). This report outlines a well-known two-scale model and contributes to the literature a number of important advances in its numerical implementation. These include the use of an unstructured control volume finite element method and image-based meshing techniques, that allow for irregular micro-scale geometries to be treated, and the use of an exponential time integration scheme that permits both scales to be resolved simultaneously in a completely coupled manner. Numerical comparisons against a classical macroscopic model confirm that only the two-scale model correctly captures the important features of the flow for a range of parameter values.

Modelling of arc welding : the importance of including the arc plasma in the computational domain

We present results of computational simulations of tungsten-inert-gas and metal-inert-gas welding. The arc plasma and the electrodes (including the molten weld pool when necessary) are included self-consistently in the computational domain. It is shown, using three examples, that it would be impossible to accurately estimate the boundary conditions on the weld-pool surface without including the arc plasma in the computational domain. First, we show that the shielding gas composition strongly affects the properties of the arc that influence the weld pool: heat flux density, current density, shear stress and arc pressure at the weld-pool surface. Demixing is found to be important in some cases. Second, the vaporization of the weld-pool metal and the diffusion of the metal vapour into the arc plasma are found to decrease the heat flux density and current density to the weld pool. Finally, we show that the shape of the wire electrode in metal-inert-gas welding has a strong influence on flow velocities in the arc and the pressure and shear stress at the weld-pool surface. In each case, we present evidence that the geometry and depth of the weld pool depend strongly on the properties of the arc.

Computational fluid dynamics simulation and turbomachinery code validation of a high pressure ratio radial-inflow turbine

The present study explores reproducing the closest geometry of a high pressure ratio single stage radial-inflow turbine applied in the Sundstrans Power Systems T-100 Multipurpose Small Power Unit. The commercial software ANSYS-Vista RTD along with a built in module, BladeGen, is used to conduct a meanline design and create 3D geometry of one flow passage. Carefully examining the proposed design against the geometrical and experimental data, ANSYS-TurboGrid is applied to generate computational mesh. CFD simulations are performed with ANSYS-CFX in which three-dimensional Reynolds-Averaged Navier-Stokes equations are solved subject to appropriate boundary conditions. Results are compared with numerical and experimental data published in the literature in order to generate the exact geometry of the existing turbine and validate the numerical results against the experimental ones.

Comparison between computational models of abdominal aortic aneurysm

Objective: To compare the differences in the hemodynamic parameters of abdominal aortic aneurysm (AAA) between fluid-structure interaction model (FSIM) and fluid-only model (FM), so as to discuss their application in the research of AAA. Methods: An idealized AAA model was created based on patient-specific AAA data. In FM, the flow, pressure and wall shear stress (WSS) were computed using finite volume method. In FSIM, an Arbitrary Lagrangian-Eulerian algorithm was used to solve the flow in a continuously deforming geometry. The hemodynamic parameters of both models were obtained for discussion. Results: Under the same inlet velocity, there were only two symmetrical vortexes in the AAA dilation area for FSIM. In contrast, four recirculation areas existed in FM; two were main vortexes and the other two were secondary flow, which were located between the main recirculation area and the arterial wall. Six local pressure concentrations occurred in the distal end of AAA and the recirculation area for FM. However, there were only two local pressure concentrations in FSIM. The vortex center of the recirculation area in FSIM was much more close to the distal end of AAA and the area was much larger because of AAA expansion. Four extreme values of WSS existed at the proximal of AAA, the point of boundary layer separation, the point of flow reattachment and the distal end of AAA, respectively, in both FM and FSIM. The maximum wall stress and the largest wall deformation were both located at the proximal and distal end of AAA. Conclusions: The number and center of the recirculation area for both models are different, while the change of vortex is closely associated with the AAA growth. The largest WSS of FSIM is 36% smaller than that of FM. Both the maximum wall stress and largest wall displacement shall increase with the outlet pressure increasing. FSIM needs to be considered for studying the relationship between AAA growth and shear stress.