Numerical solutions of stochastic differential equations – implementation and stability issues

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively.

A variable stepsize implementation for stochastic differential equations

Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path.

Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.

A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations

In Burrage and Burrage [1] it was shown that by introducing a very general formulation for stochastic Runge-Kutta methods, the previous strong order barrier of order one could be broken without having to use higher derivative terms. In particular, methods of strong order 1.5 were developed in which a Stratonovich integral of order one and one of order two were present in the formulation. In this present paper, general order results are proven about the maximum attainable strong order of these stochastic Runge-Kutta methods (SRKs) in terms of the order of the Stratonovich integrals appearing in the Runge-Kutta formulation. In particular, it will be shown that if an s-stage SRK contains Stratonovich integrals up to order p then the strong order of the SRK cannot exceed min{(p + 1)/2, (s - 1)/2), p greater than or equal to 2, s greater than or equal to 3 or 1 if p = 1.

Efficient solution of multiple cracks in great number using eigen COD boundary integral equations with iteration procedure

A newly developed computational approach is proposed in the paper for the analysis of multiple crack problems based on the eigen crack opening displacement (COD) boundary integral equations. The eigen COD particularly refers to a crack in an infinite domain under fictitious traction acting on the crack surface. With the concept of eigen COD, the multiple cracks in great number can be solved by using the conventional displacement discontinuity boundary integral equations in an iterative fashion with a small size of system matrix to determine all the unknown CODs step by step. To deal with the interactions among cracks for multiple crack problems, all cracks in the problem are divided into two groups, namely the adjacent group and the far-field group, according to the distance to the current crack in consideration. The adjacent group contains cracks with relatively small distances but strong effects to the current crack, while the others, the cracks of far-field group are composed of those with relatively large distances. Correspondingly, the eigen COD of the current crack is computed in two parts. The first part is computed by using the fictitious tractions of adjacent cracks via the local Eshelby matrix derived from the traction boundary integral equations in discretized form, while the second part is computed by using those of far-field cracks so that the high computational efficiency can be achieved in the proposed approach. The numerical results of the proposed approach are compared not only with those using the dual boundary integral equations (D-BIE) and the BIE with numerical Green's functions (NGF) but also with those of the analytical solutions in literature. The effectiveness and the efficiency of the proposed approach is verified. Numerical examples are provided for the stress intensity factors of cracks, up to several thousands in number, in both the finite and infinite plates.

Efficient solution of two-sided nonlinear space-fractional diffusion equations using fast Poisson preconditioners

We develop a fast Poisson preconditioner for the efficient numerical solution of a class of two-sided nonlinear space fractional diffusion equations in one and two dimensions using the method of lines. Using the shifted Gr¨unwald finite difference formulas to approximate the two-sided(i.e. the left and right Riemann-Liouville) fractional derivatives, the resulting semi-discrete nonlinear systems have dense Jacobian matrices owing to the non-local property of fractional derivatives. We employ a modern initial value problem solver utilising backward differentiation formulas and Jacobian-free Newton-Krylov methods to solve these systems. For efficient performance of the Jacobianfree Newton-Krylov method it is essential to apply an effective preconditioner to accelerate the convergence of the linear iterative solver. The key contribution of our work is to generalise the fast Poisson preconditioner, widely used for integer-order diffusion equations, so that it applies to the two-sided space fractional diffusion equation. A number of numerical experiments are presented to demonstrate the effectiveness of the preconditioner and the overall solution strategy.

A preconditioned Lanczos method for space-fractional reaction-diffusion equations on two-dimensional unstructured meshes

We consider a two-dimensional space-fractional reaction diffusion equation with a fractional Laplacian operator and homogeneous Neumann boundary conditions. The finite volume method is used with the matrix transfer technique of Ilić et al. (2006) to discretise in space, yielding a system of equations that requires the action of a matrix function to solve at each timestep. Rather than form this matrix function explicitly, we use Krylov subspace techniques to approximate the action of this matrix function. Specifically, we apply the Lanczos method, after a suitable transformation of the problem to recover symmetry. To improve the convergence of this method, we utilise a preconditioner that deflates the smallest eigenvalues from the spectrum. We demonstrate the efficiency of our approach for a fractional Fisher’s equation on the unit disk.

A simplified approach for calculating the moments of action for linear reaction-diffusion equations

The mean action time is the mean of a probability density function that can be interpreted as a critical time, which is a finite estimate of the time taken for the transient solution of a reaction-diffusion equation to effectively reach steady state. For high-variance distributions, the mean action time under-approximates the critical time since it neglects to account for the spread about the mean. We can improve our estimate of the critical time by calculating the higher moments of the probability density function, called the moments of action, which provide additional information regarding the spread about the mean. Existing methods for calculating the nth moment of action require the solution of n nonhomogeneous boundary value problems which can be difficult and tedious to solve exactly. Here we present a simplified approach using Laplace transforms which allows us to calculate the nth moment of action without solving this family of boundary value problems and also without solving for the transient solution of the underlying reaction-diffusion problem. We demonstrate the generality of our method by calculating exact expressions for the moments of action for three problems from the biophysics literature. While the first problem we consider can be solved using existing methods, the second problem, which is readily solved using our approach, is intractable using previous techniques. The third problem illustrates how the Laplace transform approach can be used to study coupled linear reaction-diffusion equations.

Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

There has been considerable recent work on the development of energy conserving one-step methods that are not symplectic. Here we extend these ideas to stochastic Hamiltonian problems with additive noise and show that there are classes of Runge-Kutta methods that are very effective in preserving the expectation of the Hamiltonian, but care has to be taken in how the Wiener increments are sampled at each timestep. Some numerical simulations illustrate the performance of these methods.

Development and validation of anthropometric prediction equations for estimation of lean body mass and appendicular lean soft tissue in Indian men and women

Lean body mass (LBM) and muscle mass remains difficult to quantify in large epidemiological studies due to non-availability of inexpensive methods. We therefore developed anthropometric prediction equations to estimate the LBM and appendicular lean soft tissue (ALST) using dual energy X-ray absorptiometry (DXA) as a reference method. Healthy volunteers (n= 2220; 36% females; age 18-79 y) representing a wide range of body mass index (14-44 kg/m2) participated in this study. Their LBM including ALST was assessed by DXA along with anthropometric measurements. The sample was divided into prediction (60%) and validation (40%) sets. In the prediction set, a number of prediction models were constructed using DXA measured LBM and ALST estimates as dependent variables and a combination of anthropometric indices as independent variables. These equations were cross-validated in the validation set. Simple equations using age, height and weight explained > 90% variation in the LBM and ALST in both men and women. Additional variables (hip and limb circumferences and sum of SFTs) increased the explained variation by 5-8% in the fully adjusted models predicting LBM and ALST. More complex equations using all the above anthropometric variables could predict the DXA measured LBM and ALST accurately as indicated by low standard error of the estimate (LBM: 1.47 kg and 1.63 kg for men and women, respectively) as well as good agreement by Bland Altman analyses. These equations could be a valuable tool in large epidemiological studies assessing these body compartments in Indians and other population groups with similar body composition.

Development of empirical equations for irradiance profile of a standard parabolic trough collector using Monte Carlo ray tracing technique

Irradiance profile around the receiver tube (RT) of a parabolic trough collector (PTC) is a key effect of optical performance that affects the overall energy performance of the collector. Thermal performance evaluation of the RT relies on the appropriate determination of the irradiance profile. This article explains a technique in which empirical equations were developed to calculate the local irradiance as a function of angular location of the RT of a standard PTC using a vigorously verified Monte Carlo ray tracing model. A large range of test conditions including daily normal insolation, spectral selective coatings and glass envelop conditions were selected from the published data by Dudley et al. [1] for the job. The R2 values of the equations are excellent that vary in between 0.9857 and 0.9999. Therefore, these equations can be used confidently to produce realistic non-uniform boundary heat flux profile around the RT at normal incidence for conjugate heat transfer analyses of the collector. Required values in the equations are daily normal insolation, and the spectral selective properties of the collector components. Since the equations are polynomial functions, data processing software can be employed to calculate the flux profile very easily and quickly. The ultimate goal of this research is to make the concentrating solar power technology cost competitive with conventional energy technology facilitating its ongoing research.

Development and validation of anthropometric prediction equations for estimation of body fat in Indonesian men

Body composition of 292 males aged between 18 and 65 years was measured using the deuterium oxide dilution technique. Participants were divided into development (n=146) and cross-validation (n=146) groups. Stature, body weight, skinfold thickness at eight sites, girth at five sites, and bone breadth at four sites were measured and body mass index (BMI), waist-to-hip ratio (WHR), and waist-to-stature ratio (WSR) calculated. Equations were developed using multiple regression analyses with skinfolds, breadth and girth measures, BMI, and other indices as independent variables and percentage body fat (%BF) determined from deuterium dilution technique as the reference. All equations were then tested in the cross-validation group. Results from the reference method were also compared with existing prediction equations by Durnin and Womersley (1974), Davidson et al (2011), and Gurrici et al (1998). The proposed prediction equations were valid in our cross-validation samples with r=0.77- 0.86, bias 0.2-0.5%, and pure error 2.8-3.6%. The strongest was generated from skinfolds with r=0.83, SEE 3.7%, and AIC 377.2. The Durnin and Womersley (1974) and Davidson et al (2011) equations significantly (p<0.001) underestimated %BF by 1.0 and 6.9% respectively, whereas the Gurrici et al (1998) equation significantly (p<0.001) overestimated %BF by 3.3% in our cross-validation samples compared to the reference. Results suggest that the proposed prediction equations are useful in the estimation of %BF in Indonesian men.

Eigenstrain boundary integral equations with local Eshelby matrix for stress analysis of ellipsoidal particles

Aiming at the large scale numerical simulation of particle reinforced materials, the concept of local Eshelby matrix has been introduced into the computational model of the eigenstrain boundary integral equation (BIE) to solve the problem of interactions among particles. The local Eshelby matrix can be considered as an extension of the concepts of Eshelby tensor and the equivalent inclusion in numerical form. Taking the subdomain boundary element method as the control, three-dimensional stress analyses are carried out for some ellipsoidal particles in full space with the proposed computational model. Through the numerical examples, it is verified not only the correctness and feasibility but also the high efficiency of the present model with the corresponding solution procedure, showing the potential of solving the problem of large scale numerical simulation of particle reinforced materials.

Predictive validity of three ActiGraph energy expenditure equations for children

Purpose This Study evaluated the predictive validity of three previously published ActiGraph energy expenditure (EE) prediction equations developed for children and adolescents. Methods A total of 45 healthy children and adolescents (mean age: 13.7 +/- 2.6 yr) completed four 5-min activity trials (normal walking. brisk walking, easy running, and fast running) in ail indoor exercise facility. During each trial, participants were all ActiGraph accelerometer oil the right hip. EE was monitored breath by breath using the Cosmed K4b(2) portable indirect calorimetry system. Differences and associations between measured and predicted EE were assessed using dependent t-tests and Pearson correlations, respectively. Classification accuracy was assessed using percent agreement, sensitivity, specificity, and area under the receiver operating characteristic (ROC) curve. Results None of the equations accurately predicted mean energy expenditure during each of the four activity trials. Each equation, however, accurately predicted mean EE in at least one activity trial. The Puyau equation accurately predicted EE during slow walking. The Trost equation accurately predicted EE during slow running. The Freedson equation accurately predicted EE during fast running. None of the three equations accurately predicted EE during brisk walking. The equations exhibited fair to excellent classification accuracy with respect to activity intensity. with the Trost equation exhibiting the highest classification accuracy and the Puyau equation exhibiting the lowest. Conclusions These data suggest that the three accelerometer prediction equations do not accurately predict EE on a minute-by-minute basis in children and adolescents during overground walking and running. The equations maybe, however, for estimating participation in moderate and vigorous activity.

Predictive validity of accelerometer prediction equations for energy expenditure (EE) during overland walking and running in children and adolescents

Purpose The aim of this study was to assess the predictive validity of three accelerometer prediction equations (Freedson et aL, 1997; Trost et aL, 1998; Puyau et al., 2002) for energy expenditure (EE) during overland walking and running in children and adolescents. Methods 45 healthy children and adolescents aged 10-18 completed the following protocol, each task 5-mins in duration, with a 5-min rest period in between; walking normally; walking briskly; running easily and running fast. During each task participants wore MTI (WAM 7164) Actigraphs on the left and right hips. VO2 was monitored breath by breath using the Cosmed K4b2 portable indirect calorimetry system. For each prediction equation, difference scores were calculated as EE measured minus EE predicted. The percentage of 1-min epochs correctly categorized as light (<3 METs), moderate (3-5.9 METs), and vigorous (≥6 METS) was also calculated. Results The Freedson and Trost equations consistently overestimated MET level. The level of overestimation was statistically significant across all tasks for the Freedson equation, and was significant for only the walking tasks for the Trost equation. The Puyau equation consistently underestimated AEE with the exception of the walking normally task. In terms of categorisation, the Freedson equation (72.8% agreement) demonstrated better agreement than the Puyau (60.6%). Conclusions These data suggest that the three accelerometer prediction equations do not accurately predict EE on a minute-by-minute basis in children and adolescents during overland walking and running. However, the cut points generated by these equations maybe useful for classifying activity as either, light, moderate, or vigorous.